# EDGAR Filing Document

**Accession Number:** 0001364924
**File Stem:** 0001752724-23-014747
**Filing Date:** 2023-1
**Character Count:** 2400393
**Document Hash:** 9c8bc7556df653aba5ef6102aafd756d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014747.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014747

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Rutland Square Trust II
- **CENTRAL INDEX KEY:** 0001364924
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21991
- **FILM NUMBER:** 23556610

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

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

## Series and Classes Contracts Data

### Strategic Advisers Core Income Fund (Series ID: S000029150)

| Class ID   | Class Name                          | Ticker Symbol   |
|:---|:---|:---|
| C000089632 | Strategic Advisers Core Income Fund | FPCIX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Strategic Advisers**<sup>®</sup> **Core Income Fund**

*Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public*

**November 30, 2022**

SSC-NPRT3-0123

1.912893.112 ---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Nonconvertible Bonds - 9.5%** | &nbsp;&nbsp;**Nonconvertible Bonds - 9.5%** | &nbsp;&nbsp;**Nonconvertible Bonds - 9.5%** | &nbsp;&nbsp;**Nonconvertible Bonds - 9.5%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 0.8%  |  |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |  |
| AT&T, Inc.: |  |  |  |
|  1.7% 3/25/26  |  | 700000  | 630958  |
|  2.55% 12/1/33  |  | 6858000  | 5387721  |
|  3.5% 6/1/41  |  | 4990000  | 3812766  |
|  3.5% 9/15/53  |  | 1298000  | 916543  |
|  3.55% 9/15/55  |  | 1440000  | 1010029  |
|  3.65% 9/15/59  |  | 8915000  | 6192294  |
|  3.8% 12/1/57  |  | 27553000  | 20002596  |
|  4.3% 2/15/30  |  | 3709000  | 3523908  |
|  4.5% 5/15/35  |  | 1980000  | 1814415  |
|  4.5% 3/9/48  |  | 6650000  | 5543165  |
|  4.75% 5/15/46  |  | 14210000  | 12358618  |
| C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) |  | 305000 | 271069 |
| Cablevision Lightpath LLC 3.875% 9/15/27 (b) |  | 10000 | 8622 |
| Cellnex Telecom SA 1.75% 10/23/30 (Reg. S)  | EUR | 5500000 | 4580746 |
| Cogent Communications Group, Inc.: |  |  |  |
|  3.5% 5/1/26 (b) |  | 165000  | 149226  |
|  7% 6/15/27 (b) |  | 255000  | 248625  |
| Frontier Communications Holdings LLC: |  |  |  |
|  5% 5/1/28 (b) |  | 215000  | 191350  |
|  5.875% 10/15/27 (b) |  | 95000  | 90394  |
| Holdco SASU: |  |  |  |
|  6.5% 10/15/26 (b) |  | 475000  | 451688  |
|  7% 10/15/28 (b) |  | 450000  | 424805  |
| Iliad SA 1.5% 10/14/24 (Reg. S)  | EUR | 3100000 | 3068599 |
| Level 3 Financing, Inc.: |  |  |  |
|  3.4% 3/1/27 (b) |  | 2605000  | 2222555  |
|  3.625% 1/15/29 (b) |  | 4900000  | 3618160  |
|  3.875% 11/15/29 (b) |  | 2945000  | 2288618  |
|  4.25% 7/1/28 (b) |  | 1520000  | 1190144  |
| Lumen Technologies, Inc.: |  |  |  |
|  4.5% 1/15/29 (b) |  | 235000  | 159130  |
|  7.6% 9/15/39  |  | 939000  | 643215  |
|  7.65% 3/15/42  |  | 1000000  | 673810  |
| Qwest Corp. 7.25% 9/15/25  |  | 203000 | 201985 |
| Sable International Finance Ltd. 5.75% 9/7/27 (b) |  | 526000 | 478713 |
| Sprint Capital Corp. 8.75% 3/15/32  |  | 555000 | 663586 |
| Sprint Spectrum Co. LLC: |  |  |  |
|  4.738% 9/20/29 (b) |  | 856250  | 845290  |
|  5.152% 9/20/29 (b) |  | 14655000  | 14425664  |
| Telecom Italia SpA 5.303% 5/30/24 (b) |  | 370000 | 358345 |
| Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) |  | 400000 | 358200 |
| Verizon Communications, Inc.: |  |  |  |
|  2.355% 3/15/32  |  | 6199000  | 4976122  |
|  2.65% 11/20/40  |  | 1515000  | 1048748  |
|  3.4% 3/22/41  |  | 5480000  | 4206315  |
|  4.016% 12/3/29  |  | 5931000  | 5595759  |
| Virgin Media Finance PLC 5% 7/15/30 (b) |  | 270000 | 220116 |
| Windstream Escrow LLC 7.75% 8/15/28 (b) |  | 500000 | 437500 |
| Zayo Group Holdings, Inc. 4% 3/1/27 (b) |  | 1900000 | 1360913 |
|  |  |  | 116651025 |
| Entertainment - 0.0% |  |  |  |
| Netflix, Inc. 4.375% 11/15/26  |  | 165000 | 159288 |
| Roblox Corp. 3.875% 5/1/30 (b) |  | 280000 | 229118 |
| Take-Two Interactive Software, Inc. 4% 4/14/32  |  | 3095000 | 2756327 |
|  |  |  | 3144733 |
| Interactive Media & Services - 0.0% |  |  |  |
| Tencent Holdings Ltd. 3.84% 4/22/51 (b) |  | 2435000 | 1683924 |
| Media - 0.4% |  |  |  |
| Adria Bidco BV 5.25% 2/1/30 (b) | EUR | 5200000 | 4032908 |
| Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) |  | 555000 | 434465 |
| Altice France Holding SA: |  |  |  |
|  4% 2/15/28 (Reg. S)  | EUR | 4800000  | 3353862  |
|  8% 5/15/27 (Reg. S)  | EUR | 4800000  | 3792512  |
| CCO Holdings LLC/CCO Holdings Capital Corp.: |  |  |  |
|  4% 3/1/23 (b) |  | 2450000  | 2436191  |
|  4.5% 8/15/30 (b) |  | 180000  | 151650  |
|  4.5% 5/1/32  |  | 3822000  | 3154163  |
|  4.5% 6/1/33 (b) |  | 2110000  | 1674517  |
|  4.75% 2/1/32 (b) |  | 115000  | 96169  |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: |  |  |  |
|  3.7% 4/1/51  |  | 2995000  | 1913048  |
|  3.9% 6/1/52  |  | 12363000  | 8211504  |
|  4.8% 3/1/50  |  | 4815000  | 3612687  |
|  4.908% 7/23/25  |  | 7565000  | 7446166  |
|  5.25% 4/1/53  |  | 1805000  | 1450341  |
|  5.375% 4/1/38  |  | 450000  | 384985  |
|  5.375% 5/1/47  |  | 32024000  | 26493038  |
|  6.384% 10/23/35  |  | 3210000  | 3158446  |
|  6.484% 10/23/45  |  | 2420000  | 2279803  |
| Comcast Corp.: |  |  |  |
|  2.937% 11/1/56  |  | 1940000  | 1257494  |
|  3.75% 4/1/40  |  | 770000  | 643411  |
|  3.999% 11/1/49  |  | 10000  | 8160  |
| COX Communications, Inc.: |  |  |  |
|  1.8% 10/1/30 (b) |  | 975000  | 744427  |
|  2.6% 6/15/31 (b) |  | 275000  | 220393  |
|  3.15% 8/15/24 (b) |  | 1550000  | 1491156  |
| Cox Enterprises, Inc. 7.375% 7/15/27 (b) |  | 3445000 | 3660365 |
| CSC Holdings LLC: |  |  |  |
|  4.125% 12/1/30 (b) |  | 215000  | 165013  |
|  4.5% 11/15/31 (b) |  | 220000  | 167667  |
|  4.625% 12/1/30 (b) |  | 170000  | 107807  |
|  5.75% 1/15/30 (b) |  | 1000000  | 681000  |
|  7.5% 4/1/28 (b) |  | 350000  | 272619  |
| Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b) |  | 7375000 | 1198688 |
| Discovery Communications LLC: |  |  |  |
|  3.625% 5/15/30  |  | 4338000  | 3654582  |
|  4% 9/15/55  |  | 535000  | 342953  |
|  4.65% 5/15/50  |  | 11727000  | 8466103  |
|  5.3% 5/15/49  |  | 7695000  | 6042470  |
| DISH DBS Corp.: |  |  |  |
|  5.125% 6/1/29  |  | 1100000  | 724680  |
|  5.875% 11/15/24  |  | 200000  | 187750  |
|  7.75% 7/1/26  |  | 550000  | 460680  |
| DISH Network Corp. 11.75% 11/15/27 (b) |  | 505000 | 519054 |
| Fox Corp.: |  |  |  |
|  5.476% 1/25/39  |  | 2474000  | 2278259  |
|  5.576% 1/25/49  |  | 1641000  | 1471647  |
| Gray Television, Inc. 4.75% 10/15/30 (b) |  | 100000 | 73989 |
| Lagardere S.C.A. 2.125% 10/16/26 (Reg. S)  | EUR | 800000 | 795854 |
| LCPR Senior Secured Financing DAC 5.125% 7/15/29 (b) |  | 200000 | 165147 |
| Magallanes, Inc.: |  |  |  |
|  3.428% 3/15/24 (b) |  | 3519000  | 3416800  |
|  3.638% 3/15/25 (b) |  | 2033000  | 1941192  |
|  3.755% 3/15/27 (b) |  | 3520000  | 3207716  |
|  4.054% 3/15/29 (b) |  | 1378000  | 1206756  |
|  4.279% 3/15/32 (b) |  | 3731000  | 3167616  |
|  5.05% 3/15/42 (b) |  | 12171000  | 9743472  |
|  5.141% 3/15/52 (b) |  | 19894000  | 15415085  |
|  5.391% 3/15/62 (b) |  | 580000  | 448798  |
| Paramount Global: |  |  |  |
|  4.2% 5/19/32  |  | 650000  | 539308  |
|  4.6% 1/15/45  |  | 5565000  | 4001359  |
| Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (b) |  | 345000 | 282107 |
| SES Global Americas Holdings GP 5.3% 3/25/44 (b) |  | 2000000 | 1561497 |
| Sirius XM Radio, Inc.: |  |  |  |
|  3.875% 9/1/31 (b) |  | 370000  | 302475  |
|  5.5% 7/1/29 (b) |  | 1000000  | 931100  |
| TEGNA, Inc. 4.75% 3/15/26 (b) |  | 225000 | 219925 |
| Time Warner Cable LLC: |  |  |  |
|  5.5% 9/1/41  |  | 8936000  | 7606817  |
|  5.875% 11/15/40  |  | 7708000  | 6831789  |
|  6.55% 5/1/37  |  | 8522000  | 8167972  |
|  7.3% 7/1/38  |  | 6393000  | 6537442  |
| Virgin Media Secured Finance PLC: |  |  |  |
|  4.25% 1/15/30 (Reg. S)  | GBP | 1500000  | 1443136  |
|  5.5% 5/15/29 (b) |  | 175000  | 159688  |
| VZ Secured Financing BV 5% 1/15/32 (b) |  | 565000 | 467538 |
| Ziggo BV: |  |  |  |
|  2.875% 1/15/30 (Reg. S)  | EUR | 1100000  | 948065  |
|  4.875% 1/15/30 (b) |  | 115000  | 97750  |
|  |  |  | 188523226 |
| Wireless Telecommunication Services - 0.2% |  |  |  |
| Digicel International Finance Ltd. / Digicel International Holdings Ltd.: |  |  |  |
|  8% 12/31/26 (b) |  | 2650000  | 1338250  |
|  8.75% 5/25/24 (b) |  | 300000  | 261000  |
|  8.75% 5/25/24 (b) |  | 400000  | 349500  |
|  13% 12/31/25 pay-in-kind (b)(c) |  | 2217435  | 1396984  |
| Intelsat Jackson Holdings SA: |  |  |  |
|  5.5% 8/1/23 (d)(e) |  | 2500000  | 0  |
|  9.75% 7/15/25 (b)(d)(e) |  | 5500000  | 1  |
| Millicom International Cellular SA: |  |  |  |
|  4.5% 4/27/31 (b) |  | 200000  | 163575  |
|  5.125% 1/15/28 (b) |  | 346500  | 312716  |
| Rogers Communications, Inc.: |  |  |  |
|  3.2% 3/15/27 (b) |  | 4297000  | 4009670  |
|  3.8% 3/15/32 (b) |  | 3750000  | 3319841  |
| Sprint Corp.: |  |  |  |
|  7.125% 6/15/24  |  | 2950000  | 3012490  |
|  7.875% 9/15/23  |  | 3220000  | 3289681  |
| T-Mobile U.S.A., Inc.: |  |  |  |
|  2.05% 2/15/28  |  | 1450000  | 1251914  |
|  2.25% 2/15/26  |  | 3450000  | 3138711  |
|  2.25% 11/15/31  |  | 3015000  | 2399979  |
|  2.625% 4/15/26  |  | 220000  | 201740  |
|  2.625% 2/15/29  |  | 275000  | 233996  |
|  3% 2/15/41  |  | 3775000  | 2745652  |
|  3.3% 2/15/51  |  | 2935000  | 2037851  |
|  3.375% 4/15/29  |  | 3030000  | 2676708  |
|  3.75% 4/15/27  |  | 8375000  | 7933281  |
|  3.875% 4/15/30  |  | 36607000  | 33621156  |
|  4.375% 4/15/40  |  | 200000  | 173960  |
|  4.5% 4/15/50  |  | 3381000  | 2855870  |
| Vodafone Group PLC: |  |  |  |
|  4.25% 9/17/50  |  | 3525000  | 2781980  |
|  4.875% 10/3/78 (Reg. S) (c) | GBP | 600000  | 679761  |
|  5.25% 5/30/48  |  | 3350000  | 3008519  |
|  6.25% 10/3/78 (Reg. S) (c) |  | 805000  | 774813  |
|  |  |  | 83969599 |
| TOTAL COMMUNICATION SERVICES |  |  | 393972507 |
| CONSUMER DISCRETIONARY - 0.5%  |  |  |  |
| Auto Components - 0.0% |  |  |  |
| Adient Global Holdings Ltd. 4.875% 8/15/26 (b) |  | 2000000 | 1842200 |
| Aptiv PLC / Aptiv Corp. 3.25% 3/1/32  |  | 1115000 | 937938 |
| Dana, Inc.: |  |  |  |
|  4.5% 2/15/32  |  | 115000  | 90059  |
|  5.625% 6/15/28  |  | 400000  | 368000  |
| Patrick Industries, Inc. 4.75% 5/1/29 (b) |  | 110000 | 86350 |
| Valeo SA 1% 8/3/28 (Reg. S)  | EUR | 600000 | 490823 |
| ZF Finance GmbH 2% 5/6/27 (Reg. S)  | EUR | 800000 | 706567 |
|  |  |  | 4521937 |
| Automobiles - 0.1% |  |  |  |
| Ford Motor Co.: |  |  |  |
|  3.25% 2/12/32  |  | 1675000  | 1329872  |
|  4.75% 1/15/43  |  | 2000000  | 1479880  |
|  5.291% 12/8/46  |  | 1925000  | 1520808  |
|  6.1% 8/19/32  |  | 6525000  | 6262541  |
| General Motors Co.: |  |  |  |
|  6.25% 10/2/43  |  | 8870000  | 8545718  |
|  6.6% 4/1/36  |  | 775000  | 782910  |
|  6.75% 4/1/46  |  | 1775000  | 1775508  |
| General Motors Financial Co., Inc.: |  |  |  |
|  2.4% 4/10/28  |  | 1895000  | 1599573  |
|  3.7% 5/9/23  |  | 11800000  | 11725100  |
|  4% 1/15/25  |  | 5695000  | 5541948  |
|  4.25% 5/15/23  |  | 1875000  | 1868263  |
| Thor Industries, Inc. 4% 10/15/29 (b) |  | 150000 | 119229 |
|  |  |  | 42551350 |
| Diversified Consumer Services - 0.1% |  |  |  |
| Adtalem Global Education, Inc. 5.5% 3/1/28 (b) |  | 639000 | 594270 |
| California Institute of Technology 3.65% 9/1/19  |  | 535000 | 351252 |
| ERAC U.S.A. Finance LLC 3.3% 12/1/26 (b) |  | 8865000 | 8212797 |
| Massachusetts Institute of Technology: |  |  |  |
|  2.989% 7/1/50  |  | 1340000  | 987097  |
|  5.6% 7/1/11  |  | 400000  | 429727  |
| President and Fellows of Harvard College: |  |  |  |
|  3.15% 7/15/46  |  | 315000  | 243284  |
|  3.3% 7/15/56  |  | 190000  | 141128  |
|  3.745% 11/15/52  |  | 720000  | 607600  |
| Service Corp. International 5.125% 6/1/29  |  | 270000 | 255740 |
| Thomas Jefferson University 3.847% 11/1/57  |  | 2575000 | 1876530 |
| Trustees of Boston University 4.061% 10/1/48  |  | 450000 | 373327 |
| University of Pennsylvania Trustees: |  |  |  |
|  2.396% 10/1/50  |  | 495000  | 316512  |
|  3.61% 2/15/2119  |  | 285000  | 190774  |
| University of Southern California 3.841% 10/1/47  |  | 715000 | 601088 |
| WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) |  | 325000 | 304629 |
| Washington University: |  |  |  |
|  3.524% 4/15/54  |  | 2630000  | 2148640  |
|  4.349% 4/15/22  |  | 2340000  | 1835469  |
| Yale University 2.402% 4/15/50  |  | 2140000 | 1386737 |
|  |  |  | 20856601 |
| Hotels, Restaurants & Leisure - 0.1% |  |  |  |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.: |  |  |  |
|  4% 10/15/30 (b) |  | 4925000  | 4147638  |
|  4.375% 1/15/28 (b) |  | 280000  | 254769  |
|  5.75% 4/15/25 (b) |  | 90000  | 90225  |
| Aramark Services, Inc. 5% 2/1/28 (b) |  | 1990000 | 1860988 |
| Brinker International, Inc. 3.875% 5/15/23  |  | 1066000 | 1052675 |
| Caesars Entertainment, Inc.: |  |  |  |
|  4.625% 10/15/29 (b) |  | 1600000  | 1340000  |
|  6.25% 7/1/25 (b) |  | 380000  | 375555  |
| Carnival Corp.: |  |  |  |
|  4% 8/1/28 (b) |  | 225000  | 186750  |
|  7.625% 3/1/26 (b) |  | 1050000  | 884625  |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.: |  |  |  |
|  4.625% 1/15/29 (b) |  | 1500000  | 1324350  |
|  6.75% 1/15/30 (b) |  | 325000  | 273748  |
| Garden SpinCo Corp. 8.625% 7/20/30 (b) |  | 45000 | 47774 |
| Golden Entertainment, Inc. 7.625% 4/15/26 (b) |  | 1200000 | 1188000 |
| Hilton Domestic Operating Co., Inc.: |  |  |  |
|  3.625% 2/15/32 (b) |  | 325000  | 267576  |
|  3.75% 5/1/29 (b) |  | 255000  | 226290  |
|  4% 5/1/31 (b) |  | 970000  | 815931  |
| Hyatt Hotels Corp. 1.8% 10/1/24  |  | 3020000 | 2829773 |
| InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S)  | GBP | 1305000 | 1367223 |
| International Game Technology PLC: |  |  |  |
|  6.25% 1/15/27 (b) |  | 200000  | 198750  |
|  6.5% 2/15/25 (b) |  | 600000  | 603086  |
| Marriott International, Inc.: |  |  |  |
|  3.125% 6/15/26  |  | 1290000  | 1207352  |
|  3.6% 4/15/24  |  | 1310000  | 1285335  |
| McDonald's Corp. 4.7% 12/9/35  |  | 1865000 | 1807211 |
| MGM Resorts International: |  |  |  |
|  4.625% 9/1/26  |  | 500000  | 461279  |
|  6.75% 5/1/25  |  | 100000  | 99523  |
| NCL Corp. Ltd. 5.875% 2/15/27 (b) |  | 155000 | 138001 |
| NCL Finance Ltd. 6.125% 3/15/28 (b) |  | 40000 | 30827 |
| Papa John's International, Inc. 3.875% 9/15/29 (b) |  | 1650000 | 1378486 |
| Premier Entertainment Sub LLC 5.875% 9/1/31 (b) |  | 1325000 | 1009491 |
| Royal Caribbean Cruises Ltd.: |  |  |  |
|  5.375% 7/15/27 (b) |  | 100000  | 82860  |
|  5.5% 8/31/26 (b) |  | 280000  | 242900  |
| Whitbread PLC: |  |  |  |
|  2.375% 5/31/27 (Reg. S)  | GBP | 1320000  | 1342023  |
|  3.375% 10/16/25 (Reg. S)  | GBP | 1870000  | 2086674  |
| Yum! Brands, Inc. 3.625% 3/15/31  |  | 145000 | 120894 |
|  |  |  | 30628582 |
| Household Durables - 0.1% |  |  |  |
| Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (b) |  | 500000 | 394015 |
| Century Communities, Inc.: |  |  |  |
|  3.875% 8/15/29 (b) |  | 135000  | 108945  |
|  6.75% 6/1/27  |  | 275000  | 266676  |
| Lennar Corp.: |  |  |  |
|  4.75% 11/29/27  |  | 9350000  | 8950173  |
|  5% 6/15/27  |  | 12100000  | 11861756  |
|  5.25% 6/1/26  |  | 2920000  | 2886053  |
| Newell Brands, Inc. 5.625% 4/1/36 (f) |  | 30000 | 25679 |
| SWF Escrow Issuer Corp. 6.5% 10/1/29 (b) |  | 850000 | 500438 |
| Tempur Sealy International, Inc.: |  |  |  |
|  3.875% 10/15/31 (b) |  | 120000  | 93157  |
|  4% 4/15/29 (b) |  | 875000  | 725439  |
| The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)  | GBP | 1015000 | 815659 |
| Toll Brothers Finance Corp.: |  |  |  |
|  4.35% 2/15/28  |  | 29675000  | 26740469  |
|  4.375% 4/15/23  |  | 5000000  | 4973523  |
|  4.875% 11/15/25  |  | 35000  | 33609  |
|  4.875% 3/15/27  |  | 7917000  | 7417755  |
| TopBuild Corp. 4.125% 2/15/32 (b) |  | 815000 | 652243 |
|  |  |  | 66445589 |
| Internet & Direct Marketing Retail - 0.0% |  |  |  |
| Match Group Holdings II LLC: |  |  |  |
|  3.625% 10/1/31 (b) |  | 170000  | 129909  |
|  4.125% 8/1/30 (b) |  | 70000  | 58450  |
|  |  |  | 188359 |
| Leisure Products - 0.0% |  |  |  |
| Hasbro, Inc. 3% 11/19/24  |  | 5655000 | 5410966 |
| Multiline Retail - 0.0% |  |  |  |
| John Lewis PLC 6.125% 1/21/25  | GBP | 1616000 | 1868756 |
| Marks & Spencer PLC 4.5% 7/10/27 (Reg. S)  | GBP | 1500000 | 1557756 |
|  |  |  | 3426512 |
| Specialty Retail - 0.1% |  |  |  |
| Asbury Automotive Group, Inc.: |  |  |  |
|  4.625% 11/15/29 (b) |  | 75000  | 65438  |
|  5% 2/15/32 (b) |  | 80000  | 67591  |
| AutoNation, Inc. 4.75% 6/1/30  |  | 953000 | 858181 |
| AutoZone, Inc.: |  |  |  |
|  1.65% 1/15/31  |  | 505000  | 391781  |
|  3.75% 4/18/29  |  | 1400000  | 1297333  |
|  4% 4/15/30  |  | 6924000  | 6474724  |
| Bath & Body Works, Inc. 6.625% 10/1/30 (b) |  | 345000 | 322982 |
| Foot Locker, Inc. 4% 10/1/29 (b) |  | 60000 | 49474 |
| Gap, Inc. 3.875% 10/1/31 (b) |  | 1490000 | 1124950 |
| LCM Investments Holdings 4.875% 5/1/29 (b) |  | 50000 | 41805 |
| Lowe's Companies, Inc.: |  |  |  |
|  3.35% 4/1/27  |  | 619000  | 587410  |
|  3.75% 4/1/32  |  | 1904000  | 1734375  |
|  4.25% 4/1/52  |  | 6910000  | 5640326  |
|  4.45% 4/1/62  |  | 6910000  | 5585496  |
| Michaels Companies, Inc.: |  |  |  |
|  5.25% 5/1/28 (b) |  | 110000  | 80568  |
|  7.875% 5/1/29 (b) |  | 1000000  | 591250  |
| O'Reilly Automotive, Inc.: |  |  |  |
|  1.75% 3/15/31  |  | 770000  | 597652  |
|  3.9% 6/1/29  |  | 500000  | 467766  |
|  4.7% 6/15/32  |  | 1065000  | 1040052  |
| Rent-A-Center, Inc. 6.375% 2/15/29 (b) |  | 325000 | 267313 |
| The Home Depot, Inc.: |  |  |  |
|  4.875% 2/15/44  |  | 1150000  | 1115804  |
|  5.875% 12/16/36  |  | 300000  | 325999  |
| VIA Outlets 1.75% 11/15/28 (Reg. S)  | EUR | 700000 | 559952 |
|  |  |  | 29288222 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |  |
| Crocs, Inc. 4.125% 8/15/31 (b) |  | 120000 | 95887 |
| Kontoor Brands, Inc. 4.125% 11/15/29 (b) |  | 40000 | 32572 |
| Levi Strauss & Co. 3.5% 3/1/31 (b) |  | 170000 | 139470 |
| Tapestry, Inc. 3.05% 3/15/32  |  | 14311000 | 11073692 |
| The William Carter Co. 5.625% 3/15/27 (b) |  | 875000 | 839119 |
| Wolverine World Wide, Inc. 4% 8/15/29 (b) |  | 170000 | 125800 |
|  |  |  | 12306540 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 215624658 |
| CONSUMER STAPLES - 0.6%  |  |  |  |
| Beverages - 0.2% |  |  |  |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.: |  |  |  |
|  4.7% 2/1/36  |  | 3765000  | 3612497  |
|  4.9% 2/1/46  |  | 15510000  | 14509345  |
| Anheuser-Busch InBev Finance, Inc.: |  |  |  |
|  4.7% 2/1/36  |  | 9871000  | 9471172  |
|  4.9% 2/1/46  |  | 12306000  | 11512057  |
| Anheuser-Busch InBev Worldwide, Inc.: |  |  |  |
|  3.5% 6/1/30  |  | 8175000  | 7549709  |
|  4.35% 6/1/40  |  | 4618000  | 4168626  |
|  4.375% 4/15/38  |  | 1140000  | 1043753  |
|  4.5% 6/1/50  |  | 8175000  | 7391143  |
|  4.6% 6/1/60  |  | 5007000  | 4508590  |
|  4.75% 1/23/29  |  | 1690000  | 1688965  |
|  5.45% 1/23/39  |  | 5390000  | 5510584  |
|  5.55% 1/23/49  |  | 14852000  | 15205877  |
|  5.8% 1/23/59 (Reg. S)  |  | 6509000  | 6899087  |
| Bacardi Ltd. 4.7% 5/15/28 (b) |  | 343000 | 326756 |
| Constellation Brands, Inc.: |  |  |  |
|  2.25% 8/1/31  |  | 1285000  | 1028224  |
|  3.7% 12/6/26  |  | 1200000  | 1150595  |
|  4.4% 11/15/25  |  | 805000  | 795992  |
|  4.75% 11/15/24  |  | 5595000  | 5562691  |
| PepsiCo, Inc. 2.625% 3/19/27  |  | 839000 | 781636 |
| Primo Water Holdings, Inc. 4.375% 4/30/29 (b) |  | 220000 | 190115 |
|  |  |  | 102907414 |
| Food & Staples Retailing - 0.1% |  |  |  |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: |  |  |  |
|  3.5% 3/15/29 (b) |  | 645000  | 537300  |
|  4.875% 2/15/30 (b) |  | 615000  | 548728  |
| Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b) |  | 1800000 | 1534001 |
| Bellis Acquisition Co. PLC 4.5% 2/16/26 (b) | GBP | 975000 | 982380 |
| Bellis Finco PLC 4% 2/16/27 (b) | GBP | 9000000 | 7668138 |
| C&S Group Enterprises LLC 5% 12/15/28 (b) |  | 2000000 | 1485029 |
| Kroger Co. 2.65% 10/15/26  |  | 430000 | 395634 |
| Market Bidco Finco PLC 5.5% 11/4/27 (b) | GBP | 5300000 | 4852639 |
| U.S. Foods, Inc.: |  |  |  |
|  4.625% 6/1/30 (b) |  | 55000  | 48808  |
|  6.25% 4/15/25 (b) |  | 185000  | 186728  |
|  |  |  | 18239385 |
| Food Products - 0.2% |  |  |  |
| Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (b) |  | 1600000 | 1409733 |
| Darling Ingredients, Inc.: |  |  |  |
|  5.25% 4/15/27 (b) |  | 300000  | 290355  |
|  6% 6/15/30 (b) |  | 65000  | 63387  |
| Hormel Foods Corp. 0.65% 6/3/24  |  | 895000 | 841670 |
| JBS U.S.A. Lux SA / JBS Food Co.: |  |  |  |
|  2.5% 1/15/27 (b) |  | 6705000  | 5844212  |
|  3% 2/2/29 (b) |  | 390000  | 327141  |
|  3% 5/15/32 (b) |  | 6735000  | 5278590  |
|  3.625% 1/15/32 (b) |  | 1194000  | 985050  |
|  3.75% 12/1/31 (b) |  | 1040000  | 860621  |
|  4.375% 2/2/52 (b) |  | 1620000  | 1177675  |
|  5.125% 2/1/28 (b) |  | 8005000  | 7633430  |
|  5.5% 1/15/30 (b) |  | 16270000  | 15605533  |
|  5.75% 4/1/33 (b) |  | 5185000  | 5022865  |
|  6.5% 12/1/52 (b) |  | 5490000  | 5297850  |
| JDE Peet's BV 2.25% 9/24/31 (b) |  | 1400000 | 1048877 |
| Kraft Heinz Foods Co.: |  |  |  |
|  3.75% 4/1/30  |  | 4653000  | 4298365  |
|  4.375% 6/1/46  |  | 8790000  | 7408758  |
|  4.875% 10/1/49  |  | 250000  | 224082  |
|  5.2% 7/15/45  |  | 4602000  | 4351066  |
|  7.125% 8/1/39 (b) |  | 9093000  | 10153087  |
| Lamb Weston Holdings, Inc.: |  |  |  |
|  4.125% 1/31/30 (b) |  | 525000  | 464300  |
|  4.375% 1/31/32 (b) |  | 900000  | 796608  |
|  4.875% 5/15/28 (b) |  | 345000  | 325200  |
| Pilgrim's Pride Corp.: |  |  |  |
|  3.5% 3/1/32 (b) |  | 3000000  | 2414730  |
|  4.25% 4/15/31 (b) |  | 2825000  | 2448230  |
|  5.875% 9/30/27 (b) |  | 1513000  | 1495147  |
| Post Holdings, Inc.: |  |  |  |
|  4.625% 4/15/30 (b) |  | 530000  | 464996  |
|  5.5% 12/15/29 (b) |  | 1270000  | 1166451  |
| Simmons Foods, Inc. 4.625% 3/1/29 (b) |  | 1900000 | 1572250 |
| TreeHouse Foods, Inc. 4% 9/1/28  |  | 505000 | 430245 |
| Tyson Foods, Inc. 4% 3/1/26  |  | 2520000 | 2454880 |
|  |  |  | 92155384 |
| Household Products - 0.0% |  |  |  |
| Central Garden & Pet Co. 4.125% 4/30/31 (b) |  | 600000 | 495390 |
| Spectrum Brands Holdings, Inc. 5.5% 7/15/30 (b) |  | 1000000 | 856380 |
| The Clorox Co. 4.6% 5/1/32  |  | 3115000 | 3028496 |
|  |  |  | 4380266 |
| Personal Products - 0.0% |  |  |  |
| BellRing Brands, Inc. 7% 3/15/30 (b) |  | 110000 | 106270 |
| GSK Consumer Healthcare Capital 2.125% 3/29/34 (Reg. S)  | EUR | 700000 | 621428 |
|  |  |  | 727698 |
| Tobacco - 0.1% |  |  |  |
| Altria Group, Inc.: |  |  |  |
|  2.45% 2/4/32  |  | 6000000  | 4548744  |
|  3.4% 2/4/41  |  | 5970000  | 4063169  |
|  4.25% 8/9/42  |  | 490000  | 365356  |
| BAT Capital Corp.: |  |  |  |
|  3.557% 8/15/27  |  | 3260000  | 2973570  |
|  4.39% 8/15/37  |  | 1000000  | 787702  |
|  4.54% 8/15/47  |  | 11635000  | 8441593  |
|  4.7% 4/2/27  |  | 325000  | 313356  |
|  5.65% 3/16/52  |  | 3000000  | 2506792  |
| BAT International Finance PLC: |  |  |  |
|  2.25% 6/26/28 (Reg. S)  | GBP | 2970000  | 2922487  |
|  4.448% 3/16/28  |  | 8700000  | 8102427  |
| Imperial Tobacco Finance PLC: |  |  |  |
|  3.125% 7/26/24 (b) |  | 4250000  | 4053307  |
|  4.25% 7/21/25 (b) |  | 1500000  | 1431816  |
| Philip Morris International, Inc.: |  |  |  |
|  3.875% 8/21/42  |  | 730000  | 548703  |
|  5.625% 11/17/29  |  | 525000  | 533901  |
|  5.75% 11/17/32  |  | 285000  | 293486  |
| Reynolds American, Inc. 5.7% 8/15/35  |  | 635000 | 586223 |
|  |  |  | 42472632 |
| TOTAL CONSUMER STAPLES |  |  | 260882779 |
| ENERGY - 1.0%  |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp. 6.25% 4/1/28 (b) |  | 1000000 | 927500 |
| Halliburton Co.: |  |  |  |
|  4.75% 8/1/43  |  | 460000  | 401938  |
|  6.7% 9/15/38  |  | 170000  | 182661  |
| Precision Drilling Corp. 7.125% 1/15/26 (b) |  | 115000 | 112601 |
| Technip Energies NV 1.125% 5/28/28  | EUR | 1055000 | 888814 |
| Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (b) |  | 1245200 | 1228304 |
| Transocean Poseidon Ltd. 6.875% 2/1/27 (b) |  | 105000 | 102113 |
| Transocean Proteus Ltd. 6.25% 12/1/24 (b) |  | 1800000 | 1764000 |
| Transocean, Inc. 11.5% 1/30/27 (b) |  | 140000 | 141050 |
| U.S.A. Compression Partners LP 6.875% 4/1/26  |  | 551000 | 527583 |
|  |  |  | 6276564 |
| Oil, Gas & Consumable Fuels - 1.0% |  |  |  |
| Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (b) |  | 125000 | 124365 |
| Aker BP ASA: |  |  |  |
|  2.875% 1/15/26 (b) |  | 7120000  | 6605651  |
|  3.1% 7/15/31 (b) |  | 2295000  | 1891186  |
| Antero Midstream Partners LP/Antero Midstream Finance Corp.: |  |  |  |
|  5.75% 3/1/27 (b) |  | 1250000  | 1193635  |
|  7.875% 5/15/26 (b) |  | 1225000  | 1249771  |
| Apache Corp.: |  |  |  |
|  4.25% 1/15/30  |  | 575000  | 516730  |
|  5.25% 2/1/42  |  | 210000  | 170407  |
| Ascent Resources - Utica LLC/ARU Finance Corp. 7% 11/1/26 (b) |  | 1530000 | 1499784 |
| Cenovus Energy, Inc.: |  |  |  |
|  3.75% 2/15/52  |  | 3645000  | 2626175  |
|  5.25% 6/15/37  |  | 3195000  | 2958983  |
| Cheniere Energy Partners LP: |  |  |  |
|  3.25% 1/31/32  |  | 115000  | 93581  |
|  4% 3/1/31  |  | 220000  | 192225  |
| Chesapeake Energy Corp.: |  |  |  |
|  5.5% 2/1/26 (b) |  | 330000  | 318431  |
|  5.875% 2/1/29 (b) |  | 105000  | 100800  |
| CNX Midstream Partners LP 4.75% 4/15/30 (b) |  | 45000 | 37530 |
| Colgate Energy Partners III LLC 5.875% 7/1/29 (b) |  | 60000 | 55200 |
| Columbia Pipeline Group, Inc. 4.5% 6/1/25  |  | 1418000 | 1396481 |
| Comstock Resources, Inc. 6.75% 3/1/29 (b) |  | 130000 | 126965 |
| ConocoPhillips Co. 3.758% 3/15/42  |  | 525000 | 444538 |
| Continental Resources, Inc.: |  |  |  |
|  2.875% 4/1/32 (b) |  | 4430000  | 3340149  |
|  5.75% 1/15/31 (b) |  | 770000  | 720956  |
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 5.75% 4/1/25  |  | 1657000 | 1615370 |
| CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (b) |  | 40000 | 36826 |
| CVR Energy, Inc.: |  |  |  |
|  5.25% 2/15/25 (b) |  | 330000  | 316312  |
|  5.75% 2/15/28 (b) |  | 40000  | 35986  |
| DCP Midstream Operating LP: |  |  |  |
|  3.875% 3/15/23  |  | 17626000  | 17534345  |
|  5.125% 5/15/29  |  | 355000  | 344206  |
|  5.375% 7/15/25  |  | 345000  | 340714  |
|  5.6% 4/1/44  |  | 3773000  | 3548517  |
|  5.625% 7/15/27  |  | 260000  | 258950  |
|  5.85% 5/21/43 (b)(c) |  | 16392000  | 16036330  |
| Devon Energy Corp. 5.6% 7/15/41  |  | 1000000 | 966271 |
| Diamondback Energy, Inc.: |  |  |  |
|  3.125% 3/24/31  |  | 2905000  | 2444670  |
|  3.25% 12/1/26  |  | 4500000  | 4217904  |
|  3.5% 12/1/29  |  | 1705000  | 1517623  |
| Ecopetrol SA: |  |  |  |
|  5.875% 9/18/23  |  | 2218000  | 2190275  |
|  6.875% 4/29/30  |  | 1534000  | 1371396  |
| EG Global Finance PLC: |  |  |  |
|  4.375% 2/7/25 (Reg. S)  | EUR | 4000000  | 3632027  |
|  6.25% 10/30/25 (Reg. S)  | EUR | 5600000  | 5098940  |
|  6.75% 2/7/25 (b) |  | 220000  | 200200  |
|  8.5% 10/30/25 (b) |  | 380000  | 362645  |
| Enbridge, Inc.: |  |  |  |
|  4% 10/1/23  |  | 3799000  | 3756164  |
|  4.25% 12/1/26  |  | 1943000  | 1883878  |
| Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (b) |  | 1455000 | 1432011 |
| Energean Israel Finance Ltd.: |  |  |  |
|  4.5% 3/30/24 (Reg. S) (b) |  | 900000  | 870388  |
|  4.875% 3/30/26 (Reg. S) (b) |  | 1356000  | 1257690  |
|  5.375% 3/30/28 (Reg. S) (b) |  | 1395000  | 1279522  |
| Energy Transfer LP: |  |  |  |
|  3.75% 5/15/30  |  | 2964000  | 2627253  |
|  3.9% 5/15/24 (c) |  | 1210000  | 1182900  |
|  3.9% 7/15/26  |  | 955000  | 901428  |
|  4.2% 9/15/23  |  | 1452000  | 1441395  |
|  4.25% 3/15/23  |  | 1373000  | 1368631  |
|  4.5% 4/15/24  |  | 1723000  | 1701372  |
|  4.75% 1/15/26  |  | 850000  | 834072  |
|  4.95% 6/15/28  |  | 4954000  | 4792186  |
|  5% 5/15/50  |  | 11610000  | 9568380  |
|  5.15% 3/15/45  |  | 2260000  | 1930438  |
|  5.25% 4/15/29  |  | 2803000  | 2726843  |
|  5.3% 4/15/47  |  | 225000  | 191220  |
|  5.35% 5/15/45  |  | 2895000  | 2490330  |
|  5.4% 10/1/47  |  | 10546000  | 9094633  |
|  5.8% 6/15/38  |  | 2762000  | 2561051  |
|  6% 6/15/48  |  | 2369000  | 2175884  |
|  6.125% 12/15/45  |  | 2010000  | 1903674  |
|  6.25% 4/15/49  |  | 3525000  | 3333500  |
|  6.625% 10/15/36  |  | 900000  | 901282  |
| EnLink Midstream LLC 5.625% 1/15/28 (b) |  | 220000 | 214500 |
| Enterprise Products Operating LP: |  |  |  |
|  3.125% 7/31/29  |  | 1080000  | 960736  |
|  4.85% 3/15/44  |  | 2665000  | 2379571  |
| EOG Resources, Inc. 3.9% 4/1/35  |  | 205000 | 185706 |
| EQM Midstream Partners LP: |  |  |  |
|  6.5% 7/1/27 (b) |  | 125000  | 121250  |
|  6.5% 7/15/48  |  | 220000  | 170425  |
|  7.5% 6/1/27 (b) |  | 290000  | 293077  |
|  7.5% 6/1/30 (b) |  | 100000  | 100874  |
| EQT Corp.: |  |  |  |
|  3.9% 10/1/27  |  | 180000  | 166628  |
|  5% 1/15/29  |  | 595000  | 567241  |
| Equinor ASA: |  |  |  |
|  3.7% 4/6/50  |  | 920000  | 750772  |
|  3.95% 5/15/43  |  | 300000  | 257458  |
| Exxon Mobil Corp. 4.114% 3/1/46  |  | 805000 | 700914 |
| Galaxy Pipeline Assets BidCo Ltd.: |  |  |  |
|  2.16% 3/31/34  |  | 739728  | 623221  |
|  2.16% 3/31/34 (b) |  | 522433  | 440150  |
| Global Partners LP/GLP Finance Corp. 7% 8/1/27  |  | 505000 | 478488 |
| Gulfstream Natural Gas System LLC 6.19% 11/1/25 (b) |  | 3640000 | 3670420 |
| Hess Corp.: |  |  |  |
|  4.3% 4/1/27  |  | 1117000  | 1073677  |
|  5.6% 2/15/41  |  | 3986000  | 3841463  |
|  5.8% 4/1/47  |  | 4517000  | 4387708  |
|  7.125% 3/15/33  |  | 1335000  | 1459991  |
|  7.3% 8/15/31  |  | 1849000  | 2032020  |
|  7.875% 10/1/29  |  | 5583000  | 6250335  |
| Hess Midstream Partners LP: |  |  |  |
|  5.125% 6/15/28 (b) |  | 110000  | 103561  |
|  5.5% 10/15/30 (b) |  | 50000  | 45832  |
|  5.625% 2/15/26 (b) |  | 669000  | 657620  |
| Hilcorp Energy I LP/Hilcorp Finance Co.: |  |  |  |
|  6% 4/15/30 (b) |  | 965000  | 887347  |
|  6.25% 4/15/32 (b) |  | 950000  | 871625  |
| Holly Energy Partners LP/Holly Energy Finance Corp.: |  |  |  |
|  5% 2/1/28 (b) |  | 375000  | 341686  |
|  6.375% 4/15/27 (b) |  | 90000  | 88055  |
| KazMunaiGaz National Co.: |  |  |  |
|  3.5% 4/14/33 (b) |  | 1220000  | 900970  |
|  5.375% 4/24/30 (Reg. S)  |  | 200000  | 178875  |
| Kinder Morgan Energy Partners LP 4.15% 2/1/24  |  | 425000 | 419411 |
| Magellan Midstream Partners LP: |  |  |  |
|  4.2% 10/3/47  |  | 795000  | 613358  |
|  4.25% 9/15/46  |  | 190000  | 147126  |
| Marathon Petroleum Corp. 3.8% 4/1/28  |  | 5590000 | 5189879 |
| MEG Energy Corp.: |  |  |  |
|  5.875% 2/1/29 (b) |  | 300000  | 284700  |
|  7.125% 2/1/27 (b) |  | 220000  | 223562  |
| MPLX LP: |  |  |  |
|  2.65% 8/15/30  |  | 1925000  | 1579706  |
|  4.125% 3/1/27  |  | 505000  | 482002  |
|  4.5% 7/15/23  |  | 160000  | 159036  |
|  4.5% 4/15/38  |  | 1125000  | 964807  |
|  4.7% 4/15/48  |  | 2335000  | 1886738  |
|  4.8% 2/15/29  |  | 2965000  | 2853619  |
|  4.875% 12/1/24  |  | 2489000  | 2467523  |
|  4.95% 3/14/52  |  | 545000  | 453403  |
|  5.2% 3/1/47  |  | 3275000  | 2833221  |
|  5.5% 2/15/49  |  | 4516000  | 4057304  |
| New Fortress Energy, Inc.: |  |  |  |
|  6.5% 9/30/26 (b) |  | 535000  | 517053  |
|  6.75% 9/15/25 (b) |  | 540000  | 527434  |
| Occidental Petroleum Corp.: |  |  |  |
|  3.5% 8/15/29  |  | 195000  | 176475  |
|  4.1% 2/15/47  |  | 265000  | 205375  |
|  4.2% 3/15/48  |  | 125000  | 96250  |
|  4.3% 8/15/39  |  | 70000  | 56700  |
|  4.4% 4/15/46  |  | 200000  | 158000  |
|  4.4% 8/15/49  |  | 240000  | 187292  |
|  5.55% 3/15/26  |  | 7558000  | 7558000  |
|  6.2% 3/15/40  |  | 65000  | 63536  |
|  6.45% 9/15/36  |  | 4545000  | 4556363  |
|  6.6% 3/15/46  |  | 6475000  | 6604500  |
|  7.5% 5/1/31  |  | 8596000  | 9326660  |
|  7.875% 9/15/31  |  | 40000  | 43800  |
|  8.875% 7/15/30  |  | 145000  | 166206  |
| ONEOK Partners LP 6.65% 10/1/36  |  | 400000 | 398316 |
| ONEOK, Inc.: |  |  |  |
|  3.1% 3/15/30  |  | 4385000  | 3708635  |
|  4.45% 9/1/49  |  | 8550000  | 6515346  |
|  4.95% 7/13/47  |  | 1165000  | 959060  |
|  5.2% 7/15/48  |  | 1375000  | 1167123  |
| Ovintiv Exploration, Inc. 5.375% 1/1/26  |  | 310000 | 308363 |
| Ovintiv, Inc.: |  |  |  |
|  5.15% 11/15/41  |  | 3000000  | 2713898  |
|  8.125% 9/15/30  |  | 6179000  | 6868330  |
| PBF Holding Co. LLC/PBF Finance Corp. 6% 2/15/28  |  | 190000 | 173424 |
| Petrobras Global Finance BV 6.25% 12/14/26  | GBP | 800000 | 932140 |
| Petroleos Mexicanos: |  |  |  |
|  3.75% 2/21/24 (Reg. S)  | EUR | 2300000  | 2348205  |
|  4.75% 2/26/29 (Reg. S)  | EUR | 3400000  | 2841046  |
|  5.35% 2/12/28  |  | 253000  | 210306  |
|  5.95% 1/28/31  |  | 8480000  | 6341344  |
|  6.5% 3/13/27  |  | 37757000  | 34041711  |
|  6.5% 1/23/29  |  | 1190000  | 997815  |
|  6.75% 9/21/47  |  | 12334000  | 7847508  |
|  6.84% 1/23/30  |  | 9212000  | 7563052  |
|  7.69% 1/23/50  |  | 78965000  | 53751476  |
| Petronas Capital Ltd.: |  |  |  |
|  2.48% 1/28/32 (b) |  | 200000  | 165354  |
|  3.5% 4/21/30 (b) |  | 1700000  | 1561127  |
| Phillips 66 Co.: |  |  |  |
|  2.15% 12/15/30  |  | 925000  | 749577  |
|  3.75% 3/1/28 (b) |  | 595000  | 547058  |
|  4.9% 10/1/46 (b) |  | 750000  | 679722  |
| Pioneer Natural Resources Co.: |  |  |  |
|  1.9% 8/15/30  |  | 1570000  | 1254523  |
|  2.15% 1/15/31  |  | 325000  | 262413  |
| Plains All American Pipeline LP/PAA Finance Corp.: |  |  |  |
|  3.55% 12/15/29  |  | 3784000  | 3297588  |
|  3.6% 11/1/24  |  | 1877000  | 1810641  |
| PT Pertamina Persero 3.1% 8/27/30 (b) |  | 600000 | 516066 |
| Qatar Petroleum: |  |  |  |
|  1.375% 9/12/26 (b) |  | 1000000  | 884960  |
|  2.25% 7/12/31 (Reg. S)  |  | 620000  | 515375  |
|  3.125% 7/12/41 (b) |  | 1145000  | 866121  |
| Rockies Express Pipeline LLC: |  |  |  |
|  4.8% 5/15/30 (b) |  | 1331000  | 1132056  |
|  4.95% 7/15/29 (b) |  | 2375000  | 2135631  |
| SA Global Sukuk Ltd. 1.602% 6/17/26 (Reg. S)  |  | 200000 | 179000 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/30  |  | 12588000 | 11894118 |
| Santos Finance Ltd. 3.649% 4/29/31 (b) |  | 4800000 | 3831536 |
| Saudi Arabian Oil Co. 1.625% 11/24/25 (Reg. S)  |  | 800000 | 730000 |
| Schlumberger Investment SA 3.65% 12/1/23  |  | 210000 | 207347 |
| Shell International Finance BV 3.25% 5/11/25  |  | 1465000 | 1423539 |
| SM Energy Co. 6.625% 1/15/27  |  | 300000 | 294000 |
| Spectra Energy Partners LP 4.75% 3/15/24  |  | 6000000 | 5966948 |
| Suncor Energy, Inc.: |  |  |  |
|  3.75% 3/4/51  |  | 695000  | 513758  |
|  6.8% 5/15/38  |  | 350000  | 373279  |
| Sunoco LP/Sunoco Finance Corp.: |  |  |  |
|  4.5% 5/15/29  |  | 255000  | 220801  |
|  5.875% 3/15/28  |  | 55000  | 52385  |
|  6% 4/15/27  |  | 420000  | 414072  |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: |  |  |  |
|  6% 12/31/30 (b) |  | 2450000  | 2217226  |
|  6% 9/1/31 (b) |  | 225000  | 200531  |
| Targa Resources Corp. 4.2% 2/1/33  |  | 1175000 | 1027514 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.5% 3/1/30  |  | 55000 | 52586 |
| The Williams Companies, Inc.: |  |  |  |
|  3.5% 11/15/30  |  | 10592000  | 9373034  |
|  3.75% 6/15/27  |  | 1635000  | 1546563  |
|  4.65% 8/15/32  |  | 6660000  | 6308619  |
|  4.85% 3/1/48  |  | 100000  | 87484  |
|  4.9% 1/15/45  |  | 1110000  | 965166  |
|  5.3% 8/15/52  |  | 1511000  | 1387942  |
| Total Capital International SA 2.829% 1/10/30  |  | 800000 | 713383 |
| Transcontinental Gas Pipe Line Co. LLC: |  |  |  |
|  3.25% 5/15/30  |  | 3185000  | 2797638  |
|  4.6% 3/15/48  |  | 350000  | 298666  |
| TransMontaigne Partners LP 6.125% 2/15/26  |  | 1158000 | 1003393 |
| Var Energi ASA 5% 5/18/27 (b) |  | 5410000 | 5093400 |
| Venture Global Calcasieu Pass LLC: |  |  |  |
|  3.875% 8/15/29 (b) |  | 340000  | 293675  |
|  3.875% 11/1/33 (b) |  | 115000  | 93523  |
|  4.125% 8/15/31 (b) |  | 285000  | 245813  |
| Western Gas Partners LP: |  |  |  |
|  3.95% 6/1/25  |  | 1126000  | 1078145  |
|  4.3% 2/1/30  |  | 785000  | 699506  |
|  4.65% 7/1/26  |  | 2085000  | 2027735  |
|  4.75% 8/15/28  |  | 1465000  | 1355125  |
|  |  |  | 461033170 |
| TOTAL ENERGY |  |  | 467309734 |
| FINANCIALS - 3.7%  |  |  |  |
| Banks - 1.8% |  |  |  |
| ABN AMRO Bank NV 2.47% 12/13/29 (b)(c) |  | 3000000 | 2431843 |
| AIB Group PLC: |  |  |  |
|  1.875% 11/19/29 (Reg. S) (c) | EUR | 1510000  | 1430831  |
|  2.25% 4/4/28 (Reg. S) (c) | EUR | 1900000  | 1772000  |
|  2.875% 5/30/31 (Reg. S) (c) | EUR | 400000  | 371677  |
| Alpha Bank SA 4.25% 2/13/30 (Reg. S) (c) | EUR | 390000 | 329668 |
| Banco Santander SA 3.49% 5/28/30  |  | 1000000 | 840480 |
| Bank of America Corp.: |  |  |  |
|  3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (c)(g) |  | 1554000  | 1440075  |
|  1.658% 3/11/27 (c) |  | 8135000  | 7208404  |
|  1.734% 7/22/27 (c) |  | 13095000  | 11474166  |
|  1.922% 10/24/31 (c) |  | 5730000  | 4438207  |
|  2.087% 6/14/29 (c) |  | 7865000  | 6638770  |
|  2.496% 2/13/31 (c) |  | 13380000  | 11007757  |
|  2.572% 10/20/32 (c) |  | 8260000  | 6577038  |
|  2.592% 4/29/31 (c) |  | 2295000  | 1893948  |
|  2.651% 3/11/32 (c) |  | 16000000  | 12979715  |
|  2.676% 6/19/41 (c) |  | 3550000  | 2476456  |
|  2.687% 4/22/32 (c) |  | 4930000  | 3993987  |
|  3.004% 12/20/23 (c) |  | 3865000  | 3860473  |
|  3.093% 10/1/25 (c) |  | 746000  | 711795  |
|  3.3% 1/11/23  |  | 3572000  | 3566065  |
|  3.419% 12/20/28 (c) |  | 8640000  | 7878412  |
|  3.5% 4/19/26  |  | 5358000  | 5137419  |
|  3.95% 4/21/25  |  | 12493000  | 12209617  |
|  3.97% 3/5/29 (c) |  | 10565000  | 9813768  |
|  4% 1/22/25  |  | 43905000  | 43044966  |
|  4.078% 4/23/40 (c) |  | 7865000  | 6659641  |
|  4.1% 7/24/23  |  | 13989000  | 13932565  |
|  4.2% 8/26/24  |  | 2028000  | 1999582  |
|  4.25% 10/22/26  |  | 10727000  | 10503362  |
|  4.271% 7/23/29 (c) |  | 3660000  | 3445308  |
|  4.45% 3/3/26  |  | 2065000  | 2031043  |
| Bank of Ireland Group PLC: |  |  |  |
|  1.375% 8/11/31 (Reg. S) (c) | EUR | 2365000  | 2070465  |
|  2.029% 9/30/27 (b)(c) |  | 1400000  | 1160978  |
| Barclays PLC: |  |  |  |
|  2.645% 6/24/31 (c) |  | 2615000  | 2031196  |
|  2.667% 3/10/32 (c) |  | 10165000  | 7764292  |
|  2.852% 5/7/26 (c) |  | 10143000  | 9351994  |
|  4.836% 5/9/28  |  | 6667000  | 6112585  |
|  4.95% 1/10/47  |  | 1435000  | 1215951  |
|  4.972% 5/16/29 (c) |  | 15000000  | 14069783  |
|  5.088% 6/20/30 (c) |  | 13438000  | 12103713  |
|  5.2% 5/12/26  |  | 1701000  | 1649272  |
|  5.262% 1/29/34 (Reg. S) (c) | EUR | 280000  | 295320  |
|  5.501% 8/9/28 (c) |  | 445000  | 430902  |
|  5.746% 8/9/33 (c) |  | 326000  | 312260  |
|  7.437% 11/2/33 (c) |  | 300000  | 317788  |
|  8.407% 11/14/32 (Reg. S) (c) | GBP | 400000  | 498886  |
| BNP Paribas SA: |  |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(c)(g) |  | 9875000  | 8577389  |
|  2.159% 9/15/29 (b)(c) |  | 1870000  | 1516945  |
|  2.219% 6/9/26 (b)(c) |  | 9163000  | 8415015  |
|  2.5% 3/31/32 (Reg. S) (c) | EUR | 1400000  | 1305285  |
|  3.132% 1/20/33 (b)(c) |  | 3670000  | 2917002  |
| BPCE SA 1.5% 1/13/42 (Reg. S) (c) | EUR | 1200000 | 1067156 |
| Citigroup, Inc.: |  |  |  |
|  3 month U.S. LIBOR + 1.150% 3.52% 10/27/28 (c)(g) |  | 4710000  | 4309412  |
|  0.981% 5/1/25 (c) |  | 600000  | 559738  |
|  1.462% 6/9/27 (c) |  | 6780000  | 5901874  |
|  2.52% 11/3/32 (c) |  | 650000  | 510759  |
|  2.561% 5/1/32 (c) |  | 5075000  | 4058774  |
|  2.572% 6/3/31 (c) |  | 6905000  | 5658960  |
|  2.666% 1/29/31 (c) |  | 19195000  | 15933399  |
|  2.904% 11/3/42 (c) |  | 470000  | 329920  |
|  2.976% 11/5/30 (c) |  | 240000  | 204651  |
|  3.057% 1/25/33 (c) |  | 1799000  | 1478698  |
|  3.07% 2/24/28 (c) |  | 1565000  | 1422020  |
|  4.075% 4/23/29 (c) |  | 22280000  | 20815044  |
|  4.3% 11/20/26  |  | 2129000  | 2076850  |
|  4.4% 6/10/25  |  | 17376000  | 17088838  |
|  4.412% 3/31/31 (c) |  | 13726000  | 12758411  |
|  4.45% 9/29/27  |  | 4630000  | 4459341  |
|  4.6% 3/9/26  |  | 3500000  | 3450648  |
|  4.65% 7/30/45  |  | 350000  | 310370  |
|  4.75% 5/18/46  |  | 10000000  | 8529935  |
|  5.5% 9/13/25  |  | 8267000  | 8390232  |
|  6.27% 11/17/33 (c) |  | 5720000  | 6028261  |
| Citizens Financial Group, Inc. 2.638% 9/30/32  |  | 9574000 | 7155417 |
| Commerzbank AG 8.625% 2/28/33 (Reg. S) (c) | GBP | 100000 | 121683 |
| Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) |  | 3419000 | 2808109 |
| Credit Agricole SA 1.25% 10/2/24 (Reg. S)  | GBP | 300000 | 339009 |
| Danske Bank A/S 2.25% 1/14/28 (Reg. S) (c) | GBP | 980000 | 1009321 |
| DNB Bank ASA 1.605% 3/30/28 (b)(c) |  | 4905000 | 4170438 |
| First Citizens Bank & Trust Co.: |  |  |  |
|  3.929% 6/19/24 (c) |  | 1375000  | 1357059  |
|  6.125% 3/9/28  |  | 4840000  | 4964699  |
| HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b) |  | 145000 | 126122 |
| HSBC Holdings PLC: |  |  |  |
|  0.976% 5/24/25 (c) |  | 835000  | 768113  |
|  1.589% 5/24/27 (c) |  | 675000  | 578343  |
|  2.013% 9/22/28 (c) |  | 5985000  | 4966879  |
|  2.099% 6/4/26 (c) |  | 2295000  | 2080548  |
|  2.206% 8/17/29 (c) |  | 6795000  | 5491320  |
|  2.357% 8/18/31 (c) |  | 818000  | 624178  |
|  2.633% 11/7/25 (c) |  | 3000000  | 2789161  |
|  2.804% 5/24/32 (c) |  | 1665000  | 1293334  |
|  4.041% 3/13/28 (c) |  | 3380000  | 3097607  |
|  4.25% 3/14/24  |  | 1872000  | 1840991  |
|  4.755% 6/9/28 (c) |  | 2825000  | 2678852  |
|  4.95% 3/31/30  |  | 1855000  | 1777794  |
|  5.402% 8/11/33 (c) |  | 2388000  | 2235829  |
|  7.39% 11/3/28 (c) |  | 500000  | 524371  |
|  8.201% 11/16/34 (Reg. S) (c) | GBP | 550000  | 689542  |
| ING Groep NV 1.726% 4/1/27 (c) |  | 5935000 | 5238726 |
| Intesa Sanpaolo SpA: |  |  |  |
|  5.017% 6/26/24 (b) |  | 31005000  | 29854206  |
|  5.71% 1/15/26 (b) |  | 10048000  | 9707848  |
| Japan Bank International Cooperation 3.25% 7/20/23  |  | 400000 | 395468 |
| JPMorgan Chase & Co.: |  |  |  |
|  1.47% 9/22/27 (c) |  | 4565000  | 3962471  |
|  1.578% 4/22/27 (c) |  | 3395000  | 2997452  |
|  1.764% 11/19/31 (c) |  | 7517000  | 5786051  |
|  1.953% 2/4/32 (c) |  | 503000  | 391250  |
|  2.005% 3/13/26 (c) |  | 7285000  | 6769584  |
|  2.522% 4/22/31 (c) |  | 4025000  | 3328875  |
|  2.525% 11/19/41 (c) |  | 22775000  | 15554596  |
|  2.545% 11/8/32 (c) |  | 4835000  | 3869676  |
|  2.58% 4/22/32 (c) |  | 9884000  | 8010791  |
|  2.739% 10/15/30 (c) |  | 8845000  | 7512257  |
|  2.947% 2/24/28 (c) |  | 2035000  | 1851047  |
|  2.956% 5/13/31 (c) |  | 5386000  | 4491319  |
|  3.509% 1/23/29 (c) |  | 6550000  | 5989656  |
|  3.875% 9/10/24  |  | 250000  | 245707  |
|  3.882% 7/24/38 (c) |  | 4490000  | 3774152  |
|  4.005% 4/23/29 (c) |  | 2290000  | 2135602  |
|  4.125% 12/15/26  |  | 4475000  | 4371161  |
| Lloyds Bank Corporate Markets PLC: |  |  |  |
|  1.5% 6/23/23 (Reg. S)  | GBP | 260000  | 307608  |
|  1.75% 7/11/24 (Reg. S)  | GBP | 275000  | 314799  |
| Lloyds Banking Group PLC: |  |  |  |
|  1.627% 5/11/27 (c) |  | 2000000  | 1723410  |
|  1.985% 12/15/31 (c) | GBP | 665000  | 668639  |
|  3.574% 11/7/28 (c) |  | 875000  | 780901  |
|  3.87% 7/9/25 (c) |  | 5375000  | 5174389  |
|  4.375% 3/22/28  |  | 1365000  | 1282664  |
|  4.976% 8/11/33 (c) |  | 2530000  | 2328459  |
| M&T Bank Corp. 4% 7/15/24  |  | 40000 | 39388 |
| NatWest Group PLC: |  |  |  |
|  3.073% 5/22/28 (c) |  | 5799000  | 5133769  |
|  3.619% 3/29/29 (Reg. S) (c) | GBP | 900000  | 944835  |
|  3.622% 8/14/30 (Reg. S) (c) | GBP | 1900000  | 2098729  |
|  4.269% 3/22/25 (c) |  | 7301000  | 7104113  |
|  4.8% 4/5/26  |  | 15438000  | 15046037  |
|  5.125% 5/28/24  |  | 25198000  | 24894849  |
|  7.416% 6/6/33 (Reg. S) (c) | GBP | 450000  | 543485  |
| NatWest Markets PLC 2.375% 5/21/23 (b) |  | 10828000 | 10646271 |
| PNC Financial Services Group, Inc.: |  |  |  |
|  3.9% 4/29/24  |  | 375000  | 370030  |
|  6.037% 10/28/33 (c) |  | 2880000  | 3025322  |
| Rabobank Nederland 4.375% 8/4/25  |  | 7713000 | 7495441 |
| Santander UK Group Holdings PLC: |  |  |  |
|  1.089% 3/15/25 (c) |  | 6685000  | 6202679  |
|  1.673% 6/14/27 (c) |  | 6825000  | 5788584  |
|  4.796% 11/15/24 (c) |  | 4025000  | 3949580  |
| Societe Generale: |  |  |  |
|  1.488% 12/14/26 (b)(c) |  | 9875000  | 8539635  |
|  2.797% 1/19/28 (b)(c) |  | 1835000  | 1591833  |
|  2.889% 6/9/32 (b)(c) |  | 210000  | 161532  |
|  3.337% 1/21/33 (b)(c) |  | 1105000  | 864868  |
|  4.25% 4/14/25 (b) |  | 21901000  | 20923981  |
|  4.75% 11/24/25 (b) |  | 830000  | 790565  |
| U.S. Bancorp 5.85% 10/21/33 (c) |  | 2925000 | 3049909 |
| UniCredit SpA: |  |  |  |
|  2.731% 1/15/32 (Reg. S) (c) | EUR | 1880000  | 1662597  |
|  3.127% 6/3/32 (b)(c) |  | 2515000  | 1911651  |
| Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (c) | GBP | 600000 | 667433 |
| Wells Fargo & Co.: |  |  |  |
|  2.125% 12/20/23 (Reg. S)  | GBP | 265000  | 309458  |
|  2.164% 2/11/26 (c) |  | 7535000  | 7024985  |
|  2.188% 4/30/26 (c) |  | 4250000  | 3958427  |
|  2.406% 10/30/25 (c) |  | 5834000  | 5498066  |
|  2.572% 2/11/31 (c) |  | 2285000  | 1911836  |
|  2.879% 10/30/30 (c) |  | 24150000  | 20768300  |
|  3.35% 3/2/33 (c) |  | 8765000  | 7497798  |
|  3.526% 3/24/28 (c) |  | 8796000  | 8170570  |
|  4.3% 7/22/27  |  | 21880000  | 21131335  |
|  4.478% 4/4/31 (c) |  | 15500000  | 14650110  |
|  4.65% 11/4/44  |  | 1335000  | 1156963  |
|  4.897% 7/25/33 (c) |  | 2645000  | 2548626  |
|  5.013% 4/4/51 (c) |  | 3500000  | 3287567  |
| Wells Fargo Bank NA 5.25% 8/1/23 (Reg. S)  | GBP | 250000 | 301451 |
| Westpac Banking Corp. 4.11% 7/24/34 (c) |  | 4937000 | 4211997 |
|  |  |  | 837741438 |
| Capital Markets - 1.0% |  |  |  |
| Affiliated Managers Group, Inc. 4.25% 2/15/24  |  | 1847000 | 1826644 |
| Ares Capital Corp.: |  |  |  |
|  3.875% 1/15/26  |  | 13816000  | 12704567  |
|  4.2% 6/10/24  |  | 12032000  | 11663986  |
| Bank of New York Mellon Corp.: |  |  |  |
|  1.6% 4/24/25  |  | 525000  | 487473  |
|  5.834% 10/25/33 (c) |  | 2925000  | 3080354  |
| Cboe Global Markets, Inc. 3% 3/16/32  |  | 3560000 | 2988672 |
| Charles Schwab Corp. 2.9% 3/3/32  |  | 3115000 | 2670731 |
| Coinbase Global, Inc.: |  |  |  |
|  3.375% 10/1/28 (b) |  | 285000  | 166577  |
|  3.625% 10/1/31 (b) |  | 295000  | 159300  |
| Credit Suisse Group AG: |  |  |  |
|  1.305% 2/2/27 (b)(c) |  | 8565000  | 6735345  |
|  2.125% 10/13/26 (Reg. S) (c) | EUR | 1400000  | 1242213  |
|  2.125% 11/15/29 (Reg. S) (c) | GBP | 700000  | 601766  |
|  2.593% 9/11/25 (b)(c) |  | 13060000  | 11569707  |
|  3.091% 5/14/32 (b)(c) |  | 19770000  | 13468563  |
|  3.75% 3/26/25  |  | 15667000  | 13887690  |
|  4.194% 4/1/31 (b)(c) |  | 13355000  | 10124575  |
|  4.282% 1/9/28 (b) |  | 1250000  | 1018515  |
|  4.55% 4/17/26  |  | 7159000  | 6221841  |
|  6.537% 8/12/33 (b)(c) |  | 10990000  | 9627714  |
|  7.375% 9/7/33 (Reg. S) (c) | GBP | 350000  | 391302  |
|  7.75% 3/1/29 (Reg. S) (c) | EUR | 400000  | 410204  |
|  9.016% 11/15/33 (b)(c) |  | 7060000  | 7167788  |
| Deutsche Bank AG: |  |  |  |
|  3.25% 5/24/28 (Reg. S) (c) | EUR | 600000  | 578657  |
|  4% 6/24/32 (Reg. S) (c) | EUR | 1300000  | 1221425  |
|  4.5% 4/1/25  |  | 13996000  | 13270700  |
| Goldman Sachs Group, Inc.: |  |  |  |
|  1.217% 12/6/23  |  | 7855000  | 7571785  |
|  1.431% 3/9/27 (c) |  | 15505000  | 13633408  |
|  1.948% 10/21/27 (c) |  | 6735000  | 5896112  |
|  1.992% 1/27/32 (c) |  | 8850000  | 6832634  |
|  2.383% 7/21/32 (c) |  | 14925000  | 11789058  |
|  2.65% 10/21/32 (c) |  | 2130000  | 1710621  |
|  3.2% 2/23/23  |  | 2275000  | 2266810  |
|  3.814% 4/23/29 (c) |  | 7695000  | 7080057  |
|  4.017% 10/31/38 (c) |  | 4495000  | 3790694  |
|  4.223% 5/1/29 (c) |  | 3395000  | 3189468  |
|  6.75% 10/1/37  |  | 50954000  | 54609272  |
| Hightower Holding LLC 6.75% 4/15/29 (b) |  | 350000 | 290309 |
| Intercontinental Exchange, Inc.: |  |  |  |
|  1.85% 9/15/32  |  | 3475000  | 2661555  |
|  3.75% 12/1/25  |  | 3162000  | 3086363  |
|  4.6% 3/15/33  |  | 1120000  | 1074722  |
| Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) |  | 65000 | 57065 |
| Jefferies Financial Group, Inc.: |  |  |  |
|  2.625% 10/15/31  |  | 5530000  | 4179113  |
|  2.75% 10/15/32  |  | 1355000  | 1004530  |
| LPL Holdings, Inc. 4% 3/15/29 (b) |  | 445000 | 388189 |
| Macquarie Group Ltd.: |  |  |  |
|  1.34% 1/12/27 (b)(c) |  | 5861000  | 5067678  |
|  2.871% 1/14/33 (b)(c) |  | 1690000  | 1296913  |
| Moody's Corp. 4.25% 8/8/32  |  | 2065000 | 1943335 |
| Morgan Stanley: |  |  |  |
|  1.512% 7/20/27 (c) |  | 10390000  | 9040522  |
|  1.794% 2/13/32 (c) |  | 6555000  | 4988615  |
|  1.928% 4/28/32 (c) |  | 9690000  | 7435651  |
|  2.239% 7/21/32 (c) |  | 5560000  | 4336015  |
|  2.484% 9/16/36 (c) |  | 2650000  | 1970107  |
|  2.511% 10/20/32 (c) |  | 4835000  | 3844892  |
|  2.699% 1/22/31 (c) |  | 28165000  | 23601340  |
|  2.943% 1/21/33 (c) |  | 2860000  | 2342053  |
|  3.125% 7/27/26  |  | 37616000  | 35283046  |
|  3.622% 4/1/31 (c) |  | 13084000  | 11659911  |
|  3.7% 10/23/24  |  | 21259000  | 20791840  |
|  3.772% 1/24/29 (c) |  | 5345000  | 4921902  |
|  3.875% 1/27/26  |  | 540000  | 523221  |
|  4% 7/23/25  |  | 1000000  | 979507  |
|  4.35% 9/8/26  |  | 2070000  | 2015358  |
|  4.431% 1/23/30 (c) |  | 2525000  | 2388027  |
|  5% 11/24/25  |  | 40891000  | 40986513  |
| MSCI, Inc. 3.25% 8/15/33 (b) |  | 90000 | 70707 |
| Nomura Holdings, Inc.: |  |  |  |
|  2.608% 7/14/31  |  | 1155000  | 890778  |
|  2.648% 1/16/25  |  | 1075000  | 1016345  |
| State Street Corp. 2.901% 3/30/26 (c) |  | 833000 | 791974 |
| UBS Group AG: |  |  |  |
|  4.488% 5/12/26 (b)(c) |  | 1455000  | 1417785  |
|  4.988% 8/5/33 (Reg. S) (c) |  | 200000  | 186334  |
|  |  |  | 454188443 |
| Consumer Finance - 0.5% |  |  |  |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: |  |  |  |
|  1.65% 10/29/24  |  | 10272000  | 9451942  |
|  2.45% 10/29/26  |  | 3749000  | 3296478  |
|  2.875% 8/14/24  |  | 7954000  | 7528337  |
|  3% 10/29/28  |  | 11826000  | 9991662  |
|  3.15% 2/15/24  |  | 2065000  | 1992141  |
|  3.3% 1/30/32  |  | 4200000  | 3347273  |
|  4.125% 7/3/23  |  | 5132000  | 5085885  |
|  4.45% 4/3/26  |  | 4282000  | 4108203  |
|  4.875% 1/16/24  |  | 11491000  | 11328513  |
|  6.5% 7/15/25  |  | 4320000  | 4364324  |
| Ally Financial, Inc.: |  |  |  |
|  1.45% 10/2/23  |  | 2261000  | 2183390  |
|  3.05% 6/5/23  |  | 11748000  | 11590787  |
|  3.875% 5/21/24  |  | 6322000  | 6150524  |
|  5.125% 9/30/24  |  | 2688000  | 2666770  |
|  5.8% 5/1/25  |  | 6894000  | 6922456  |
|  7.1% 11/15/27  |  | 6180000  | 6355490  |
| American Express Co. 2.55% 3/4/27  |  | 3110000 | 2824652 |
| Capital One Financial Corp.: |  |  |  |
|  1.343% 12/6/24 (c) |  | 4720000  | 4503417  |
|  3.65% 5/11/27  |  | 15820000  | 14899990  |
|  3.8% 1/31/28  |  | 7795000  | 7283080  |
|  4.985% 7/24/26 (c) |  | 6500000  | 6443241  |
|  5.247% 7/26/30 (c) |  | 6880000  | 6557767  |
| Discover Financial Services: |  |  |  |
|  3.95% 11/6/24  |  | 8102000  | 7880538  |
|  4.5% 1/30/26  |  | 6463000  | 6221543  |
|  6.7% 11/29/32  |  | 1592000  | 1619544  |
| First Cash Financial Services, Inc. 5.625% 1/1/30 (b) |  | 1500000 | 1364459 |
| Ford Motor Credit Co. LLC: |  |  |  |
|  2.9% 2/16/28  |  | 275000  | 229618  |
|  4% 11/13/30  |  | 345000  | 291818  |
|  4.063% 11/1/24  |  | 22139000  | 21371788  |
|  4.125% 8/17/27  |  | 185000  | 168788  |
|  4.271% 1/9/27  |  | 85000  | 78650  |
|  4.687% 6/9/25  |  | 180000  | 173194  |
|  5.113% 5/3/29  |  | 400000  | 372916  |
|  5.125% 6/16/25  |  | 135000  | 130722  |
|  5.584% 3/18/24  |  | 8575000  | 8478531  |
| John Deere Capital Corp. 2.65% 6/24/24  |  | 615000 | 596436 |
| OneMain Finance Corp.: |  |  |  |
|  3.875% 9/15/28  |  | 850000  | 674390  |
|  4% 9/15/30  |  | 500000  | 375497  |
|  5.375% 11/15/29  |  | 829000  | 692381  |
|  6.875% 3/15/25  |  | 1165000  | 1131559  |
| Synchrony Financial: |  |  |  |
|  3.95% 12/1/27  |  | 8719000  | 7795350  |
|  4.25% 8/15/24  |  | 6050000  | 5901143  |
|  4.375% 3/19/24  |  | 7165000  | 7036905  |
|  5.15% 3/19/29  |  | 13451000  | 12822065  |
|  |  |  | 224284157 |
| Diversified Financial Services - 0.2% |  |  |  |
| 1MDB Global Investments Ltd. 4.4% 3/9/23  |  | 2500000 | 2445781 |
| Altus Midstream LP 5.875% 6/15/30 (b) |  | 105000 | 98670 |
| Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31  |  | 940000 | 769497 |
| Athene Global Funding: |  |  |  |
|  1.608% 6/29/26 (b) |  | 3350000  | 2905581  |
|  2.717% 1/7/29 (b) |  | 4805000  | 4002799  |
|  3.205% 3/8/27 (b) |  | 1485000  | 1332216  |
| Blackstone Private Credit Fund: |  |  |  |
|  4.875% 4/14/26  | GBP | 1200000  | 1304377  |
|  7.05% 9/29/25 (b) |  | 8015000  | 8030973  |
| Brixmor Operating Partnership LP: |  |  |  |
|  2.5% 8/16/31  |  | 2170000  | 1644581  |
|  4.05% 7/1/30  |  | 12288000  | 10738901  |
|  4.125% 6/15/26  |  | 5706000  | 5360015  |
|  4.125% 5/15/29  |  | 6724000  | 6009592  |
| Corebridge Financial, Inc.: |  |  |  |
|  3.85% 4/5/29 (b) |  | 2590000  | 2357722  |
|  3.9% 4/5/32 (b) |  | 6708000  | 5915156  |
|  4.35% 4/5/42 (b) |  | 701000  | 573928  |
|  4.4% 4/5/52 (b) |  | 2074000  | 1667018  |
| Equitable Holdings, Inc. 3.9% 4/20/23  |  | 827000 | 823532 |
| Greystone Commercial Capital Trust 1 month U.S. LIBOR + 2.270% 6.1566% 5/31/25 (b)(c)(e)(g) |  | 7700000 | 7700000 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |  |  |  |
|  5.25% 5/15/27  |  | 140000  | 128450  |
|  6.25% 5/15/26  |  | 2209000  | 2162744  |
|  6.375% 12/15/25  |  | 205000  | 200216  |
| Indian Railway Finance Corp. Ltd. 3.57% 1/21/32 (b) |  | 1010000 | 877311 |
| Jackson Financial, Inc.: |  |  |  |
|  5.17% 6/8/27  |  | 2958000  | 2898759  |
|  5.67% 6/8/32  |  | 3734000  | 3547498  |
| Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S)  | EUR | 1145000 | 915991 |
| M&G PLC 5.625% 10/20/51 (Reg. S) (c) | GBP | 830000 | 919599 |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) |  | 8593000 | 8466606 |
| Pine Street Trust I 4.572% 2/15/29 (b) |  | 7798000 | 7248033 |
| Pine Street Trust II 5.568% 2/15/49 (b) |  | 7800000 | 6987151 |
| Power Finance Corp. Ltd.: |  |  |  |
|  1.841% 9/21/28 (Reg. S)  | EUR | 2400000  | 1974226  |
|  6.15% 12/6/28 (b) |  | 3050000  | 3086570  |
| VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) |  | 495000 | 397361 |
|  |  |  | 103490854 |
| Insurance - 0.2% |  |  |  |
| ACE INA Holdings, Inc. 3.15% 3/15/25  |  | 1765000 | 1706018 |
| AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (c) | EUR | 395000 | 318482 |
| Alliant Holdings Intermediate LLC: |  |  |  |
|  4.25% 10/15/27 (b) |  | 340000  | 306000  |
|  6.75% 10/15/27 (b) |  | 325000  | 299356  |
| Aon Corp. 2.8% 5/15/30  |  | 3670000 | 3138489 |
| Arch Capital Finance LLC 4.011% 12/15/26  |  | 4595000 | 4415941 |
| Arthur J. Gallagher & Co. 3.05% 3/9/52  |  | 3030000 | 1940331 |
| Baylor Scott & White Holdings: |  |  |  |
|  Series 2021, 2.839% 11/15/50  |  | 120000  | 79143  |
|  1.777% 11/15/30  |  | 870000  | 679319  |
| Berkshire Hathaway Finance Corp. 3.85% 3/15/52  |  | 4245000 | 3466047 |
| CNA Financial Corp.: |  |  |  |
|  3.9% 5/1/29  |  | 1400000  | 1286933  |
|  3.95% 5/15/24  |  | 1400000  | 1374058  |
| Credit Agricole Assurances SA 4.75% 9/27/48 (c) | EUR | 1200000 | 1206576 |
| Demeter Investments BV 5.625% 8/15/52 (Reg. S) (c) |  | 3225000 | 2910627 |
| Everest Reinsurance Holdings, Inc. 3.5% 10/15/50  |  | 1800000 | 1242821 |
| Fairfax Financial Holdings Ltd.: |  |  |  |
|  3.375% 3/3/31  |  | 4595000  | 3717382  |
|  5.625% 8/16/32 (b) |  | 5200000  | 4886961  |
| Farmers Exchange Capital II 6.151% 11/1/53 (b)(c) |  | 1500000 | 1444859 |
| Farmers Exchange Capital III 5.454% 10/15/54 (b)(c) |  | 3335000 | 3014982 |
| Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (c) | EUR | 500000 | 421266 |
| Five Corners Funding Trust II 2.85% 5/15/30 (b) |  | 12846000 | 10898907 |
| Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) |  | 9380000 | 8717789 |
| Lincoln National Corp.: |  |  |  |
|  3.05% 1/15/30  |  | 280000  | 232847  |
|  4.35% 3/1/48  |  | 165000  | 126054  |
|  6.3% 10/9/37  |  | 110000  | 109273  |
| Markel Corp.: |  |  |  |
|  3.45% 5/7/52  |  | 840000  | 571946  |
|  4.15% 9/17/50  |  | 445000  | 340022  |
|  4.3% 11/1/47  |  | 650000  | 509700  |
| Marsh & McLennan Companies, Inc.: |  |  |  |
|  2.25% 11/15/30  |  | 1940000  | 1595896  |
|  3.5% 6/3/24  |  | 1140000  | 1115972  |
| Metropolitan Life Global Funding I 4.3% 8/25/29 (b) |  | 7000000 | 6711316 |
| Nationwide Mutual Insurance Co. 3 month U.S. LIBOR + 2.290% 5.5826% 12/15/24 (b)(c)(g) |  | 5490000 | 5490212 |
| New York Life Insurance Co. 3.75% 5/15/50 (b) |  | 2630000 | 2017628 |
| Pricoa Global Funding I 5.375% 5/15/45 (c) |  | 5278000 | 4948653 |
| Protective Life Global Funding 1.9% 7/6/28 (b) |  | 2595000 | 2161086 |
| Prudential PLC 2.95% 11/3/33 (Reg. S) (c) |  | 2100000 | 1661302 |
| QBE Insurance Group Ltd.: |  |  |  |
|  2.5% 9/13/38 (Reg. S) (c) | GBP | 950000  | 871072  |
|  6.75% 12/2/44 (Reg. S) (c) |  | 2025000  | 1911094  |
| Ryan Specialty Group LLC 4.375% 2/1/30 (b) |  | 165000 | 141075 |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) |  | 3200000 | 2840960 |
| Teachers Insurance & Annuity Association of America: |  |  |  |
|  3.3% 5/15/50 (b) |  | 3310000  | 2333844  |
|  4.375% 9/15/54 (b)(c) |  | 2100000  | 2006729  |
| The Chubb Corp. 6% 5/11/37  |  | 130000 | 138793 |
| Unum Group: |  |  |  |
|  4% 6/15/29  |  | 5961000  | 5407789  |
|  5.75% 8/15/42  |  | 2238000  | 1996957  |
| Willis Group North America, Inc. 2.95% 9/15/29  |  | 4385000 | 3702177 |
| Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (c) |  | 900000 | 688500 |
|  |  |  | 107103184 |
| Thrifts & Mortgage Finance - 0.0% |  |  |  |
| Home Point Capital, Inc. 5% 2/1/26 (b) |  | 50000 | 30132 |
| Nationstar Mortgage Holdings, Inc. 6% 1/15/27 (b) |  | 500000 | 454555 |
| Nationwide Building Society: |  |  |  |
|  3.766% 3/8/24 (b)(c) |  | 1970000  | 1954247  |
|  4.363% 8/1/24 (b)(c) |  | 2510000  | 2473426  |
|  6.178% 12/7/27 (Reg. S) (c) | GBP | 400000  | 483532  |
| PennyMac Financial Services, Inc. 4.25% 2/15/29 (b) |  | 1200000 | 939528 |
|  |  |  | 6335420 |
| TOTAL FINANCIALS |  |  | 1733143496 |
| HEALTH CARE - 0.8%  |  |  |  |
| Biotechnology - 0.1% |  |  |  |
| AbbVie, Inc.: |  |  |  |
|  4.05% 11/21/39  |  | 18245000  | 15939748  |
|  4.4% 11/6/42  |  | 3405000  | 3041343  |
|  4.5% 5/14/35  |  | 2200000  | 2084033  |
|  4.55% 3/15/35  |  | 400000  | 380476  |
|  4.7% 5/14/45  |  | 5425000  | 4999754  |
|  4.875% 11/14/48  |  | 335000  | 314384  |
| Amgen, Inc.: |  |  |  |
|  2.6% 8/19/26  |  | 3835000  | 3579007  |
|  2.8% 8/15/41  |  | 2130000  | 1527159  |
|  4.4% 5/1/45  |  | 1450000  | 1253177  |
|  4.663% 6/15/51  |  | 120000  | 108298  |
|  4.875% 3/1/53  |  | 3390000  | 3092029  |
| Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) |  | 494000 | 222300 |
| Gilead Sciences, Inc. 4.5% 2/1/45  |  | 565000 | 511545 |
| Grifols Escrow Issuer SA 4.75% 10/15/28 (b) |  | 1800000 | 1512684 |
|  |  |  | 38565937 |
| Health Care Equipment & Supplies - 0.1% |  |  |  |
| Alcon Finance Corp.: |  |  |  |
|  2.6% 5/27/30 (b) |  | 2185000  | 1835753  |
|  3% 9/23/29 (b) |  | 4500000  | 3931172  |
| Avantor Funding, Inc.: |  |  |  |
|  3.875% 7/15/28 (Reg. S)  | EUR | 2500000  | 2401184  |
|  4.625% 7/15/28 (b) |  | 380000  | 349600  |
| Becton, Dickinson & Co.: |  |  |  |
|  1.957% 2/11/31  |  | 3000000  | 2404235  |
|  2.823% 5/20/30  |  | 1695000  | 1476440  |
|  3.7% 6/6/27  |  | 118000  | 112713  |
|  3.734% 12/15/24  |  | 1734000  | 1691866  |
|  4.298% 8/22/32  |  | 750000  | 714063  |
| Dentsply Sirona, Inc. 3.25% 6/1/30  |  | 3000000 | 2486403 |
| Fresenius U.S. Finance II, Inc. 4.5% 1/15/23 (b) |  | 4787000 | 4773924 |
| Hologic, Inc. 3.25% 2/15/29 (b) |  | 225000 | 197687 |
| Mozart Borrower LP: |  |  |  |
|  3.875% 4/1/29 (b) |  | 2100000  | 1805496  |
|  5.25% 10/1/29 (b) |  | 425000  | 346375  |
| Stryker Corp.: |  |  |  |
|  3.375% 5/15/24  |  | 535000  | 523065  |
|  3.375% 11/1/25  |  | 430000  | 415746  |
|  3.5% 3/15/26  |  | 675000  | 654505  |
|  3.65% 3/7/28  |  | 4060000  | 3877148  |
| Teleflex, Inc. 4.25% 6/1/28 (b) |  | 60000 | 55710 |
|  |  |  | 30053085 |
| Health Care Providers & Services - 0.4% |  |  |  |
| 180 Medical, Inc. 3.875% 10/15/29 (b) |  | 200000 | 169982 |
| AHS Hospital Corp. 2.78% 7/1/51  |  | 315000 | 203113 |
| AmerisourceBergen Corp. 2.7% 3/15/31  |  | 5980000 | 4950844 |
| Ascension Health: |  |  |  |
|  2.532% 11/15/29  |  | 295000  | 255528  |
|  3.106% 11/15/39  |  | 610000  | 471901  |
| BayCare Health System, Inc. 3.831% 11/15/50  |  | 2320000 | 1865214 |
| Centene Corp.: |  |  |  |
|  2.45% 7/15/28  |  | 7280000  | 6122321  |
|  2.625% 8/1/31  |  | 2980000  | 2342936  |
|  3% 10/15/30  |  | 7638000  | 6260028  |
|  3.375% 2/15/30  |  | 5670000  | 4829780  |
|  4.25% 12/15/27  |  | 8825000  | 8282086  |
|  4.625% 12/15/29  |  | 7750000  | 7206221  |
| Children's Health System of Texas 2.511% 8/15/50  |  | 360000 | 220430 |
| Childrens Hospital Corp. 4.115% 1/1/47  |  | 265000 | 226466 |
| Cigna Corp.: |  |  |  |
|  2.4% 3/15/30  |  | 4245000  | 3605429  |
|  3.25% 4/15/25  |  | 355000  | 343246  |
|  3.4% 3/15/51  |  | 4490000  | 3272417  |
|  4.375% 10/15/28  |  | 14599000  | 14228538  |
|  4.5% 2/25/26  |  | 5015000  | 4992977  |
| CommonSpirit Health: |  |  |  |
|  2.76% 10/1/24  |  | 575000  | 549965  |
|  2.782% 10/1/30  |  | 695000  | 560754  |
|  3.347% 10/1/29  |  | 1500000  | 1304702  |
|  4.35% 11/1/42  |  | 2500000  | 2115863  |
| Community Health Systems, Inc. 4.75% 2/15/31 (b) |  | 560000 | 410306 |
| CVS Health Corp.: |  |  |  |
|  2.7% 8/21/40  |  | 9385000  | 6604649  |
|  3.625% 4/1/27  |  | 2341000  | 2245115  |
|  4.3% 3/25/28  |  | 653000  | 634792  |
|  4.78% 3/25/38  |  | 1320000  | 1219932  |
|  5.05% 3/25/48  |  | 8960000  | 8320756  |
|  5.125% 7/20/45  |  | 1965000  | 1834720  |
|  5.3% 12/5/43  |  | 1405000  | 1340514  |
| DaVita HealthCare Partners, Inc.: |  |  |  |
|  3.75% 2/15/31 (b) |  | 1900000  | 1396500  |
|  4.625% 6/1/30 (b) |  | 125000  | 101185  |
| Elevance Health, Inc.: |  |  |  |
|  3.3% 1/15/23  |  | 3395000  | 3388274  |
|  3.65% 12/1/27  |  | 1260000  | 1198228  |
|  4.101% 3/1/28  |  | 1570000  | 1514775  |
|  4.625% 5/15/42  |  | 1520000  | 1385998  |
| Fresenius Medical Care U.S. Finance III, Inc. 1.875% 12/1/26 (b) |  | 660000 | 563003 |
| HCA Holdings, Inc.: |  |  |  |
|  2.375% 7/15/31  |  | 1040000  | 812220  |
|  3.125% 3/15/27 (b) |  | 1050000  | 955094  |
|  3.5% 9/1/30  |  | 2575000  | 2213135  |
|  3.5% 7/15/51  |  | 2870000  | 1939668  |
|  3.625% 3/15/32 (b) |  | 2095000  | 1790900  |
|  4.125% 6/15/29  |  | 5911000  | 5401823  |
|  4.625% 3/15/52 (b) |  | 1655000  | 1334403  |
|  5.25% 4/15/25  |  | 1000000  | 997947  |
|  5.25% 6/15/49  |  | 5250000  | 4591263  |
|  5.375% 2/1/25  |  | 305000  | 304259  |
|  5.375% 9/1/26  |  | 875000  | 869980  |
|  5.5% 6/15/47  |  | 1315000  | 1199032  |
|  5.625% 9/1/28  |  | 2000000  | 1993710  |
|  5.875% 2/15/26  |  | 1135000  | 1144246  |
|  7.75% 7/15/36  |  | 2700000  | 2908045  |
| HealthEquity, Inc. 4.5% 10/1/29 (b) |  | 45000 | 39425 |
| Humana, Inc.: |  |  |  |
|  3.125% 8/15/29  |  | 2600000  | 2285555  |
|  3.7% 3/23/29  |  | 2425000  | 2233114  |
| Kaiser Foundation Hospitals: |  |  |  |
|  2.81% 6/1/41  |  | 6820000  | 5019177  |
|  3.002% 6/1/51  |  | 975000  | 675425  |
|  4.15% 5/1/47  |  | 200000  | 173792  |
| Laboratory Corp. of America Holdings 3.6% 2/1/25  |  | 1310000 | 1270893 |
| Memorial Sloan-Kettring Cancer Center: |  |  |  |
|  2.955% 1/1/50  |  | 290000  | 194652  |
|  4.2% 7/1/55  |  | 140000  | 115731  |
|  5% 7/1/42  |  | 350000  | 351723  |
| Methodist Hospital 2.705% 12/1/50  |  | 820000 | 529512 |
| Molina Healthcare, Inc.: |  |  |  |
|  3.875% 11/15/30 (b) |  | 6245000  | 5370700  |
|  3.875% 5/15/32 (b) |  | 155000  | 130781  |
| Mount Sinai Hospital 3.737% 7/1/49  |  | 460000 | 345344 |
| New York & Presbyterian Hospital: |  |  |  |
|  4.024% 8/1/45  |  | 600000  | 504221  |
|  4.063% 8/1/56  |  | 390000  | 315769  |
| NYU Hospitals Center 4.368% 7/1/47  |  | 810000 | 678159 |
| OhioHealth Corp. 2.297% 11/15/31  |  | 8505000 | 6896505 |
| Owens & Minor, Inc. 4.5% 3/31/29 (b) |  | 65000 | 53338 |
| PeaceHealth Obligated Group 1.375% 11/15/25  |  | 165000 | 147525 |
| Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) |  | 170000 | 143448 |
| Piedmont Healthcare, Inc.: |  |  |  |
|  2.719% 1/1/42  |  | 1780000  | 1245275  |
|  2.864% 1/1/52  |  | 1055000  | 657809  |
| Prime Healthcare Services 7.25% 11/1/25 (b) |  | 1325000 | 1131603 |
| Providence St. Joseph Health Obligated Group: |  |  |  |
|  2.532% 10/1/29  |  | 2405000  | 2030504  |
|  2.746% 10/1/26  |  | 180000  | 169308  |
| Quest Diagnostics, Inc.: |  |  |  |
|  4.7% 3/30/45  |  | 150000  | 127273  |
|  5.75% 1/30/40  |  | 93000  | 89014  |
| RP Escrow Issuer LLC 5.25% 12/15/25 (b) |  | 325000 | 272134 |
| Sabra Health Care LP 3.2% 12/1/31  |  | 8499000 | 6372897 |
| Sentara Healthcare 2.927% 11/1/51  |  | 565000 | 366306 |
| Stanford Health Care 3.027% 8/15/51  |  | 680000 | 466627 |
| Surgery Center Holdings, Inc. 6.75% 7/1/25 (b) |  | 215000 | 210457 |
| Sutter Health 4.091% 8/15/48  |  | 1240000 | 1003784 |
| Tenet Healthcare Corp.: |  |  |  |
|  4.625% 7/15/24  |  | 99000  | 96871  |
|  4.875% 1/1/26 (b) |  | 1160000  | 1100817  |
|  5.125% 11/1/27 (b) |  | 4850000  | 4565742  |
|  6.125% 6/15/30 (b) |  | 175000  | 165827  |
| Toledo Hospital 5.325% 11/15/28  |  | 2792000 | 2170780 |
| UnitedHealth Group, Inc.: |  |  |  |
|  3.05% 5/15/41  |  | 1530000  | 1170154  |
|  3.25% 5/15/51  |  | 3405000  | 2498616  |
|  4.25% 4/15/47  |  | 770000  | 668456  |
|  4.25% 6/15/48  |  | 575000  | 504478  |
|  4.95% 5/15/62  |  | 275000  | 263766  |
|  5.8% 3/15/36  |  | 820000  | 873322  |
|  |  |  | 190691822 |
| Health Care Technology - 0.0% |  |  |  |
| IQVIA, Inc. 5% 10/15/26 (b) |  | 230000 | 221375 |
| Life Sciences Tools & Services - 0.0% |  |  |  |
| Agilent Technologies, Inc. 2.3% 3/12/31  |  | 1245000 | 1014806 |
| Charles River Laboratories International, Inc.: |  |  |  |
|  3.75% 3/15/29 (b) |  | 75000  | 65259  |
|  4.25% 5/1/28 (b) |  | 330000  | 301125  |
| Danaher Corp. 2.8% 12/10/51  |  | 965000 | 664513 |
| Thermo Fisher Scientific, Inc. 2.8% 10/15/41  |  | 620000 | 466606 |
|  |  |  | 2512309 |
| Pharmaceuticals - 0.2% |  |  |  |
| AstraZeneca Finance LLC 2.25% 5/28/31  |  | 635000 | 532821 |
| Bausch Health Companies, Inc.: |  |  |  |
|  5% 2/15/29 (b) |  | 400000  | 168476  |
|  5.25% 1/30/30 (b) |  | 825000  | 343557  |
|  5.25% 2/15/31 (b) |  | 4796000  | 2002813  |
|  6.25% 2/15/29 (b) |  | 1500000  | 626745  |
| Bayer U.S. Finance II LLC: |  |  |  |
|  4.25% 12/15/25 (b) |  | 54704000  | 53049663  |
|  4.375% 12/15/28 (b) |  | 1630000  | 1547291  |
|  4.4% 7/15/44 (b) |  | 3231000  | 2554817  |
|  4.625% 6/25/38 (b) |  | 570000  | 493615  |
|  4.875% 6/25/48 (b) |  | 4430000  | 3863975  |
| Bristol-Myers Squibb Co. 4.25% 10/26/49  |  | 345000 | 306616 |
| Catalent Pharma Solutions: |  |  |  |
|  3.125% 2/15/29 (b) |  | 275000  | 224813  |
|  3.5% 4/1/30 (b) |  | 220000  | 179300  |
| Elanco Animal Health, Inc.: |  |  |  |
|  5.772% 8/28/23  |  | 4020000  | 4003631  |
|  6.4% 8/28/28 (c) |  | 1693000  | 1563536  |
| GSK Consumer Healthcare Capital U.S. LLC 3.625% 3/24/32  |  | 1305000 | 1151698 |
| Jazz Securities DAC 4.375% 1/15/29 (b) |  | 95000 | 86214 |
| Johnson & Johnson 3.625% 3/3/37  |  | 695000 | 626117 |
| Merck & Co., Inc. 3.4% 3/7/29  |  | 1400000 | 1318682 |
| Mylan NV: |  |  |  |
|  5.2% 4/15/48  |  | 1780000  | 1377830  |
|  5.4% 11/29/43  |  | 1480000  | 1187769  |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV: |  |  |  |
|  4.125% 4/30/28 (b) |  | 65000  | 58499  |
|  5.125% 4/30/31 (b) |  | 1825000  | 1619523  |
| Takeda Pharmaceutical Co. Ltd.: |  |  |  |
|  2.05% 3/31/30  |  | 3100000  | 2553193  |
|  3.025% 7/9/40  |  | 1410000  | 1054421  |
| Utah Acquisition Sub, Inc.: |  |  |  |
|  3.95% 6/15/26  |  | 4024000  | 3771226  |
|  5.25% 6/15/46  |  | 190000  | 146564  |
| Viatris, Inc.: |  |  |  |
|  1.65% 6/22/25  |  | 1160000  | 1050080  |
|  2.3% 6/22/27  |  | 120000  | 103207  |
|  2.7% 6/22/30  |  | 5898000  | 4704530  |
|  3.85% 6/22/40  |  | 13139000  | 9050641  |
|  4% 6/22/50  |  | 6222000  | 4046724  |
| Wyeth LLC 6.45% 2/1/24  |  | 1875000 | 1911011 |
| Zoetis, Inc. 3.25% 2/1/23  |  | 5975000 | 5957724 |
|  |  |  | 113237322 |
| TOTAL HEALTH CARE |  |  | 375281850 |
| INDUSTRIALS - 0.4%  |  |  |  |
| Aerospace & Defense - 0.2% |  |  |  |
| BAE Systems PLC 3.4% 4/15/30 (b) |  | 2985000 | 2656545 |
| Bombardier, Inc.: |  |  |  |
|  6% 2/15/28 (b) |  | 3750000  | 3516338  |
|  7.125% 6/15/26 (b) |  | 2780000  | 2717450  |
|  7.875% 4/15/27 (b) |  | 4360000  | 4260069  |
| BWX Technologies, Inc.: |  |  |  |
|  4.125% 6/30/28 (b) |  | 200000  | 178000  |
|  4.125% 4/15/29 (b) |  | 325000  | 286000  |
| General Dynamics Corp. 3.25% 4/1/25  |  | 955000 | 928393 |
| Howmet Aerospace, Inc.: |  |  |  |
|  5.95% 2/1/37  |  | 575000  | 543457  |
|  6.75% 1/15/28  |  | 345000  | 348450  |
| Moog, Inc. 4.25% 12/15/27 (b) |  | 360000 | 323100 |
| Northrop Grumman Corp. 4.75% 6/1/43  |  | 545000 | 512300 |
| Raytheon Technologies Corp. 4.125% 11/16/28  |  | 490000 | 474849 |
| Rolls-Royce PLC 3.375% 6/18/26  | GBP | 1085000 | 1114811 |
| Textron, Inc. 2.45% 3/15/31  |  | 2695000 | 2171775 |
| The Boeing Co.: |  |  |  |
|  1.167% 2/4/23  |  | 4000000  | 3969818  |
|  1.433% 2/4/24  |  | 1000000  | 954594  |
|  2.196% 2/4/26  |  | 4665000  | 4240557  |
|  2.25% 6/15/26  |  | 810000  | 729970  |
|  3.6% 5/1/34  |  | 2400000  | 1933330  |
|  3.625% 2/1/31  |  | 12650000  | 11148685  |
|  4.875% 5/1/25  |  | 2035000  | 2016124  |
|  5.04% 5/1/27  |  | 4430000  | 4387018  |
|  5.15% 5/1/30  |  | 4430000  | 4322045  |
|  5.805% 5/1/50  |  | 6560000  | 6189059  |
|  5.93% 5/1/60  |  | 4430000  | 4111670  |
| TransDigm, Inc.: |  |  |  |
|  4.875% 5/1/29  |  | 220000  | 191984  |
|  6.25% 3/15/26 (b) |  | 915000  | 910553  |
|  7.5% 3/15/27  |  | 40000  | 40100  |
|  8% 12/15/25 (b) |  | 465000  | 473138  |
|  |  |  | 65650182 |
| Air Freight & Logistics - 0.0% |  |  |  |
| Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b) |  | 160000 | 142800 |
| Airlines - 0.0% |  |  |  |
| American Airlines, Inc. equipment trust certificate 3.2% 12/15/29  |  | 400680 | 352074 |
| Mexico City Airport Trust: |  |  |  |
|  4.25% 10/31/26 (b) |  | 4270000  | 4019138  |
|  5.5% 7/31/47 (b) |  | 2250000  | 1653750  |
| Southwest Airlines Co.: |  |  |  |
|  2.625% 2/10/30  |  | 735000  | 613054  |
|  5.125% 6/15/27  |  | 5340000  | 5372618  |
| United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 2/15/27  |  | 123637 | 115529 |
| United Airlines, Inc.: |  |  |  |
|  equipment trust certificate 4.15% 10/11/25  |  | 455221  | 437216  |
|  4.375% 4/15/26 (b) |  | 1740000  | 1619984  |
|  4.625% 4/15/29 (b) |  | 370000  | 329380  |
|  |  |  | 14512743 |
| Building Products - 0.0% |  |  |  |
| Advanced Drain Systems, Inc. 5% 9/30/27 (b) |  | 500000 | 466038 |
| Builders FirstSource, Inc. 4.25% 2/1/32 (b) |  | 110000 | 89173 |
| Carlisle Companies, Inc. 2.2% 3/1/32  |  | 1890000 | 1450270 |
| Owens Corning: |  |  |  |
|  3.95% 8/15/29  |  | 700000  | 642967  |
|  4.3% 7/15/47  |  | 5310000  | 4127748  |
| Standard Industries, Inc./New Jersey 4.75% 1/15/28 (b) |  | 3618000 | 3279048 |
|  |  |  | 10055244 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| ADT Corp.: |  |  |  |
|  4.125% 8/1/29 (b) |  | 115000  | 100373  |
|  4.875% 7/15/32 (b) |  | 615000  | 532104  |
| Advocate Health & Hospitals Corp. 3.387% 10/15/49  |  | 510000 | 373728 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (b) |  | 1175000 | 842259 |
| Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: |  |  |  |
|  4.625% 6/1/28 (b) |  | 830000  | 703935  |
|  4.625% 6/1/28 (b) |  | 520000  | 437450  |
| Cintas Corp. No. 2 3.7% 4/1/27  |  | 1035000 | 1002249 |
| Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b) |  | 60000 | 52493 |
| Madison IAQ LLC 4.125% 6/30/28 (b) |  | 605000 | 523198 |
| Pitney Bowes, Inc.: |  |  |  |
|  6.875% 3/15/27 (b) |  | 55000  | 43241  |
|  7.25% 3/15/29 (b) |  | 110000  | 79200  |
| PowerTeam Services LLC 9.033% 12/4/25 (b) |  | 1108000 | 921790 |
| Rentokil Initial PLC 5% 6/27/32 (Reg. S)  | GBP | 450000 | 525202 |
| Stericycle, Inc. 3.875% 1/15/29 (b) |  | 530000 | 461100 |
| Waste Pro U.S.A., Inc. 5.5% 2/15/26 (b) |  | 2086000 | 1925149 |
|  |  |  | 8523471 |
| Construction & Engineering - 0.0% |  |  |  |
| AECOM 5.125% 3/15/27  |  | 1280000 | 1245286 |
| Arcosa, Inc. 4.375% 4/15/29 (b) |  | 65000 | 56528 |
| Dycom Industries, Inc. 4.5% 4/15/29 (b) |  | 165000 | 141709 |
|  |  |  | 1443523 |
| Electrical Equipment - 0.0% |  |  |  |
| Eaton Corp. 4.7% 8/23/52  |  | 495000 | 459297 |
| Sensata Technologies BV 4% 4/15/29 (b) |  | 170000 | 147837 |
| Vertiv Group Corp. 4.125% 11/15/28 (b) |  | 280000 | 240800 |
| Wesco Distribution, Inc.: |  |  |  |
|  7.125% 6/15/25 (b) |  | 1500000  | 1518750  |
|  7.25% 6/15/28 (b) |  | 1250000  | 1266313  |
|  |  |  | 3632997 |
| Machinery - 0.0% |  |  |  |
| Flowserve Corp. 2.8% 1/15/32  |  | 405000 | 303134 |
| Fortive Corp. 3.15% 6/15/26  |  | 275000 | 259014 |
| OT Merger Corp. 7.875% 10/15/29 (b) |  | 500000 | 292020 |
| Pentair Finance SA 4.5% 7/1/29  |  | 8070000 | 7397015 |
| Westinghouse Air Brake Tech Co.: |  |  |  |
|  3.45% 11/15/26  |  | 1490000  | 1380535  |
|  4.95% 9/15/28  |  | 9085000  | 8726668  |
|  |  |  | 18358386 |
| Marine - 0.0% |  |  |  |
| Seaspan Corp. 5.5% 8/1/29 (b) |  | 115000 | 88534 |
| Professional Services - 0.0% |  |  |  |
| ASGN, Inc. 4.625% 5/15/28 (b) |  | 110000 | 98175 |
| Booz Allen Hamilton, Inc.: |  |  |  |
|  3.875% 9/1/28 (b) |  | 320000  | 288397  |
|  4% 7/1/29 (b) |  | 45000  | 39898  |
| Equifax, Inc.: |  |  |  |
|  2.35% 9/15/31  |  | 725000  | 561301  |
|  2.6% 12/1/24  |  | 2095000  | 1996448  |
| TriNet Group, Inc. 3.5% 3/1/29 (b) |  | 165000 | 137156 |
|  |  |  | 3121375 |
| Road & Rail - 0.0% |  |  |  |
| Alpha Trains Finance SA 2.064% 6/30/30  | EUR | 950000 | 936858 |
| CSX Corp. 6.15% 5/1/37  |  | 1375000 | 1487705 |
| Union Pacific Corp.: |  |  |  |
|  2.973% 9/16/62  |  | 200000  | 131939  |
|  3.6% 9/15/37  |  | 1015000  | 877827  |
|  3.799% 4/6/71  |  | 315000  | 237872  |
| XPO Logistics, Inc. 6.25% 5/1/25 (b) |  | 154000 | 155567 |
|  |  |  | 3827768 |
| Trading Companies & Distributors - 0.1% |  |  |  |
| Air Lease Corp.: |  |  |  |
|  2.25% 1/15/23  |  | 1711000  | 1703024  |
|  3% 9/15/23  |  | 800000  | 784259  |
|  3.375% 7/1/25  |  | 7608000  | 7179514  |
|  4.25% 2/1/24  |  | 7846000  | 7706981  |
|  4.25% 9/15/24  |  | 9907000  | 9731637  |
|  5.85% 12/15/27  |  | 970000  | 963423  |
| Travis Perkins PLC 3.75% 2/17/26 (Reg. S)  | GBP | 600000 | 636372 |
| United Rentals North America, Inc.: |  |  |  |
|  3.75% 1/15/32  |  | 825000  | 684609  |
|  3.875% 2/15/31  |  | 200000  | 172062  |
|  4.875% 1/15/28  |  | 2000000  | 1918120  |
|  |  |  | 31480001 |
| Transportation Infrastructure - 0.1% |  |  |  |
| Aeroporti di Roma SPA 1.75% 7/30/31 (Reg. S)  | EUR | 745000 | 594932 |
| Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S)  | EUR | 450000 | 367732 |
| Avolon Holdings Funding Ltd.: |  |  |  |
|  2.528% 11/18/27 (b) |  | 8455000  | 6838784  |
|  2.75% 2/21/28 (b) |  | 2730000  | 2197979  |
|  3.95% 7/1/24 (b) |  | 2862000  | 2725613  |
|  4.375% 5/1/26 (b) |  | 3477000  | 3160629  |
|  5.25% 5/15/24 (b) |  | 4140000  | 4038702  |
| Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S)  | GBP | 1985000 | 1935373 |
| Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S)  | EUR | 300000 | 249682 |
|  |  |  | 22109426 |
| TOTAL INDUSTRIALS |  |  | 182946450 |
| INFORMATION TECHNOLOGY - 0.3%  |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| Cellnex Finance Co. SA 1% 9/15/27 (Reg. S)  | EUR | 1600000 | 1410008 |
| Viavi Solutions, Inc. 3.75% 10/1/29 (b) |  | 230000 | 189750 |
|  |  |  | 1599758 |
| Electronic Equipment & Components - 0.0% |  |  |  |
| Coherent Corp. 5% 12/15/29 (b) |  | 505000 | 445663 |
| Dell International LLC/EMC Corp.: |  |  |  |
|  5.45% 6/15/23  |  | 1627000  | 1627953  |
|  6.02% 6/15/26  |  | 2112000  | 2156891  |
| Sensata Technologies, Inc. 3.75% 2/15/31 (b) |  | 590000 | 490735 |
| TD SYNNEX Corp. 1.75% 8/9/26  |  | 6930000 | 5917771 |
| Teledyne Technologies, Inc.: |  |  |  |
|  2.25% 4/1/28  |  | 1675000  | 1444189  |
|  2.75% 4/1/31  |  | 4505000  | 3711904  |
| TTM Technologies, Inc. 4% 3/1/29 (b) |  | 130000 | 110285 |
|  |  |  | 15905391 |
| IT Services - 0.1% |  |  |  |
| Automatic Data Processing, Inc. 1.7% 5/15/28  |  | 695000 | 610257 |
| Block, Inc. 2.75% 6/1/26  |  | 110000 | 98307 |
| Fidelity National Information Services, Inc. 3.1% 3/1/41  |  | 3540000 | 2485732 |
| Fiserv, Inc.: |  |  |  |
|  2.75% 7/1/24  |  | 105000  | 101064  |
|  3.5% 7/1/29  |  | 7395000  | 6669321  |
|  3.85% 6/1/25  |  | 1540000  | 1494695  |
| Gartner, Inc.: |  |  |  |
|  3.625% 6/15/29 (b) |  | 65000  | 56933  |
|  3.75% 10/1/30 (b) |  | 105000  | 90825  |
|  4.5% 7/1/28 (b) |  | 165000  | 155334  |
| Genpact Luxembourg SARL / Genpact U.S.A., Inc. 1.75% 4/10/26  |  | 960000 | 859292 |
| Global Payments, Inc.: |  |  |  |
|  4.45% 6/1/28  |  | 3135000  | 2925006  |
|  4.95% 8/15/27  |  | 45000  | 43758  |
| Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) |  | 330000 | 278876 |
| IBM Corp. 2.85% 5/15/40  |  | 480000 | 353271 |
| Tempo Acquisition LLC 5.75% 6/1/25 (b) |  | 5000000 | 4936776 |
| Twilio, Inc.: |  |  |  |
|  3.625% 3/15/29  |  | 80000  | 66000  |
|  3.875% 3/15/31  |  | 85000  | 68964  |
| Virtusa Corp. 7.125% 12/15/28 (b) |  | 60000 | 45000 |
|  |  |  | 21339411 |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |  |
| Broadcom, Inc.: |  |  |  |
|  1.95% 2/15/28 (b) |  | 1620000  | 1369232  |
|  2.45% 2/15/31 (b) |  | 12129000  | 9569349  |
|  2.6% 2/15/33 (b) |  | 14104000  | 10657133  |
|  3.137% 11/15/35 (b) |  | 1763000  | 1306523  |
|  3.419% 4/15/33 (b) |  | 5782000  | 4698049  |
|  3.469% 4/15/34 (b) |  | 1000000  | 793911  |
|  3.5% 2/15/41 (b) |  | 19586000  | 14167287  |
|  3.75% 2/15/51 (b) |  | 5224000  | 3686620  |
|  4% 4/15/29 (b) |  | 1410000  | 1286269  |
|  4.926% 5/15/37 (b) |  | 2410000  | 2114758  |
| Entegris Escrow Corp. 5.95% 6/15/30 (b) |  | 200000 | 186810 |
| Entegris, Inc.: |  |  |  |
|  3.625% 5/1/29 (b) |  | 275000  | 228250  |
|  4.375% 4/15/28 (b) |  | 325000  | 287199  |
| onsemi 3.875% 9/1/28 (b) |  | 125000 | 110836 |
| Teledyne FLIR LLC 2.5% 8/1/30  |  | 445000 | 363623 |
|  |  |  | 50825849 |
| Software - 0.1% |  |  |  |
| Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (b) |  | 135000 | 130274 |
| Crowdstrike Holdings, Inc. 3% 2/15/29  |  | 125000 | 104048 |
| Fair Isaac Corp. 4% 6/15/28 (b) |  | 500000 | 457500 |
| Intuit, Inc. 1.35% 7/15/27  |  | 200000 | 174060 |
| Microsoft Corp. 2.921% 3/17/52  |  | 3052000 | 2264142 |
| MicroStrategy, Inc. 6.125% 6/15/28 (b) |  | 170000 | 125741 |
| NCR Corp.: |  |  |  |
|  5.125% 4/15/29 (b) |  | 800000  | 688168  |
|  6.125% 9/1/29 (b) |  | 1023000  | 992310  |
| NortonLifeLock, Inc.: |  |  |  |
|  5% 4/15/25 (b) |  | 370000  | 358900  |
|  6.75% 9/30/27 (b) |  | 539000  | 541323  |
| Open Text Corp.: |  |  |  |
|  3.875% 2/15/28 (b) |  | 490000  | 413291  |
|  3.875% 12/1/29 (b) |  | 55000  | 43908  |
|  6.9% 12/1/27 (b)(h) |  | 500000  | 500625  |
| Oracle Corp.: |  |  |  |
|  2.5% 4/1/25  |  | 6499000  | 6147185  |
|  2.8% 4/1/27  |  | 9449000  | 8622339  |
|  2.95% 5/15/25  |  | 1185000  | 1129070  |
|  3.6% 4/1/40  |  | 2400000  | 1802359  |
|  3.6% 4/1/50  |  | 1300000  | 904392  |
|  3.65% 3/25/41  |  | 1278000  | 949688  |
|  3.8% 11/15/37  |  | 1225000  | 970121  |
|  3.85% 4/1/60  |  | 6500000  | 4383555  |
|  3.95% 3/25/51  |  | 3199000  | 2340934  |
|  4.125% 5/15/45  |  | 3770000  | 2878576  |
|  6.9% 11/9/52  |  | 3165000  | 3505472  |
| ServiceNow, Inc. 1.4% 9/1/30  |  | 1005000 | 782883 |
| SS&C Technologies, Inc. 5.5% 9/30/27 (b) |  | 775000 | 740719 |
| Workday, Inc.: |  |  |  |
|  3.5% 4/1/27  |  | 405000  | 382870  |
|  3.7% 4/1/29  |  | 1110000  | 1022263  |
|  |  |  | 43356716 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Apple, Inc.: |  |  |  |
|  3.25% 2/23/26  |  | 7285000  | 7049680  |
|  3.85% 8/4/46  |  | 1420000  | 1231245  |
| Lenovo Group Ltd. 6.536% 7/27/32 (b) |  | 1490000 | 1416007 |
|  |  |  | 9696932 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 142724057 |
| MATERIALS - 0.2%  |  |  |  |
| Chemicals - 0.1% |  |  |  |
| Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) |  | 240000 | 220097 |
| DuPont de Nemours, Inc. 4.493% 11/15/25  |  | 2625000 | 2603999 |
| FMC Corp. 4.5% 10/1/49  |  | 1395000 | 1140501 |
| INEOS Quattro Finance 2 PLC 3.375% 1/15/26 (b) |  | 275000 | 244497 |
| International Flavors & Fragrances, Inc. 1.23% 10/1/25 (b) |  | 3285000 | 2903538 |
| Invictus U.S. Newco LLC 5% 10/30/29 (b) |  | 350000 | 280000 |
| LSB Industries, Inc. 6.25% 10/15/28 (b) |  | 235000 | 219471 |
| LYB International Finance BV: |  |  |  |
|  4.875% 3/15/44  |  | 1000000  | 840642  |
|  5.25% 7/15/43  |  | 5455000  | 4839634  |
| LYB International Finance III LLC: |  |  |  |
|  3.375% 10/1/40  |  | 490000  | 355480  |
|  4.2% 5/1/50  |  | 150000  | 112390  |
| Methanex Corp.: |  |  |  |
|  5.125% 10/15/27  |  | 320000  | 293600  |
|  5.25% 12/15/29  |  | 155000  | 138437  |
|  5.65% 12/1/44  |  | 105000  | 78750  |
| NOVA Chemicals Corp. 5% 5/1/25 (b) |  | 1080000 | 1016485 |
| Nufarm Australia Ltd. 5% 1/27/30 (b) |  | 280000 | 239750 |
| Nutrien Ltd. 4.9% 6/1/43  |  | 1225000 | 1091065 |
| OCI NV 3.625% 10/15/25 (Reg. S)  | EUR | 2773800 | 2863816 |
| Olin Corp.: |  |  |  |
|  5% 2/1/30  |  | 195000  | 176966  |
|  5.125% 9/15/27  |  | 700000  | 656250  |
|  5.625% 8/1/29  |  | 195000  | 182221  |
| Sasol Financing U.S.A. LLC: |  |  |  |
|  4.375% 9/18/26  |  | 810000  | 732443  |
|  5.875% 3/27/24  |  | 1500000  | 1485075  |
| Sherwin-Williams Co. 4.5% 6/1/47  |  | 210000 | 181910 |
| SPCM SA 3.125% 3/15/27 (b) |  | 115000 | 98613 |
| The Chemours Co. LLC 4.625% 11/15/29 (b) |  | 530000 | 426650 |
| The Dow Chemical Co. 4.625% 10/1/44  |  | 295000 | 245394 |
| The Scotts Miracle-Gro Co.: |  |  |  |
|  4% 4/1/31  |  | 1575000  | 1197000  |
|  4.5% 10/15/29  |  | 1971000  | 1611293  |
| Valvoline, Inc.: |  |  |  |
|  3.625% 6/15/31 (b) |  | 700000  | 570500  |
|  4.25% 2/15/30 (b) |  | 2270000  | 2206233  |
| W.R. Grace Holding LLC: |  |  |  |
|  4.875% 6/15/27 (b) |  | 125000  | 111994  |
|  5.625% 10/1/24 (b) |  | 400000  | 391024  |
|  |  |  | 29755718 |
| Construction Materials - 0.0% |  |  |  |
| Martin Marietta Materials, Inc.: |  |  |  |
|  2.4% 7/15/31  |  | 1455000  | 1181946  |
|  2.5% 3/15/30  |  | 855000  | 713698  |
| Vulcan Materials Co. 4.5% 6/15/47  |  | 350000 | 296046 |
|  |  |  | 2191690 |
| Containers & Packaging - 0.0% |  |  |  |
| Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 6% 6/15/27 (b) |  | 200000 | 195242 |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: |  |  |  |
|  4.125% 8/15/26 (b) |  | 10000  | 8800  |
|  5.25% 8/15/27 (b) |  | 1960000  | 1482348  |
|  5.25% 8/15/27 (b) |  | 1750000  | 1323525  |
| Ball Corp. 3.125% 9/15/31  |  | 395000 | 313827 |
| Berry Global, Inc.: |  |  |  |
|  0.95% 2/15/24  |  | 965000  | 916322  |
|  1.57% 1/15/26  |  | 1675000  | 1493443  |
|  4.875% 7/15/26 (b) |  | 7055000  | 6769202  |
| Graphic Packaging International, Inc.: |  |  |  |
|  3.75% 2/1/30 (b) |  | 55000  | 46691  |
|  4.125% 8/15/24  |  | 3137000  | 3050733  |
| Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (b) |  | 40000 | 32154 |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA 4% 10/15/27 (b) |  | 1250000 | 1098594 |
| Sealed Air Corp. 1.573% 10/15/26 (b) |  | 2750000 | 2370611 |
| Trivium Packaging Finance BV 5.5% 8/15/26 (b) |  | 1458000 | 1363175 |
|  |  |  | 20464667 |
| Metals & Mining - 0.1% |  |  |  |
| Alcoa Nederland Holding BV 4.125% 3/31/29 (b) |  | 110000 | 96394 |
| Barrick North America Finance LLC: |  |  |  |
|  5.7% 5/30/41  |  | 2330000  | 2351067  |
|  5.75% 5/1/43  |  | 475000  | 479688  |
| Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39  |  | 1340000 | 1382059 |
| Cleveland-Cliffs, Inc.: |  |  |  |
|  4.625% 3/1/29 (b) |  | 110000  | 96250  |
|  4.875% 3/1/31 (b) |  | 110000  | 95425  |
| Commercial Metals Co. 3.875% 2/15/31  |  | 235000 | 194631 |
| FMG Resources Pty Ltd. 4.5% 9/15/27 (b) |  | 5000 | 4575 |
| Freeport-McMoRan, Inc.: |  |  |  |
|  4.125% 3/1/28  |  | 960000  | 876845  |
|  4.375% 8/1/28  |  | 2590000  | 2379085  |
|  5.25% 9/1/29  |  | 3190000  | 3047567  |
|  5.4% 11/14/34  |  | 570000  | 532061  |
| HudBay Minerals, Inc. 4.5% 4/1/26 (b) |  | 55000 | 49810 |
| Kaiser Aluminum Corp. 4.625% 3/1/28 (b) |  | 415000 | 364955 |
| Kinross Gold Corp. 4.5% 7/15/27  |  | 9290000 | 8851419 |
| Mineral Resources Ltd. 8% 11/1/27 (b) |  | 150000 | 154110 |
| Newmont Corp.: |  |  |  |
|  2.25% 10/1/30  |  | 2345000  | 1895032  |
|  2.6% 7/15/32  |  | 1070000  | 856707  |
|  2.8% 10/1/29  |  | 2095000  | 1798410  |
|  5.45% 6/9/44  |  | 185000  | 177804  |
| Novelis Corp. 3.875% 8/15/31 (b) |  | 115000 | 94300 |
| Nucor Corp. 4.3% 5/23/27  |  | 1320000 | 1289401 |
| PMHC II, Inc. 9% 2/15/30 (b) |  | 175000 | 131250 |
| PT Freeport Indonesia 4.763% 4/14/27 (b) |  | 200000 | 191522 |
| PT Indonesia Asahan Aluminium Tbk: |  |  |  |
|  4.75% 5/15/25 (Reg. S)  |  | 800000  | 782088  |
|  6.53% 11/15/28 (b) |  | 1950000  | 1952194  |
| Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) |  | 30000 | 26273 |
| Southern Copper Corp. 5.875% 4/23/45  |  | 455000 | 453095 |
| Steel Dynamics, Inc.: |  |  |  |
|  2.4% 6/15/25  |  | 790000  | 739927  |
|  3.45% 4/15/30  |  | 9595000  | 8451506  |
| Teck Resources Ltd. 6% 8/15/40  |  | 1193000 | 1135561 |
| Thyssenkrupp AG 1.875% 3/6/23 (Reg. S)  | EUR | 2650000 | 2730014 |
| Vale Overseas Ltd. 6.25% 8/10/26  |  | 700000 | 718725 |
|  |  |  | 44379750 |
| Paper & Forest Products - 0.0% |  |  |  |
| Celulosa Arauco y Constitucion SA 4.5% 8/1/24  |  | 1850000 | 1815659 |
| Clearwater Paper Corp. 4.75% 8/15/28 (b) |  | 1500000 | 1314328 |
| Glatfelter Corp. 4.75% 11/15/29 (b) |  | 90000 | 58725 |
| Suzano Austria GmbH 6% 1/15/29  |  | 1263000 | 1247623 |
|  |  |  | 4436335 |
| TOTAL MATERIALS |  |  | 101228160 |
| REAL ESTATE - 0.7%  |  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 0.6% |  |  |  |
| Alexandria Real Estate Equities, Inc. 4.9% 12/15/30  |  | 5395000 | 5249021 |
| American Assets Trust LP 3.375% 2/1/31  |  | 3370000 | 2718356 |
| American Homes 4 Rent LP: |  |  |  |
|  2.375% 7/15/31  |  | 704000  | 547215  |
|  3.375% 7/15/51  |  | 1089000  | 696115  |
|  3.625% 4/15/32  |  | 8905000  | 7545177  |
| Boston Properties, Inc. 4.5% 12/1/28  |  | 5210000 | 4851680 |
| Corporate Office Properties LP: |  |  |  |
|  2% 1/15/29  |  | 600000  | 464349  |
|  2.25% 3/15/26  |  | 1775000  | 1558972  |
|  2.75% 4/15/31  |  | 6209000  | 4691392  |
|  2.9% 12/1/33  |  | 490000  | 349845  |
| CubeSmart LP 2.25% 12/15/28  |  | 4235000 | 3497107 |
| GLP Capital LP/GLP Financing II, Inc.: |  |  |  |
|  3.25% 1/15/32  |  | 2890000  | 2282069  |
|  4% 1/15/30  |  | 830000  | 720050  |
|  5.25% 6/1/25  |  | 1085000  | 1062594  |
|  5.375% 11/1/23  |  | 1350000  | 1336730  |
|  5.375% 4/15/26  |  | 13325000  | 12917122  |
| Healthcare Trust of America Holdings LP: |  |  |  |
|  2.05% 3/15/31  |  | 265000  | 191586  |
|  3.1% 2/15/30  |  | 3195000  | 2681375  |
|  3.5% 8/1/26  |  | 2311000  | 2163468  |
|  3.625% 1/15/28  |  | 1367000  | 1217575  |
|  3.875% 5/1/25  |  | 2750000  | 2613896  |
| Healthpeak Properties, Inc. 3% 1/15/30  |  | 1625000 | 1403626 |
| Hudson Pacific Properties LP: |  |  |  |
|  3.25% 1/15/30  |  | 1775000  | 1390309  |
|  4.65% 4/1/29  |  | 12773000  | 11122937  |
| Invitation Homes Operating Partnership LP: |  |  |  |
|  2% 8/15/31  |  | 1125000  | 832813  |
|  4.15% 4/15/32  |  | 6675000  | 5851768  |
| Kilroy Realty LP 2.65% 11/15/33  |  | 2010000 | 1430663 |
| Kimco Realty Corp.: |  |  |  |
|  1.9% 3/1/28  |  | 3015000  | 2535108  |
|  3.2% 4/1/32  |  | 1340000  | 1121864  |
|  4.6% 2/1/33  |  | 3535000  | 3306091  |
| Kite Realty Group Trust: |  |  |  |
|  4% 3/15/25  |  | 6865000  | 6584847  |
|  4.75% 9/15/30  |  | 10799000  | 9585919  |
| Life Storage LP: |  |  |  |
|  2.2% 10/15/30  |  | 3660000  | 2851811  |
|  2.4% 10/15/31  |  | 160000  | 123491  |
| LXP Industrial Trust (REIT): |  |  |  |
|  2.7% 9/15/30  |  | 894000  | 715363  |
|  4.4% 6/15/24  |  | 1319000  | 1282085  |
| MPT Operating Partnership LP/MPT Finance Corp.: |  |  |  |
|  2.5% 3/24/26  | GBP | 4400000  | 4237177  |
|  5% 10/15/27  |  | 2650000  | 2262570  |
| Omega Healthcare Investors, Inc.: |  |  |  |
|  3.25% 4/15/33  |  | 5977000  | 4382582  |
|  3.375% 2/1/31  |  | 3399000  | 2656703  |
|  3.625% 10/1/29  |  | 7647000  | 6336008  |
|  4.375% 8/1/23  |  | 1368000  | 1350115  |
|  4.5% 1/15/25  |  | 2793000  | 2716317  |
|  4.5% 4/1/27  |  | 1500000  | 1398165  |
|  4.75% 1/15/28  |  | 7569000  | 6986572  |
|  4.95% 4/1/24  |  | 1152000  | 1135958  |
|  5.25% 1/15/26  |  | 5841000  | 5701764  |
| Physicians Realty LP 2.625% 11/1/31  |  | 1940000 | 1525028 |
| Piedmont Operating Partnership LP 2.75% 4/1/32  |  | 1374000 | 981510 |
| Prologis LP 3.25% 6/30/26  |  | 805000 | 765517 |
| Realty Income Corp.: |  |  |  |
|  2.2% 6/15/28  |  | 791000  | 678379  |
|  2.85% 12/15/32  |  | 1553000  | 1274263  |
|  3.1% 12/15/29  |  | 6235000  | 5445112  |
|  3.25% 1/15/31  |  | 1177000  | 1028136  |
|  3.4% 1/15/28  |  | 4790000  | 4430266  |
| Retail Opportunity Investments Partnership LP: |  |  |  |
|  4% 12/15/24  |  | 877000  | 837041  |
|  5% 12/15/23  |  | 626000  | 617836  |
| SBA Communications Corp.: |  |  |  |
|  3.125% 2/1/29  |  | 220000  | 183669  |
|  3.875% 2/15/27  |  | 400000  | 369297  |
| Senior Housing Properties Trust 4.75% 2/15/28  |  | 2917000 | 1997853 |
| Service Properties Trust: |  |  |  |
|  4.375% 2/15/30  |  | 200000  | 140336  |
|  4.95% 10/1/29  |  | 100000  | 72703  |
|  5.5% 12/15/27  |  | 100000  | 87000  |
| Simon Property Group LP: |  |  |  |
|  1.75% 2/1/28  |  | 1805000  | 1540441  |
|  2.45% 9/13/29  |  | 1270000  | 1067699  |
|  3.375% 10/1/24  |  | 2945000  | 2854985  |
|  3.5% 9/1/25  |  | 55000  | 52906  |
|  3.75% 2/1/24  |  | 375000  | 369380  |
| SITE Centers Corp.: |  |  |  |
|  3.625% 2/1/25  |  | 2396000  | 2260956  |
|  4.25% 2/1/26  |  | 5582000  | 5307142  |
| Spirit Realty LP 2.7% 2/15/32  |  | 7205000 | 5386767 |
| Store Capital Corp.: |  |  |  |
|  2.75% 11/18/30  |  | 1957000  | 1526077  |
|  4.625% 3/15/29  |  | 2475000  | 2266543  |
| Sun Communities Operating LP: |  |  |  |
|  2.3% 11/1/28  |  | 1550000  | 1275147  |
|  2.7% 7/15/31  |  | 4027000  | 3133235  |
| Uniti Group LP / Uniti Group Finance, Inc. 4.75% 4/15/28 (b) |  | 585000 | 488598 |
| Uniti Group, Inc. 7.875% 2/15/25 (b) |  | 2800000 | 2811768 |
| Ventas Realty LP: |  |  |  |
|  3% 1/15/30  |  | 10008000  | 8501919  |
|  3.85% 4/1/27  |  | 1750000  | 1648069  |
|  4% 3/1/28  |  | 2712000  | 2528597  |
|  4.125% 1/15/26  |  | 1628000  | 1573977  |
|  4.75% 11/15/30  |  | 13000000  | 12259585  |
| VICI Properties LP: |  |  |  |
|  4.375% 5/15/25  |  | 749000  | 720844  |
|  4.75% 2/15/28  |  | 6736000  | 6349758  |
|  4.95% 2/15/30  |  | 6790000  | 6418947  |
|  5.125% 5/15/32  |  | 3998000  | 3750164  |
|  5.625% 5/15/52  |  | 1498000  | 1352379  |
| VICI Properties LP / VICI Note Co.: |  |  |  |
|  3.5% 2/15/25 (b) |  | 125000  | 117647  |
|  3.75% 2/15/27 (b) |  | 805000  | 726166  |
|  3.875% 2/15/29 (b) |  | 1690000  | 1483361  |
|  4.25% 12/1/26 (b) |  | 670000  | 623221  |
|  4.5% 9/1/26 (b) |  | 1325000  | 1240757  |
|  4.5% 1/15/28 (b) |  | 435000  | 397991  |
|  4.625% 6/15/25 (b) |  | 315000  | 301443  |
|  5.625% 5/1/24 (b) |  | 1185000  | 1173551  |
|  5.75% 2/1/27 (b) |  | 1115000  | 1080454  |
| Vornado Realty LP: |  |  |  |
|  2.15% 6/1/26  |  | 1762000  | 1489236  |
|  3.4% 6/1/31  |  | 6373000  | 4858168  |
| Welltower, Inc.: |  |  |  |
|  2.7% 2/15/27  |  | 1090000  | 992436  |
|  2.75% 1/15/31  |  | 6560000  | 5321319  |
|  2.8% 6/1/31  |  | 2305000  | 1862964  |
| Weyerhaeuser Co. 4% 4/15/30  |  | 2150000 | 1952314 |
| WP Carey, Inc.: |  |  |  |
|  2.25% 4/1/33  |  | 3815000  | 2819709  |
|  2.4% 2/1/31  |  | 2070000  | 1645913  |
|  3.85% 7/15/29  |  | 1725000  | 1548458  |
|  4% 2/1/25  |  | 5544000  | 5392590  |
|  4.6% 4/1/24  |  | 7436000  | 7391100  |
|  |  |  | 286956947 |
| Real Estate Management & Development - 0.1% |  |  |  |
| ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S)  | EUR | 815000 | 386729 |
| ADLER Group SA: |  |  |  |
|  1.875% 1/14/26 (Reg. S)  | EUR | 300000  | 134550  |
|  2.25% 4/27/27 (Reg. S)  | EUR | 3100000  | 1306473  |
| Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (c) | EUR | 361000 | 360168 |
| Blackstone Property Partners Europe LP: |  |  |  |
|  1% 5/4/28 (Reg. S)  | EUR | 2355000  | 1905866  |
|  2.625% 10/20/28 (Reg. S)  | GBP | 350000  | 326466  |
| Brandywine Operating Partnership LP: |  |  |  |
|  3.95% 2/15/23  |  | 4006000  | 3983602  |
|  3.95% 11/15/27  |  | 5608000  | 4908531  |
|  4.1% 10/1/24  |  | 4892000  | 4707914  |
|  4.55% 10/1/29  |  | 1707000  | 1508305  |
| CBRE Group, Inc. 4.875% 3/1/26  |  | 12670000 | 12673789 |
| Essex Portfolio LP: |  |  |  |
|  1.7% 3/1/28  |  | 515000  | 427855  |
|  3.875% 5/1/24  |  | 2685000  | 2627423  |
| Extra Space Storage LP 2.35% 3/15/32  |  | 4011000 | 3050855 |
| GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S)  | EUR | 775000 | 587510 |
| Heimstaden AB 4.375% 3/6/27 (Reg. S)  | EUR | 800000 | 573912 |
| Host Hotels & Resorts LP 2.9% 12/15/31  |  | 740000 | 575584 |
| Howard Hughes Corp.: |  |  |  |
|  4.125% 2/1/29 (b) |  | 300000  | 247389  |
|  5.375% 8/1/28 (b) |  | 850000  | 768664  |
| Kennedy-Wilson, Inc. 4.75% 2/1/30  |  | 225000 | 178313 |
| Mattamy Group Corp. 4.625% 3/1/30 (b) |  | 1500000 | 1235228 |
| Mid-America Apartments LP 4% 11/15/25  |  | 1296000 | 1254890 |
| Samhallsbyggnadsbolaget I Norden AB: |  |  |  |
|  1% 8/12/27 (Reg. S)  | EUR | 400000  | 279845  |
|  1.75% 1/14/25 (Reg. S)  | EUR | 200000  | 174265  |
| Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S)  | EUR | 400000 | 319886 |
| Tanger Properties LP: |  |  |  |
|  2.75% 9/1/31  |  | 4140000  | 2960977  |
|  3.125% 9/1/26  |  | 3497000  | 3156490  |
|  3.875% 7/15/27  |  | 13369000  | 12151366  |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc.: |  |  |  |
|  5.125% 8/1/30 (b) |  | 2500000  | 2182450  |
|  5.75% 1/15/28 (b) |  | 280000  | 260145  |
|  5.875% 6/15/27 (b) |  | 1500000  | 1435181  |
| Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S)  | EUR | 780000 | 665026 |
|  |  |  | 67315647 |
| TOTAL REAL ESTATE |  |  | 354272594 |
| UTILITIES - 0.5%  |  |  |  |
| Electric Utilities - 0.3% |  |  |  |
| AEP Texas, Inc.: |  |  |  |
|  2.1% 7/1/30  |  | 2300000  | 1853074  |
|  3.45% 5/15/51  |  | 560000  | 394423  |
|  3.8% 10/1/47  |  | 845000  | 624735  |
| AEP Transmission Co. LLC: |  |  |  |
|  3.75% 12/1/47  |  | 850000  | 660814  |
|  4% 12/1/46  |  | 375000  | 302674  |
| Alabama Power Co.: |  |  |  |
|  3.75% 3/1/45  |  | 650000  | 509480  |
|  3.85% 12/1/42  |  | 700000  | 569888  |
|  4.1% 1/15/42  |  | 225000  | 181189  |
|  6.125% 5/15/38  |  | 835000  | 870295  |
| Alliant Energy Finance LLC 1.4% 3/15/26 (b) |  | 2300000 | 1978073 |
| American Electric Power Co., Inc. 5.95% 11/1/32  |  | 5000000 | 5286279 |
| Arizona Public Service Co.: |  |  |  |
|  2.6% 8/15/29  |  | 340000  | 284553  |
|  6.35% 12/15/32  |  | 1150000  | 1206935  |
| Atlantic City Electric Co. 2.3% 3/15/31  |  | 425000 | 348705 |
| AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (c) | EUR | 760000 | 648201 |
| CenterPoint Energy Houston Electric LLC 3.95% 3/1/48  |  | 1205000 | 997943 |
| CEZ A/S 2.375% 4/6/27 (Reg. S)  | EUR | 250000 | 238516 |
| Clearway Energy Operating LLC 4.75% 3/15/28 (b) |  | 60000 | 55426 |
| Cleco Corporate Holdings LLC 3.375% 9/15/29  |  | 4448000 | 3797114 |
| Comision Federal de Electricid 4.688% 5/15/29 (b) |  | 2277000 | 1982129 |
| Commonwealth Edison Co.: |  |  |  |
|  3.7% 8/15/28  |  | 250000  | 237264  |
|  3.7% 3/1/45  |  | 1065000  | 836673  |
|  4.35% 11/15/45  |  | 415000  | 359254  |
| Dominion Energy South Carolina: |  |  |  |
|  5.1% 6/1/65  |  | 275000  | 256461  |
|  5.45% 2/1/41  |  | 285000  | 283385  |
| DPL, Inc. 4.35% 4/15/29  |  | 2480000 | 2197900 |
| DTE Electric Co.: |  |  |  |
|  2.25% 3/1/30  |  | 625000  | 528846  |
|  3.75% 8/15/47  |  | 1050000  | 829264  |
| Duke Energy Carolinas LLC: |  |  |  |
|  2.95% 12/1/26  |  | 370000  | 352271  |
|  4% 9/30/42  |  | 2000000  | 1679741  |
|  4.25% 12/15/41  |  | 2345000  | 2045071  |
|  6.1% 6/1/37  |  | 775000  | 809079  |
| Duke Energy Corp.: |  |  |  |
|  3.75% 4/15/24  |  | 3190000  | 3140792  |
|  3.85% 6/15/34  | EUR | 800000  | 798798  |
|  5% 8/15/52  |  | 1822000  | 1655711  |
| Duke Energy Florida LLC: |  |  |  |
|  2.4% 12/15/31  |  | 1010000  | 830397  |
|  6.35% 9/15/37  |  | 675000  | 731839  |
| Duke Energy Progress LLC 4% 4/1/52  |  | 1315000 | 1075639 |
| Duquesne Light Holdings, Inc. 2.775% 1/7/32 (b) |  | 4273000 | 3351304 |
| ENEL Finance International NV 2.25% 7/12/31 (b) |  | 5660000 | 4220343 |
| Enel SpA 3.375% (Reg. S) (c)(i) | EUR | 1035000 | 978743 |
| Entergy Louisiana LLC 2.4% 10/1/26  |  | 1070000 | 974043 |
| Entergy, Inc. 1.75% 3/15/31  |  | 1475000 | 1153305 |
| Eskom Holdings SOC Ltd. 6.75% 8/6/23 (b) |  | 1000000 | 975000 |
| Evergy Kansas Central 4.125% 3/1/42  |  | 655000 | 550006 |
| Eversource Energy: |  |  |  |
|  1.65% 8/15/30  |  | 895000  | 701323  |
|  4.2% 6/27/24  |  | 1285000  | 1267370  |
|  4.6% 7/1/27  |  | 2925000  | 2895368  |
| Exelon Corp. 5.625% 6/15/35  |  | 150000 | 153629 |
| FirstEnergy Corp.: |  |  |  |
|  3.4% 3/1/50  |  | 3431000  | 2284463  |
|  7.375% 11/15/31  |  | 6359000  | 7160306  |
| Florida Power & Light Co.: |  |  |  |
|  3.8% 12/15/42  |  | 1280000  | 1073608  |
|  5.25% 2/1/41  |  | 400000  | 399860  |
| Fortis, Inc. 3.055% 10/4/26  |  | 301000 | 280297 |
| Georgia Power Co. 4.3% 3/15/42  |  | 400000 | 347456 |
| Hydro-Quebec 8.05% 7/7/24  |  | 1455000 | 1525437 |
| Iberdrola Finanzas SAU 7.375% 1/29/24  | GBP | 250000 | 309189 |
| InterGen NV 7% 6/30/23 (b) |  | 230000 | 225001 |
| IPALCO Enterprises, Inc. 3.7% 9/1/24  |  | 2644000 | 2560578 |
| Jersey Central Power & Light Co.: |  |  |  |
|  2.75% 3/1/32 (b) |  | 3560000  | 2895015  |
|  4.3% 1/15/26 (b) |  | 2000000  | 1933285  |
| Louisville Gas & Electric Co. 5.125% 11/15/40  |  | 345000 | 320494 |
| Metropolitan Edison Co. 4.3% 1/15/29 (b) |  | 2755000 | 2596481 |
| Mong Duong Finance Holdings BV 5.125% 5/7/29 (Reg. S)  |  | 250000 | 212500 |
| New England Power Co.: |  |  |  |
|  2.807% 10/6/50 (b) |  | 2062000  | 1278889  |
|  5.936% 11/25/52 (b) |  | 4495000  | 4633386  |
| NextEra Energy Capital Holdings, Inc.: |  |  |  |
|  3 month U.S. LIBOR + 0.270% 4.9349% 2/22/23 (c)(g) |  | 5000000  | 4998891  |
|  2.25% 6/1/30  |  | 970000  | 804669  |
|  2.75% 11/1/29  |  | 1660000  | 1442428  |
|  4.625% 7/15/27  |  | 2350000  | 2330599  |
| NextEra Energy Partners LP 4.25% 9/15/24 (b) |  | 27000 | 25408 |
| NGG Finance PLC 2.125% 9/5/82 (Reg. S) (c) | EUR | 1150000 | 990500 |
| Northern States Power Co.: |  |  |  |
|  3.6% 9/15/47  |  | 20000  | 15626  |
|  6.25% 6/1/36  |  | 370000  | 403934  |
| NRG Energy, Inc.: |  |  |  |
|  2% 12/2/25 (b) |  | 3120000  | 2794522  |
|  3.375% 2/15/29 (b) |  | 45000  | 37388  |
|  3.625% 2/15/31 (b) |  | 895000  | 715687  |
|  3.875% 2/15/32 (b) |  | 750000  | 602921  |
|  5.75% 1/15/28  |  | 245000  | 234588  |
|  6.625% 1/15/27  |  | 122000  | 122939  |
| ORSTED A/S 5.125% 9/13/34 (Reg. S)  | GBP | 400000 | 497055 |
| Pacific Gas & Electric Co.: |  |  |  |
|  3.95% 12/1/47  |  | 1700000  | 1185476  |
|  4% 12/1/46  |  | 645000  | 441023  |
|  4.5% 7/1/40  |  | 1345000  | 1072779  |
|  4.55% 7/1/30  |  | 3080000  | 2809629  |
|  4.95% 7/1/50  |  | 785000  | 628434  |
| PacifiCorp: |  |  |  |
|  2.9% 6/15/52  |  | 1000000  | 674443  |
|  5.25% 6/15/35  |  | 1320000  | 1295853  |
|  5.35% 12/1/53  |  | 1445000  | 1453581  |
|  5.75% 4/1/37  |  | 900000  | 916847  |
| Pattern Energy Operations LP 4.5% 8/15/28 (b) |  | 90000 | 80763 |
| PECO Energy Co.: |  |  |  |
|  2.8% 6/15/50  |  | 380000  | 252773  |
|  4.375% 8/15/52  |  | 725000  | 642751  |
| Pennsylvania Electric Co. 4.15% 4/15/25 (b) |  | 330000 | 316934 |
| PG&E Corp.: |  |  |  |
|  5% 7/1/28  |  | 1155000  | 1065615  |
|  5.25% 7/1/30  |  | 735000  | 665531  |
| PPL Electric Utilities Corp.: |  |  |  |
|  4.125% 6/15/44  |  | 800000  | 670958  |
|  4.15% 10/1/45  |  | 790000  | 661334  |
|  6.25% 5/15/39  |  | 350000  | 377609  |
| PT Perusahaan Listrik Negara 1.875% 11/5/31 (b) | EUR | 1500000 | 1117800 |
| Public Service Electric & Gas Co.: |  |  |  |
|  3.6% 12/1/47  |  | 410000  | 319019  |
|  3.65% 9/1/28  |  | 960000  | 905782  |
|  3.65% 9/1/42  |  | 625000  | 506016  |
|  3.95% 5/1/42  |  | 505000  | 424600  |
|  4.9% 12/15/32  |  | 685000  | 684555  |
| Puget Sound Energy, Inc. 5.764% 7/15/40  |  | 285000 | 283368 |
| Southern California Edison Co.: |  |  |  |
|  3.6% 2/1/45  |  | 2400000  | 1747404  |
|  3.9% 12/1/41  |  | 395000  | 299854  |
|  5.55% 1/15/37  |  | 430000  | 423584  |
| Southern Co. 1.875% 9/15/81 (c) | EUR | 1600000 | 1292425 |
| Southwestern Public Service Co. 5.15% 6/1/52  |  | 3000000 | 2740400 |
| Tampa Electric Co. 4.45% 6/15/49  |  | 800000 | 678003 |
| Tucson Electric Power Co. 3.25% 5/15/32  |  | 1200000 | 1033908 |
| Virginia Electric & Power Co.: |  |  |  |
|  6% 1/15/36  |  | 470000  | 487375  |
|  6% 5/15/37  |  | 930000  | 974987  |
| Vistra Operations Co. LLC: |  |  |  |
|  3.7% 1/30/27 (b) |  | 2900000  | 2651194  |
|  4.375% 5/1/29 (b) |  | 1000000  | 879373  |
|  5% 7/31/27 (b) |  | 195000  | 183041  |
|  5.5% 9/1/26 (b) |  | 770000  | 745152  |
|  5.625% 2/15/27 (b) |  | 5625000  | 5441924  |
| Western Power Distribution PLC 3.625% 11/6/23 (Reg. S)  | GBP | 250000 | 296935 |
| Wisconsin Power & Light Co. 4.1% 10/15/44  |  | 240000 | 188644 |
| Xcel Energy, Inc.: |  |  |  |
|  1.75% 3/15/27  |  | 880000  | 777421  |
|  4% 6/15/28  |  | 2640000  | 2531610  |
|  |  |  | 147539372 |
| Gas Utilities - 0.0% |  |  |  |
| AmeriGas Partners LP/AmeriGas Finance Corp.: |  |  |  |
|  5.75% 5/20/27  |  | 654000  | 623916  |
|  5.875% 8/20/26  |  | 5200000  | 4953000  |
| Nakilat, Inc. 6.067% 12/31/33 (b) |  | 612773 | 627250 |
| Piedmont Natural Gas Co., Inc. 5.05% 5/15/52  |  | 2500000 | 2275144 |
| Southern Co. Gas Capital Corp.: |  |  |  |
|  4.4% 6/1/43  |  | 870000  | 722379  |
|  5.15% 9/15/32  |  | 6215000  | 6141549  |
|  5.875% 3/15/41  |  | 2770000  | 2755457  |
|  |  |  | 18098695 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |  |
| Calpine Corp.: |  |  |  |
|  5% 2/1/31 (b) |  | 3365000  | 2908998  |
|  5.125% 3/15/28 (b) |  | 2700000  | 2418257  |
| RWE AG 2.75% 5/24/30 (Reg. S)  | EUR | 1850000 | 1805549 |
| TerraForm Power Operating LLC 5% 1/31/28 (b) |  | 645000 | 598238 |
| The AES Corp.: |  |  |  |
|  3.3% 7/15/25 (b) |  | 10697000  | 10011594  |
|  3.95% 7/15/30 (b) |  | 9327000  | 8165789  |
|  |  |  | 25908425 |
| Multi-Utilities - 0.1% |  |  |  |
| Ameren Illinois Co.: |  |  |  |
|  4.15% 3/15/46  |  | 1135000  | 960367  |
|  4.5% 3/15/49  |  | 420000  | 378258  |
| Berkshire Hathaway Energy Co.: |  |  |  |
|  3.7% 7/15/30  |  | 1280000  | 1187756  |
|  4.05% 4/15/25  |  | 16081000  | 15926539  |
|  6.125% 4/1/36  |  | 2980000  | 3178140  |
| CenterPoint Energy, Inc. 2.95% 3/1/30  |  | 625000 | 539924 |
| Consolidated Edison Co. of New York, Inc.: |  |  |  |
|  3.7% 11/15/59  |  | 1650000  | 1244425  |
|  4.3% 12/1/56  |  | 300000  | 243334  |
|  6.15% 11/15/52  |  | 1575000  | 1732010  |
| Dominion Energy, Inc. 7% 6/15/38  |  | 150000 | 163096 |
| Empresas Publicas de Medellin 4.375% 2/15/31 (Reg. S)  |  | 400000 | 293750 |
| NiSource, Inc.: |  |  |  |
|  2.95% 9/1/29  |  | 11346000  | 9947711  |
|  4.8% 2/15/44  |  | 550000  | 491464  |
|  5.95% 6/15/41  |  | 640000  | 646541  |
| Puget Energy, Inc.: |  |  |  |
|  2.379% 6/15/28  |  | 815000  | 697472  |
|  3.65% 5/15/25  |  | 1014000  | 965510  |
|  4.1% 6/15/30  |  | 6189000  | 5560249  |
|  4.224% 3/15/32  |  | 5488000  | 4896445  |
| San Diego Gas & Electric Co.: |  |  |  |
|  1.7% 10/1/30  |  | 3600000  | 2886541  |
|  3.32% 4/15/50  |  | 910000  | 655073  |
|  3.75% 6/1/47  |  | 860000  | 675119  |
| Sempra Energy: |  |  |  |
|  3.3% 4/1/25  |  | 2200000  | 2122365  |
|  4% 2/1/48  |  | 965000  | 743043  |
|  4.125% 4/1/52 (c) |  | 3845000  | 2989859  |
| WEC Energy Group, Inc.: |  |  |  |
|  3 month U.S. LIBOR + 2.610% 6.7186% 5/15/67 (c)(g) |  | 1012000  | 829902  |
|  1.8% 10/15/30  |  | 850000  | 671186  |
|  |  |  | 60626079 |
| Water Utilities - 0.0% |  |  |  |
| Essential Utilities, Inc. 4.276% 5/1/49  |  | 3000000 | 2418524 |
| Severn Trent Utilities Finance PLC: |  |  |  |
|  4.625% 11/30/34 (Reg. S)  | GBP | 210000  | 247524  |
|  6.125% 2/26/24  | GBP | 135000  | 164700  |
| Thames Water Utility Finance PLC 1.875% 1/24/24 (Reg. S)  | GBP | 270000 | 313627 |
|  |  |  | 3144375 |
| TOTAL UTILITIES |  |  | 255316946 |
| <br> **TOTAL NONCONVERTIBLE BONDS**<br> (Cost $5,125,392,268) |  |  | <br> **4482703231** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 8.7%** | &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 8.7%** | &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 8.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Government Agency Obligations - 0.1%  |  |  |
| Fannie Mae: |  |  |
|  0.5% 6/17/25  | 1685000 | 1534509 |
|  0.875% 8/5/30  | 815000 | 648575 |
|  1.625% 10/15/24  | 1295000 | 1228237 |
|  1.625% 1/7/25  | 310000 | 292646 |
|  2.5% 2/5/24  | 440000 | 429073 |
|  2.875% 9/12/23  | 505000 | 497476 |
|  6.625% 11/15/30  | 1480000 | 1734171 |
| Federal Home Loan Bank: |  |  |
|  0% 1/25/23  | 10000000 | 9933227 |
|  3.25% 11/16/28  | 1330000 | 1286461 |
| Freddie Mac: |  |  |
|  0.375% 4/20/23  | 885000 | 870550 |
|  0.375% 5/5/23  | 3065000 | 3010063 |
|  6.25% 7/15/32  | 2615000 | 3064653 |
|  6.75% 3/15/31  | 2810000 | 3334627 |
| Tennessee Valley Authority: |  |  |
|  0.75% 5/15/25  | 845000 | 770753 |
|  1.5% 9/15/31  | 780000 | 625371 |
|  2.875% 2/1/27  | 1060000 | 1009732 |
|  5.25% 9/15/39  | 150000 | 157176 |
|  7.125% 5/1/30  | 460000 | 541160 |
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |  | 30968460 |
| U.S. Treasury Inflation-Protected Obligations - 0.0%  |  |  |
| U.S. Treasury Inflation-Indexed Notes 0.625% 7/15/32  | 4043000 | 3887775 |
| U.S. Treasury Obligations - 8.6%  |  |  |
| U.S. Treasury Bills, yield at date of purchase 2.41% to 4.15% 12/22/22 to 4/6/23  | 116615000 | 116196640 |
| U.S. Treasury Bonds: |  |  |
|  1.375% 11/15/40  | 49314600 | 32703670 |
|  1.375% 8/15/50  | 845000 | 487327 |
|  1.75% 8/15/41  | 49015200 | 34195761 |
|  1.875% 2/15/41  | 62580000 | 45223828 |
|  1.875% 11/15/51  | 11385000 | 7486972 |
|  2% 11/15/41 (j)(k) | 246933000 | 179846319 |
|  2% 2/15/50  | 16780000 | 11462182 |
|  2.25% 5/15/41  | 93030000 | 71484107 |
|  2.25% 2/15/52  | 71600000 | 51705828 |
|  2.375% 2/15/42  | 104806000 | 81686310 |
|  2.375% 5/15/51  | 360497000 | 268091482 |
|  2.5% 2/15/46  | 94828000 | 72654547 |
|  2.5% 5/15/46  | 19190000 | 14678101 |
|  2.75% 8/15/47  | 10820000 | 8680937 |
|  2.875% 5/15/52  | 250020000 | 207829125 |
|  3% 8/15/52  | 3170000 | 2714313 |
|  3.25% 5/15/42 (j)(k) | 5820000 | 5227997 |
|  3.375% 8/15/42  | 12725000 | 11641387 |
|  3.625% 8/15/43  | 32563100 | 30691994 |
|  4% 11/15/52  | 96025000 | 99866000 |
|  6.25% 8/15/23  | 11080000 | 11203784 |
|  stripped coupon:  |  |  |
| 0% 2/15/29 <br>| 120000 | 94483 |
| 0% 2/15/36 <br>| 1100000 | 656534 |
| 0% 11/15/36 <br>| 1975000 | 1140045 |
| 0% 5/15/39 <br>| 2410000 | 1254897 |
| 0% 8/15/39 <br>| 8745000 | 4521821 |
| 0% 8/15/40 <br>| 31315000 | 15318892 |
| 0% 2/15/41 <br>| 1890000 | 905234 |
| 0% 5/15/41 <br>| 41450000 | 19631314 |
| 0% 8/15/41 <br>| 1840000 | 859715 |
| 0% 11/15/41 <br>| 850000 | 389787 |
| 0% 5/15/42 <br>| 2635000 | 1175588 |
| 0% 8/15/42 <br>| 490000 | 215828 |
| 0% 11/15/42 <br>| 1280000 | 556351 |
| 0% 5/15/44 <br>| 7670000 | 3138389 |
| U.S. Treasury Notes: |  |  |
|  0.125% 9/15/23  | 13180000 | 12714066 |
|  0.375% 4/30/25  | 4920000 | 4491422 |
|  0.375% 1/31/26  | 8470000 | 7552527 |
|  0.5% 2/28/26  | 22520000 | 20107017 |
|  0.75% 3/31/26  | 71770000 | 64539733 |
|  0.75% 4/30/26  | 71811200 | 64366398 |
|  0.875% 6/30/26  | 41590000 | 37283160 |
|  0.875% 9/30/26 (j)(k) | 4300000 | 3830527 |
|  1.25% 11/30/26  | 207200000 | 186755186 |
|  1.25% 12/31/26  | 29355000 | 26405740 |
|  1.25% 4/30/28  | 288000000 | 252033751 |
|  1.5% 2/29/24 (j)(l) | 5700000 | 5484914 |
|  1.5% 1/31/27  | 121000000 | 109807500 |
|  1.5% 11/30/28  | 36290000 | 31826047 |
|  1.75% 3/15/25  | 26460000 | 25031414 |
|  2.125% 7/31/24  | 41045000 | 39464126 |
|  2.125% 5/15/25  | 22900000 | 21788992 |
|  2.5% 4/30/24  | 12240000 | 11887144 |
|  2.5% 5/31/24  | 29075000 | 28199343 |
|  2.625% 2/15/29  | 10965000 | 10250562 |
|  2.625% 7/31/29 (j) | 3371000 | 3145038 |
|  2.75% 5/15/25  | 50000 | 48305 |
|  2.75% 7/31/27  | 60945000 | 58069158 |
|  2.75% 8/15/32  | 45800000 | 42422250 |
|  2.875% 5/15/28  | 18690000 | 17802225 |
|  2.875% 5/15/32  | 430539000 | 403563041 |
|  3% 7/15/25  | 15015000 | 14580973 |
|  3.125% 11/15/28  | 14283500 | 13751774 |
|  3.875% 11/30/27  | 46795000 | 46970481 |
|  3.875% 11/30/29  | 21975000 | 22167281 |
|  4.125% 9/30/27  | 71945000 | 72821830 |
|  4.125% 10/31/27  | 225470000 | 228341221 |
|  4.125% 11/15/32  | 99825000 | 103724414 |
|  4.25% 9/30/24  | 150240000 | 149788107 |
|  4.25% 10/15/25  | 18000000 | 18066094 |
|  4.375% 10/31/24  | 9000000 | 8997891 |
|  4.5% 11/30/24  | 429750000 | 431025820 |
|  4.5% 11/15/25  | 26860000 | 27162175 |
| TOTAL U.S. TREASURY OBLIGATIONS |  | 4041885136 |
| Other Government Related - 0.0%  |  |  |
| Private Export Funding Corp. Secured: |  |  |
|  1.4% 7/15/28  | 2605000 | 2244278 |
|  3.55% 1/15/24  | 755000 | 745033 |
| TOTAL OTHER GOVERNMENT RELATED |  | 2989311 |
| <br> **TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $4,499,944,595) |  | <br> **4079730682** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 10.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 10.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 10.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Fannie Mae - 2.9%  |  |  |
| 12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (c)(g) | 2540 | 2566 |
| 12 month U.S. LIBOR + 1.820% 2.293% 2/1/35 (c)(g) | 23588 | 23635 |
| 12 month U.S. LIBOR + 1.950% 3.771% 7/1/37 (c)(g) | 7234 | 7356 |
| 1.5% 1/1/36 to 11/1/51  | 55565207 | 44586814 |
| 2% 8/1/31 to 4/1/52  | 337469674 | 281717820 |
| 2.5% 6/1/28 to 5/1/52  | 358700559 | 312976174 |
| 3% 2/1/27 to 7/1/52 (j)(k) | 305198475 | 274223512 |
| 3.5% 5/1/29 to 12/1/52 (j)(k) | 198589994 | 183901510 |
| 4% 7/1/37 to 5/1/52  | 109852845 | 105670513 |
| 4.5% 6/1/24 to 8/1/52  | 86021489 | 84675063 |
| 5% 6/1/24 to 11/1/52  | 69590115 | 69911426 |
| 5.264% 8/1/41 (c) | 219891 | 221236 |
| 5.5% 11/1/36 to 11/1/52  | 16773769 | 17022639 |
| 6% to 6% 2/1/34 to 1/1/42 (k) | 7953745 | 8311432 |
| 6% 11/1/52  | 4500832 | 4592959 |
| 6.5% 2/1/36  | 1240 | 1321 |
| 6.666% 2/1/39 (c) | 116280 | 119056 |
| TOTAL FANNIE MAE |  | 1387965032 |
| Freddie Mac - 1.6%  |  |  |
| 6 month U.S. LIBOR + 2.680% 4.983% 10/1/35 (c)(g) | 2348 | 2416 |
| 1.5% 3/1/36 to 6/1/51  | 10900891 | 8693626 |
| 2% 1/1/32 to 4/1/52 (j)(m) | 145596550 | 121725867 |
| 2.5% 3/1/28 to 5/1/52  | 177929124 | 154081670 |
| 3% 10/1/28 to 6/1/52  | 176214273 | 158750756 |
| 3.5% 2/1/29 to 11/1/52  | 174599513 | 163095323 |
| 4% 1/1/36 to 8/1/52  | 72855037 | 70176104 |
| 4.5% 7/1/25 to 7/1/52  | 25706429 | 25434985 |
| 5% 10/1/33 to 12/1/52  | 19806191 | 19877026 |
| 5.5% 9/1/52 to 11/1/52  | 4184352 | 4234645 |
| 6% 7/1/37 to 9/1/52  | 5053338 | 5174909 |
| 6.5% 9/1/39  | 274970 | 295844 |
| TOTAL FREDDIE MAC |  | 731543171 |
| Ginnie Mae - 1.9%  |  |  |
| 3.5% 9/20/40 to 7/20/52  | 94477673 | 88476364 |
| 4.5% 5/15/39 to 9/20/52  | 34405716 | 33977499 |
| 5.5% 6/15/36 to 3/20/41  | 125201 | 129303 |
| 2% 1/20/51 to 12/20/51  | 26016536 | 22189607 |
| 2% 12/1/52 (h) | 7000000 | 5943754 |
| 2% 12/1/52 (h) | 12050000 | 10231748 |
| 2% 12/1/52 (h) | 4000000 | 3396431 |
| 2% 12/1/52 (h) | 2600000 | 2207680 |
| 2% 12/1/52 (h) | 2850000 | 2419957 |
| 2% 12/1/52 (h) | 700000 | 594375 |
| 2% 12/1/52 (h) | 6450000 | 5476745 |
| 2% 12/1/52 (h) | 11650000 | 9892105 |
| 2% 12/1/52 (h) | 3150000 | 2674689 |
| 2% 12/1/52 (h) | 7500000 | 6368308 |
| 2% 12/1/52 (h) | 4000000 | 3396431 |
| 2% 12/1/52 (h) | 8200000 | 6962683 |
| 2% 12/1/52 (h) | 13500000 | 11462954 |
| 2% 12/1/52 (h) | 26850000 | 22798542 |
| 2% 12/1/52 (h) | 6600000 | 5604111 |
| 2% 12/1/52 (h) | 13100000 | 11123311 |
| 2% 1/1/53 (h) | 9900000 | 8413900 |
| 2% 1/1/53 (h) | 3300000 | 2804633 |
| 2% 1/1/53 (h) | 19400000 | 16487845 |
| 2% 1/1/53 (h) | 6600000 | 5609267 |
| 2% 1/1/53 (h) | 6450000 | 5481783 |
| 2% 1/1/53 (h) | 13150000 | 11176039 |
| 2% 1/1/53 (h) | 6400000 | 5439289 |
| 2% 1/1/53 (h) | 3250000 | 2762139 |
| 2% 1/1/53 (h) | 4500000 | 3824500 |
| 2% 1/1/53 (h) | 8650000 | 7351539 |
| 2% 1/1/53 (h) | 6800000 | 5779245 |
| 2% 1/1/53 (h) | 3350000 | 2847128 |
| 2% 1/1/53 (h) | 3850000 | 3272072 |
| 2% 1/1/53 (h) | 7300000 | 6204189 |
| 2.5% 8/20/46 to 9/20/51  | 58128379 | 51251141 |
| 2.5% 12/1/52 (h) | 3650000 | 3202425 |
| 2.5% 12/1/52 (h) | 7300000 | 6404849 |
| 2.5% 12/1/52 (h) | 6600000 | 5790686 |
| 2.5% 12/1/52 (h) | 5550000 | 4869440 |
| 2.5% 12/1/52 (h) | 3050000 | 2675999 |
| 2.5% 12/1/52 (h) | 13300000 | 11669109 |
| 2.5% 12/1/52 (h) | 3600000 | 3158556 |
| 2.5% 12/1/52 (h) | 6500000 | 5702948 |
| 2.5% 12/1/52 (h) | 15775000 | 13840616 |
| 2.5% 12/1/52 (h) | 10100000 | 8861504 |
| 2.5% 12/1/52 (h) | 17775000 | 15595369 |
| 2.5% 12/1/52 (h) | 13350000 | 11712978 |
| 2.5% 12/1/52 (h) | 26600000 | 23338218 |
| 2.5% 12/1/52 (h) | 7300000 | 6404849 |
| 2.5% 12/1/52 (h) | 14600000 | 12809698 |
| 2.5% 1/1/53 (h) | 3650000 | 3205134 |
| 2.5% 1/1/53 (h) | 6600000 | 5795584 |
| 2.5% 1/1/53 (h) | 7300000 | 6410267 |
| 2.5% 1/1/53 (h) | 13350000 | 11722886 |
| 2.5% 1/1/53 (h) | 7300000 | 6410267 |
| 2.5% 1/1/53 (h) | 13300000 | 11678980 |
| 2.5% 1/1/53 (h) | 4000000 | 3512475 |
| 2.5% 1/1/53 (h) | 7250000 | 6366361 |
| 2.5% 1/1/53 (h) | 6550000 | 5751678 |
| 2.5% 1/1/53 (h) | 3575000 | 3139275 |
| 2.5% 1/1/53 (h) | 4100000 | 3600287 |
| 2.5% 1/1/53 (h) | 7350000 | 6454173 |
| 3% 8/20/42 to 2/20/52  | 85601545 | 77952782 |
| 3% 12/1/52 (h) | 3400000 | 3066581 |
| 3% 12/1/52 (h) | 9050000 | 8162517 |
| 3% 12/1/52 (h) | 4750000 | 4284194 |
| 3% 12/1/52 (h) | 12650000 | 11409485 |
| 3% 12/1/52 (h) | 13550000 | 12221227 |
| 3% 12/1/52 (h) | 5050000 | 4554775 |
| 3% 12/1/52 (h) | 2900000 | 2615613 |
| 3% 12/1/52 (h) | 9400000 | 8478195 |
| 3% 1/1/53 (h) | 6550000 | 5911772 |
| 3% 1/1/53 (h) | 18200000 | 16426603 |
| 3% 1/1/53 (h) | 3950000 | 3565114 |
| 3% 1/1/53 (h) | 10950000 | 9883039 |
| 3.5% 11/1/52 (h) | 100000 | 92787 |
| 3.5% 11/1/52 (h) | 2900000 | 2690826 |
| 3.5% 11/1/52 (h) | 1000000 | 927871 |
| 3.5% 12/1/52 (h) | 4000000 | 3710859 |
| 3.5% 12/1/52 (h) | 2500000 | 2319287 |
| 3.5% 12/1/52 (h) | 3250000 | 3015073 |
| 3.5% 12/1/52 (h) | 1600000 | 1484344 |
| 3.5% 12/1/52 (h) | 14700000 | 13637406 |
| 3.5% 12/1/52 (h) | 6700000 | 6215688 |
| 3.5% 1/1/53 (h) | 6300000 | 5847556 |
| 3.5% 1/1/53 (h) | 13900000 | 12901751 |
| 3.5% 1/1/53 (h) | 2500000 | 2320459 |
| 3.5% 1/1/53 (h) | 1000000 | 928184 |
| 3.5% 1/1/53 (h) | 2000000 | 1856367 |
| 4% 5/20/40 to 5/20/49  | 51654606 | 50112433 |
| 4.5% 11/1/52 (h) | 4000000 | 3920468 |
| 4.5% 12/1/52 (h) | 1500000 | 1469355 |
| 4.5% 12/1/52 (h) | 5400000 | 5289679 |
| 4.5% 12/1/52 (h) | 700000 | 685699 |
| 4.5% 1/1/53 (h) | 500000 | 485156 |
| 5% 6/20/34 to 8/20/52  | 15056614 | 15238174 |
| 5% 12/1/52 (h) | 6600000 | 6596625 |
| 5.5% 1/1/53 (h) | 3000000 | 3033120 |
| TOTAL GINNIE MAE |  | 917426981 |
| Uniform Mortgage Backed Securities - 4.4%  |  |  |
| 1.5% 12/1/37 (h) | 3000000 | 2621963 |
| 1.5% 12/1/37 (h) | 8400000 | 7341498 |
| 1.5% 12/1/37 (h) | 6750000 | 5899418 |
| 1.5% 12/1/37 (h) | 2400000 | 2097571 |
| 1.5% 12/1/37 (h) | 1200000 | 1048785 |
| 1.5% 12/1/37 (h) | 3400000 | 2971559 |
| 1.5% 12/1/37 (h) | 900000 | 786589 |
| 1.5% 12/1/37 (h) | 2550000 | 2228669 |
| 1.5% 12/1/37 (h) | 850000 | 742890 |
| 1.5% 12/1/37 (h) | 2250000 | 1966473 |
| 1.5% 1/1/38 (h) | 1200000 | 1050426 |
| 1.5% 1/1/38 (h) | 4850000 | 4245471 |
| 1.5% 1/1/38 (h) | 3350000 | 2932439 |
| 1.5% 1/1/38 (h) | 13500000 | 11817291 |
| 1.5% 12/1/52 (h) | 12600000 | 9787695 |
| 1.5% 12/1/52 (h) | 24700000 | 19186990 |
| 1.5% 12/1/52 (h) | 12500000 | 9710015 |
| 1.5% 12/1/52 (h) | 6350000 | 4932688 |
| 1.5% 12/1/52 (h) | 3400000 | 2641124 |
| 1.5% 12/1/52 (h) | 3400000 | 2641124 |
| 1.5% 1/1/53 (h) | 11850000 | 9154588 |
| 1.5% 1/1/53 (h) | 25400000 | 19622492 |
| 2% 12/1/37 (h) | 3900000 | 3503419 |
| 2% 12/1/37 (h) | 7000000 | 6288188 |
| 2% 12/1/37 (h) | 8400000 | 7545826 |
| 2% 12/1/37 (h) | 15100000 | 13564520 |
| 2% 12/1/37 (h) | 2800000 | 2515275 |
| 2% 12/1/37 (h) | 1150000 | 1033059 |
| 2% 12/1/37 (h) | 5050000 | 4536479 |
| 2% 12/1/37 (h) | 2000000 | 1796625 |
| 2% 12/1/37 (h) | 1650000 | 1482216 |
| 2% 12/1/37 (h) | 900000 | 808481 |
| 2% 1/1/38 (h) | 5100000 | 4587172 |
| 2% 1/1/38 (h) | 9550000 | 8589704 |
| 2% 1/1/38 (h) | 1550000 | 1394140 |
| 2% 1/1/38 (h) | 2900000 | 2608392 |
| 2% 1/1/38 (h) | 3050000 | 2743308 |
| 2% 1/1/38 (h) | 5750000 | 5171811 |
| 2% 12/1/52 (h) | 1600000 | 1315900 |
| 2% 12/1/52 (h) | 24250000 | 19944109 |
| 2% 12/1/52 (h) | 33750000 | 27757266 |
| 2% 12/1/52 (h) | 33700000 | 27716144 |
| 2% 12/1/52 (h) | 17150000 | 14104803 |
| 2% 12/1/52 (h) | 12100000 | 9951494 |
| 2% 12/1/52 (h) | 16800000 | 13816950 |
| 2% 12/1/52 (h) | 11950000 | 9828128 |
| 2% 12/1/52 (h) | 11950000 | 9828128 |
| 2% 12/1/52 (h) | 16650000 | 13693584 |
| 2% 12/1/52 (h) | 16650000 | 13693584 |
| 2% 12/1/52 (h) | 12650000 | 10403834 |
| 2% 12/1/52 (h) | 19225000 | 15811361 |
| 2% 12/1/52 (h) | 11425000 | 9396348 |
| 2% 12/1/52 (h) | 13900000 | 11431881 |
| 2% 12/1/52 (h) | 11950000 | 9828128 |
| 2% 12/1/52 (h) | 15025000 | 12357123 |
| 2% 12/1/52 (h) | 5950000 | 4893503 |
| 2% 12/1/52 (h) | 6000000 | 4934625 |
| 2% 12/1/52 (h) | 7550000 | 6209403 |
| 2% 12/1/52 (h) | 7500000 | 6168281 |
| 2% 12/1/52 (h) | 19575000 | 16099214 |
| 2% 12/1/52 (h) | 8875000 | 7299133 |
| 2% 12/1/52 (h) | 22350000 | 18381478 |
| 2% 12/1/52 (h) | 13050000 | 10732809 |
| 2% 12/1/52 (h) | 5575000 | 4585089 |
| 2% 12/1/52 (h) | 4450000 | 3659847 |
| 2% 1/1/53 (h) | 6050000 | 4980946 |
| 2% 1/1/53 (h) | 8200000 | 6751035 |
| 2% 1/1/53 (h) | 6050000 | 4980946 |
| 2% 1/1/53 (h) | 1200000 | 987956 |
| 2% 1/1/53 (h) | 8200000 | 6751035 |
| 2% 1/1/53 (h) | 1650000 | 1358440 |
| 2% 1/1/53 (h) | 6050000 | 4980946 |
| 2% 1/1/53 (h) | 24300000 | 20006115 |
| 2% 1/1/53 (h) | 8200000 | 6751035 |
| 2% 1/1/53 (h) | 33000000 | 27168798 |
| 2% 1/1/53 (h) | 25375000 | 20891159 |
| 2% 1/1/53 (h) | 21000000 | 17289235 |
| 2% 1/1/53 (h) | 22350000 | 18400686 |
| 2% 1/1/53 (h) | 13050000 | 10744025 |
| 2% 1/1/53 (h) | 12000000 | 9879563 |
| 2% 1/1/53 (h) | 16300000 | 13419739 |
| 2% 1/1/53 (h) | 11425000 | 9406167 |
| 2% 1/1/53 (h) | 12850000 | 10579365 |
| 2% 1/1/53 (h) | 11750000 | 9673739 |
| 2% 1/1/53 (h) | 19575000 | 16116037 |
| 2% 1/1/53 (h) | 29800000 | 24534248 |
| 2% 1/1/53 (h) | 9250000 | 7615496 |
| 2% 1/1/53 (h) | 12100000 | 9961892 |
| 2% 1/1/53 (h) | 16400000 | 13502069 |
| 2% 1/1/53 (h) | 24150000 | 19882620 |
| 2% 1/1/53 (h) | 32800000 | 27004138 |
| 2.5% 12/1/37 (h) | 6100000 | 5633922 |
| 2.5% 12/1/37 (h) | 5300000 | 4895047 |
| 2.5% 12/1/37 (h) | 2300000 | 2124266 |
| 2.5% 12/1/37 (h) | 2300000 | 2124266 |
| 2.5% 12/1/37 (h) | 6100000 | 5633922 |
| 2.5% 12/1/37 (h) | 2300000 | 2124266 |
| 2.5% 12/1/37 (h) | 3000000 | 2770781 |
| 2.5% 1/1/38 (h) | 8400000 | 7764750 |
| 2.5% 12/1/52 (h) | 6775000 | 5789449 |
| 2.5% 12/1/52 (h) | 2000000 | 1709062 |
| 2.5% 12/1/52 (h) | 20375000 | 17411073 |
| 2.5% 12/1/52 (h) | 9000000 | 7690781 |
| 2.5% 12/1/52 (h) | 2000000 | 1709062 |
| 2.5% 12/1/52 (h) | 23450000 | 20038757 |
| 2.5% 12/1/52 (h) | 24175000 | 20658292 |
| 2.5% 12/1/52 (h) | 21825000 | 18650143 |
| 2.5% 12/1/52 (h) | 8975000 | 7669418 |
| 2.5% 12/1/52 (h) | 18150000 | 15509741 |
| 2.5% 12/1/52 (h) | 9050000 | 7733507 |
| 2.5% 12/1/52 (h) | 10600000 | 9058031 |
| 2.5% 12/1/52 (h) | 5300000 | 4529015 |
| 2.5% 12/1/52 (h) | 11950000 | 10211648 |
| 2.5% 12/1/52 (h) | 6950000 | 5938992 |
| 2.5% 12/1/52 (h) | 3150000 | 2691773 |
| 2.5% 12/1/52 (h) | 5350000 | 4571742 |
| 2.5% 12/1/52 (h) | 3000000 | 2563594 |
| 2.5% 1/1/53 (h) | 17000000 | 14540977 |
| 2.5% 1/1/53 (h) | 11900000 | 10178684 |
| 2.5% 1/1/53 (h) | 27925000 | 23885693 |
| 2.5% 1/1/53 (h) | 29100000 | 24890732 |
| 2.5% 1/1/53 (h) | 10925000 | 9344716 |
| 2.5% 1/1/53 (h) | 26025000 | 22260525 |
| 2.5% 1/1/53 (h) | 14625000 | 12509517 |
| 2.5% 1/1/53 (h) | 29100000 | 24890732 |
| 2.5% 1/1/53 (h) | 36900000 | 31562474 |
| 2.5% 1/1/53 (h) | 14600000 | 12488133 |
| 2.5% 1/1/53 (h) | 26250000 | 22452980 |
| 2.5% 1/1/53 (h) | 4850000 | 4148455 |
| 2.5% 1/1/53 (h) | 8750000 | 7484327 |
| 3% 11/1/52 (h) | 925000 | 819059 |
| 3% 11/1/52 (h) | 5575000 | 4936489 |
| 3% 11/1/52 (h) | 3700000 | 3276235 |
| 3% 11/1/52 (h) | 575000 | 509145 |
| 3% 11/1/52 (h) | 5500000 | 4870078 |
| 3% 11/1/52 (h) | 1600000 | 1416750 |
| 3% 11/1/52 (h) | 550000 | 487008 |
| 3% 11/1/52 (h) | 1000000 | 885469 |
| 3% 11/1/52 (h) | 3575000 | 3165551 |
| 3% 12/1/52 (h) | 2050000 | 1814731 |
| 3% 12/1/52 (h) | 3500000 | 3098320 |
| 3% 12/1/52 (h) | 22650000 | 20050559 |
| 3% 12/1/52 (h) | 16200000 | 14340797 |
| 3% 12/1/52 (h) | 10700000 | 9472008 |
| 3% 12/1/52 (h) | 7700000 | 6816305 |
| 3% 12/1/52 (h) | 5975000 | 5289276 |
| 3% 12/1/52 (h) | 14350000 | 12703114 |
| 3% 12/1/52 (h) | 4000000 | 3540938 |
| 3% 12/1/52 (h) | 3500000 | 3098320 |
| 3% 12/1/52 (h) | 7000000 | 6196641 |
| 3% 12/1/52 (h) | 9825000 | 8697428 |
| 3% 12/1/52 (h) | 5050000 | 4470434 |
| 3% 12/1/52 (h) | 10000000 | 8852344 |
| 3% 12/1/52 (h) | 32150000 | 28460286 |
| 3% 12/1/52 (h) | 550000 | 486879 |
| 3% 12/1/52 (h) | 250000 | 221309 |
| 3% 12/1/52 (h) | 1050000 | 929496 |
| 3% 12/1/52 (h) | 1050000 | 929496 |
| 3% 12/1/52 (h) | 1500000 | 1327852 |
| 3% 12/1/52 (h) | 5500000 | 4868789 |
| 3% 12/1/52 (h) | 1500000 | 1327852 |
| 3% 1/1/53 (h) | 16500000 | 14616035 |
| 3% 1/1/53 (h) | 29000000 | 25688789 |
| 3% 1/1/53 (h) | 1800000 | 1594477 |
| 3% 1/1/53 (h) | 3550000 | 3144662 |
| 3% 1/1/53 (h) | 3000000 | 2657461 |
| 3% 1/1/53 (h) | 5950000 | 5270631 |
| 3.5% 12/1/52 (h) | 6800000 | 6230500 |
| 3.5% 12/1/52 (h) | 16950000 | 15530438 |
| 3.5% 12/1/52 (h) | 9500000 | 8704375 |
| 3.5% 12/1/52 (h) | 4500000 | 4123125 |
| 3.5% 12/1/52 (h) | 14000000 | 12827500 |
| 3.5% 12/1/52 (h) | 7500000 | 6871875 |
| 3.5% 12/1/52 (h) | 14000000 | 12827500 |
| 3.5% 12/1/52 (h) | 2000000 | 1832500 |
| 3.5% 12/1/52 (h) | 16500000 | 15118125 |
| 3.5% 12/1/52 (h) | 29825000 | 27327156 |
| 3.5% 12/1/52 (h) | 400000 | 366500 |
| 3.5% 12/1/52 (h) | 6500000 | 5955625 |
| 3.5% 1/1/53 (h) | 2000000 | 1833438 |
| 3.5% 1/1/53 (h) | 4600000 | 4216906 |
| 4% 12/1/52 (h) | 1900000 | 1797875 |
| 4% 12/1/52 (h) | 5500000 | 5204375 |
| 4% 12/1/52 (h) | 2500000 | 2365625 |
| 4% 12/1/52 (h) | 4700000 | 4447375 |
| 4% 12/1/52 (h) | 12600000 | 11922750 |
| 4% 12/1/52 (h) | 12775000 | 12088344 |
| 4% 12/1/52 (h) | 30775000 | 29120844 |
| 4% 12/1/52 (h) | 10450000 | 9888313 |
| 4% 12/1/52 (h) | 5850000 | 5535563 |
| 4% 12/1/52 (h) | 2175000 | 2058094 |
| 4% 12/1/52 (h) | 3000000 | 2838750 |
| 4% 12/1/52 (h) | 7500000 | 7096875 |
| 4% 12/1/52 (h) | 4000000 | 3785000 |
| 4% 12/1/52 (h) | 2100000 | 1987125 |
| 4.5% 12/1/52 (h) | 2650000 | 2579611 |
| 4.5% 12/1/52 (h) | 9350000 | 9101645 |
| 4.5% 12/1/52 (h) | 25825000 | 25139036 |
| 4.5% 12/1/52 (h) | 4500000 | 4380471 |
| 4.5% 12/1/52 (h) | 3500000 | 3407033 |
| 4.5% 12/1/52 (h) | 20250000 | 19712120 |
| 4.5% 12/1/52 (h) | 23375000 | 22754113 |
| 4.5% 12/1/52 (h) | 17250000 | 16791806 |
| 4.5% 12/1/52 (h) | 9050000 | 8809614 |
| 4.5% 12/1/52 (h) | 4950000 | 4818518 |
| 4.5% 1/1/53 (h) | 1050000 | 1022110 |
| 4.5% 1/1/53 (h) | 6400000 | 6230003 |
| 5% 12/1/52 (h) | 10500000 | 10454057 |
| 5% 12/1/52 (h) | 10000000 | 9956245 |
| 5% 12/1/52 (h) | 9000000 | 8960621 |
| 5% 12/1/52 (h) | 7500000 | 7467184 |
| 5% 12/1/52 (h) | 9000000 | 8960621 |
| 5% 12/1/52 (h) | 13150000 | 13092462 |
| 5% 12/1/52 (h) | 14725000 | 14660571 |
| 5% 12/1/52 (h) | 34400000 | 34249483 |
| 5% 12/1/52 (h) | 225000 | 224016 |
| 5% 12/1/52 (h) | 17625000 | 17547882 |
| 5% 12/1/52 (h) | 2200000 | 2190374 |
| 5% 12/1/52 (h) | 1000000 | 995625 |
| 5% 12/1/52 (h) | 2500000 | 2489061 |
| 5% 12/1/52 (h) | 1500000 | 1493437 |
| 5% 1/1/53 (h) | 4500000 | 4478904 |
| 5% 1/1/53 (h) | 5000000 | 4976560 |
| 5.5% 12/1/52 (h) | 3700000 | 3742203 |
| 5.5% 12/1/52 (h) | 4500000 | 4551328 |
| 5.5% 12/1/52 (h) | 7300000 | 7383265 |
| 5.5% 12/1/52 (h) | 3500000 | 3539922 |
| 5.5% 12/1/52 (h) | 5875000 | 5942011 |
| 5.5% 12/1/52 (h) | 5125000 | 5183457 |
| 5.5% 12/1/52 (h) | 2600000 | 2629656 |
| 5.5% 12/1/52 (h) | 9000000 | 9102656 |
| 5.5% 12/1/52 (h) | 2200000 | 2225094 |
| 5.5% 12/1/52 (h) | 6100000 | 6169578 |
| 5.5% 12/1/52 (h) | 2600000 | 2629656 |
| 5.5% 12/1/52 (h) | 4025000 | 4070910 |
| 5.5% 1/1/53 (h) | 5000000 | 5053906 |
| 5.5% 1/1/53 (h) | 14500000 | 14656327 |
| 5.5% 1/1/53 (h) | 7000000 | 7075468 |
| 6% 12/1/52 (h) | 2700000 | 2762016 |
| 6% 12/1/52 (h) | 2400000 | 2455125 |
| 6% 12/1/52 (h) | 2700000 | 2762016 |
| 6% 12/1/52 (h) | 3000000 | 3068906 |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES |  | 2055079362 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $5,245,760,331) |  | <br> **5092014546** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 2.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 2.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 2.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 2.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AASET Trust: |  |  |  |
|  Series 2018-1A Class A, 3.844% 1/16/38 (b) |  | 2443785 | 1479881 |
|  Series 2019-1 Class A, 3.844% 5/15/39 (b) |  | 2823664 | 1875591 |
|  Series 2019-2:  |  |  |  |
| Class A, 3.376% 10/16/39 (b) <br>|  | 6679486 | 4749666 |
| Class B, 4.458% 10/16/39 (b)(e) <br>|  | 1333003 | 612572 |
|  Series 2021-1A Class A, 2.95% 11/16/41 (b) |  | 5128676 | 4077177 |
| Accredited Mortgage Loan Trust Series 2006-1 Class M1, 1 month U.S. LIBOR + 0.330% 1.0533% 4/25/36 (c)(g) |  | 2414000 | 2174358 |
| Aegis Asset Backed Securities Trust Series 2005-5 Class M1, 1 month U.S. LIBOR + 0.640% 4.6886% 12/25/35 (g) |  | 11165000 | 10181537 |
| AIG CLO LLC Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.120% 5.3626% 4/20/32 (b)(c)(g) |  | 7500000 | 7342335 |
| Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 1/15/32 (b)(c)(g) |  | 1584000 | 1552819 |
| AIMCO CLO Series 2021-AA Class AR2, 3 month U.S. LIBOR + 1.140% 5.2191% 10/17/34 (b)(c)(g) |  | 4150000 | 4009029 |
| AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 5.2091% 10/17/34 (b)(c)(g) |  | 3880000 | 3759941 |
| Allegro CLO X, Ltd. / Allegro CLO X LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.3926% 7/20/32 (b)(c)(g) |  | 16000000 | 15626864 |
| Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.500% 3.1807% 7/20/35 (b)(c)(g) |  | 5071000 | 4915807 |
| Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 5.3826% 7/20/34 (b)(c)(g) |  | 4673000 | 4511725 |
| Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M3, 1 month U.S. LIBOR + 1.200% 5.2436% 11/25/34 (c)(g) |  | 3108480 | 2814455 |
| Anchorage Capital CLO 17, Ltd. Series 2021-17A Class A1, 3 month U.S. LIBOR + 1.170% 5.2491% 7/15/34 (b)(c)(g) |  | 10500000 | 10168127 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A: |  |  |  |
|  Class A, 3.351% 1/16/40 (b) |  | 1944377 | 1560434 |
|  Class B, 4.335% 1/16/40 (b) |  | 345680 | 148892 |
| Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 5.3991% 10/15/32 (b)(c)(g) |  | 7102000 | 6943739 |
| Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 5.2091% 7/15/34 (b)(c)(g) |  | 5889000 | 5725639 |
| Ares LVIII CLO LLC Series 2022-58A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 1/15/35 (b)(c)(g) |  | 7506000 | 7196362 |
| Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 5.3291% 4/17/33 (b)(c)(g) |  | 15169000 | 14750411 |
| Argent Securities, Inc. pass-thru certificates Series 2005-W5 Class A2D, 1 month U.S. LIBOR + 0.640% 4.6836% 1/25/36 (c)(g) |  | 2572199 | 2344346 |
| ArrowMark Colorado Holdings LLC Series 2021-3A Class A1R, 3 month U.S. LIBOR + 1.210% 5.5684% 1/25/35 (b)(c)(g) |  | 9500000 | 9169191 |
| Atlas Senior Loan Fund XVI, Ltd. / Atlas Senior Loan Fund XVI LLC Series 2021-16A Class A, 3 month U.S. LIBOR + 1.270% 5.5126% 1/20/34 (b)(c)(g) |  | 2000000 | 1939512 |
| Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/36 (b)(c)(g) |  | 3908000 | 3785320 |
| Bain Capital Credit CLO, Ltd. Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 10/17/32 (b)(c)(g) |  | 7500000 | 7293563 |
| Balboa Bay Loan Funding Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.120% 5.3626% 1/20/32 (b)(c)(g) |  | 10000000 | 9790440 |
| Battalion CLO X Ltd. / Battalion CLO X LLC Series 2021-10A Class A1R2, 3 month U.S. LIBOR + 1.170% 5.4946% 1/25/35 (b)(c)(g) |  | 12000000 | 11608524 |
| Battalion CLO XI Ltd. / Battalion CLO XI LLC Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.150% 5.4746% 4/24/34 (b)(c)(g) |  | 22750000 | 21970767 |
| Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.1636% 1/17/35 (b)(c)(g) |  | 7708000 | 7550695 |
| Bellemeade Re Ltd. Series 2021-1A: |  |  |  |
|  Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.750% 5.2969% 3/25/31 (b)(c)(g) |  | 2531904 | 2514576 |
|  Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.950% 6.4969% 3/25/31 (b)(c)(g) |  | 2140000 | 2035175 |
| BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.2091% 1/15/35 (b)(c)(g) |  | 5907000 | 5711526 |
| Blackbird Capital Aircraft: |  |  |  |
|  Series 2016-1A:  |  |  |  |
| Class A, 4.213% 12/16/41 (b) <br>|  | 7262977 | 5932152 |
| Class AA, 2.487% 12/16/41 (b)(c) <br>|  | 711720 | 647658 |
|  Series 2021-1A Class A, 2.443% 7/15/46 (b) |  | 7416475 | 6070140 |
| BlackRock Rainier CLO VI, Ltd. / BlackRock Rainier CLO VI LLC Series 2021-6A Class A, 3 month U.S. LIBOR + 1.700% 5.9426% 4/20/33 (b)(c)(g) |  | 8500000 | 8094100 |
| BlueMountain CLO XXVIII, Ltd. / BlueMountain CLO XXVIII LLC Series 2021-28A Class A, 3 month U.S. LIBOR + 1.260% 5.3391% 4/15/34 (b)(c)(g) |  | 3000000 | 2917170 |
| Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 5.0691% 4/15/29 (b)(c)(g) |  | 7997743 | 7868835 |
| CarMax Auto Owner Trust Series 2021-1 Class D, 1.28% 7/15/27  |  | 200000 | 177700 |
| Carrington Mortgage Loan Trust Series 2005-FRE1: |  |  |  |
|  Class M1, 1 month U.S. LIBOR + 0.700% 4.7486% 12/25/35 (c)(g) |  | 522404 | 520142 |
|  Class M2, 1 month U.S. LIBOR + 0.730% 4.7786% 12/25/35 (g) |  | 10000000 | 8993045 |
| Castlelake Aircraft Securitization Trust Series 2019-1A: |  |  |  |
|  Class A, 3.967% 4/15/39 (b) |  | 5499066 | 4638517 |
|  Class B, 5.095% 4/15/39 (b) |  | 2927377 | 2166317 |
| Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) |  | 3422286 | 2994627 |
| Cedar Funding Ltd.: |  |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 5.3426% 10/20/32 (b)(c)(g) |  | 4327000 | 4208821 |
|  Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.2833% 4/20/35 (b)(c)(g) |  | 7060000 | 6782493 |
| Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 5.4884% 10/25/34 (b)(c)(g) |  | 3624000 | 3495225 |
| Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 5.4126% 10/20/34 (b)(c)(g) |  | 5895000 | 5681860 |
| Chase Auto Credit Linked Notes Series 2021-3 Class E, 2.102% 2/26/29 (b) |  | 418917 | 392609 |
| CIFC Funding Ltd. Series 2021-7A Class B, 3 month U.S. LIBOR + 1.600% 5.9246% 1/23/35 (b)(c)(g) |  | 7600000 | 7232449 |
| Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 5.3661% 10/25/37 (b)(c)(g) |  | 523101 | 519179 |
| Citibank Credit Card Issuance Trust: |  |  |  |
|  Series 2018-A3 Class A3, 3.29% 5/23/25  |  | 700000 | 693864 |
|  Series 2018-A7 Class A7, 3.96% 10/13/30  |  | 2500000 | 2385280 |
| Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.700% 4.197% 7/24/34 (b)(c)(g) |  | 7340000 | 7042723 |
| CoreVest American Finance Trust Series 2020-2 Class B, 4.244% 5/15/52 (b) |  | 3200000 | 2976893 |
| Crestline Denali CLO XVII, LLC Series 2018-1A Class AR, 3 month U.S. LIBOR + 1.060% 5.1391% 10/15/31 (b)(c)(g) |  | 25000000 | 24434750 |
| Crown Point CLO, Ltd. / Crown Point CLO LLC Series 2021-11A Class A, 3 month U.S. LIBOR + 1.120% 5.1991% 1/17/34 (b)(c)(g) |  | 1000000 | 973989 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) |  | 6964680 | 6297297 |
| Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.2633% 4/20/35 (b)(c)(g) |  | 4007000 | 3861754 |
| Dryden CLO, Ltd. Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(g) |  | 3910000 | 3784415 |
| Dryden Senior Loan Fund: |  |  |  |
|  Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 5.2591% 4/17/33 (b)(c)(g) |  | 5400000 | 5266339 |
|  Series 2021-72A Class BR, 3 month U.S. LIBOR + 1.650% 6.2561% 5/15/32 (b)(c)(g) |  | 6000000 | 5754600 |
|  Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/35 (b)(c)(g) |  | 5160000 | 4991361 |
|  Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 5.8054% 2/20/35 (b)(c)(g) |  | 3054000 | 2949431 |
| Eaton Vance CLO, Ltd.: |  |  |  |
|  Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (b)(c)(g) |  | 2460000 | 2406473 |
|  Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 1/15/35 (b)(c)(g) |  | 6200000 | 6016108 |
| Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 5.3291% 1/15/34 (b)(c)(g) |  | 7240000 | 7052752 |
| ECMC Group Student Loan Trust Series 2021-1A Class A1B, 1 month U.S. LIBOR + 0.570% 4.6136% 11/25/70 (b)(c)(g) |  | 843837 | 795871 |
| EFS Volunteer No. 2 LLC Series 2012-1 Class A2, 1 month U.S. LIBOR + 1.350% 5.3661% 3/25/36 (b)(c)(g) |  | 891660 | 879385 |
| Elevation CLO, Ltd. Series 2021-13A Class A1, 3 month U.S. LIBOR + 1.190% 5.2691% 7/15/34 (b)(c)(g) |  | 8500000 | 8196338 |
| Elmwood CLO II Ltd. Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 5.3926% 4/20/34 (b)(c)(g) |  | 35000000 | 34028400 |
| Encore Credit Receivables Trust Series 2005-4 Class M4, 1 month U.S. LIBOR + 0.900% 4.9436% 1/25/36 (c)(g) |  | 4800000 | 4507717 |
| Flatiron CLO Ltd. Series 2021-1A: |  |  |  |
|  Class A1, 3 month U.S. LIBOR + 1.110% 5.3366% 7/19/34 (b)(c)(g) |  | 4210000 | 4074834 |
|  Class AR, 3 month U.S. LIBOR + 1.080% 5.7239% 11/16/34 (b)(c)(g) |  | 5750000 | 5593916 |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 5.9754% 11/20/33 (b)(c)(g) |  | 7413000 | 7214435 |
| Ford Credit Auto Owner Trust Series 2021-1 Class C, 1.91% 10/17/33 (b) |  | 1190000 | 1037894 |
| Freddie Mac STACR REMIC Trust Series 2022-DNA7 Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 5.000% 8.5208% 3/25/52 (b)(c)(g) |  | 3150000 | 3297718 |
| Greywolf CLO II, Ltd. Series 2021-1A Class A1SR, 3 month U.S. LIBOR + 1.140% 5.2191% 4/15/34 (b)(c)(g) |  | 35000000 | 33941950 |
| Henley CLO IV DAC Series 2021-4A Class A, 3 month EURIBOR + 0.900% 2.443% 4/25/34 (b)(c)(g) | EUR | 2000000 | 1987692 |
| Home Re, Ltd.: |  |  |  |
|  Series 2021-1:  |  |  |  |
| Class M1B, 1 month U.S. LIBOR + 1.550% 5.5936% 7/25/33 (b)(c)(g) <br>|  | 123627 | 122881 |
| Class M1C, 1 month U.S. LIBOR + 2.300% 6.3436% 7/25/33 (b)(c)(g) <br>|  | 745000 | 718307 |
|  Series 2021-2:  |  |  |  |
| Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.600% 5.1469% 1/25/34 (b)(c)(g) <br>|  | 665000 | 647402 |
| Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.800% 6.3469% 1/25/34 (b)(c)(g) <br>|  | 990000 | 912777 |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) |  | 3237821 | 2636233 |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) |  | 3771452 | 2941718 |
| HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 1A1, 1 month U.S. LIBOR + 0.140% 4.1836% 1/25/37 (c)(g) |  | 2569888 | 1907268 |
| Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 5.4546% 10/22/34 (b)(c)(g) |  | 4148000 | 3996283 |
| Invesco Euro CLO I DAC Series 2021-1A Class A1R, 3 month EURIBOR + 0.650% 2.028% 7/15/31 (b)(c)(g) | EUR | 10000000 | 10050999 |
| Jamestown CLO XIV Ltd. Series 2021-14A: |  |  |  |
|  Class A1AR, 3 month U.S. LIBOR + 1.200% 5.4426% 10/20/34 (b)(c)(g) |  | 13000000 | 12607686 |
|  Class A2R, 3 month U.S. LIBOR + 1.750% 5.9926% 10/20/34 (b)(c)(g) |  | 10600000 | 10080727 |
| JMP Credit Advisors CLO IV, Ltd. / JMP Credit Advisors CLO IV LLC Series 2019-1A Class AR, 3 month U.S. LIBOR + 1.280% 5.3591% 7/17/29 (b)(c)(g) |  | 1308870 | 1292818 |
| JPMorgan Chase Bank NA - CACLN Series 2021-2 Class E, 2.28% 12/26/28 (b) |  | 504086 | 483143 |
| KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 4/15/35 (b)(c)(g) |  | 9327000 | 8917703 |
| KKR Financial CLO Ltd. Series 2021-33A Class A, 3 month U.S. LIBOR + 1.170% 5.4126% 7/20/34 (b)(c)(g) |  | 13000000 | 12587510 |
| LCM XXIV Ltd. / LCM XXIV LLC Series 2021-24A Class AR, 3 month U.S. LIBOR + 0.980% 5.2226% 3/20/30 (b)(c)(g) |  | 7295971 | 7165526 |
| Lendmark Funding Trust Series 2021-1A: |  |  |  |
|  Class A, 1.9% 11/20/31 (b) |  | 4200000 | 3535394 |
|  Class B, 2.47% 11/20/31 (b) |  | 150000 | 121548 |
| Logan CLO I, Ltd. / Logan CLO I LLC Series 2021-1A Class A, 3 month U.S. LIBOR + 1.160% 5.4026% 7/20/34 (b)(c)(g) |  | 12500000 | 12169113 |
| Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 5.4246% 1/22/35 (b)(c)(g) |  | 6180000 | 5959423 |
| Madison Park Funding Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.140% 5.3337% 1/18/34 (b)(c)(g) |  | 4500000 | 4399439 |
| Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 5.1991% 7/15/34 (b)(c)(g) |  | 4233000 | 4123323 |
| Madison Park Funding XVII, Ltd. Series 2021-17A Class AR2, 3 month U.S. LIBOR + 1.000% 5.2776% 7/21/30 (b)(c)(g) |  | 6938795 | 6829557 |
| Madison Park Funding XXXIV, Ltd. Series 2021-34A Class AR, 3 month U.S. LIBOR + 1.120% 5.4784% 4/25/32 (b)(c)(g) |  | 20000000 | 19650080 |
| Madison Park Funding XXXVIII, Ltd. Series 2021-38A Class A, 3 month U.S. LIBOR + 1.120% 5.1991% 7/17/34 (b)(c)(g) |  | 12500000 | 12127025 |
| Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 5.3826% 10/20/34 (b)(c)(g) |  | 1417000 | 1373667 |
| Magnetite VII Ltd. Series 2018-7A Class A1R2, 3 month U.S. LIBOR + 0.800% 4.8791% 1/15/28 (b)(c)(g) |  | 6357718 | 6269053 |
| Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 5.4884% 1/25/35 (b)(c)(g) |  | 4904000 | 4744855 |
| Marlette Funding Trust: |  |  |  |
|  Series 2021-3A Class A, 0.65% 12/15/31 (b) |  | 1616908 | 1592335 |
|  Series 2022-1A Class A, 1.36% 4/15/32 (b) |  | 1913622 | 1871038 |
| MASTR Asset Backed Securities Trust: |  |  |  |
|  Series 2005-NC2 Class A4, 1 month U.S. LIBOR + 0.700% 4.7436% 11/25/35 (c)(g) |  | 9860408 | 5737201 |
|  Series 2005-WF1 Class M7, 1 month U.S. LIBOR + 1.720% 5.7686% 6/25/35 (c)(g) |  | 1816559 | 1814187 |
| MDPK Series 2021-48A Class A, 3 month U.S. LIBOR + 1.150% 5.3766% 4/19/33 (b)(c)(g) |  | 5000000 | 4904070 |
| Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 5.3126% 10/20/30 (b)(c)(g) |  | 8353000 | 8215652 |
| Morgan Stanley ABS Capital I Trust: |  |  |  |
|  Series 2006-HE4 Class A4, 1 month U.S. LIBOR + 0.480% 4.5236% 6/25/36 (g) |  | 3660650 | 2028560 |
|  Series 2007-NC3 Class A2D, 1 month U.S. LIBOR + 0.260% 4.3036% 5/25/37 (c)(g) |  | 2174314 | 1494870 |
| Nationstar Home Equity Loan Trust Series 2006-B Class M2, 1 month U.S. LIBOR + 0.360% 4.4036% 9/25/36 (c)(g) |  | 8141000 | 7419957 |
| Navient Private Education Refi Loan Trust Series 2021-A Class B, 2.24% 5/15/69 (b) |  | 100000 | 69999 |
| Navient Student Loan Trust: |  |  |  |
|  Series 2015-1 Class A2, 1 month U.S. LIBOR + 0.600% 4.6436% 4/25/40 (c)(g) |  | 2511309 | 2385512 |
|  Series 2016-2A Class A3, 1 month U.S. LIBOR + 1.500% 5.5161% 6/25/65 (b)(c)(g) |  | 1350704 | 1316573 |
|  Series 2017-3A Class A3, 1 month U.S. LIBOR + 1.050% 5.0661% 7/26/66 (b)(c)(g) |  | 9093000 | 8925459 |
| Nelnet Student Loan Trust Series 2013-1 Class A6, 3 month U.S. LIBOR + 0.450% 5.1419% 8/23/36 (b)(c)(g) |  | 6524587 | 6243842 |
| Newcastle Mortgage Securities Trust Series 2007-1 Class 2A3, 1 month U.S. LIBOR + 0.230% 4.2736% 4/25/37 (g) |  | 2579712 | 2511366 |
| Northwoods Capital XV, Ltd. Series 2021-15A Class A1R, 3 month U.S. LIBOR + 1.210% 4.7371% 6/20/34 (b)(c)(g) |  | 23750000 | 22861346 |
| Oak Hill Credit Partners X-R, Ltd. Series 2021-10RA, Class BR, 3 month U.S. LIBOR + 1.550% 5.7926% 4/20/34 (b)(c)(g) |  | 2000000 | 1916496 |
| OCP CLO Ltd. / OCP CLO LLC Series 2021-18A Class AR, 3 month U.S. LIBOR + 1.090% 5.3326% 7/20/32 (b)(c)(g) |  | 18000000 | 17548722 |
| Octagon Investment Partners 20-R, Ltd. Series 2021-4A Class BR, 3 month U.S. LIBOR + 1.700% 6.3497% 5/12/31 (b)(c)(g) |  | 2500000 | 2402318 |
| Octagon Investment Partners 31, Ltd. / Octagon Investment Partners 31 LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.050% 5.2926% 7/20/30 (b)(c)(g) |  | 3000000 | 2953506 |
| Oportun Funding XIV, LLC Series 2021-A: |  |  |  |
|  Class A, 1.21% 3/8/28 (b) |  | 800000 | 733559 |
|  Class B, 1.76% 3/8/28 (b) |  | 400000 | 365529 |
| Palmer Square CLO, Ltd. Series 2021-1A Class A1, 3 month U.S. LIBOR + 1.190% 5.4326% 4/20/34 (b)(c)(g) |  | 6000000 | 5842152 |
| Park Avenue Institutional Advisers CLO Ltd. / Park Avenue Institutional Advisers CLO LLC Series 2021-1A Class A1AR, 3 month U.S. LIBOR + 1.000% 5.2426% 10/20/31 (b)(c)(g) |  | 12750000 | 12421267 |
| Park Avenue Institutional Advisers CLO, Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.240% 5.8897% 2/14/34 (b)(c)(g) |  | 2000000 | 1929570 |
| Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.3726% 10/20/34 (b)(c)(g) |  | 5651000 | 5492597 |
| PennyMac Mortgage Investment Trust Series 2018-FT1 Class A, 1 month U.S. LIBOR + 2.350% 6.3936% 4/25/23 (b)(c)(g) |  | 300000 | 282689 |
| Planet Fitness Master Issuer LLC: |  |  |  |
|  Series 2019-1A Class A2, 3.858% 12/5/49 (b) |  | 6044088 | 4966971 |
|  Series 2022-1A:  |  |  |  |
| Class A2I, 3.251% 12/5/51 (b) <br>|  | 4662570 | 4044038 |
| Class A2II, 4.008% 12/5/51 (b) <br>|  | 4167060 | 3260829 |
| PMT Credit Risk Transfer Trust Series 2021-1R Class A, 1 month U.S. LIBOR + 2.900% 6.9547% 2/27/24 (b)(c)(g) |  | 3110800 | 2966532 |
| Progress Residential Trust: |  |  |  |
|  Series 2021-SFR11 Class E1, 3.378% 1/17/39 (b) |  | 4000000 | 3180892 |
|  Series 2021-SFR3 Class F, 3.436% 5/17/26 (b) |  | 1500000 | 1277690 |
|  Series 2021-SFR8 Class F, 3.181% 10/17/38 (b) |  | 4000000 | 3287746 |
| Recette CLO, Ltd. Series 2021-1A Class ARR, 3 month U.S. LIBOR + 1.080% 5.3226% 4/20/34 (b)(c)(g) |  | 4700000 | 4526537 |
| Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 5.3626% 4/20/34 (b)(c)(g) |  | 7250000 | 7057498 |
| Romark CLO-IV Ltd. / Romark CLO-IV LLC Series 2021-4A Class A1, 3 month U.S. LIBOR + 1.170% 5.0787% 7/10/34 (b)(c)(g) |  | 13250000 | 12844020 |
| RR 7 Ltd. Series 2022-7A Class A1AB, CME TERM SOFR 3 MONTH INDEX + 1.340% 5.2036% 1/15/37 (b)(c)(g) |  | 7731000 | 7511563 |
| Santander Drive Auto Receivables Trust Series 2021-1 Class D, 1.13% 11/16/26  |  | 2800000 | 2634196 |
| Sapphire Aviation Finance Series 2020-1A: |  |  |  |
|  Class A, 3.228% 3/15/40 (b) |  | 5862953 | 4415557 |
|  Class B, 4.335% 3/15/40 (b) |  | 665815 | 389249 |
| Saratoga Investment Corp. CLO, Ltd. / Saratoga Investment Corp. CLO, Inc. Series 2021-1A Class AR3, 3 month U.S. LIBOR + 1.320% 5.5626% 4/20/33 (b)(c)(g) |  | 12000000 | 11804832 |
| SBA Tower Trust: |  |  |  |
|  Series 2019, 2.836% 1/15/50 (b) |  | 8004000 | 7532280 |
|  1.884% 7/15/50 (b) |  | 2753000 | 2421142 |
|  2.328% 7/15/52 (b) |  | 2105000 | 1756216 |
| Securitized Asset Backed Receivables LLC Trust Series 2006-CB5 Class A3, 1 month U.S. LIBOR + 0.280% 4.3236% 6/25/36 (c)(g) |  | 2335526 | 1463350 |
| Sixth Street CLO XVII, Ltd. / Sixth Street CLO XVII LLC Series 2021-17A Class A, 3 month U.S. LIBOR + 1.240% 5.4826% 1/20/34 (b)(c)(g) |  | 5000000 | 4881990 |
| SLM Student Loan Trust Series 2014-14 Class A7, 3 month U.S. LIBOR + 0.600% 4.9584% 10/25/65 (b)(c)(g) |  | 4000000 | 3719248 |
| Sound Point CLO VII-R, Ltd. Series 2021-3RA Class A1R, 3 month U.S. LIBOR + 1.070% 5.3946% 10/23/31 (b)(c)(g) |  | 10250000 | 9976089 |
| Soundview Home Equity Loan Trust Series 2007-OPT1 Class 2A2, 1 month U.S. LIBOR + 0.150% 4.1936% 6/25/37 (c)(g) |  | 9260810 | 6454026 |
| Soundview Home Loan Trust Series 2007-NS1 Class A4, 1 month U.S. LIBOR + 0.300% 4.3436% 1/25/37 (c)(g) |  | 7309000 | 6930398 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b) |  | 1489375 | 1219942 |
| Stratus CLO, Ltd. Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.750% 5.7133% 7/20/30 (b)(c)(g) |  | 1207487 | 1189372 |
| SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.3575% 4/23/35 (b)(c)(g) |  | 7640000 | 7429014 |
| Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, 3 month U.S. LIBOR + 0.960% 5.0391% 4/16/31 (b)(c)(g) |  | 2730000 | 2678037 |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 5.1391% 7/15/32 (b)(c)(g) |  | 768000 | 750129 |
| TCW CLO, Ltd. / TCW CLO, LLC Series 2021-1A Class A1RR, 3 month U.S. LIBOR + 1.160% 5.4026% 4/20/34 (b)(c)(g) |  | 5500000 | 5361824 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 4.9036% 9/25/34 (c)(g) |  | 3163 | 2984 |
| TH MSR Issuer Trust Series 2019-FT1 Class A, 1 month U.S. LIBOR + 2.800% 6.8436% 6/25/24 (b)(c)(g) |  | 1250000 | 1163655 |
| Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) |  | 7974192 | 6025539 |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) |  | 8960268 | 6770558 |
| Towd Point Mortgage Trust: |  |  |  |
|  Series 2019-1 Class A1, 3.7088% 3/25/58 (b)(c) |  | 1311860 | 1213983 |
|  Series 2019-MH1 Class A1, 3% 11/25/58 (b) |  | 2482214 | 2426109 |
|  Series 2020-4 Class A1, 1.75% 10/25/60 (b) |  | 2039663 | 1793038 |
| Tralee CLO VII Ltd. / Tralee CLO VII LLC Series 2021-7A Class A1, 3 month U.S. LIBOR + 1.320% 5.6784% 4/25/34 (b)(c)(g) |  | 12000000 | 11649900 |
| Upstart Securitization Trust: |  |  |  |
|  Series 2021-1 Class A, 0.87% 3/20/31 (b) |  | 54356 | 54069 |
|  Series 2021-2 Class A, 0.91% 6/20/31 (b) |  | 2221694 | 2174177 |
|  Series 2021-3 Class A, 0.83% 7/20/31 (b) |  | 4309502 | 4181995 |
|  Series 2021-4 Class A, 0.84% 9/20/31 (b) |  | 4760349 | 4593845 |
|  3.12% 3/20/32 (b) |  | 3582832 | 3443453 |
| Valley Stream Park Clo Ltd. / Vy Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 2.400% 6.4714% 10/20/34 (b)(c)(g) |  | 6967000 | 6942734 |
| Venture 43 CLO, Ltd. Series 2021-43A Class A1, 3 month U.S. LIBOR + 1.240% 5.3191% 4/15/34 (b)(c)(g) |  | 15200000 | 14699662 |
| VOLT XCIV LLC Series 2021-NPL3 Class A1, 2.2395% 2/27/51 (b) |  | 16893953 | 14904836 |
| Volt Xcv LLC Series 2021-NPL4 Class A1, 2.2396% 3/27/51 (b) |  | 2054787 | 1911519 |
| Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 5.5126% 7/20/32 (b)(c)(g) |  | 8868000 | 8683679 |
| Voya CLO Ltd./Voya CLO LLC: |  |  |  |
|  Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 5.3866% 7/19/34 (b)(c)(g) |  | 15930000 | 15461132 |
|  Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(g) |  | 7430000 | 7176340 |
| Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 7/16/34 (b)(c)(g) |  | 3924000 | 3798098 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $1,079,464,537) |  |  | **1020322556** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.7%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.7%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.7%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.7%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Private Sponsor - 0.6%  |  |  |  |
| Ajax Mortgage Loan Trust: |  |  |  |
|  sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (b) |  | 1648593 | 1375937 |
|  Series 2022-B Class A1, 3.5% 3/27/62 (b) |  | 13060800 | 11976175 |
| Alternative Loan Trust floater Series 2007-OH3 Class A1B, 1 month U.S. LIBOR + 0.440% 4.4836% 9/25/47 (g) |  | 1899360 | 1695090 |
| Angel Oak Mortgage Trust sequential payer Series 2022-6 Class A1, 4.3% 7/25/67 (b) |  | 8673173 | 8092694 |
| BCAP LLC Trust sequential payer Series 2010-RR4 Class 31A6, 6.0363% 1/26/37 (b)(c) |  | 3310143 | 2580759 |
| Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) |  | 4913766 | 4400974 |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) |  | 2317731 | 2201918 |
| BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) |  | 7801660 | 6477755 |
| BVEBO sequential payer Series 2022-3 Class A, 3.242% 5/29/52 (b) |  | 9670613 | 9538660 |
| Cascade Funding Mortgage Trust: |  |  |  |
|  sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) |  | 3543485 | 3459895 |
|  Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) |  | 3379406 | 3168587 |
|  Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) |  | 2648638 | 2542919 |
|  Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) |  | 3332512 | 3138771 |
|  Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) |  | 4282602 | 4001550 |
| CFMT Series 2022-HB10 Class A, 3.5% 11/25/35 (b) |  | 6700000 | 6351526 |
| CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) |  | 7525577 | 7243368 |
| CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b) |  | 1691826 | 1634488 |
| CIM Trust: |  |  |  |
|  sequential payer:  |  |  |  |
| Series 2021-R1 Class A2, 2.4% 8/25/56 (b) <br>|  | 6076037 | 5409050 |
| Series 2021-R3 Class A1A, 1.951% 6/25/57 (b) <br>|  | 7771241 | 6948510 |
| Series 2021-R4 Class A1A, 2% 5/1/61 (b) <br>|  | 8013764 | 7042006 |
| Series 2022-R2 Class A1, 3.75% 12/25/61 (b)(c) <br>|  | 2461473 | 2267711 |
|  Series 2021-R5 Class A1A, 2% 8/25/61 (b)(c) |  | 6993174 | 5936028 |
| Citigroup Mortgage Loan Trust Series 2005-9 Class 22A1, 6% 11/25/35  |  | 1227904 | 1106231 |
| COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (b) |  | 3744114 | 3276583 |
| Connecticut Ave Securities Trust 2019-R floater Series 2019-R07 Class 1B1, 1 month U.S. LIBOR + 3.400% 7.4161% 10/25/39 (b)(c)(g) |  | 3500000 | 3296314 |
| Connecticut Avenue Securities floater Series 2022-R03 Class 1B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 6.250% 9.7708% 3/25/42 (b)(c)(g) |  | 130000 | 131235 |
| Connecticut Avenue Securities Trust floater Series 2020-R01 Class 1M2, 1 month U.S. LIBOR + 2.050% 6.0661% 1/25/40 (b)(c)(g) |  | 340591 | 335453 |
| Credit Suisse Mortgage Trust Series 2021-RP11 Class PT, 3.7737% 10/25/61 (b)(c) |  | 8284315 | 6283078 |
| CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 4.1456% 5/27/37 (b)(c)(g) |  | 177552 | 171993 |
| CSMC Trust: |  |  |  |
|  sequential payer:  |  |  |  |
| Series 2020-RPL2 Class A12, 3.4467% 2/25/60 (b)(c) <br>|  | 610159 | 600945 |
| Series 2020-RPL3 Class A1, 2.691% 3/25/60 (b)(c) <br>|  | 5292816 | 5039290 |
| Series 2020-RPL4 Class A1, 2% 1/25/60 (b) <br>|  | 1934417 | 1634195 |
| Series 2022-RPL1 Class A1, 4.15% 4/25/61 (b)(c) <br>|  | 7743131 | 6909196 |
| Series 2022-RPL3 Class A1, 3.623% 3/25/61 (b)(c) <br>|  | 12386150 | 12195403 |
|  Series 2021-RP11 Class CERT, 3.7778% 10/27/61 (b) |  | 350421 | 274632 |
|  Series 2022-RPL1 Class PT, 4.3601% 4/25/61 (b)(c) |  | 9441320 | 8528345 |
| Csmcm 2022-Rpl1 Trust Series 2022-RPL1 Class CERT, 4.231% 4/25/61 (b) |  | 396849 | 354148 |
| CWALT, Inc. Series 2005-13CB Class A8, 5.5% 5/25/35  |  | 1953698 | 1627707 |
| Eagle Re Ltd. floater Series 2021-1: |  |  |  |
|  Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.150% 5.6969% 10/25/33 (b)(c)(g) |  | 781781 | 781067 |
|  Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.700% 6.2469% 10/25/33 (b)(c)(g) |  | 1735000 | 1690174 |
| Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) |  | 7862284 | 7555637 |
| GMAC Mortgage Loan Trust Series 2005-AR6 Class 2A1, 3.3088% 11/19/35 (c) |  | 1678064 | 1383101 |
| GSR Mortgage Loan Trust floater Series 2006-OA1 Class 1A1, 1 month U.S. LIBOR + 0.440% 4.4836% 8/25/46 (c)(g) |  | 18144712 | 4283611 |
| J.P. Morgan Mortgage Trust Series 2021-13 Class A3, 2.5% 4/25/52 (b) |  | 12946086 | 10428680 |
| Legacy Mortgage Asset Trust sequential payer: |  |  |  |
|  Series 2020-GS2 Class A1, 2.75% 3/25/60 (b)(c) |  | 12849510 | 12004621 |
|  Series 2021-SL1 Class A, 1.991% 9/25/60 (b) |  | 820305 | 801809 |
| Merrill Lynch Mortgage Investors Trust floater Series 2006-A2 Class 1A, 1 month U.S. LIBOR + 0.180% 4.2236% 2/25/36 (g) |  | 6075768 | 3631045 |
| New Residential Mortgage Loan Trust: |  |  |  |
|  Series 2019-5A Class A1B, 3.5% 8/25/59 (b) |  | 1102797 | 996377 |
|  Series 2020-1A Class A1B, 3.5% 10/25/59 (b) |  | 2030688 | 1843661 |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) |  | 4555862 | 4047117 |
| NMLT Trust Series 2021-INV3 2.2769% 11/25/56 (b) |  | 6174778 | 5483722 |
| NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) |  | 4377350 | 3869092 |
| OBX Trust sequential payer Series 2021-NQM3 Class A1, 1.054% 7/25/61 (b) |  | 14034362 | 10498020 |
| Preston Ridge Partners Mortgage Trust: |  |  |  |
|  Series 2021-1 Class A1, 2.115% 1/25/26 (b) |  | 13158358 | 11971865 |
|  Series 2021-2 Class A1, 2.115% 3/25/26 (b) |  | 10801315 | 9795054 |
|  Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) |  | 1908469 | 1693220 |
|  Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) |  | 2514550 | 2200568 |
| PRET LLC sequential payer Series 2022-RN2 Class A1, 5% 6/25/52 (b) |  | 9493001 | 8811730 |
| RALI Trust: |  |  |  |
|  Series 2006-QS4 Class A4, 6% 4/25/36  |  | 1512705 | 1163427 |
|  Series 2007-QS3 Class A5, 6.25% 2/25/37  |  | 2406155 | 1888605 |
|  Series 2007-QS8 Class A5, 6% 6/25/37  |  | 904052 | 693381 |
| Retiro Mortgage Securities floater Series 2021-1A Class A1, 2.000% x 3 month EURIBOR 3.578% 7/30/75 (b)(c)(g) | EUR | 942285 | 968725 |
| RMF Buyout Issuance Trust: |  |  |  |
|  sequential payer Series 2022-HB1 Class A, 4.272% 4/25/32 (b) |  | 2602090 | 2522584 |
|  Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) |  | 1526851 | 1393082 |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.6276% 7/20/34 (c)(g) |  | 753 | 679 |
| Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 4.6836% 9/25/43 (c)(g) |  | 1336416 | 1240817 |
| WaMu Mortgage pass-thru certificates floater Series 2005-AR2 Class 2A1B, 1 month U.S. LIBOR + 0.740% 4.7836% 1/25/45 (g) |  | 1197090 | 1131565 |
| TOTAL PRIVATE SPONSOR |  |  | 274022155 |
| U.S. Government Agency - 0.1%  |  |  |  |
| Fannie Mae: |  |  |  |
|  floater Series 2022-R04 Class 1B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 5.250% 8.7708% 3/25/42 (b)(c)(g) |  | 240000 | 233075 |
|  planned amortization class Series 2012-149:  |  |  |  |
| Class DA, 1.75% 1/25/43 <br>|  | 623502 | 567802 |
| Class GA, 1.75% 6/25/42 <br>|  | 670225 | 606361 |
|  Series 2005-79 Class ZC, 5.9% 9/25/35  |  | 182640 | 185333 |
|  Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 2.5289% 8/25/37 (c)(n)(o) |  | 581900 | 66372 |
|  Series 2010-135 Class ZA, 4.5% 12/25/40  |  | 336641 | 337578 |
|  Series 2010-150 Class ZC, 4.75% 1/25/41  |  | 534492 | 531050 |
|  Series 2010-95 Class ZC, 5% 9/25/40  |  | 1269329 | 1285299 |
|  Series 2011-4 Class PZ, 5% 2/25/41  |  | 176588 | 170565 |
|  Series 2012-100 Class WI, 3% 9/25/27 (n) |  | 244577 | 11339 |
|  Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 2.6339% 12/25/30 (c)(n)(o) |  | 32144 | 267 |
|  Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 2.5339% 6/25/41 (c)(n)(o) |  | 23437 | 294 |
|  Series 2013-133 Class IB, 3% 4/25/32 (n) |  | 91250 | 2996 |
|  Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 2.0339% 1/25/44 (c)(n)(o) |  | 82553 | 8995 |
|  Series 2013-44 Class DJ, 1.85% 5/25/33  |  | 6029632 | 5468550 |
|  Series 2013-51 Class GI, 3% 10/25/32 (n) |  | 428701 | 27303 |
|  Series 2015-42 Class IL, 6% 6/25/45 (n) |  | 567117 | 100351 |
|  Series 2015-70 Class JC, 3% 10/25/45  |  | 468265 | 443415 |
|  Series 2017-30 Class AI, 5.5% 5/25/47 (n) |  | 332516 | 60147 |
| Freddie Mac: |  |  |  |
|  planned amortization class:  |  |  |  |
| Series 2020-4960 Class PB, 1.5% 10/25/49 <br>|  | 2363633 | 1969872 |
| Series 4135 Class AB, 1.75% 6/15/42 <br>|  | 490665 | 446547 |
|  sequential payer Series 3871 Class KB, 5.5% 6/15/41  |  | 413352 | 429970 |
|  Series 2017-4683 Class LM, 3% 5/15/47  |  | 697836 | 661026 |
|  Series 2933 Class ZM, 5.75% 2/15/35  |  | 374747 | 386269 |
|  Series 2996 Class ZD, 5.5% 6/15/35  |  | 241222 | 248093 |
|  Series 3237 Class C, 5.5% 11/15/36  |  | 322033 | 325651 |
|  Series 3980 Class EP, 5% 1/15/42  |  | 1690388 | 1712097 |
|  Series 4055 Class BI, 3.5% 5/15/31 (n) |  | 91614 | 2856 |
|  Series 4149 Class IO, 3% 1/15/33 (n) |  | 231284 | 19242 |
|  Series 4314 Class AI, 5% 3/15/34 (n) |  | 30888 | 1096 |
|  Series 4427 Class LI, 3.5% 2/15/34 (n) |  | 265225 | 16963 |
|  Series 4471 Class PA 4% 12/15/40  |  | 235633 | 230318 |
| Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40  |  | 488721 | 478454 |
| Freddie Mac STACR REMIC Trust floater: |  |  |  |
|  Series 2019-DNA4 Class B1, 1 month U.S. LIBOR + 2.700% 6.7161% 10/25/49 (b)(c)(g) |  | 9700000 | 9315472 |
|  Series 2020-DNA6 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.000% 6.5208% 12/25/50 (b)(c)(g) |  | 3910000 | 3780097 |
|  Series 2021-DNA2 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.400% 6.9208% 8/25/33 (b)(c)(g) |  | 4380000 | 3929168 |
|  Series 2021-HQA1:  |  |  |  |
| Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.000% 6.5208% 8/25/33 (b)(c)(g) <br>|  | 2700000 | 2203597 |
| Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.250% 5.7708% 8/25/33 (b)(c)(g) <br>|  | 3900000 | 3581755 |
|  Series 2022-DNA3 Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.900% 6.4208% 4/25/42 (b)(c)(g) |  | 6000000 | 5737854 |
| Freddie Mac. STACR REMIC Trust floater Series 2020-DNA1 Class B1, 1 month U.S. LIBOR + 2.300% 6.3161% 1/25/50 (b)(c)(g) |  | 6600000 | 6170230 |
| Ginnie Mae guaranteed REMIC pass-thru certificates: |  |  |  |
|  floater:  |  |  |  |
| Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 3.5227% 12/20/60 (c)(g)(p) <br>|  | 703437 | 695058 |
| Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 3.6927% 9/20/61 (c)(g)(p) <br>|  | 2642511 | 2619974 |
| Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 3.6627% 8/20/62 (c)(g)(p) <br>|  | 381008 | 377812 |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.7927% 5/20/61 (c)(g)(p) <br>|  | 4854 | 4793 |
| Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 3.7427% 8/20/63 (c)(g)(p) <br>|  | 771112 | 766648 |
| Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 4.4386% 10/20/49 (c)(g) <br>|  | 252945 | 248049 |
| Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 4.3886% 2/20/49 (c)(g) <br>|  | 1201807 | 1188797 |
|  planned amortization class:  |  |  |  |
| Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 2.1229% 12/20/40 (c)(o) <br>|  | 495593 | 429449 |
| Series 2016-69 Class WA, 3% 2/20/46 <br>|  | 305365 | 285462 |
| Series 2017-134 Class BA, 2.5% 11/20/46 <br>|  | 727241 | 657555 |
|  sequential payer:  |  |  |  |
| Series 2010-160 Class DY, 4% 12/20/40 <br>|  | 1018777 | 993471 |
| Series 2010-170 Class B, 4% 12/20/40 <br>|  | 227042 | 221401 |
| Series 2017-139 Class BA, 3% 9/20/47 <br>|  | 3046882 | 2757276 |
|  Series 2010-116 Class QB, 4% 9/16/40  |  | 1716342 | 1675670 |
|  Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 2.0634% 2/16/40 (c)(n)(o) |  | 304591 | 20199 |
|  Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 2.1614% 7/20/41 (c)(n)(o) |  | 75302 | 7562 |
|  Series 2013-149 Class MA, 2.5% 5/20/40  |  | 828835 | 791332 |
|  Series 2015-H13 Class HA, 2.5% 8/20/64 (p) |  | 6660 | 6252 |
|  Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 4.42% 8/20/66 (c)(g)(p) |  | 1720892 | 1711896 |
| TOTAL U.S. GOVERNMENT AGENCY |  |  | 67212375 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $373,929,312) |  |  | <br> **341234530** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 2.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 2.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 2.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| 20 Times Square Trust 2018-20Ts Series 2018-20TS Class F, 3.2032% 5/15/35 (b)(c) | 2310559 | 1893361 |
| 3650R Commercial Mortgage Trust sequential payer Series 2021-PF1 Class A4, 2.253% 11/15/54  | 4200000 | 3354877 |
| Arbor Multifamily Mortgage Securities Trust sequential payer Series 2021-MF2 Class A4, 2.2515% 6/15/54 (b) | 9500000 | 7556631 |
| Ashford Hospitality Trust floater Series 2018-ASHF Class A, 1 month U.S. LIBOR + 0.900% 4.775% 4/15/35 (b)(c)(g) | 3546916 | 3439053 |
| BAMLL Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2022-DKLX:  |  |  |
| Class A, CME Term SOFR 1 Month Index + 1.150% 4.945% 1/15/39 (b)(c)(g) <br>| 4172000 | 4018732 |
| Class B, CME Term SOFR 1 Month Index + 1.550% 5.345% 1/15/39 (b)(c)(g) <br>| 789000 | 751850 |
| Class C, CME Term SOFR 1 Month Index + 2.150% 5.945% 1/15/39 (b)(c)(g) <br>| 562000 | 529630 |
|  sequential payer Series 2019-BPR:  |  |  |
| Class AMP, 3.287% 11/5/32 (b) <br>| 6500000 | 6014154 |
| Class ANM, 3.112% 11/5/32 (b) <br>| 4963000 | 4589807 |
|  Series 2019-BPR:  |  |  |
| Class BNM, 3.465% 11/5/32 (b) <br>| 1113000 | 982034 |
| Class CNM, 3.8425% 11/5/32 (b)(c) <br>| 461000 | 384897 |
| BANK: |  |  |
|  sequential payer:  |  |  |
| Series 2019-BN21: <br>|  |  |
|  Class A4, 2.6% 10/17/52  | 4400000 | 3785866 |
|  Class A5, 2.851% 10/17/52  | 838000 | 723247 |
| Series 2020-BN28 Class A3, 1.584% 3/15/63 <br>| 9000000 | 7007768 |
| Series 2021-BN31 Class A3, 1.771% 2/15/54 <br>| 2000000 | 1569432 |
| Series 2021-BN32 Class A4, 2.349% 4/15/54 <br>| 20000000 | 16489186 |
| Series 2021-BN33 Class A4, 2.27% 5/15/64 <br>| 9000000 | 7352666 |
| Series 2021-BN35 Class A5, 2.285% 6/15/64 <br>| 39000 | 31319 |
| Series 2022-BNK43 Class A5, 4.399% 8/15/55 <br>| 4500000 | 4264173 |
|  Series 2020-BN25 Class XB, 0.5325% 1/15/63 (c)(n) | 5200000 | 129532 |
|  Series 2021-BN31 Class XB, 0.9775% 2/15/54 (c)(n) | 7000000 | 380017 |
|  Series 2021-BN33 Class XA, 1.1716% 5/15/64 (c)(n) | 8971141 | 519403 |
|  Series 2021-BN34 Class XB, 0.6266% 6/15/63 (c)(n) | 171794000 | 5980836 |
| Bayview Commercial Asset Trust floater: |  |  |
|  Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.600% 4.6436% 11/25/35 (b)(c)(g) | 15891 | 14440 |
|  Series 2005-4A:  |  |  |
| Class A2, 1 month U.S. LIBOR + 0.580% 4.6286% 1/25/36 (b)(c)(g) <br>| 39365 | 35700 |
| Class M1, 1 month U.S. LIBOR + 0.670% 4.7186% 1/25/36 (b)(c)(g) <br>| 12706 | 11398 |
|  Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.400% 4.4486% 12/25/36 (b)(c)(g) | 83619 | 76001 |
|  Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 4.4486% 3/25/37 (b)(c)(g) | 22338 | 20130 |
|  Series 2007-2A:  |  |  |
| Class A1, 1 month U.S. LIBOR + 0.270% 4.3136% 7/25/37 (b)(c)(g) <br>| 65642 | 57314 |
| Class A2, 1 month U.S. LIBOR + 0.320% 4.3636% 7/25/37 (b)(c)(g) <br>| 61458 | 52661 |
| Class M1, 1 month U.S. LIBOR + 0.370% 4.4136% 7/25/37 (b)(c)(g) <br>| 20919 | 17904 |
|  Series 2007-3:  |  |  |
| Class A2, 1 month U.S. LIBOR + 0.290% 4.3336% 7/25/37 (b)(c)(g) <br>| 22741 | 19951 |
| Class M1, 1 month U.S. LIBOR + 0.310% 4.3536% 7/25/37 (b)(c)(g) <br>| 12051 | 11473 |
| Class M2, 1 month U.S. LIBOR + 0.340% 4.3836% 7/25/37 (b)(c)(g) <br>| 12890 | 12193 |
| Class M3, 1 month U.S. LIBOR + 0.370% 4.4136% 7/25/37 (b)(c)(g) <br>| 20645 | 17148 |
| Class M4, 1 month U.S. LIBOR + 0.500% 4.5436% 7/25/37 (b)(c)(g) <br>| 32591 | 27039 |
| Class M5, 1 month U.S. LIBOR + 0.600% 4.6436% 7/25/37 (b)(c)(g) <br>| 15510 | 17344 |
| BBCMS Mortgage Trust sequential payer: |  |  |
|  Series 2019-C4 Class A4, 2.661% 8/15/52  | 4000000 | 3478164 |
|  Series 2021-C9 Class A4, 2.021% 2/15/54  | 10000000 | 8005440 |
| Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51  | 1700000 | 1635685 |
| Benchmark Mortgage Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2018-B4 Class A5, 4.121% 7/15/51 <br>| 949000 | 899007 |
| Series 2019-B10 Class A4, 3.717% 3/15/62 <br>| 1673000 | 1540525 |
| Series 2019-B13 Class A4, 2.952% 8/15/57 <br>| 7629000 | 6653643 |
| Series 2020-B18 Class A4, 1.672% 7/15/53 <br>| 10000000 | 7939473 |
| Series 2020-B19: <br>|  |  |
|  Class A3, 1.787% 9/15/53  | 5800000 | 5055089 |
|  Class A4, 1.546% 9/15/53  | 12500000 | 10061585 |
| Series 2020-B22 Class A4, 1.685% 1/15/54 <br>| 3175000 | 2485182 |
| Series 2021-B23 Class A4A1, 1.823% 2/15/54 <br>| 2000000 | 1574519 |
| Series 2021-B24: <br>|  |  |
|  Class A4, 2.2638% 3/15/54  | 17600000 | 14479421 |
|  Class A5, 2.5843% 3/15/54  | 1200000 | 993244 |
| Series 2021-B26 Class A4, 2.295% 6/15/54 <br>| 8800000 | 7242344 |
| Series 2021-B28 Class A5, 2.2237% 8/15/54 <br>| 640000 | 511165 |
| Series 2021-B31 Class A5, 2.669% 12/15/54 <br>| 4887468 | 4008487 |
| Series 2022-B36 Class A5, 4.4699% 7/15/55 <br>| 6000000 | 5713015 |
|  Series 2019-B12 Class XA, 1.1696% 8/15/52 (c)(n) | 38841816 | 1643743 |
|  Series 2019-B14 Class XA, 0.9039% 12/15/62 (c)(n) | 22718676 | 734847 |
| BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 5.925% 11/15/28 (b)(c)(g) | 7501000 | 7397415 |
| BHMS floater Series 2018-ATLS Class A, 1 month U.S. LIBOR + 1.250% 5.1253% 7/15/35 (b)(c)(g) | 10931821 | 10481227 |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 4.625% 9/15/26 (b)(c)(g) | 8921000 | 8396620 |
| BMO Mortgage Trust sequential payer Series 2022-C1 Class A4, 3.119% 2/15/55  | 6200000 | 5274835 |
| BPR Trust floater Series 2022-OANA: |  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.890% 5.6923% 4/15/37 (b)(c)(g) | 15784000 | 15358697 |
|  Class B, CME Term SOFR 1 Month Index + 2.440% 6.2413% 4/15/37 (b)(c)(g) | 4626000 | 4333252 |
| BX Commercial Mortgage Trust: |  |  |
|  floater:  |  |  |
| Series 2021-CIP Class E, 1 month U.S. LIBOR + 2.820% 6.695% 12/15/38 (b)(c)(g) <br>| 10350000 | 9468302 |
| Series 2021-PAC: <br>|  |  |
|  Class A, 1 month U.S. LIBOR + 0.680% 4.5651% 10/15/36 (b)(c)(g) | 8026000 | 7658871 |
|  Class B, 1 month U.S. LIBOR + 0.890% 4.7748% 10/15/36 (b)(c)(g) | 1201000 | 1127810 |
|  Class C, 1 month U.S. LIBOR + 1.090% 4.9746% 10/15/36 (b)(c)(g) | 1607000 | 1497014 |
|  Class D, 1 month U.S. LIBOR + 1.290% 5.1743% 10/15/36 (b)(c)(g) | 1560000 | 1434218 |
|  Class E, 1 month U.S. LIBOR + 1.940% 5.8235% 10/15/36 (b)(c)(g) | 5425000 | 4984193 |
| Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 4.5273% 5/15/38 (b)(c)(g) <br>| 5200000 | 4978318 |
| Series 2022-CSMO: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 2.110% 5.9091% 6/15/27 (b)(c)(g) | 6438000 | 6369422 |
|  Class B, CME Term SOFR 1 Month Index + 3.140% 6.935% 6/15/27 (b)(c)(g) | 3795000 | 3749822 |
| Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 4.8072% 2/15/39 (b)(c)(g) <br>| 11579430 | 11108210 |
|  floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 4.751% 11/15/32 (b)(c)(g) | 2389891 | 2334624 |
| BX Trust: |  |  |
|  floater:  |  |  |
| Series 2018-EXCL: <br>|  |  |
|  Class B, 1 month U.S. LIBOR + 1.320% 5.201% 9/15/37 (b)(c)(g) | 1080352 | 1044986 |
|  Class D, 1 month U.S. LIBOR + 2.620% 6.501% 9/15/37 (b)(c)(g) | 1952300 | 1685241 |
| Series 2019-IMC: <br>|  |  |
|  Class B, 1 month U.S. LIBOR + 1.300% 5.173% 4/15/34 (b)(c)(g) | 4464000 | 4289265 |
|  Class C, 1 month U.S. LIBOR + 1.600% 5.473% 4/15/34 (b)(c)(g) | 2952000 | 2806787 |
|  Class D, 1 month U.S. LIBOR + 1.900% 5.773% 4/15/34 (b)(c)(g) | 3099000 | 2891006 |
| Series 2019-XL: <br>|  |  |
|  Class B, CME Term SOFR 1 Month Index + 1.190% 4.9887% 10/15/36 (b)(c)(g) | 4429350 | 4323442 |
|  Class C, CME Term SOFR 1 Month Index + 1.360% 5.1587% 10/15/36 (b)(c)(g) | 4286550 | 4169211 |
|  Class D, CME Term SOFR 1 Month Index + 1.560% 5.3587% 10/15/36 (b)(c)(g) | 7863350 | 7575849 |
|  Class E, CME Term SOFR 1 Month Index + 1.910% 5.7087% 10/15/36 (b)(c)(g) | 8530600 | 8224670 |
|  Class G, CME Term SOFR 1 Month Index + 2.410% 6.2087% 10/15/36 (b)(c)(g) | 15725000 | 15012703 |
|  Class J, CME Term SOFR 1 Month Index + 2.760% 6.5587% 10/15/36 (b)(c)(g) | 6162500 | 5814461 |
| Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 4.726% 11/15/38 (b)(c)(g) <br>| 3786000 | 3630428 |
| Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 4.5109% 10/15/26 (b)(c)(g) <br>| 7377000 | 6998906 |
| Series 2021-SOAR Class F, 6.226% 6/15/38 (b)(c) <br>| 3969927 | 3681296 |
| Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 5.9593% 10/15/39 (b)(c)(g) <br>| 4233000 | 4214434 |
| Series 2022-IND: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.490% 5.3019% 4/15/37 (b)(c)(g) | 7417302 | 7205818 |
|  Class B, CME Term SOFR 1 Month Index + 1.940% 5.7509% 4/15/37 (b)(c)(g) | 3781761 | 3615327 |
|  Class C, CME Term SOFR 1 Month Index + 2.290% 6.1009% 4/15/37 (b)(c)(g) | 853578 | 806780 |
|  Class D, CME Term SOFR 1 Month Index + 2.830% 6.6499% 4/15/37 (b)(c)(g) | 714006 | 669717 |
|  floater sequential payer:  |  |  |
| Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 4.5753% 1/15/34 (b)(c)(g) <br>| 3562000 | 3439609 |
| Series 2021-SOAR Class A, 4.546% 6/15/38 (b)(c) <br>| 8356696 | 8000480 |
|  floater, sequential payer:  |  |  |
| Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 4.873% 4/15/34 (b)(c)(g) <br>| 7500000 | 7299518 |
| Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (b)(c)(g) <br>| 16781032 | 16485367 |
| BXMT, Ltd. floater Series 2020-FL3 Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.400% 4.8812% 11/15/37 (b)(g) | 13100000 | 12894511 |
| BXSC Commercial Mortgage Trust floater Series 2022-WSS Class D, CME Term SOFR 1 Month Index + 3.180% 6.983% 3/15/35 (b)(c)(g) | 8167000 | 7716672 |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 4.943% 12/15/37 (b)(c)(g) | 3800000 | 3718954 |
| Camb Commercial Mortgage Trust sequential payer Series 2021-CX2 Class A, 2.7% 11/10/46 (b) | 7800000 | 6272145 |
| CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50  | 2500000 | 2378395 |
| CF Hippolyta Issuer LLC sequential payer: |  |  |
|  Series 2020-1:  |  |  |
| Class A1, 1.69% 7/15/60 (b) <br>| 16853510 | 14903960 |
| Class A2, 1.99% 7/15/60 (b) <br>| 6652921 | 5514275 |
|  Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 8574724 | 7386879 |
| CF Mortgage Trust sequential payer Series 2019-CF2 Class A4, 2.6236% 11/15/52  | 850000 | 715115 |
| CFCRE Mortgage Trust sequential payer Series 2016-C6 Class A2, 2.95% 11/10/49  | 939742 | 859462 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (b)(c)(g) | 3687000 | 3580350 |
|  Class B, 1 month U.S. LIBOR + 1.250% 5.1253% 11/15/36 (b)(c)(g) | 1400000 | 1347182 |
| CHC Commercial Mortgage Trust floater Series 2019-CHC: |  |  |
|  Class A, 1 month U.S. LIBOR + 1.120% 4.995% 6/15/34 (b)(c)(g) | 13951649 | 13679467 |
|  Class B, 1 month U.S. LIBOR + 1.500% 5.375% 6/15/34 (b)(c)(g) | 2103119 | 2034078 |
|  Class C, 1 month U.S. LIBOR + 1.750% 5.625% 6/15/34 (b)(c)(g) | 2376058 | 2274902 |
| CIM Retail Portfolio Trust floater Series 2021-RETL: |  |  |
|  Class C, 1 month U.S. LIBOR + 2.300% 6.176% 8/15/36 (b)(c)(g) | 77702 | 72209 |
|  Class D, 1 month U.S. LIBOR + 3.050% 6.926% 8/15/36 (b)(c)(g) | 1070250 | 982471 |
| Citigroup Commercial Mortgage Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2015-GC33 Class A3, 3.515% 9/10/58 <br>| 1584037 | 1503061 |
| Series 2016-GC37 Class A3, 3.05% 4/10/49 <br>| 2190826 | 2038159 |
|  Series 2013-GC17 Class A/S, 4.544% 11/10/46  | 2300000 | 2245761 |
|  Series 2014-GC25 Class A/S, 4.017% 10/10/47  | 1183000 | 1119216 |
|  Series 2015-GC29 Class XA, 1.1557% 4/10/48 (c)(n) | 28904433 | 542328 |
|  Series 2015-GC33:  |  |  |
| Class AAB, 3.522% 9/10/58 <br>| 570290 | 551257 |
| Class XA, 1.0252% 9/10/58 (c)(n) <br>| 17408247 | 336287 |
|  Series 2016-C2 Class A3, 2.575% 8/10/49  | 2800000 | 2532548 |
|  Series 2016-GC36 Class A4, 3.349% 2/10/49  | 2500000 | 2343142 |
|  Series 2016-P6 Class XA, 0.7018% 12/10/49 (c)(n) | 12608641 | 226422 |
| COMM Mortgage Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) <br>| 1700000 | 1684190 |
| Series 2014-CR18 Class A5, 3.828% 7/15/47 <br>| 1610000 | 1556243 |
| Series 2016-COR1 Class A3, 2.826% 10/10/49 <br>| 7520414 | 6831778 |
|  Series 2013-LC13 Class AM, 4.557% 8/10/46 (b) | 1000000 | 980280 |
|  Series 2014-CR17 Class XA, 1.1106% 5/10/47 (c)(n) | 17409148 | 167873 |
|  Series 2014-CR20 Class XA, 1.0939% 11/10/47 (c)(n) | 15768998 | 220211 |
|  Series 2014-LC17 Class XA, 0.8149% 10/10/47 (c)(n) | 30949598 | 289812 |
|  Series 2014-UBS6:  |  |  |
| Class A5, 3.644% 12/10/47 <br>| 3900000 | 3737658 |
| Class XA, 0.9848% 12/10/47 (c)(n) <br>| 9203794 | 117414 |
|  Series 2015-CR23 Class A3, 3.23% 5/10/48  | 2208176 | 2103431 |
|  Series 2015-CR24 Class A4, 3.432% 8/10/48  | 954103 | 902845 |
|  Series 2015-PC1 Class A4, 3.62% 7/10/50  | 806614 | 775634 |
| Credit Suisse Mortgage Trust: |  |  |
|  floater Series 2019-ICE4:  |  |  |
| Class A, 1 month U.S. LIBOR + 0.980% 4.855% 5/15/36 (b)(c)(g) <br>| 7993000 | 7889801 |
| Class C, 1 month U.S. LIBOR + 1.430% 5.305% 5/15/36 (b)(c)(g) <br>| 1521000 | 1478800 |
|  sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 2201900 | 1965338 |
|  Series 2018-SITE:  |  |  |
| Class A, 4.284% 4/15/36 (b) <br>| 5237000 | 4967069 |
| Class B, 4.5349% 4/15/36 (b) <br>| 1543000 | 1450581 |
| Class C, 4.9414% 4/15/36 (b)(c) <br>| 1033000 | 967170 |
| Class D, 4.9414% 4/15/36 (b)(c) <br>| 2066000 | 1898898 |
| CSAIL Commercial Mortgage Trust: |  |  |
|  sequential payer Series 2021-C20 Class A2, 2.4862% 3/15/54  | 16000000 | 13314362 |
|  Series 2016-C7 Class A4, 3.21% 11/15/49  | 3186022 | 2950212 |
| CSMC Commercial Mortgage Trust sequential payer Series 2016-NXSR Class A4, 3.7948% 12/15/49  | 2000000 | 1874337 |
| CSMC Trust sequential payer Series 2014-U.S.A. Class A2, 3.953% 9/15/37 (b) | 2001000 | 1805182 |
| DBJPM Mortgage Trust sequential payer Series 2017-C6 Class A3, 3.269% 6/10/50  | 1129787 | 1085318 |
| DOLP Trust sequential payer Series 2021-NYC Class A, 2.956% 5/10/41 (b) | 13500000 | 10724717 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.700% 4.577% 11/15/38 (b)(c)(g) | 10980000 | 10474353 |
|  Class B, 1 month U.S. LIBOR + 1.120% 4.9962% 11/15/38 (b)(c)(g) | 975000 | 926130 |
|  Class F, 1 month U.S. LIBOR + 2.660% 6.543% 11/15/38 (b)(c)(g) | 1000000 | 906035 |
| Extended Stay America Trust floater Series 2021-ESH: |  |  |
|  Class A, 1 month U.S. LIBOR + 1.080% 4.956% 7/15/38 (b)(c)(g) | 4751128 | 4569473 |
|  Class B, 1 month U.S. LIBOR + 1.380% 5.256% 7/15/38 (b)(c)(g) | 2054885 | 1951851 |
|  Class C, 1 month U.S. LIBOR + 1.700% 5.576% 7/15/38 (b)(c)(g) | 1515050 | 1439086 |
|  Class D, 1 month U.S. LIBOR + 2.250% 6.126% 7/15/38 (b)(c)(g) | 3061339 | 2900174 |
| Freddie Mac: |  |  |
|  sequential payer Series 2021-K136 Class A2, 2.127% 11/25/31  | 500000 | 415105 |
|  Series 2019-K095 Class X1, 1.084% 6/25/29 (c)(n) | 13916556 | 685236 |
|  Series 2020-K106 Class X1, 1.4771% 1/25/30 (c)(n) | 60679347 | 4567656 |
|  Series 2021-K124 Class X1, 0.8111% 12/25/30 (c)(n) | 6485260 | 289432 |
|  Series 2021-K741 Class X1, 0.6562% 12/25/27 (c)(n) | 140715183 | 3318388 |
|  Series 2022-K150 Class A2, 3.71% 11/25/32  | 2600000 | 2450020 |
| FREMF Mortgage Trust floater Series 2018-KSW4 Class B, 1 month U.S. LIBOR + 2.450% 6.2549% 10/25/28 (c)(g) | 4956276 | 4749697 |
| Ginnie Mae guaranteed Multi-family REMIC pass-thru securities: |  |  |
|  Series 2020-193 Class AC, 1.25% 9/16/62  | 1487930 | 1189639 |
|  Series 2021-14 Class AB, 1.34% 6/16/63  | 1786503 | 1394503 |
|  Series 2021-2 Class AH, 1.5% 6/16/63  | 4198554 | 3348037 |
|  Series 2021-21 Class AH, 1.4% 6/16/63  | 2835559 | 2228190 |
|  Series 2021-31 Class B, 1.25% 1/16/61  | 3080185 | 2382791 |
| Greystone Commercial Capital Trust floater Series 2021-3 Class A, 1 month U.S. LIBOR + 2.230% 6.1336% 8/1/23 (b)(c)(g) | 7000000 | 6891455 |
| GS Mortgage Securities Trust: |  |  |
|  floater:  |  |  |
| Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 5.823% 9/15/31 (b)(c)(g) <br>| 9403723 | 9219405 |
| Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 4.97% 10/15/31 (b)(c)(g) <br>| 4013000 | 3783387 |
| Series 2021-IP: <br>|  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 4.825% 10/15/36 (b)(c)(g) | 7945000 | 7394872 |
|  Class B, 1 month U.S. LIBOR + 1.150% 5.025% 10/15/36 (b)(c)(g) | 730000 | 675113 |
|  Class C, 1 month U.S. LIBOR + 1.550% 5.425% 10/15/36 (b)(c)(g) | 601000 | 550793 |
| Series 2021-RENT Class C, 1 month U.S. LIBOR + 1.550% 5.4886% 11/21/35 (b)(c)(g) <br>| 3488852 | 3281991 |
|  sequential payer:  |  |  |
| Series 2015-GS1 Class A3, 3.734% 11/10/48 <br>| 11384000 | 10749167 |
| Series 2020-GSA2 Class A4, 1.721% 12/12/53 <br>| 4940000 | 3838492 |
|  Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c) | 10724716 | 10505364 |
|  Series 2015-GC30 Class A3, 3.119% 5/10/50  | 1883924 | 1777040 |
|  Series 2015-GC34 Class XA, 1.3589% 10/10/48 (c)(n) | 5343340 | 147021 |
|  Series 2019-GC40 Class A3, 2.904% 7/10/52  | 2000000 | 1734396 |
|  Series 2021-RENT Class D, 1 month U.S. LIBOR + 1.850% 5.7886% 11/21/35 (b)(c)(g) | 2152696 | 2021743 |
| Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 6.2826% 8/15/39 (b)(c)(g) | 8682000 | 8594970 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 4.3908% 4/15/37 (b)(c)(g) | 4800000 | 4451026 |
| JPMBB Commercial Mortgage Securities Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2014-C21 Class A4, 3.4927% 8/15/47 <br>| 1451598 | 1407046 |
| Series 2015-C29 Class A3A2, 3.3423% 5/15/48 (b) <br>| 1611241 | 1517394 |
|  Series 2013-C14 Class A/S, 4.4093% 8/15/46  | 3088000 | 3024849 |
|  Series 2014-C19 Class XA, 0.7761% 4/15/47 (c)(n) | 2624467 | 14911 |
|  Series 2015-C30 Class A4, 3.5508% 7/15/48  | 1296264 | 1234367 |
| JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b) | 205543 | 205013 |
| JPMorgan Chase Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.250% 5.125% 9/15/29 (b)(c)(g) | 5421952 | 5260300 |
|  sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46  | 1800000 | 1781240 |
|  Series 2013-C10 Class A/S, 3.3715% 12/15/47  | 1600000 | 1591984 |
|  Series 2013-C16 Class A/S, 4.5169% 12/15/46  | 560000 | 547867 |
|  Series 2018-WPT:  |  |  |
| Class AFX, 4.2475% 7/5/33 (b) <br>| 2700000 | 2521595 |
| Class CFX, 4.9498% 7/5/33 (b) <br>| 919000 | 800722 |
| Class DFX, 5.3503% 7/5/33 (b) <br>| 1414000 | 1219052 |
| Class EFX, 5.5423% 7/5/33 (b)(c) <br>| 1934000 | 1649222 |
| Class XAFX, 1.2948% 7/5/33 (b)(c)(n) <br>| 10000000 | 37795 |
|  Series 2019-COR4 Class A3, 3.7629% 3/10/52  | 5400000 | 4969905 |
|  Series 2021-MHC Class XCP, 1.4212% 4/15/38 (b)(c)(n) | 164060500 | 856215 |
| Life Financial Services Trust floater Series 2022-BMR2: |  |  |
|  Class A1, CME Term SOFR 1 Month Index + 1.290% 5.0895% 5/15/39 (b)(c)(g) | 14520000 | 14083278 |
|  Class B, CME Term SOFR 1 Month Index + 1.790% 5.5882% 5/15/39 (b)(c)(g) | 6596000 | 6348023 |
|  Class C, CME Term SOFR 1 Month Index + 2.090% 5.8874% 5/15/39 (b)(c)(g) | 3893000 | 3736889 |
|  Class D, CME Term SOFR 1 Month Index + 2.540% 6.3362% 5/15/39 (b)(c)(g) | 3460000 | 3295244 |
| LIFE Mortgage Trust floater Series 2021-BMR: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.700% 4.575% 3/15/38 (b)(c)(g) | 9466986 | 9098920 |
|  Class B, 1 month U.S. LIBOR + 0.880% 4.755% 3/15/38 (b)(c)(g) | 1643526 | 1556958 |
|  Class C, 1 month U.S. LIBOR + 1.100% 4.975% 3/15/38 (b)(c)(g) | 1034085 | 974431 |
| MBRT floater Series 2019-MBR Class A, 1 month U.S. LIBOR + 1.100% 5.075% 11/15/36 (b)(c)(g) | 6000000 | 5864497 |
| MHC Commercial Mortgage Trust: |  |  |
|  floater Series 2021-MHC Class E, 1 month U.S. LIBOR + 2.100% 5.976% 4/15/38 (b)(c)(g) | 5425000 | 5088661 |
|  floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 4.676% 4/15/38 (b)(c)(g) | 10550692 | 10180642 |
| Morgan Stanley BAML Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2015-C21 Class A3, 3.077% 3/15/48 <br>| 3407710 | 3211584 |
| Series 2016-C28 Class A3, 3.272% 1/15/49 <br>| 3302603 | 3104694 |
| Series 2016-C29 Class ASB, 3.14% 5/15/49 <br>| 324397 | 310427 |
|  Series 2015-C25:  |  |  |
| Class A4, 3.372% 10/15/48 <br>| 2800000 | 2639214 |
| Class XA, 1.1949% 10/15/48 (c)(n) <br>| 9515000 | 192841 |
|  Series 2015-C26 Class A4, 3.252% 10/15/48  | 3200000 | 3052781 |
|  Series 2016-C32 Class A3, 3.459% 12/15/49  | 4836809 | 4504466 |
| Morgan Stanley Capital I Trust: |  |  |
|  floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 4.725% 8/15/33 (b)(c)(g) | 4512912 | 4256081 |
|  floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 4.825% 12/15/36 (b)(c)(g) | 5200000 | 4846935 |
|  sequential payer:  |  |  |
| Series 2019-MEAD Class A, 3.17% 11/10/36 (b) <br>| 13482000 | 12513907 |
| Series 2021-L6 Class A3, 2.196% 6/15/54 <br>| 7000000 | 5518969 |
|  Series 2015-UBS8 Class A3, 3.54% 12/15/48  | 2869119 | 2693760 |
|  Series 2016-UB12 Class A3, 3.337% 12/15/49  | 1966999 | 1818657 |
|  Series 2018-H4 Class A4, 4.31% 12/15/51  | 3237000 | 3060349 |
|  Series 2019-MEAD:  |  |  |
| Class B, 3.283% 11/10/36 (b)(c) <br>| 1558000 | 1406319 |
| Class C, 3.283% 11/10/36 (b)(c) <br>| 1495000 | 1301824 |
| Class D, 3.283% 11/10/36 (b)(c) <br>| 2340000 | 1971668 |
|  Series 2021-L6 Class XA, 1.3449% 6/15/54 (c)(n) | 12544676 | 807182 |
| MTN Commercial Mortgage Trust floater Series 2022-LPFL Class F, CME Term SOFR 1 Month Index + 4.280% 8.0834% 3/15/39 (b)(c)(g) | 7000000 | 6579917 |
| ONE Mortgage Trust floater Series 2021-PARK Class E, CME Term SOFR 1 Month Index + 1.860% 5.6585% 3/15/36 (b)(c)(g) | 5759000 | 5172060 |
| Prima Capital Ltd. floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 5.7386% 12/15/37 (b)(c)(g) | 2053000 | 2004687 |
| RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 4.676% 4/15/36 (b)(c)(g) | 1900000 | 1824381 |
| SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE: |  |  |
|  Class A1, 3.872% 1/5/43 (b)(c) | 740000 | 513054 |
|  Class A2A, 3.659% 1/5/43 (b)(c) | 9930000 | 6961885 |
| SPGN Mortgage Trust floater Series 2022-TFLM: |  |  |
|  Class B, CME Term SOFR 1 Month Index + 2.000% 5.7943% 2/15/39 (b)(c)(g) | 1890000 | 1775605 |
|  Class C, CME Term SOFR 1 Month Index + 2.650% 6.4443% 2/15/39 (b)(c)(g) | 983000 | 916512 |
| SREIT Trust floater: |  |  |
|  Series 2021-FLWR Class A, 1 month U.S. LIBOR + 0.570% 4.4516% 7/15/36 (b)(c)(g) | 3180000 | 3040475 |
|  Series 2021-IND Class A, 1 month U.S. LIBOR + 0.700% 4.575% 10/15/38 (b)(c)(g) | 5800000 | 5515420 |
|  Series 2021-MFP:  |  |  |
| Class A, 1 month U.S. LIBOR + 0.730% 4.6061% 11/15/38 (b)(c)(g) <br>| 9194000 | 8785002 |
| Class B, 1 month U.S. LIBOR + 1.070% 4.9551% 11/15/38 (b)(c)(g) <br>| 4235000 | 4012117 |
| Class C, 1 month U.S. LIBOR + 1.320% 5.2043% 11/15/38 (b)(c)(g) <br>| 2630000 | 2478408 |
| Class D, 1 month U.S. LIBOR + 1.570% 5.4535% 11/15/38 (b)(c)(g) <br>| 1728000 | 1624070 |
| UBS Commercial Mortgage Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2018-C12: <br>|  |  |
|  Class A2, 4.1519% 8/15/51  | 6005064 | 5929902 |
|  Class A5, 4.2962% 8/15/51  | 3000000 | 2830788 |
| Series 2019-C17 Class A3, 2.6686% 10/15/52 <br>| 1065000 | 905248 |
|  Series 2017-C1 Class A3, 3.283% 11/15/50  | 5500000 | 5008999 |
|  Series 2017-C7 Class XA, 1.1862% 12/15/50 (c)(n) | 15706795 | 558491 |
|  Series 2018-C13 Class A3, 4.0694% 10/15/51  | 6000000 | 5671529 |
|  Series 2018-C9 Class ASB, 4.09% 3/15/51  | 3300000 | 3179232 |
| UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 4.6631% 4/10/46 (b)(c)(g) | 1138917 | 1137314 |
| VLS Commercial Mortgage Trust: |  |  |
|  sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 3760000 | 2922469 |
|  Series 2020-LAB:  |  |  |
| Class B, 2.453% 10/10/42 (b) <br>| 300000 | 229677 |
| Class X, 0.5162% 10/10/42 (b)(c)(n) <br>| 8700000 | 236498 |
| Wells Fargo Commercial Mortgage Trust: |  |  |
|  floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 5.075% 5/15/31 (b)(c)(g) | 4470000 | 4214406 |
|  sequential payer:  |  |  |
| Series 2015-C29 Class ASB, 3.4% 6/15/48 <br>| 713827 | 692653 |
| Series 2016-C34 Class A4, 3.096% 6/15/49 <br>| 6124000 | 5642099 |
| Series 2016-LC24 Class A3, 2.684% 10/15/49 <br>| 2922710 | 2658855 |
| Series 2021-C59 Class A4, 2.343% 4/15/54 <br>| 5000000 | 4044780 |
| Series 2021-C61 Class A3, 2.406% 11/15/54 <br>| 7300000 | 5873317 |
|  Series 2015-C31 Class XA, 1.1084% 11/15/48 (c)(n) | 6364663 | 140004 |
|  Series 2017-C42 Class XA, 1.0068% 12/15/50 (c)(n) | 34697279 | 1203885 |
|  Series 2018-C46 Class XA, 1.1006% 8/15/51 (c)(n) | 14282453 | 392373 |
|  Series 2018-C48 Class A5, 4.302% 1/15/52  | 3181000 | 3015237 |
| WF-RBS Commercial Mortgage Trust: |  |  |
|  Series 2014-C24 Class XA, 0.9868% 11/15/47 (c)(n) | 5971941 | 73426 |
|  Series 2014-LC14 Class XA, 1.416% 3/15/47 (c)(n) | 7306567 | 68846 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $1,036,472,831) |  | **947854588** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.2%** | &nbsp;&nbsp;**Municipal Securities - 0.2%** | &nbsp;&nbsp;**Municipal Securities - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2009 F2, 6.263% 4/1/49  | 3265000 | 3741212 |
| California Gen. Oblig. Series 2009, 7.5% 4/1/34  | 205000 | 252414 |
| Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50  | 45000 | 50731 |
| Dallas Fort Worth Int'l. Arpt. Rev. Series 2022 A, 4.087% 11/1/51  | 1010000 | 846398 |
| District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35  | 75000 | 78556 |
| Illinois Gen. Oblig.: |  |  |
|  Series 2003:  |  |  |
| 4.95% 6/1/23 <br>| 2089091 | 2088447 |
| 5.1% 6/1/33 <br>| 22850000 | 22026639 |
|  Series 2010-1, 6.63% 2/1/35  | 3845000 | 3926971 |
|  Series 2010-3:  |  |  |
| 6.725% 4/1/35 <br>| 2510000 | 2576605 |
| 7.35% 7/1/35 <br>| 4322500 | 4588618 |
| Jobsohio Beverage Sys. Statewide Series 2020 A, 2.833% 1/1/38  | 325000 | 254220 |
| Los Angeles Dept. Arpt. Rev. Series C: |  |  |
|  2.063% 5/15/34  | 500000 | 358646 |
|  2.163% 5/15/35  | 500000 | 352718 |
| Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39  | 190000 | 205281 |
| Los Angeles Unified School District: |  |  |
|  Series 2010 RY, 6.758% 7/1/34  | 310000 | 351407 |
|  Series KRY, 5.75% 7/1/34  | 1535000 | 1623950 |
| Louisiana Gas & Fuel Tax Rev. Series 2022 A, 2.952% 5/1/41  | 5270000 | 3998983 |
| Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40  | 150000 | 158317 |
| Michigan Fin. Auth. Rev. Series 2019 T, 3.384% 12/1/40  | 545000 | 432990 |
| Michigan State Univ. Revs. Series 2022 A, 4.165% 8/15/22  | 2810000 | 2058214 |
| New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 9315000 | 10067292 |
| New Jersey Tpk. Auth. Tpk. Rev.: |  |  |
|  Series 2009 E, 7.414% 1/1/40  | 1845000 | 2316748 |
|  Series 2010 A, 7.102% 1/1/41  | 855000 | 1045570 |
|  Series 2021 B:  |  |  |
| 1.963% 1/1/32 <br>| 1000000 | 780670 |
| 2.113% 1/1/33 <br>| 1050000 | 808624 |
| New York City Gen. Oblig. Series A3, 2.8% 8/1/30  | 3250000 | 2819264 |
| New York City Transitional Fin. Auth. Rev.: |  |  |
|  Series 2010 C2, 5.767% 8/1/36  | 860000 | 892260 |
|  Series 2021 E3, 1.97% 2/1/33  | 2015000 | 1496886 |
|  Series A3, 3.88% 8/1/31  | 1170000 | 1066273 |
|  Series A5, 2.69% 5/1/33  | 2015000 | 1602861 |
|  Series B2, 3.14% 8/1/28  | 2735000 | 2487899 |
| New York State Dorm. Auth.: |  |  |
|  Series 2019 F, 3.11% 2/15/39  | 3250000 | 2559697 |
|  Series 2021 C, 2.202% 3/15/34  | 945000 | 700562 |
| Ohio State Univ. Gen. Receipts: |  |  |
|  Series 2010 C, 4.91% 6/1/40  | 140000 | 142740 |
|  Series 2011 A, 4.8% 6/1/11  | 1503000 | 1279983 |
| Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62  | 515000 | 463129 |
| Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41  | 750000 | 746319 |
| Texas Private Activity Bond Surface Trans. Corp. (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 B, 3.922% 12/31/49  | 555000 | 427613 |
| Univ. of California Revs. Series 2015 J, 4.131% 5/15/45  | 1750000 | 1527640 |
| Univ. of Michigan Rev.: |  |  |
|  Series 2020 B, 2.437% 4/1/40  | 1050000 | 758611 |
|  Series 2022 A, 4.454% 4/1/22  | 4790000 | 3930385 |
|  Series 2022 B, 3.504% 4/1/52  | 1080000 | 851318 |
| Univ. of Minnesota Gen. Oblig. Series 2022, 4.048% 4/1/52  | 3060000 | 2674925 |
| Univ. of Virginia Gen. Rev. Series 2021 B, 2.584% 11/1/51  | 1520000 | 1012106 |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $106,450,489) |  | **92430692** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.2%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.2%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.2%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Arab Republic of Egypt: |  |  |  |
|  5.25% 10/6/25 (Reg. S)  |  | 200000 | 178000 |
|  7.6003% 3/1/29 (b) |  | 632000 | 516660 |
| Brazil Minas SPE 5.333% 2/15/28 (Reg. S)  |  | 2388000 | 2299644 |
| Brazilian Federative Republic: |  |  |  |
|  2.875% 6/6/25  |  | 1200000 | 1135800 |
|  3.875% 6/12/30  |  | 990000 | 863342 |
|  4.625% 1/13/28  |  | 200000 | 191975 |
| Chilean Republic: |  |  |  |
|  2.45% 1/31/31  |  | 500000 | 422750 |
|  3.24% 2/6/28  |  | 814000 | 761243 |
| Colombian Republic: |  |  |  |
|  3% 1/30/30  |  | 800000 | 602000 |
|  3.125% 4/15/31  |  | 200000 | 148000 |
|  4.5% 1/28/26  |  | 1400000 | 1302000 |
|  10.375% 1/28/33  |  | 1350000 | 1454034 |
| Dominican Republic: |  |  |  |
|  4.5% 1/30/30 (b) |  | 2000000 | 1697875 |
|  5.5% 2/22/29 (b) |  | 2505000 | 2303504 |
|  5.5% 2/22/29 (Reg. S)  |  | 161000 | 148050 |
|  5.95% 1/25/27 (b) |  | 1100000 | 1069613 |
|  6% 7/19/28 (b) |  | 1250000 | 1203125 |
| Emirate of Abu Dhabi 2.5% 9/30/29 (Reg. S)  |  | 1200000 | 1076850 |
| German Federal Republic: |  |  |  |
|  0% 8/15/31  | EUR | 6525000 | 5781567 |
|  1.25% 8/15/48 (j) | EUR | 2135000 | 1977727 |
| Guatemalan Republic 3.7% 10/7/33 (Reg. S)  |  | 1447000 | 1180029 |
| Hungarian Republic: |  |  |  |
|  1.75% 6/5/35 (Reg. S)  | EUR | 1370000 | 963008 |
|  2.125% 9/22/31 (b) |  | 1400000 | 1041513 |
| Indonesian Republic: |  |  |  |
|  1.1% 3/12/33  | EUR | 3500000 | 2635515 |
|  2.3% 6/23/25 (b) |  | 200000 | 188522 |
|  2.8% 6/23/30 (b) |  | 1500000 | 1316250 |
|  2.8% 6/23/30 (Reg. S)  |  | 400000 | 351000 |
|  2.85% 2/14/30  |  | 400000 | 359000 |
|  3.4% 9/18/29  |  | 420000 | 384825 |
|  3.5% 1/11/28  |  | 4450000 | 4221938 |
|  3.75% 6/14/28 (Reg. S)  | EUR | 2000000 | 2019154 |
|  4.65% 9/20/32  |  | 1975000 | 1933249 |
| Israeli State: |  |  |  |
|  3.875% 7/3/50  |  | 1750000 | 1458380 |
|  4.5% 1/30/43  |  | 200000 | 183448 |
| Italian Republic 2.375% 10/17/24  |  | 3800000 | 3560231 |
| Kingdom of Saudi Arabia: |  |  |  |
|  3.25% 11/17/51 (b) |  | 7910000 | 5675425 |
|  3.625% 3/4/28 (Reg. S)  |  | 1000000 | 952500 |
| Panamanian Republic: |  |  |  |
|  2.252% 9/29/32  |  | 480000 | 361890 |
|  3.16% 1/23/30  |  | 3020000 | 2619473 |
|  3.298% 1/19/33  |  | 8600000 | 7082100 |
|  4.3% 4/29/53  |  | 615000 | 458175 |
|  4.5% 4/16/50  |  | 400000 | 308200 |
|  4.5% 1/19/63  |  | 5665000 | 4135450 |
| Peruvian Republic: |  |  |  |
|  2.783% 1/23/31  |  | 772000 | 652340 |
|  2.844% 6/20/30  |  | 1630000 | 1405875 |
|  4.125% 8/25/27  |  | 400000 | 390000 |
| Philippine Republic: |  |  |  |
|  1.648% 6/10/31  |  | 400000 | 315544 |
|  2.457% 5/5/30  |  | 800000 | 684088 |
| Polish Government 5.75% 11/16/32  |  | 164000 | 172600 |
| Quebec Province yankee 7.125% 2/9/24  |  | 645000 | 661525 |
| Republic of Paraguay: |  |  |  |
|  2.739% 1/29/33 (b) |  | 1560000 | 1234643 |
|  4.95% 4/28/31 (b) |  | 500000 | 480875 |
| Republic of Serbia: |  |  |  |
|  1.5% 6/26/29 (Reg. S)  | EUR | 2722000 | 2118720 |
|  1.65% 3/3/33 (b) | EUR | 1072000 | 723208 |
|  3.125% 5/15/27 (Reg. S)  | EUR | 4228000 | 3880772 |
| Romanian Republic: |  |  |  |
|  3% 2/14/31 (Reg. S)  |  | 1164000 | 927417 |
|  3.875% 10/29/35 (b) | EUR | 289000 | 226922 |
| South African Republic: |  |  |  |
|  4.85% 9/30/29  |  | 1240000 | 1120495 |
|  5.875% 4/20/32  |  | 700000 | 642250 |
| State of Qatar: |  |  |  |
|  3.75% 4/16/30 (Reg. S)  |  | 400000 | 384000 |
|  4.5% 4/23/28 (Reg. S)  |  | 1400000 | 1403500 |
|  5.103% 4/23/48 (b) |  | 2200000 | 2200000 |
| Sultanate of Oman 5.625% 1/17/28 (Reg. S)  |  | 1025000 | 1003219 |
| Ukraine Government: |  |  |  |
|  4.375% 1/27/32 (b) | EUR | 1365000 | 274851 |
|  6.75% 6/20/28 (Reg. S)  | EUR | 1450000 | 293570 |
|  7.75% 9/1/24 (b) |  | 2800000 | 760900 |
|  8.994% 2/1/26 (Reg. S)  |  | 1800000 | 421650 |
| United Kingdom, Great Britain and Northern Ireland: |  |  |  |
|  1% 4/22/24(Reg. S)  | GBP | 2105000 | 2459005 |
|  2.25% 9/7/23  | GBP | 5145000 | 6144573 |
| United Mexican States: |  |  |  |
|  2.659% 5/24/31  |  | 4688000 | 3888696 |
|  3.5% 2/12/34  |  | 1420000 | 1183570 |
|  3.75% 1/11/28  |  | 2170000 | 2077775 |
|  4.15% 3/28/27  |  | 275000 | 269913 |
|  4.28% 8/14/41  |  | 400000 | 322825 |
|  4.5% 4/22/29  |  | 200000 | 194600 |
|  4.75% 3/8/44  |  | 2366000 | 1995277 |
|  6.05% 1/11/40  |  | 400000 | 401075 |
| Uruguay Republic: |  |  |  |
|  4.375% 1/23/31  |  | 910000 | 910000 |
|  5.1% 6/18/50  |  | 1385000 | 1378075 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $134,918,747) |  |  | **112127382** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| COMMUNICATION SERVICES - 0.0%  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Intelsat Emergence SA (e) | 75636 | 3652462 |
| Intelsat Jackson Holdings SA: |  |  |
|  Series A rights (e)(q) | 7920  | 69458  |
|  Series B rights (e)(q) | 7920  | 256054  |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $2,950,560) |  | <br> **3977974** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 0.0%  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Level 3 Financing, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.8214% 3/1/27 (c)(g)(r) | 1549912 | 1472896 |
| Lumen Technologies, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.0039% 3/15/27 (c)(g)(r) | 1282551 | 1214152 |
| Zayo Group Holdings, Inc. 1LN, term loan: |  |  |
|  1 month U.S. LIBOR + 3.000% 7.0714% 3/9/27 (c)(g)(r) | 1000000  | 751480  |
|  CME Term SOFR 1 Month Index + 4.250% 8.3365% 3/9/27 (c)(g)(r) | 1038746  | 807044  |
|  |  | 4245572 |
| Entertainment - 0.0% |  |  |
| Crown Finance U.S., Inc. 1LN, term loan CME Term SOFR 1 Month Index + 10.000% 13.8947% 9/9/23 (c)(g)(r) | 916269 | 882486 |
| Media - 0.0% |  |  |
| CSC Holdings LLC Tranche B 5LN, term loan CME Term SOFR 1 Month Index + 2.500% 6.3731% 4/15/27 (c)(g)(r) | 787848 | 736969 |
| Diamond Sports Group LLC 2LN, term loan CME Term SOFR 1 Month Index + 3.250% 7.1439% 8/24/26 (c)(g)(r) | 3784180 | 598392 |
| DIRECTV Financing LLC 1LN, term loan 1 month U.S. LIBOR + 5.000% 9.0714% 8/2/27 (c)(g)(r) | 455000 | 435144 |
| iHeartCommunications, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 5/1/26 (c)(g)(r) | 538996 | 504252 |
| Neptune Finco Corp. Tranche B, term loan CME Term SOFR 1 Month Index + 2.250% 6.1231% 7/17/25 (c)(g)(r) | 587565 | 561712 |
| Virgin Media Bristol LLC Tranche N, term loan 1 month U.S. LIBOR + 2.500% 6.3731% 1/31/28 (c)(g)(r) | 2000000 | 1947180 |
|  |  | 4783649 |
| Wireless Telecommunication Services - 0.0% |  |  |
| Digicel International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.96% 5/25/24 (c)(g)(r) | 887941 | 752530 |
| TOTAL COMMUNICATION SERVICES |  | 10664237 |
| CONSUMER DISCRETIONARY - 0.0%  |  |  |
| Diversified Consumer Services - 0.0% |  |  |
| Adtalem Global Education, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 8.0161% 8/12/28 (c)(g)(r) | 654783 | 645780 |
| AI Aqua Merger Sub, Inc.: |  |  |
|  Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 4.964% 7/30/28 (c)(g)(r) | 329214  | 312204  |
|  Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 4.964% 7/30/28 (c)(g)(r) | 57255  | 54296  |
| Pre-Paid Legal Services, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.750% 12/15/28 (g)(r)(s) | 415013 | 399794 |
| Spin Holdco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.1441% 3/4/28 (c)(g)(r) | 973045 | 868034 |
|  |  | 2280108 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Caesars Resort Collection LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 7/20/25 (c)(g)(r) | 809829 | 803520 |
| Delta 2 SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 1/15/30 (g)(r)(s) | 57740 | 57434 |
| Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 8.0865% 1/27/29 (c)(g)(r) | 614111 | 584799 |
| J&J Ventures Gaming LLC 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 4/26/28 (c)(g)(r) | 136205 | 130502 |
| Penn Entertainment, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 6.9365% 5/3/29 (c)(g)(r) | 212827 | 209634 |
| Scientific Games Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 6.8958% 4/7/29 (c)(g)(r) | 428073 | 419190 |
|  |  | 2205079 |
| Specialty Retail - 0.0% |  |  |
| Michaels Companies, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.250% 7.9241% 4/15/28 (c)(g)(r) | 1728125 | 1302332 |
| TOTAL CONSUMER DISCRETIONARY |  | 5787519 |
| CONSUMER STAPLES - 0.0%  |  |  |
| Beverages - 0.0% |  |  |
| Bengal Debt Merger Sub LLC 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 3.250% 6.9032% 1/24/29 (c)(g)(r) | 3083810 | 2898781 |
| ENERGY - 0.0%  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Buckeye Partners LP 1LN, term loan 1 month U.S. LIBOR + 2.250% 11/1/26 (g)(r)(s) | 245625 | 242444 |
| FINANCIALS - 0.0%  |  |  |
| Capital Markets - 0.0% |  |  |
| Deerfield Dakota Holding LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.8365% 4/9/27 (c)(g)(r) | 563510 | 531712 |
| Diversified Financial Services - 0.0% |  |  |
| Avolon TLB Borrower 1 (U.S.) LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 1.750% 4.7639% 1/15/25 (c)(g)(r) | 725000 | 712878 |
| Setanta Aircraft Leasing DAC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 11/5/28 (g)(r)(s) | 485000 | 478433 |
| TransUnion LLC: |  |  |
|  Tranche B5 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.8214% 11/16/26 (c)(g)(r) | 690952  | 671826  |
|  Tranche B6 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.3214% 12/1/28 (c)(g)(r) | 305520  | 300097  |
|  |  | 2163234 |
| Insurance - 0.0% |  |  |
| Acrisure LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 2/13/27 (c)(g)(r) | 1240458 | 1159158 |
| AmWINS Group, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 6.3214% 2/19/28 (c)(g)(r) | 2456268 | 2403237 |
| Asurion LLC: |  |  |
|  Tranche B4 2LN, term loan 1 month U.S. LIBOR + 5.250% 9.3214% 1/20/29 (c)(g)(r) | 153044  | 117206  |
|  Tranche B8 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 12/23/26 (c)(g)(r) | 595981  | 520488  |
|  |  | 4200089 |
| Mortgage Real Estate Investment Trusts - 0.0% |  |  |
| Blackstone Mortgage Trust, Inc. Tranche B, term loan 1 month U.S. LIBOR + 2.250% 2.6536% 4/23/26 (c)(g)(r) | 492386 | 479461 |
| TOTAL FINANCIALS |  | 7374496 |
| HEALTH CARE - 0.1%  |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Bausch + Lomb Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 5/10/27 (g)(r)(s) | 341119 | 322870 |
| Mozart Borrower LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 10/23/28 (c)(g)(r) | 3039725 | 2883514 |
|  |  | 3206384 |
| Health Care Providers & Services - 0.0% |  |  |
| Gainwell Acquisition Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.6741% 10/1/27 (c)(g)(r) | 744318 | 724966 |
| Horizon Pharma U.S.A., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.8125% 3/15/28 (c)(g)(r) | 2017260 | 1994566 |
| Icon Luxembourg Sarl Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9375% 7/3/28 (c)(g)(r) | 302224 | 300541 |
| Petvet Care Centers LLC Tranche B3-DD 1LN, term loan 1 month U.S. LIBOR + 4.000% 2/15/25 (g)(r)(s) | 139581 | 128938 |
| Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.0039% 11/15/28 (c)(g)(r) | 995000 | 955578 |
| WP CityMD Bidco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 11/18/28 (g)(r)(s) | 2400000 | 2387256 |
|  |  | 6491845 |
| Health Care Technology - 0.0% |  |  |
| Athenahealth Group, Inc.: |  |  |
|  Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 7.4106% 2/15/29 (c)(g)(r) | 1342541  | 1223054  |
|  Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (g)(r)(t) | 228120  | 207817  |
|  |  | 1430871 |
| Life Sciences Tools & Services - 0.0% |  |  |
| PRA Health Sciences, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9375% 7/3/28 (c)(g)(r) | 75299 | 74880 |
| Pharmaceuticals - 0.1% |  |  |
| Elanco Animal Health, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.5177% 8/1/27 (c)(g)(r) | 2839462 | 2744084 |
| Grifols, S.A. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.000% 6.0714% 11/15/27 (c)(g)(r) | 1636083 | 1582682 |
| Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.5714% 5/5/28 (c)(g)(r) | 1108954 | 1099250 |
| Organon & Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 6.1875% 6/2/28 (c)(g)(r) | 1283873 | 1269751 |
| Sunshine Luxembourg VII SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 10/2/26 (g)(r)(s) | 452495 | 429165 |
|  |  | 7124932 |
| TOTAL HEALTH CARE |  | 18328912 |
| INDUSTRIALS - 0.0%  |  |  |
| Aerospace & Defense - 0.0% |  |  |
| TransDigm, Inc. Tranche F 1LN, term loan 1 month U.S. LIBOR + 2.250% 5.9241% 12/9/25 (c)(g)(r) | 188615 | 185609 |
| Airlines - 0.0% |  |  |
| AAdvantage Loyalty IP Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 8.9926% 4/20/28 (c)(g)(r) | 203156 | 201742 |
| United Airlines, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 8.1084% 4/21/28 (c)(g)(r) | 1593190 | 1570997 |
|  |  | 1772739 |
| Commercial Services & Supplies - 0.0% |  |  |
| Intrado Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.5678% 10/10/24 (c)(g)(r) | 1157018 | 1059632 |
| Maverick Purchaser Sub LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 7.7977% 1/23/27 (c)(g)(r) | 276311 | 272167 |
| Prime Security Services Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 6.5047% 9/23/26 (c)(g)(r) | 440605 | 433943 |
| Trugreen LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 10/30/27 (g)(r)(s) | 227019 | 201706 |
|  |  | 1967448 |
| Electrical Equipment - 0.0% |  |  |
| AZZ, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 8.0787% 5/13/29 (c)(g)(r) | 98569 | 98138 |
| Professional Services - 0.0% |  |  |
| Element Materials Technology Group: |  |  |
|  Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 7.9032% 6/24/29 (c)(g)(r) | 193957  | 189917  |
|  Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 7.9035% 6/24/29 (c)(g)(r) | 89519  | 87654  |
|  |  | 277571 |
| Road & Rail - 0.0% |  |  |
| Genesee & Wyoming, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 5.6741% 12/30/26 (c)(g)(r) | 974047 | 963703 |
| TOTAL INDUSTRIALS |  | 5265208 |
| INFORMATION TECHNOLOGY - 0.0%  |  |  |
| Communications Equipment - 0.0% |  |  |
| CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 7.3214% 4/4/26 (c)(g)(r) | 1574139 | 1510685 |
| Electronic Equipment & Components - 0.0% |  |  |
| Coherent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 6.5857% 7/1/29 (c)(g)(r) | 439329 | 434114 |
| Ingram Micro, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7/2/28 (g)(r)(s) | 321299 | 316177 |
|  |  | 750291 |
| IT Services - 0.0% |  |  |
| Arches Buyer, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 7.3214% 12/4/27 (c)(g)(r) | 374849 | 340097 |
| DTI Holdco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 4/26/29 (g)(r)(s) | 95603 | 88135 |
| Peraton Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.5039% 2/1/28 (c)(g)(r) | 1491189 | 1453909 |
|  |  | 1882141 |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| Entegris, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 5.8924% 7/6/29 (c)(g)(r) | 500000 | 495345 |
| Software - 0.0% |  |  |
| Central Parent, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 8.1123% 7/6/29 (c)(g)(r) | 525591 | 518843 |
| McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.6363% 3/1/29 (c)(g)(r) | 2842875 | 2695415 |
| Mitnick Corporate Purchaser, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 4/20/29 (g)(r)(s) | 148000 | 140230 |
| NortonLifeLock, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 6.1865% 9/12/29 (c)(g)(r) | 2000000 | 1964160 |
| Open Text Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 11/16/29 (g)(r)(s) | 199464 | 193563 |
| Project Alpha Intermediate Holding, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4/26/24 (g)(r)(s) | 922652 | 896818 |
| Proofpoint, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.3196% 8/31/28 (c)(g)(r) | 107202 | 103015 |
| RealPage, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 7.0714% 4/22/28 (c)(g)(r) | 147627 | 141077 |
| Safe Fleet Holdings LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 2/23/29 (g)(r)(s) | 123992 | 119652 |
| Sophia LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7.1741% 10/7/27 (c)(g)(r) | 264963 | 254961 |
|  |  | 7027734 |
| TOTAL INFORMATION TECHNOLOGY |  | 11666196 |
| MATERIALS - 0.0%  |  |  |
| Chemicals - 0.0% |  |  |
| Starfruit U.S. Holdco LLC Tranche B, term loan 1 month U.S. LIBOR + 2.750% 7.1647% 10/1/25 (c)(g)(r) | 2009472 | 1956221 |
| Zep, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8/11/24 (g)(r)(s) | 540248 | 467990 |
|  |  | 2424211 |
| Containers & Packaging - 0.0% |  |  |
| Berry Global, Inc. Tranche Z 1LN, term loan 1 month U.S. LIBOR + 1.750% 5.6286% 7/1/26 (c)(g)(r) | 536162 | 529192 |
| TOTAL MATERIALS |  | 2953403 |
| UTILITIES - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 7.8365% 8/1/25 (c)(g)(r) | 100000 | 99219 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Calpine Corp. Tranche B9 1LN, term loan 1 month U.S. LIBOR + 2.000% 4/5/26 (g)(r)(s) | 3192259 | 3147918 |
| TOTAL UTILITIES |  | 3247137 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $70,833,700) |  | <br> **68428333** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Discover Bank: |  |  |
|  3.45% 7/27/26  | 435000 | 400861 |
|  4.65% 9/13/28  | 500000 | 466557 |
|  4.682% 8/9/28 (c) | 3503000 | 3373923 |
| Regions Bank 6.45% 6/26/37  | 2533000 | 2636635 |
| <br> **TOTAL BANK NOTES**<br> (Cost $6,786,468) |  | **6877976** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 68.7%** | &nbsp;&nbsp;**Fixed-Income Funds - 68.7%** | &nbsp;&nbsp;**Fixed-Income Funds - 68.7%** |
|  | Shares | Value ($)<br>|
| Bank Loan Funds - 0.2%  |  |  |
| T. Rowe Price Institutional Floating Rate Fund - F Class  | 9901170 | 90991749 |
| High Yield Fixed-Income Funds - 0.8%  |  |  |
| T. Rowe Price Fund  | 16094097 | 136156060 |
| TCW Emerging Markets Income Fund Class N  | 29613774 | 232417779 |
| TOTAL HIGH YIELD FIXED-INCOME FUNDS |  | 368573839 |
| Intermediate Government Funds - 3.8%  |  |  |
| Fidelity SAI U.S. Treasury Bond Index Fund (u) | 167340757 | 1460884806 |
| iShares 3-7 Year Treasury Bond ETF (v) | 2873309 | 333045246 |
| TOTAL INTERMEDIATE GOVERNMENT FUNDS |  | 1793930052 |
| Intermediate-Term Bond Funds - 59.4%  |  |  |
| American Funds The Bond Fund of America Class F2  | 91264358 | 1046802186 |
| Baird Aggregate Bond Fund Class Institutional  | 95153596 | 919183735 |
| Baird Core Plus Bond Fund - Institutional Class  | 90535884 | 898115969 |
| Columbia Mortgage Opportunities Fund Class A  | 21303389 | 174474756 |
| DoubleLine Total Return Bond Fund Class N  | 201827402 | 1784154234 |
| Fidelity SAI Total Bond Fund (u) | 593629923 | 5307051508 |
| Fidelity U.S. Bond Index Fund (u) | 102519460 | 1052874853 |
| iShares Core U.S. Aggregate Bond ETF  | 1055966 | 103790898 |
| John Hancock Bond Fund Class R6  | 42046435 | 565524553 |
| JPMorgan Core Plus Bond Fund Class A  | 70259968 | 505169167 |
| PIMCO Income Fund Institutional Class  | 72517016 | 763604176 |
| PIMCO Investment Grade Credit Bond Fund Institutional Class  | 67227295 | 585549739 |
| PIMCO Mortgage Opportunities Fund Institutional Class  | 132029536 | 1270124138 |
| PIMCO Total Return Fund Institutional Class  | 695604657 | 6003068159 |
| Voya Intermediate Bond Fund Class I  | 163318141 | 1404536008 |
| Western Asset Core Bond Fund Class I  | 221996344 | 2375360877 |
| Western Asset Core Plus Bond Fund Class I  | 312864247 | 2972210344 |
| Western Asset Corporate Bond Fund - Class I  | 25961281 | 275708809 |
| TOTAL INTERMEDIATE-TERM BOND FUNDS |  | 28007304109 |
| Long Government Bond Funds - 2.4%  |  |  |
| Fidelity SAI Long-Term Treasury Bond Index Fund (u) | 59086380 | 462055495 |
| iShares 20+ Year Treasury Bond ETF (v) | 2571830 | 264204096 |
| SPDR Portfolio Long Term Treasury ETF (v) | 13249417 | 395495097 |
| TOTAL LONG GOVERNMENT BOND FUNDS |  | 1121754688 |
| Short-Term Bond - 2.1%  |  |  |
| Fidelity Short-Term Treasury Bond Index Fund (u) | 36975084 | 365313830 |
| iShares 1-5 Year Investment Grade Corporate Bond ETF (v) | 12958582 | 647929100 |
| TOTAL SHORT-TERM BOND |  | 1013242930 |
| <br> **TOTAL FIXED-INCOME FUNDS**<br> (Cost $37,363,824,005) |  | <br> **32395797367** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 0.0%  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Telefonica Europe BV 3.875% (Reg. S) (c)(i) | 600000 | 572070 |
| CONSUMER DISCRETIONARY - 0.0%  |  |  |
| Automobiles - 0.0% |  |  |
| Volkswagen International Finance NV: |  |  |
|  3.5% (Reg. S) (c)(i) | 5100000  | 4913807  |
|  3.748% (Reg. S) (c)(i) | 300000  | 270894  |
|  |  | 5184701 |
| CONSUMER STAPLES - 0.0%  |  |  |
| Tobacco - 0.0% |  |  |
| British American Tobacco PLC 3% (Reg. S) (c)(i) | 2900000 | 2420710 |
| ENERGY - 0.1%  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| BP Capital Markets PLC 4.375% (c)(i) | 6695000 | 6368619 |
| Energy Transfer LP: |  |  |
|  6.5% (c)(i) | 3770000  | 3244764  |
|  6.625% (c)(i) | 730000  | 531075  |
|  7.125% (c)(i) | 2520000  | 2116800  |
|  |  | 12261258 |
| FINANCIALS - 0.1%  |  |  |
| Banks - 0.1% |  |  |
| AIB Group PLC 6.25% (Reg. S) (c)(i) | 690000 | 683011 |
| Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (c)(i) | 800000 | 808546 |
| Bank of America Corp. 4.3% (c)(i) | 7090000 | 6103091 |
| Bank of Nova Scotia 3 month U.S. LIBOR + 2.640% 6.5671% (c)(g)(i) | 12927000 | 11957475 |
| Barclays PLC: |  |  |
|  5.875% (Reg. S) (c)(i) | 650000  | 713375  |
|  8.875% (c)(i) | 300000  | 357543  |
| BNP Paribas SA 6.625% (Reg. S) (c)(i) | 830000 | 798875 |
| Citigroup, Inc. 3.875% (c)(i) | 4320000 | 3604500 |
| HSBC Holdings PLC 6.375% (c)(i) | 620000 | 590550 |
| JPMorgan Chase & Co. 4.6% (c)(i) | 7120000 | 6319000 |
| Societe Generale 7.875% (Reg. S) (c)(i) | 415000 | 408609 |
| U.S. Bancorp 3.7% (c)(i) | 4850000 | 3868942 |
|  |  | 36213517 |
| Capital Markets - 0.0% |  |  |
| Credit Suisse Group AG 7.5% (Reg. S) (c)(i) | 2750000 | 2268750 |
| Goldman Sachs Group, Inc.: |  |  |
|  3.65% (c)(i) | 1750000  | 1361116  |
|  4.125% (c)(i) | 2505000  | 2041575  |
|  |  | 5671441 |
| Consumer Finance - 0.0% |  |  |
| Ally Financial, Inc. 4.7% (c)(i) | 350000 | 253531 |
| American Express Co. 3.55% (c)(i) | 770000 | 612150 |
|  |  | 865681 |
| Insurance - 0.0% |  |  |
| QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(i) | 2650000 | 2305499 |
| TOTAL FINANCIALS |  | 45056138 |
| HEALTH CARE - 0.0%  |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Bayer AG 2.375% 11/12/79 (Reg. S) (c) | 4200000 | 3977173 |
| INDUSTRIALS - 0.0%  |  |  |
| Road & Rail - 0.0% |  |  |
| National Express Group PLC 4.25% (Reg. S) (c)(i) | 320000 | 312517 |
| REAL ESTATE - 0.0%  |  |  |
| Real Estate Management & Development - 0.0% |  |  |
| Aroundtown SA 3.375% (Reg. S) (c)(i) | 2200000 | 1167553 |
| AT Securities BV 5.25% (Reg. S) (c)(i) | 2750000 | 1523500 |
| Citycon Oyj 4.496% (Reg. S) (c)(i) | 450000 | 287088 |
| CPI Property Group SA 3.75% (Reg. S) (c)(i) | 1325000 | 698718 |
| Grand City Properties SA 1.5% (Reg. S) (c)(i) | 2400000 | 1099073 |
| Heimstaden Bostad AB: |  |  |
|  3.248% (Reg. S) (c)(i) | 2085000  | 1672367  |
|  3.625% (Reg. S) (c)(i) | 185000  | 116739  |
| Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (c)(i) | 770000 | 317500 |
|  |  | 6882538 |
| UTILITIES - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| Electricite de France SA 5.625% (Reg. S) (c)(i) | 3500000 | 3290000 |
| SSE PLC: |  |  |
|  3.74% (Reg. S) (c)(i) | 635000  | 692176  |
|  4% (Reg. S) (c)(i) | 900000  | 852251  |
|  |  | 4834427 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Vistra Corp. 7% (b)(c)(i) | 2575000 | 2303141 |
| Multi-Utilities - 0.0% |  |  |
| ELM BV for Firmenich International SA 3.75% (Reg. S) (c)(i) | 290000 | 287440 |
| Veolia Environnement SA 2% (Reg. S) (c)(i) | 1300000 | 1105898 |
|  |  | 1393338 |
| TOTAL UTILITIES |  | 8530906 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $107,114,516) |  | <br> **85198011** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.3%** | &nbsp;&nbsp;**Money Market Funds - 2.3%** | &nbsp;&nbsp;**Money Market Funds - 2.3%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 3.86% (w) | 628311871 | 628437533 |
| Fidelity Investments Money Market Government Portfolio Institutional Class 3.60% (u)(x) | 176829529 | 176829529 |
| Fidelity Securities Lending Cash Central Fund 3.86% (w)(y) | 43894908 | 43899298 |
| State Street Institutional U.S. Government Money Market Fund Premier Class 3.66% (x) | 253451905 | 253451905 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $1,102,614,620) |  | **1102618265** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount (a) | Notional<br> Amount (a) | Value ($) |
| Put Options - 0.0% |  |  |  |  |
| Option with an exercise rate of 4.875% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly. | 1/18/23 | EUR | 5800000 | 67722 |
| Option with an exercise rate of 5.25% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly. | 1/18/23 | EUR | 5900000 | 43333 |
| Option with an exercise rate of 6.50% on a credit default swap with BNP Paribas SA to buy protection on the 5-Year iTraxx Europe Crossover Series 38 Index expiring December 2027, paying 5% quarterly. | 12/21/22 | EUR | 7450000 | 3168 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $344,512) |  |  |  | <br> **114223** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 105.6%**<br> (Cost $56,256,801,491)<br>| <br>**49831430356** |
| **NET OTHER ASSETS (LIABILITIES) - (5.6)%** (z)(Aa)  | **(2654834103)** |
| **NET ASSETS - 100.0%** | **47176596253** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| Ginnie Mae |  |  |
| 2% 12/1/52 | (9900000) | (8406166) |
| 2% 12/1/52 | (3300000) | (2802055) |
| 2% 12/1/52 | (19400000) | (16472689) |
| 2% 12/1/52 | (6600000) | (5604111) |
| 2% 12/1/52 | (6450000) | (5476745) |
| 2% 12/1/52 | (13150000) | (11165766) |
| 2% 12/1/52 | (6400000) | (5434289) |
| 2% 12/1/52 | (3250000) | (2759600) |
| 2% 12/1/52 | (4000000) | (3396431) |
| 2% 12/1/52 | (2850000) | (2419957) |
| 2% 12/1/52 | (2600000) | (2207680) |
| 2% 12/1/52 | (700000) | (594375) |
| 2% 12/1/52 | (7500000) | (6368308) |
| 2% 12/1/52 | (11650000) | (9892105) |
| 2% 12/1/52 | (2200000) | (1868037) |
| 2% 12/1/52 | (600000) | (509465) |
| 2% 12/1/52 | (4500000) | (3820985) |
| 2% 12/1/52 | (8650000) | (7344782) |
| 2% 12/1/52 | (3850000) | (3269065) |
| 2% 12/1/52 | (7300000) | (6198486) |
| 2.5% 12/1/52 | (3650000) | (3202425) |
| 2.5% 12/1/52 | (6600000) | (5790686) |
| 2.5% 12/1/52 | (13350000) | (11712978) |
| 2.5% 12/1/52 | (7300000) | (6404849) |
| 2.5% 12/1/52 | (7300000) | (6404849) |
| 2.5% 12/1/52 | (7300000) | (6404849) |
| 2.5% 12/1/52 | (3650000) | (3202425) |
| 2.5% 12/1/52 | (13300000) | (11669109) |
| 2.5% 12/1/52 | (13300000) | (11669109) |
| 2.5% 12/1/52 | (6600000) | (5790686) |
| 2.5% 12/1/52 | (2300000) | (2017966) |
| 2.5% 12/1/52 | (1200000) | (1052852) |
| 2.5% 12/1/52 | (4000000) | (3509506) |
| 2.5% 12/1/52 | (7250000) | (6360980) |
| 2.5% 12/1/52 | (4100000) | (3597244) |
| 2.5% 12/1/52 | (7350000) | (6448718) |
| 3% 12/1/52 | (6550000) | (5907678) |
| 3% 12/1/52 | (18200000) | (16415228) |
| 3% 12/1/52 | (3950000) | (3562646) |
| 3% 12/1/52 | (10950000) | (9876195) |
| 3.5% 11/1/52 | (4000000) | (3711484) |
| 3.5% 12/1/52 | (6300000) | (5844603) |
| 3.5% 12/1/52 | (13900000) | (12895234) |
| 4.5% 11/1/52 | (4000000) | (3920468) |
| TOTAL GINNIE MAE  |  | (263383864) |
| Uniform Mortgage Backed Securities |  |  |
| 1.5% 12/1/37 | (1200000) | (1048785) |
| 1.5% 12/1/37 | (4850000) | (4238841) |
| 1.5% 12/1/37 | (3350000) | (2927859) |
| 1.5% 12/1/37 | (13500000) | (11798835) |
| 1.5% 12/1/52 | (11850000) | (9205094) |
| 1.5% 12/1/52 | (3400000) | (2641124) |
| 1.5% 12/1/52 | (25400000) | (19730750) |
| 2% 12/1/37 | (5100000) | (4581394) |
| 2% 12/1/37 | (9550000) | (8578885) |
| 2% 12/1/37 | (2800000) | (2515275) |
| 2% 12/1/37 | (1550000) | (1392385) |
| 2% 12/1/37 | (2900000) | (2605107) |
| 2% 12/1/37 | (3900000) | (3503419) |
| 2% 12/1/37 | (3050000) | (2739853) |
| 2% 12/1/37 | (5750000) | (5165297) |
| 2% 12/1/52 | (6050000) | (4975747) |
| 2% 12/1/52 | (8200000) | (6743988) |
| 2% 12/1/52 | (6050000) | (4975747) |
| 2% 12/1/52 | (1200000) | (986925) |
| 2% 12/1/52 | (8200000) | (6743988) |
| 2% 12/1/52 | (1650000) | (1357022) |
| 2% 12/1/52 | (6050000) | (4975747) |
| 2% 12/1/52 | (24300000) | (19985231) |
| 2% 12/1/52 | (8200000) | (6743988) |
| 2% 12/1/52 | (33000000) | (27140438) |
| 2% 12/1/52 | (24300000) | (19985231) |
| 2% 12/1/52 | (19700000) | (16202019) |
| 2% 12/1/52 | (33000000) | (27140438) |
| 2% 12/1/52 | (27225000) | (22390861) |
| 2% 12/1/52 | (2200000) | (1809363) |
| 2% 12/1/52 | (600000) | (493463) |
| 2% 12/1/52 | (12000000) | (9869250) |
| 2% 12/1/52 | (16300000) | (13405731) |
| 2% 12/1/52 | (450000) | (370097) |
| 2% 12/1/52 | (2750000) | (2261703) |
| 2% 12/1/52 | (300000) | (246731) |
| 2% 12/1/52 | (3775000) | (3104702) |
| 2% 12/1/52 | (12100000) | (9951494) |
| 2% 12/1/52 | (16400000) | (13487975) |
| 2% 12/1/52 | (24150000) | (19861866) |
| 2% 12/1/52 | (32800000) | (26975950) |
| 2% 12/1/52 | (2000000) | (1644875) |
| 2.5% 12/1/37 | (2300000) | (2124266) |
| 2.5% 12/1/37 | (8400000) | (7758188) |
| 2.5% 12/1/37 | (2300000) | (2124266) |
| 2.5% 12/1/37 | (6100000) | (5633922) |
| 2.5% 12/1/37 | (2300000) | (2124266) |
| 2.5% 12/1/37 | (3000000) | (2770781) |
| 2.5% 12/1/37 | (3000000) | (2770781) |
| 2.5% 12/1/52 | (4850000) | (4144476) |
| 2.5% 12/1/52 | (5600000) | (4785375) |
| 2.5% 12/1/52 | (8750000) | (7477148) |
| 2.5% 12/1/52 | (9250000) | (7904414) |
| 2.5% 12/1/52 | (2300000) | (1965422) |
| 2.5% 12/1/52 | (1200000) | (1025437) |
| 2.5% 12/1/52 | (2100000) | (1794516) |
| 2.5% 12/1/52 | (4200000) | (3589031) |
| 2.5% 12/1/52 | (14600000) | (12476156) |
| 2.5% 12/1/52 | (26250000) | (22431444) |
| 2.5% 12/1/52 | (4850000) | (4144476) |
| 2.5% 12/1/52 | (8750000) | (7477148) |
| 2.5% 12/1/52 | (3800000) | (3247219) |
| 2.5% 12/1/52 | (7500000) | (6408984) |
| 2.5% 1/1/53 | (9000000) | (7698164) |
| 3% 11/1/52 | (8000000) | (7083750) |
| 3% 11/1/52 | (3500000) | (3099141) |
| 3% 11/1/52 | (7000000) | (6198282) |
| 3% 11/1/52 | (4500000) | (3984610) |
| 3% 12/1/52 | (5600000) | (4957313) |
| 3% 12/1/52 | (7500000) | (6639258) |
| 3% 12/1/52 | (3000000) | (2655703) |
| 3% 12/1/52 | (1800000) | (1593422) |
| 3% 12/1/52 | (3000000) | (2655703) |
| 3% 12/1/52 | (3550000) | (3142582) |
| 3% 12/1/52 | (5950000) | (5267145) |
| 3.5% 12/1/52 | (2000000) | (1832500) |
| 3.5% 12/1/52 | (4600000) | (4214750) |
| 3.5% 12/1/52 | (7000000) | (6413750) |
| 3.5% 1/1/53 | (4000000) | (3666875) |
| 3.5% 1/1/53 | (6500000) | (5958672) |
| 4.5% 12/1/52 | (250000) | (243360) |
| 4.5% 12/1/52 | (1050000) | (1022110) |
| 4.5% 12/1/52 | (6400000) | (6230003) |
| 5% 12/1/52 | (1500000) | (1493437) |
| 5% 12/1/52 | (200000) | (199125) |
| 5% 12/1/52 | (1100000) | (1095187) |
| 5% 12/1/52 | (400000) | (398250) |
| 5% 12/1/52 | (1050000) | (1045406) |
| 5% 12/1/52 | (750000) | (746718) |
| 5% 12/1/52 | (250000) | (248906) |
| 5% 12/1/52 | (100000) | (99562) |
| 5% 12/1/52 | (1050000) | (1045406) |
| 5% 12/1/52 | (300000) | (298687) |
| 5% 12/1/52 | (700000) | (696937) |
| 5% 12/1/52 | (500000) | (497812) |
| 5% 12/1/52 | (200000) | (199125) |
| 5% 12/1/52 | (1600000) | (1592999) |
| 5% 12/1/52 | (700000) | (696937) |
| 5% 12/1/52 | (2200000) | (2190374) |
| 5% 12/1/52 | (1000000) | (995625) |
| 5% 12/1/52 | (250000) | (248906) |
| 5.5% 12/1/52 | (850000) | (859695) |
| 5.5% 12/1/52 | (1400000) | (1415969) |
| 5.5% 12/1/52 | (4050000) | (4096195) |
| 5.5% 12/1/52 | (1450000) | (1466539) |
| 6% 12/1/52 | (1125000) | (1150840) |
| 6% 12/1/52 | (3375000) | (3452520) |
| 6% 12/1/52 | (250000) | (255742) |
| 6% 12/1/52 | (700000) | (716078) |
| 6% 12/1/52 | (1325000) | (1355434) |
| 6% 12/1/52 | (4025000) | (4117449) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | (587914142) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $838,648,981) |  | <br> **(851298006)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Bond Index Contracts |  |  |  |  |  |
| ASX 10 Year Treasury Bond Index Contracts (Australia) | 12 | Dec 2022 | 982772 | 4396 | 4396 |
| Eurex Euro-Bund Contracts (Germany) | 29 | Dec 2022 | 4251392 | (32193) | (32193) |
| Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 7 | Dec 2022 | 1153089 | 70573 | 70573 |
| TME 10 Year Canadian Note Contracts (Canada) | 53 | Mar 2023 | 4954258 | 30619 | 30619 |
| **TOTAL BOND INDEX CONTRACTS** |  |  |  |  | 73395 |
| Treasury Contracts |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 1926 | Mar 2023 | 218601000 | 1476051 | 1476051 |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 2015 | Mar 2023 | 413799141 | 1076251 | 1076251 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 301 | Mar 2023 | 32679664 | 183897 | 183897 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 135 | Mar 2023 | 17145000 | 218178 | 218178 |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 196 | Mar 2023 | 26711125 | 416323 | 416323 |
| **TOTAL TREASURY CONTRACTS** |  |  |  |  | 3370700 |
| TOTAL PURCHASED |  |  |  |  | 3444095 |
| Sold |  |  |  |  |  |
| Bond Index Contracts |  |  |  |  |  |
| Eurex Euro-Bobl Contracts (Germany) | 39 | Dec 2022 | 4871226 | 72396 | 72396 |
| ICE Long Gilt Contracts (United Kingdom) | 61 | Mar 2023 | 7718891 | 65105 | 65105 |
| **TOTAL BOND INDEX CONTRACTS** |  |  |  |  | 137501 |
| Treasury Contracts |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 453 | Mar 2023 | 51415500 | (406848) | (406848) |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 33 | Mar 2023 | 6776859 | (14764) | (14764) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 59 | Mar 2023 | 6405648 | (38815) | (38815) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 795 | Mar 2023 | 100965000 | (1077049) | (1077049) |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 226 | Mar 2023 | 27042313 | (237434) | (237434) |
| **TOTAL TREASURY CONTRACTS** |  |  |  |  | (1774910) |
| TOTAL SOLD |  |  |  |  | (1637409) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **1806686** |
| The notional amount of futures purchased as a percentage of Net Assets is 1.6% | The notional amount of futures purchased as a percentage of Net Assets is 1.6% | The notional amount of futures purchased as a percentage of Net Assets is 1.6% | The notional amount of futures purchased as a percentage of Net Assets is 1.6% | The notional amount of futures purchased as a percentage of Net Assets is 1.6% | The notional amount of futures purchased as a percentage of Net Assets is 1.6% |
| The notional amount of futures sold as a percentage of Net Assets is 0.4% | The notional amount of futures sold as a percentage of Net Assets is 0.4% | The notional amount of futures sold as a percentage of Net Assets is 0.4% | The notional amount of futures sold as a percentage of Net Assets is 0.4% | The notional amount of futures sold as a percentage of Net Assets is 0.4% | The notional amount of futures sold as a percentage of Net Assets is 0.4% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| EUR | 64847856 | USD | 66970780 | BNP Paribas S.A. | 12/02/22 | 509899 |
| GBP | 3401668 | USD | 3959901 | Bank of America, N.A. | 12/02/22 | 139959 |
| GBP | 17075127 | USD | 20394873 | JPMorgan Chase Bank, N.A. | 12/02/22 | 184924 |
| USD | 64541126 | EUR | 64847856 | BNP Paribas S.A. | 12/02/22 | (2939553) |
| USD | 23200249 | GBP | 20476795 | BNP Paribas S.A. | 12/02/22 | (1479407) |
| EUR | 776000 | USD | 795983 | Bank of America, N.A. | 12/08/22 | 11981 |
| EUR | 173000 | USD | 179763 | Goldman Sachs Bank USA | 12/08/22 | 363 |
| EUR | 638000 | USD | 660711 | JPMorgan Chase Bank, N.A. | 12/08/22 | 3569 |
| EUR | 44000 | USD | 45641 | JPMorgan Chase Bank, N.A. | 12/08/22 | 171 |
| GBP | 388000 | USD | 466605 | Brown Brothers Harriman & Co | 12/08/22 | 1150 |
| USD | 103787 | AUD | 153000 | BNP Paribas S.A. | 12/08/22 | (91) |
| USD | 82726 | CAD | 112000 | JPMorgan Chase Bank, N.A. | 12/08/22 | (546) |
| USD | 92622 | CAD | 123000 | State Street Bank and Trust Co | 12/08/22 | 1171 |
| USD | 71565142 | EUR | 68999000 | BNP Paribas S.A. | 12/08/22 | (275927) |
| USD | 72658 | EUR | 70000 | Brown Brothers Harriman & Co | 12/08/22 | (226) |
| USD | 169656 | EUR | 164000 | HSBC Bank | 12/08/22 | (1099) |
| USD | 953774 | EUR | 926000 | State Street Bank and Trust Co | 12/08/22 | (10368) |
| USD | 91311 | EUR | 88000 | State Street Bank and Trust Co | 12/08/22 | (314) |
| USD | 84448 | GBP | 71000 | Bank of America, N.A. | 12/08/22 | (1146) |
| USD | 73337 | GBP | 62000 | Bank of America, N.A. | 12/08/22 | (1408) |
| USD | 112746 | GBP | 95000 | Bank of America, N.A. | 12/08/22 | (1782) |
| USD | 319029 | GBP | 268000 | JPMorgan Chase Bank, N.A. | 12/08/22 | (4060) |
| USD | 42247001 | GBP | 35529000 | Royal Bank of Canada | 12/08/22 | (585148) |
| USD | 67217526 | EUR | 64847856 | BNP Paribas S.A. | 1/12/23 | (505873) |
| USD | 20426376 | GBP | 17075127 | JPMorgan Chase Bank, N.A. | 1/12/23 | (185198) |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **(5138959)** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 853187 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (5992146) |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount<sup>(1)</sup> | Notional<br> Amount<sup>(1)</sup> | Value ($) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 2700000 | 36938 | (30595) | 6343 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 2180000 | 29824 | (20147) | 9677 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 2720000 | 37211 | (23599) | 13612 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 3220000 | 44052 | (35648) | 8404 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 1110000 | 15185 | (9954) | 5231 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 1960000 | 26814 | (40538) | (13724) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 3020000 | 41315 | (7329) | 33986 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 1110000 | 15185 | (3773) | 11412 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 2000000 | 27361 | (6123) | 21238 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 740000 | 10124 | 690 | 10814 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly |  | 3670000 | 50208 | (54031) | (3823) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly |  | 3570000 | 48840 | (68607) | (19767) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly |  | 2440000 | 33381 | (3641) | 29740 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly |  | 1920000 | 26267 | (17214) | 9053 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly |  | 1230000 | 16827 | (17229) | (402) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly |  | 2510000 | 34338 | (10033) | 24305 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly |  | 1870000 | 25583 | (16693) | 8890 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 1640000 | 22436 | (12822) | 9614 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 6600000 | 90292 | (45362) | 44930 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 3650000 | 49934 | (19680) | 30254 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 2180000 | 29824 | (15595) | 14229 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 2680000 | 36664 | (25420) | 11244 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 6590000 | 90155 | (46211) | 43944 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 4080000 | 55817 | (55401) | 416 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 11000000 | 150487 | (181370) | (30883) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 970000 | 13270 | (16512) | (3242) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 5110000 | 69908 | (71279) | (1371) |
| Intesa Sanpaolo SpA | Dec 2027 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR | 1500000 | 2275 | (9313) | (7038) |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **1130515** | **(863429)** | **267086** |

---

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency<br> Clearinghouse /<br> Counterparty<sup>(1)</sup> | Maturity<br> Date | Notional<br> Amount<sup>(2)</sup> | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<sup>(3)</sup> | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| 3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2024 | 63081000 | (573120) | 0 | (573120) |
| 1.03% | Semi - annual | 3-month LIBOR<sup>(4)</sup> | Quarterly<br> CME | Jul 2025 | 59390000 | (3378586) | 0 | (3378586) |
| 1.03% | Semi - annual | 3-month LIBOR<sup>(4)</sup> | Quarterly<br> CME | Jul 2025 | 43930000 | (2494364) | 0 | (2494364) |
| 1.07% | Semi - annual | 3-month LIBOR<sup>(4)</sup> | Quarterly<br> CME | Jul 2025 | 29695000 | (1693378) | 0 | (1693378) |
| 1.39% | Semi - annual | 3-month LIBOR<sup>(4)</sup> | Quarterly<br> CME | Sep 2025 | 99195000 | (4615146) | 0 | (4615146) |
| 2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2027 | 38719000 | (319375) | 0 | (319375) |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2029 | 2959000 | (27169) | 0 | (27169) |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2032 | 2740000 | (33301) | 0 | (33301) |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2052 | 628000 | (18896) | 0 | (18896) |
| 3-month LIBOR<sup>(4)</sup> | Quarterly | 1.77% | Semi - annual<br> CME | Jul 2053 | 4960000 | 1415029 | 0 | 1415029 |
| 3-month LIBOR<sup>(4)</sup> | Quarterly | 1.79% | Semi - annual<br> CME | Jul 2053 | 3675000 | 1051038 | 0 | 1051038 |
| 3-month LIBOR<sup>(4)</sup> | Quarterly | 1.81% | Semi - annual<br> CME | Jul 2053 | 2480000 | 724254 | 0 | 724254 |
| 3-month LIBOR<sup>(4)</sup> | Quarterly | 1.87% | Semi - annual<br> CME | Sep 2053 | 8465000 | 2185477 | 0 | 2185477 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  | **(7777537)** | **0** | **(7777537)** |

---

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

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

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

(4)Represents floating rate.

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Notional<br> Amount<br> ($)  | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| Total Return Benchmark Bond Index 8 | Pays | At Maturity | 1-day USOIS minus 50 bps | At Maturity | Goldman Sachs Intl. | Jan 2023 | 41452896 | (9485391) | 0 | (9485391) |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  | **(9485391)** | **0** | **(9485391)** |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian dollar |
| CAD | - | Canadian dollar |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| USD | - | U.S. dollar |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,821,540,041 or 6.0% of net assets.

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

(d) Non-income producing - Security is in default.

(e) Level 3 security

(f) 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.

(g) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

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

(i) Security is perpetual in nature with no stated maturity date.

(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $6,272,171.

(k) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $2,597,667.

(l) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts and options. At period end, the value of securities pledged amounted to $2,043,852.

(m) 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 $28,407.

(n) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

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

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

(q) Non-income producing

(r) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(s) The coupon rate will be determined upon settlement of the loan after period end.

(t) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $228,120 and $207,817, respectively.

(u) Affiliated Fund

(v) Security or a portion of the security is on loan at period end.

(w) 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.

(x) The rate quoted is the annualized seven-day yield of the fund at period end.

(y) Investment made with cash collateral received from securities on loan.

(z) Includes $3,733,000 of cash collateral to cover margin requirements for futures contracts.

(Aa) Includes $3,411,900 of cash collateral segregated for bi-lateral over-the-counter (OTC) swaps.

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 203954736 | 1641494161 | 1217011364 | 8341605 | - | - | 628437533 | 1.3% |
| Fidelity Securities Lending Cash Central Fund 3.86% | 479605850 | 2201526701 | 2637233253 | 199389 | - | - | 43899298 | 0.1% |
| Total | 683560586 | 3843020862 | 3854244617 | 8540994 | - | - | 672336831 |  |

---

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

Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| 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 ($) |
| Fidelity Investments Money Market Government Portfolio Institutional Class 3.60% | 272629434 | 2153800341 | 2249600246 | 2933471 | - | - | 176829529 |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 688966402 | 84925046 | 150000000 | 9924941 | (5159303) | (156676650) | 462055495 |
| Fidelity SAI Total Bond Fund | 6047905816 | 203717525 | 250000000 | 128717524 | (26346627) | (668225206) | 5307051508 |
| Fidelity SAI U.S. Treasury Bond Index Fund | 758641599 | 1063312152 | 250000000 | 13312153 | (5188426) | (105880519) | 1460884806 |
| Fidelity Short-Term Treasury Bond Index Fund | - | 365299594 | - | 831365 | - | 14236 | 365313830 |
| Fidelity U.S. Bond Index Fund | 2985839 | 1716421334 | 580812495 | 16418880 | (40192992) | (45526833) | 1052874853 |
|  | 7771129090 | 5587475992 | 3480412741 | 172138334 | (76887348) | (976294972) | 8825010021 |

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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:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as movements in the underlying index interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

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

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Commodity Risk - Commodity Risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.

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

Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

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

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

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.

The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.

The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.

Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

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

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

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

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

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

Total Return Swaps: Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, the Fund will receive a payment from or make a payment to the counterparty. The Fund entered into total return swaps to manage its commodities market exposure

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

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Rutland Square Trust II

- **b. Investment Company Act file number:** 811-21991

- **c. CIK number of Registrant:** 0001364924

- **d. LEI of Registrant:** 1KZ3JN58GDRI3EZKKG06

- **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:** Strategic Advisers Core Income Fund

- **b. EDGAR series identifier (if any):** S000029150

- **c. LEI of Series:** JIULD0UMK13CI0PIUL16

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

- **a. Date of fiscal year-end:** 2023-02-28

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $51282272880.16

**Total Liabilities:** $4224271262.25

**Net Assets:** $47058001617.91

**Delayed Delivery Securities:** $3020619233.70

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 180432.45653347 | **1-Year:** 1138191.90817026 | **5-Year:** 2366834.01127143 | **10-Year:** 2650552.42807441 | **30-Year:** 1643550.53769759

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

- **3-Month:** 29329.12244945 | **1-Year:** 125075.48360566 | **5-Year:** 209649.85944091 | **10-Year:** 207904.82911027 | **30-Year:** 176085.84946837

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000089632 | -4.62%               | -1.38%               | 3.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-109916233.18           | $-2218520974.17                            |
| Month 2  | $-197338852.73           | $-564956415.98                             |
| Month 3  | $-76210222.20            | $1681403243.00                             |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 1.992%/VAR 01/27/2032                                                     | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8850000 | PA      | $6832633.65    | 0.01%             | 2032-01-27      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3% 02/20/2050#BQ4127                                                                            | CUSIP: 3617LNSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1667162 | PA      | $1506164.30    | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 1MDB GLOBAL INVESTMENTS LTD                                                      | 1MDB GLOBAL INVESTMENTS LTD 4.4% 03/09/2023 REGS                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | VG        |    2500000 | PA      | $2445781.25    | 0.01%             | 2023-03-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS                                                      | ARROWMARK COLORADO HOLDINGS 18-3A A1R 3ML+121 01/25/2035 144A                                           | CUSIP: 28623VAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9500000 | PA      | $9169191.00    | 0.02%             | 2035-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2041#890362                                                                        | CUSIP: 31410LFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5714 | PA      | $5683.34       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARKEL CORP                                                                      | MARKEL CORP 4.3% 11/01/2047                                                                             | CUSIP: 570535AS3<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |     650000 | PA      | $509699.87     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 07/51#BT1461                                                                               | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422677 | PA      | $350209.87     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 08/01/2040#MA4093                                                                          | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2733055 | PA      | $2355012.65    | 0.01%             | 2040-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GSA2                                                         | GS MTG SECS TR 2020-GSA2 1.721% 12/12/2053                                                              | CUSIP: 36264KAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4940000 | PA      | $3838492.14    | 0.01%             | 2053-12-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2047#CA0855                                                                        | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468106 | PA      | $438393.70     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BK                                                             | FEDERAL HOME LOAN BK DN 0% 01/25/2023                                                                   | CUSIP: 313384BA6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   10000000 | PA      | $9933226.60    | 0.02%             | 2023-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                                                    | NORTHERN STATES POWER CO (MN) 3.6% 09/15/2047                                                           | CUSIP: 665772CQ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |      20000 | PA      | $15626.32      | 0.00%             | 2047-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 05/20/2046#AS9175                                                                          | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81950 | PA      | $77029.37      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 1/38 #889371                                                                                 | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42775 | PA      | $44922.29      | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                     | CHARLES RIVER LABS INTL INC 3.75% 03/15/2029 144A                                                       | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |      75000 | PA      | $65259.08      | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                            | SOUTHWEST AIRLINES CO 5.125% 06/15/2027                                                                 | CUSIP: 844741BK3<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |    5340000 | PA      | $5372618.43    | 0.01%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                          | KITE RLTY GROUP TRUST 4% 03/15/2025                                                                     | CUSIP: 76131VAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6865000 | PA      | $6584847.45    | 0.01%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 6/35 #828385                                                                                 | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31665 | PA      | $32997.53      | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| Standard Industries Inc/NJ                                                       | Standard Industries Inc/NJ 4.75% 01/15/2028 144A                                                        | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    3618000 | PA      | $3279047.67    | 0.01%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/41 #AH3843                                                                                 | CUSIP: 3138A5HV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15360 | PA      | $15260.14      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 04/01/2032#J36710                                                                          | CUSIP: 31307TN31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28235 | PA      | $27021.46      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 09/01/2040#AE4424                                                                        | CUSIP: 31419E4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14725 | PA      | $14927.51      | 0.00%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                        | BANK OF IRELAND (UNGTD) 1.375%/VAR 08/11/2031 REGS                                                      | CUSIP: N/A<br>LEI: 635400C8EK6DRI12LJ39       | Long             | DBT              | CORP              | IE        |    2365000 | PA      | $2070465.12    | 0.00%             | 2031-08-11      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 3.2% 02/23/2023                                                           | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2275000 | PA      | $2266810.00    | 0.00%             | 2023-02-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                       | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                                       | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2700000 | PA      | $2521595.34    | 0.01%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                            | FX Forward: GBP/USD settle 2022-12-02                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $139958.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 08/01/2043#AU3735                                                                        | CUSIP: 3138X3EH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272714 | PA      | $249761.38     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                           | COX COMMUNICATIONS INC 2.6% 06/15/2031 144A                                                             | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     275000 | PA      | $220393.12     | 0.00%             | 2031-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 05/20/2045#MA2825                                                                          | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96813 | PA      | $89127.34      | 0.00%             | 2045-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/48#BJ8805                                                                               | CUSIP: 3140HAYB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30938 | PA      | $29883.21      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE 2.875% 09/12/2023                                                                            | CUSIP: 3135G0U43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |     505000 | PA      | $497476.45     | 0.00%             | 2023-09-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AK9019                                                                                 | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74048 | PA      | $71559.70      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRTUSA CORP                                                                     | VIRTUSA CORP 7.125% 12/15/2028 144A                                                                     | CUSIP: 92837TAA0<br>LEI: C77OMXDER63WLJCSKT03 | Long             | DBT              | CORP              | US        |      60000 | PA      | $45000.00      | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG ENERGY INC 2% 12/02/2025 144A                                                                       | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    3120000 | PA      | $2794521.69    | 0.01%             | 2025-12-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 01/01/2032#AS8610                                                                          | CUSIP: 3138WJR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62096 | PA      | $59472.49      | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q01985                                                                        | CUSIP: 3132GFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93641 | PA      | $95467.19      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | DEUTSCHE BANK AG 4.5% 04/01/2025                                                                        | CUSIP: 251525AP6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   13996000 | PA      | $13270699.57   | 0.03%             | 2025-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                                  | NORTONLIFELOCK TERM B 1LN 9/12/2029                                                                     | CUSIP: 66877AAD0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | LON              | CORP              | US        |    2000000 | PA      | $1964160.00    | 0.00%             | 2029-09-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2043#Q17605                                                                        | CUSIP: 3132J83P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46872 | PA      | $44274.80      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 6/39 #AE0967                                                                                 | CUSIP: 31419BCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129827 | PA      | $122511.41     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 3.5% 06/01/2041                                                                            | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    4990000 | PA      | $3812765.59    | 0.01%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2% 8/31#AS7693                                                                                | CUSIP: 3138WHRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     615932 | PA      | $565796.91     | 0.00%             | 2031-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2045#Q33578                                                                        | CUSIP: 3132QP6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65132 | PA      | $61400.59      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                 | BERRY GLOBAL INC 0.95% 02/15/2024                                                                       | CUSIP: 08576PAG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     965000 | PA      | $916322.02     | 0.00%             | 2024-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/41 #773113                                                                                 | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2069 | PA      | $2001.59       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 09/01/2032#BM1884                                                                          | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187665 | PA      | $179267.39     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                                        | EQM MIDSTREAM PARTNERS LP 6.5% 07/15/2048                                                               | CUSIP: 26885BAE0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     220000 | PA      | $170424.88     | 0.00%             | 2048-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ONE 2021-PARK MORTGAGE TRUST                                                     | ONE 2021-PARK MORTGAGE TRUST 1ML+ 03/15/2036 144A                                                       | CUSIP: 682413AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5759000 | PA      | $5172060.00    | 0.01%             | 2036-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 1/42 #778793                                                                                 | CUSIP: 36176W7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     402837 | PA      | $379884.93     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/40 #AE3886                                                                                | CUSIP: 31419EJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19459 | PA      | $19354.62      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC                                                                    | WELLTOWER INC 2.8% 06/01/2031                                                                           | CUSIP: 95040QAM6<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    2305000 | PA      | $1862964.41    | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R03                                     | CONNECTICUT AVENUE SECURITIES TRUST 2022-R03 SOFR30A+625 03/25/2042 144A                                | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     130000 | PA      | $131235.33     | 0.00%             | 2042-03-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #479607                                                                                | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128306 | PA      | $123950.87     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 03/20/2047#MA4322                                                                            | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     554343 | PA      | $537585.86     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                                   | ADLER GROUP SA 2.25% 04/27/2027 REGS                                                                    | CUSIP: N/A<br>LEI: 391200OYYFJ3DWAMEC69       | Long             | DBT              | CORP              | LU        |    3100000 | PA      | $1306473.30    | 0.00%             | 2027-04-27      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | USTN TII 0.625% 07/15/2032                                                                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4043000 | PA      | $3887775.39    | 0.01%             | 2032-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | XCEL ENERGY INC 1.75% 03/15/2027                                                                        | CUSIP: 98388MAB3<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     880000 | PA      | $777421.36     | 0.00%             | 2027-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                      | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                                      | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4963000 | PA      | $4589807.22    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                                        | OLIN CORP 5% 02/01/2030                                                                                 | CUSIP: 680665AK2<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |     195000 | PA      | $176966.40     | 0.00%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MTN COML MTG TR 2022-LPFL                                                        | MTN COML MTG TR 2022-LPFL TSFR1M+428.91 03/15/2039 144A                                                 | CUSIP: 62475WAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6579916.70    | 0.01%             | 2039-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | NATWEST GRP PLC(UNGTD) 4.8% 04/05/2026                                                                  | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   15438000 | PA      | $15046036.59   | 0.03%             | 2026-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VALVOLINE INC                                                                    | VALVOLINE INC 4.25% 02/15/2030 144A                                                                     | CUSIP: 92047WAD3<br>LEI: 549300CMHPBEY6VPOT75 | Long             | DBT              | CORP              | US        |    2270000 | PA      | $2206233.18    | 0.00%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 2/20/43 #MA0782                                                                            | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     481745 | PA      | $443954.20     | 0.00%             | 2043-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| C AND S GROUP ENTERPRISES LLC                                                    | C AND S GROUP ENTERPRISES LLC 5% 12/15/2028 144A                                                        | CUSIP: 12467AAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1485028.72    | 0.00%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                     | BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A                                                        | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7262977 | PA      | $5932151.55    | 0.01%             | 2041-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 10/41 #005203                                                                             | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1826890 | PA      | $1768150.30    | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 05/01/2043#Q18136                                                                        | CUSIP: 3132J9PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6363 | PA      | $6231.12       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 09/01/2049#CA4142                                                                          | CUSIP: 3140QBS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5551565 | PA      | $4998447.54    | 0.01%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORPORATION                                                      | ENTEGRIS ESCROW CORPORATION 5.95% 06/15/2030 144A                                                       | CUSIP: 29365BAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $186809.81     | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                    | UNITED RENTALS NORTH AMER INC 3.875% 02/15/2031                                                         | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     200000 | PA      | $172062.00     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 3.5% 02/15/2025 144A                                              | CUSIP: 92564RAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $117646.51     | 0.00%             | 2025-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 03/20/2049#MA5818                                                                          | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96413 | PA      | $95616.28      | 0.00%             | 2049-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                     | WP CAREY INC 2.25% 04/01/2033                                                                           | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    3815000 | PA      | $2819708.73    | 0.01%             | 2033-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2% 07/01/2035#QN2877                                                                          | CUSIP: 3133G9FS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3178538 | PA      | $2874123.62    | 0.01%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.078/VAR 04/23/2040                                                        | CUSIP: 06051GHU6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7865000 | PA      | $6659640.93    | 0.01%             | 2040-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                      | Fidelity Sai Total Bond Fund                                                                            | CUSIP: 31635T849<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |  591724124 | NS      | $5290013667.59 | 11.24%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 03/01/2052#CB3037                                                                          | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     844570 | PA      | $697131.40     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/41 #AH6219                                                                                 | CUSIP: 3138A74D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318312 | PA      | $307691.03     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 3.75% 04/15/2027                                                                       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    8375000 | PA      | $7933281.48    | 0.02%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                                                     | VOLT XCV LLC 2.2396% 03/27/2051 144A                                                                    | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2054787 | PA      | $1911519.40    | 0.00%             | 2051-03-27      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 05/01/2030#AS4956                                                                          | CUSIP: 3138WEQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     399775 | PA      | $384385.91     | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #479494                                                                                | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     349847 | PA      | $337801.27     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B13 MTG TR                                                        | BENCHMARK 2019-B13 A4 2.952% 08/15/2057                                                                 | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7629000 | PA      | $6653643.03    | 0.01%             | 2057-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRET 2022-RN2 LLC                                                                | PRET 2022-RN2 LLC 5% 06/25/2052 144A                                                                    | CUSIP: 69377NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9493001 | PA      | $8811730.37    | 0.02%             | 2052-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 11/40 #004853                                                                             | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1147816 | PA      | $1111477.68    | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/38 #889733                                                                                 | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7341 | PA      | $7719.05       | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 2.58%/VAR 04/22/2032                                                              | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9884000 | PA      | $8010790.84    | 0.02%             | 2032-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.5% 01/31/2027                                                                               | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  121000000 | PA      | $109807500.00  | 0.23%             | 2027-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MARKEL CORP                                                                      | MARKEL CORP 3.45% 05/07/2052                                                                            | CUSIP: 570535AX2<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |     840000 | PA      | $571946.09     | 0.00%             | 2052-05-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 3.5% 08/15/2029                                                               | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     195000 | PA      | $176475.00     | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/20/2046#MA4127                                                                          | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1135265 | PA      | $1072414.14    | 0.00%             | 2046-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLMC 6.25% 7/15/32                                                                                     | CUSIP: 3134A4KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    2615000 | PA      | $3064652.83    | 0.01%             | 2032-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AETHON UNITED BR LP / AETHON UNITED FINANCE CORP                                 | AETHON UNITED BR LP / AETHON UNITED FINANCE CORP 8.25% 02/15/2026 144A                                  | CUSIP: 00810GAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $124365.10     | 0.00%             | 2026-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2043#AS1380                                                                        | CUSIP: 3138WARA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13958 | PA      | $13973.17      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 12/01/2046#Q44963                                                                        | CUSIP: 3132WJQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2518131 | PA      | $2365202.08    | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 4.279% 03/15/2032 144A                                                                   | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    3731000 | PA      | $3167615.83    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                       | TVA 7.125% 5/01/30                                                                                      | CUSIP: 880591DM1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |     460000 | PA      | $541159.91     | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2048#BM5106                                                                        | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2384842 | PA      | $2370323.07    | 0.01%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC                                                                    | WELLTOWER INC 2.7% 02/15/2027                                                                           | CUSIP: 95040QAK0<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    1090000 | PA      | $992435.91     | 0.00%             | 2027-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 3.8% 11/15/2037                                                                             | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1225000 | PA      | $970121.23     | 0.00%             | 2037-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MBRT 2019-MBR                                                                    | MBRT 2019-MBR 1ML+ 11/15/2036 144A                                                                      | CUSIP: 55282DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5864497.20    | 0.01%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.0% 2/01/43 #Q15926                                                                               | CUSIP: 3132J7A44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164017 | PA      | $150557.58     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                      | AUST 10Y BOND FUT DEC22 XMZ2                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         12 | NC      | $4395.91       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GS MTG SECS TR 2015-GC34                                                         | GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048                                               | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    5343340 | PA      | $147021.45     | 0.00%             | 2048-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                            | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                                  | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    2958000 | PA      | $2898759.19    | 0.01%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                          | NEW FORTRESS ENERGY INC 6.5% 09/30/2026 144A                                                            | CUSIP: 644393AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     535000 | PA      | $517053.43     | 0.00%             | 2026-09-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2046#AR9310                                                                          | CUSIP: 36193GKX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20339 | PA      | $19117.77      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 12/01/2052 #TBA                                                                              | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -113700000 | PA      | $-96543545.49  | -0.21%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                       | TENNESSEE VALLEY AUTHORITY 0.75% 05/15/2025                                                             | CUSIP: 880591EW8<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |     845000 | PA      | $770753.41     | 0.00%             | 2025-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | VIATRIS INC 3.85% 06/22/2040                                                                            | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   13139000 | PA      | $9050640.91    | 0.02%             | 2040-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 5/42 #AK9784                                                                                 | CUSIP: 3138EE2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     451667 | PA      | $424120.37     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 12/01/2046#G60989                                                                          | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9535460 | PA      | $8666533.44    | 0.02%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                | BENCHMARK 2020-B18 MORTGAGE TRUST 1.672% 07/15/2053                                                     | CUSIP: 08163AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $7939473.00    | 0.02%             | 2053-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/41 #738240                                                                                 | CUSIP: 3620ASEM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15027 | PA      | $15185.56      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 1.578%/VAR 04/22/2027                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3395000 | PA      | $2997452.29    | 0.01%             | 2027-04-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-XL A 1ML+85 10/15/2036 144A                                                               | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16781032 | PA      | $16485367.49   | 0.04%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 2.484/VAR 09/16/2036                                                                     | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2650000 | PA      | $1970106.99    | 0.00%             | 2036-09-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | CONSTELLATION BRANDS INC 4.75% 11/15/2024                                                               | CUSIP: 21036PAN8<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    5595000 | PA      | $5562691.11    | 0.01%             | 2024-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE 1.625% 01/07/2025                                                                            | CUSIP: 3135G0X24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |     310000 | PA      | $292645.54     | 0.00%             | 2025-01-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 11/15/36                                                                                        | CUSIP: 912833Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1975000 | PA      | $1140044.85    | 0.00%             | 2036-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5% 6/34 #003568                                                                                 | CUSIP: 36202D6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26594 | PA      | $26769.53      | 0.00%             | 2034-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.5% 04/19/2026                                                             | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5358000 | PA      | $5137418.69    | 0.01%             | 2026-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 1.928%/VAR 04/28/2032                                                                    | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9690000 | PA      | $7435650.76    | 0.02%             | 2032-04-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 3.75% 02/21/2024 REGS                                                               | CUSIP: N/A<br>LEI: 549300CAZKPF4HKMPX17       | Long             | DBT              | CORP              | MX        |    2300000 | PA      | $2348204.95    | 0.00%             | 2024-02-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/01/2041#AJ8343                                                                        | CUSIP: 3138E1HV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2461 | PA      | $2378.35       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                  | FLATIRON CLO LT 3ML+111 07/19/2034 144A                                                                 | CUSIP: 33883PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4210000 | PA      | $4074833.74    | 0.01%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA DEPT ARPTS REV                                                    | LA CA AIRPT 2.063% 5/15/2034                                                                            | CUSIP: 544445UD9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     500000 | PA      | $358646.00     | 0.00%             | 2034-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL1 TR                                                                | CSMCM TRUST CERTIFICATES 3.77782% 10/27/2061 144A                                                       | CUSIP: 12658QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     350421 | PA      | $274632.31     | 0.00%             | 2061-10-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 6/41 #757631                                                                                 | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18427 | PA      | $17791.65      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                    | UNITED RENTALS NORTH AMER INC 3.75% 01/15/2032                                                          | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     825000 | PA      | $684608.77     | 0.00%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGIONAL TRANSN DIST CO SALES                                                    | REGIONAL TRANSN DIST COLO SALES TAX REV BUILD AMERICA BONDS-SER B                                       | CUSIP: 759136QP2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      45000 | PA      | $50731.02      | 0.00%             | 2050-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2052#CB4024                                                                        | CUSIP: 3140QPPJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5924760 | PA      | $5835458.09    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.262%/VAR 01/29/2034 REGS                                                         | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |     280000 | PA      | $295320.11     | 0.00%             | 2034-01-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP NEW                                                          | PILGRIMS PRIDE CORP NEW 4.25% 04/15/2031 144A                                                           | CUSIP: 72147KAF5<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    2825000 | PA      | $2448229.75    | 0.01%             | 2031-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                    | AIB GROUP PLC 2.25%/VAR 04/04/2028 REGS                                                                 | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |    1900000 | PA      | $1771999.86    | 0.00%             | 2028-04-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                   | CSMC 2019-ICE4 1ML+143 05/15/2036 144A                                                                  | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1521000 | PA      | $1478799.70    | 0.00%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 06/01/2030#AS5103                                                                          | CUSIP: 3138WEU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180781 | PA      | $173821.90     | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 4.125% 06/15/2029                                                                               | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    5911000 | PA      | $5401823.15    | 0.01%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEZ AS                                                                           | CEZ AS 2.375% 04/06/2027 REGS                                                                           | CUSIP: N/A<br>LEI: 529900S5R9YHJHYKKG94       | Long             | DBT              | CORP              | CZ        |     250000 | PA      | $238515.93     | 0.00%             | 2027-04-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C6 MTG TR                                                             | CFCRE 2016-C6 MTG TR 2.95% 11/10/2049                                                                   | CUSIP: 12532AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     939742 | PA      | $859462.25     | 0.00%             | 2049-11-10      | Fixed         | 0.03%                 | 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        |    1200000 | PA      | $993244.32     | 0.00%             | 2054-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 02/01/2052#RA6823                                                                          | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6866837 | PA      | $5668076.99    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                                                   | PHILLIPS 66 CO 4.9% 10/01/2046 144A                                                                     | CUSIP: 718547AN2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |     750000 | PA      | $679721.81     | 0.00%             | 2046-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                               | SERBIA REPUBLIC OF 3.125% 05/15/2027 REGS                                                               | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |    4030000 | PA      | $3699033.17    | 0.01%             | 2027-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                       | HESS MIDSTREAM PARTNERS LP 5.625% 02/15/2026 144A                                                       | CUSIP: 428102AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     669000 | PA      | $657620.31     | 0.00%             | 2026-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 10/20/2044#MA2304                                                                          | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2325966 | PA      | $2274555.06    | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 07/01/2052#SD8226                                                                        | CUSIP: 3132DWD75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2651182 | PA      | $2432572.62    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                                               | ALCON FINANCE CORP 3% 09/23/2029 144A                                                                   | CUSIP: 01400EAB9<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $3931171.79    | 0.01%             | 2029-09-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP INC                                                  | COGENT COMMUNICATIONS GROUP INC 3.5% 05/01/2026 144A                                                    | CUSIP: 19240CAC7<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |     165000 | PA      | $149226.09     | 0.00%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 2.947%/VAR 02/24/2028                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2035000 | PA      | $1851047.11    | 0.00%             | 2028-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3.5% 11/01/2033#G16677                                                                        | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     756085 | PA      | $733120.66     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 1.375% 08/15/2050                                                           | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     845000 | PA      | $487327.34     | 0.00%             | 2050-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 6/36 #745640                                                                                 | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74620 | PA      | $78010.27      | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                      | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    1374000 | PA      | $981509.92     | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2052#                                                                              | CUSIP: 3133KNWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1692906 | PA      | $1561514.05    | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 5.5% 06/15/2047                                                                                 | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1315000 | PA      | $1199031.86    | 0.00%             | 2047-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                               | LUMEN TECHNOLOGIES 7.65% 03/15/2042                                                                     | CUSIP: 156700AT3<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $673810.00     | 0.00%             | 2042-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #745236                                                                                 | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141602 | PA      | $140248.72     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                                 | ANCESTRY.COM TERM B 1LN 12/04/2027                                                                      | CUSIP: 03952HAD6<br>LEI: 2549009ADY4208OH2Y47 | Long             | LON              | CORP              | US        |     374849 | PA      | $340096.54     | 0.00%             | 2027-12-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                     | DNB BANK ASA 1.605/VAR 03/30/2028 144A                                                                  | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    4905000 | PA      | $4170438.19    | 0.01%             | 2028-03-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 08/42#Q10245                                                                             | CUSIP: 3132HLHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     784252 | PA      | $736782.37     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                                    | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   12334000 | PA      | $7847507.50    | 0.02%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 04/01/2043#AT3712                                                                        | CUSIP: 3138WRDS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7024 | PA      | $6157.62       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC                      | ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.7% 02/01/2036                             | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3765000 | PA      | $3612497.47    | 0.01%             | 2036-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 4.431/VAR 01/23/2030                                                                     | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2525000 | PA      | $2388026.75    | 0.01%             | 2030-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 11/01/2050#SD7530                                                                        | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4259080 | PA      | $3688502.60    | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 5.35% 02/12/2028                                                                    | CUSIP: 71654QCK6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     253000 | PA      | $210306.25     | 0.00%             | 2028-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                              | UNITED AIRLINES INC 4.375% 04/15/2026 144A                                                              | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1619983.85    | 0.00%             | 2026-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 10/33 #254903                                                                                | CUSIP: 31371LDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97234 | PA      | $97927.28      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FRESENIUS US FIN II INC                                                          | FRESENIUS US FIN II INC 4.5% 01/15/2023 144A                                                            | CUSIP: 35804GAK4<br>LEI: TRJSJR7WPAPZ2OYFQZ47 | Long             | DBT              | CORP              | US        |    4787000 | PA      | $4773924.26    | 0.01%             | 2023-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 2.013%/VAR 09/22/2028                                                                 | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    5985000 | PA      | $4966878.84    | 0.01%             | 2028-09-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 4.75% 03/08/2044                                                           | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2366000 | PA      | $1995277.38    | 0.00%             | 2044-03-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 4.65% 09/20/2032                                                                  | CUSIP: 455780DN3<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |    1975000 | PA      | $1933248.50    | 0.00%             | 2032-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL CORP                                                     | SOUTHERN CO GAS CAP 4.4% 06/01/2043                                                                     | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     870000 | PA      | $722379.13     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 6.9% 11/09/2052                                                                             | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3165000 | PA      | $3505472.34    | 0.01%             | 2052-11-09      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSAIL 2021-C20                                                                   | CSAIL 2021-C20 2.4862% 03/15/2054                                                                       | CUSIP: 22945EAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16000000 | PA      | $13314361.60   | 0.03%             | 2054-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EFS VOLUNTEER NO 2 LLC                                                           | EFS VOLUNTEER NO 2 LLC 1ML+ 03/25/2036 144A                                                             | CUSIP: 26845BAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     891660 | PA      | $879385.32     | 0.00%             | 2036-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FINANCIAL GROUP INC                                                    | JEFFERIES FINANCIAL GROUP INC 2.625% 10/15/2031                                                         | CUSIP: 47233JGT9<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    5530000 | PA      | $4179113.02    | 0.01%             | 2031-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TPK AUTH TPK REV                                                   | NJ TPK 2.113% 1/1/2033                                                                                  | CUSIP: 646140DW0<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |    1050000 | PA      | $808624.32     | 0.00%             | 2033-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.0% 08/45#AZ9030                                                                                  | CUSIP: 3140E2A84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112219 | PA      | $108952.90     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3% 05/15/2032 144A                                   | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6735000 | PA      | $5278589.93    | 0.01%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.5% 11/30/2028                                                                               | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36290000 | PA      | $31826046.58   | 0.07%             | 2028-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AK8228                                                                                 | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95277 | PA      | $92062.94      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PLC                                                        | BELLIS ACQUISITION CO PLC 4.5% 02/16/2026 144A                                                          | CUSIP: N/A<br>LEI: 259400CYE2267UB4A481       | Long             | DBT              | CORP              | GB        |     975000 | PA      | $982380.47     | 0.00%             | 2026-02-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | MICROSOFT CORP 2.921% 03/17/2052                                                                        | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    3052000 | PA      | $2264142.31    | 0.00%             | 2052-03-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-18 LTD / OCP CLO 2020-18 LLC                                        | OCP CLO 2020-18 LTD / OCP CLO 2020-18 LLC 3ML+109 07/20/2032 144A                                       | CUSIP: 671078AN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18000000 | PA      | $17548722.00   | 0.04%             | 2032-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                 | VIRGIN MEDIA SECD FIN PLC 4.25% 01/15/2030 REGS                                                         | CUSIP: N/A<br>LEI: 213800X3RLP4NOTPY579       | Long             | DBT              | CORP              | GB        |    1500000 | PA      | $1443136.22    | 0.00%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 04/01/2051#BR8759                                                                        | CUSIP: 3140L7WV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3358729 | PA      | $2886727.92    | 0.01%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 08/20/2046#MA3937                                                                          | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131206 | PA      | $124065.44     | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                       | BETHP 2021 3ML+113 01/15/2035 144A                                                                      | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5907000 | PA      | $5711525.56    | 0.01%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2052#                                                                              | CUSIP: 3133KNVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1012019 | PA      | $930626.49     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 05/01/2038#G31067                                                                        | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     877966 | PA      | $849600.25     | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                               | HOWARD HUGHES CORP 5.375% 08/01/2028 144A                                                               | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     850000 | PA      | $768663.50     | 0.00%             | 2028-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                          | BANK NOVA SCOTIA BC 6.567140%/VAR PERP                                                                  | CUSIP: 064159KJ4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | EP               | CORP              | CA        |   12927000 | PA      | $11957475.00   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/01/2045#AZ9666                                                                          | CUSIP: 3140E2W49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31127 | PA      | $30201.76      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AH1563                                                                                 | CUSIP: 3138A2WZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     643188 | PA      | $622098.27     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                 | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                                     | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14282453 | PA      | $392373.26     | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 03/20/2049#MA5817                                                                            | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1209974 | PA      | $1166309.32    | 0.00%             | 2049-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 11/01/2051#QC9944                                                                        | CUSIP: 3133AVBM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     476507 | PA      | $407682.26     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CELLNEX TELECOM SAU                                                              | CELLNEX TELECOM SAU 1.75% 10/23/2030 REGS                                                               | CUSIP: N/A<br>LEI: 5493008T4YG3AQUI7P67       | Long             | DBT              | CORP              | ES        |    5500000 | PA      | $4580746.16    | 0.01%             | 2030-10-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES XXXIV CLO LTD                                                               | ARES XXXIV CLO LTD 3ML+125 04/17/2033 144A                                                              | CUSIP: 04015GAP4<br>LEI: 549300VDFIIXSFET0S73 | Long             | ABS-CBDO         | CORP              | KY        |   15169000 | PA      | $14750411.45   | 0.03%             | 2033-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                                  | BANK 20-BNK25 XB CSTR 01/15/2063                                                                        | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5200000 | PA      | $129532.00     | 0.00%             | 2063-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC                                                           | SPRINT SPECTRUM CO LLC 5.152% 09/20/2029 144A                                                           | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14655000 | PA      | $14425663.61   | 0.03%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 03/20/2051#MA7255                                                                          | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12473941 | PA      | $11017241.88   | 0.02%             | 2051-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                             | 1011778 BC ULC/NEW RED FIN INC 4.375% 01/15/2028 144A                                                   | CUSIP: 68245XAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     280000 | PA      | $254769.20     | 0.00%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/46#Q38782                                                                               | CUSIP: 3132QVXL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149846 | PA      | $145711.35     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA SPA                                                      | AUTOSTRADE PER LITALIA SPA 2.25% 01/25/2032 REGS                                                        | CUSIP: N/A<br>LEI: 815600149448CEB9B230       | Long             | DBT              | CORP              | IT        |     450000 | PA      | $367732.43     | 0.00%             | 2032-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2045#G08636                                                                        | CUSIP: 3128MJV64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91230 | PA      | $86003.30      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                     | BBIRD 2016-1A AA 2.487% 12/16/2041 144A                                                                 | CUSIP: 09228YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     711720 | PA      | $647658.00     | 0.00%             | 2041-12-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                        | MGM RESORTS INTERNATIONAL 6.75% 05/01/2025                                                              | CUSIP: 552953CG4<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99523.05      | 0.00%             | 2025-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 4.016% 12/03/2029                                                            | CUSIP: 92343VEU4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5931000 | PA      | $5595758.77    | 0.01%             | 2029-12-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                      | IMPERIAL BRANDS FINANCE PLC 3.125% 07/26/2024 144A                                                      | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    4250000 | PA      | $4053307.32    | 0.01%             | 2024-07-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY CORP                                                                | KIMCO REALTY CORP 1.9% 03/01/2028                                                                       | CUSIP: 49446RAX7<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    3015000 | PA      | $2535107.94    | 0.01%             | 2028-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LOUISVILLE GAS and ELECTRIC CO                                                   | LOUISVILLE GAS and ELECTRIC CO 5.125% 11/15/2040                                                        | CUSIP: 546676AU1<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |     345000 | PA      | $320494.14     | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 7/39 #782727                                                                                 | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31457 | PA      | $31700.92      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 10/01/2051#RA5998                                                                          | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2020690 | PA      | $1801997.77    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                                  | BX TR 2021-ACNT 1ML+85 11/15/2026 144A                                                                  | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3786000 | PA      | $3630428.34    | 0.01%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2010-H27 FA 1ML+38 12/60                                                                            | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     703437 | PA      | $695058.36     | 0.00%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2042#AQ9061                                                                          | CUSIP: 3138MRB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127334 | PA      | $124065.97     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDGS S A                                                       | INTELSAT JACKSON HLDGS SA CVR SER B RT                                                                  | CUSIP: N/A<br>LEI: 8XJ8KF85PBKK1TLMFN29       | Long             | EC               | CORP              | LU        |       7920 | NS      | $256053.60     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 8/42 #Q10323                                                                                 | CUSIP: 3132HLLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24927 | PA      | $23418.07      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                             | COMMERCIAL METALS CO 3.875% 02/15/2031                                                                  | CUSIP: 201723AP8<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     235000 | PA      | $194631.43     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 03/15/2043#758871                                                                        | CUSIP: 36230T2C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     391986 | PA      | $371606.89     | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2015-1R                                                                 | CSMC SER 2015-1R 1ML+28 05/27/2037 144A                                                                 | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     177552 | PA      | $171992.50     | 0.00%             | 2037-05-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MTG ASSN HECM 1ML+55 09/20/2061                                                          | CUSIP: 38375BNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2642511 | PA      | $2619973.50    | 0.01%             | 2061-09-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.5% 09/01/2052#SD8260                                                                        | CUSIP: 3132DWE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1869809 | PA      | $1891959.19    | 0.00%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 10.375% 01/28/2033                                                                 | CUSIP: 195325BB0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1350000 | PA      | $1454034.38    | 0.00%             | 2033-01-28      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC 4.875% 03/01/2053                                                                             | CUSIP: 031162DK3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    3390000 | PA      | $3092029.17    | 0.01%             | 2053-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESIDENTIAL PPTYS INC / BROOKFIELD RESIDENTIAL US CORP                | BROOKFIELD RESIDENTIAL PPTYS INC / US CORP 4.875% 02/15/2030 144A                                       | CUSIP: 11283YAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     500000 | PA      | $394015.00     | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALTHCARE INC                                                          | PIEDMONT HEALTHCARE INC 2.719% 01/01/2042                                                               | CUSIP: 72014TAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1245275.36    | 0.00%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC                                                                 | MICHAELS COS INC 5.25% 05/01/2028 144A                                                                  | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |     110000 | PA      | $80567.85      | 0.00%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTURY CMNTYS INC                                                               | CENTURY COMMUNITIES INC 6.75% 06/01/2027                                                                | CUSIP: 156504AL6<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |     275000 | PA      | $266675.64     | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA SPA                                                               | TELECOM ITALIA SPA 5.303% 05/30/2024 144A                                                               | CUSIP: 87927YAA0<br>LEI: 549300W384M3RI3VXU42 | Long             | DBT              | CORP              | IT        |     370000 | PA      | $358345.00     | 0.00%             | 2024-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AI AQUA MERGER SUB INC                                                           | CULLIGAN TERM DD 1LN 07/30/2028                                                                         | CUSIP: 00132UAM6<br>LEI: 5493005QMH1D47U26R45 | Long             | LON              | CORP              | US        |      71568 | PA      | $67870.36      | 0.00%             | 2028-07-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 06/01/2043#AT5225                                                                        | CUSIP: 3138WSYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174867 | PA      | $153680.95     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 4.125/VAR PERP                                                            | CUSIP: 38141GYU2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |    2505000 | PA      | $2041575.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TIMES SQUARE TR 2018 CSTR 05/15/2035 144A                                                            | CUSIP: 90137LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2310559 | PA      | $1893360.77    | 0.00%             | 2035-05-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                       | J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A                                  | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1414000 | PA      | $1219052.39    | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                                            | DUPONT DE NEMOURS INC 4.493% 11/15/2025                                                                 | CUSIP: 26078JAC4<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    2625000 | PA      | $2603998.87    | 0.01%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.8% 02/15/2029                                                                                 | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    2965000 | PA      | $2853619.33    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 6.05% 01/11/2040                                                           | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     400000 | PA      | $401075.00     | 0.00%             | 2040-01-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 2/42 #Q06088                                                                                 | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54745 | PA      | $52964.33      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4.5% 09/20/2052#MA8268                                                                          | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1991356 | PA      | $1951418.57    | 0.00%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2017-30 AI 5.5% 05/47                                                                               | CUSIP: 3136AWQD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     332516 | PA      | $60146.64      | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 01/20/2049#MA5711                                                                          | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1253052 | PA      | $1243094.68    | 0.00%             | 2049-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC 4.45% 06/01/2028                                                                    | CUSIP: 891906AF6<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3135000 | PA      | $2925005.82    | 0.01%             | 2028-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 07/15/2046#AT7536                                                                          | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17802 | PA      | $17183.68      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                  | FOX CORP 5.476% 01/25/2039                                                                              | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    2474000 | PA      | $2278258.90    | 0.00%             | 2039-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 5/39 #698329                                                                                 | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11434 | PA      | $11313.24      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH TX INTL ARPT                                                   | DFW ARPT 4.087% 11/1/2051                                                                               | CUSIP: 23503CAP2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1010000 | PA      | $846397.68     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    1640000 | NC      | $22436.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 4% 05/01/2037#C91938                                                                          | CUSIP: 3128P8EK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3479110 | PA      | $3418850.59    | 0.01%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 4.9% 01/15/2045                                                                        | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1110000 | PA      | $965165.69     | 0.00%             | 2045-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-FLWR                                                               | SREIT TR 2021-FLWR 1ML+57.66 07/15/2036 144A                                                            | CUSIP: 78485GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3180000 | PA      | $3040474.96    | 0.01%             | 2036-07-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                         | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                      | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5499066 | PA      | $4638517.15    | 0.01%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROJECT ALPHA INTERMEDIATE HOLDING INC                                           | QLIK TECHNOLOGIES TERM B 1LN 04/26/2024                                                                 | CUSIP: 74339DAE8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     922652 | PA      | $896817.74     | 0.00%             | 2024-04-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2052#                                                                              | CUSIP: 3140M9TV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     948975 | PA      | $872652.98     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 5.3% 08/15/2052                                                                        | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1511000 | PA      | $1387942.26    | 0.00%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                       | JPMCC 2018-WPT XAFX CSTR 07/23 144A                                                                     | CUSIP: 46645WAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $37795.00      | 0.00%             | 2033-07-05      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | LEVEL 3 FINANCING INC 4.25% 07/01/2028 144A                                                             | CUSIP: 527298BR3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    1520000 | PA      | $1190143.71    | 0.00%             | 2028-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HANCOCK JOHN SOVEREIGN BD FD                                                     | JHancock Bond R6                                                                                        | CUSIP: 410223606<br>LEI: WKGWVLWSOXTPDPZACG18 | Long             | EC               | RF                | US        |   41907966 | NS      | $563662140.20  | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| GAINWELL ACQUISITION CORP                                                        | GAINWELL TERM B 1LN 10/01/2027                                                                          | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     744318 | PA      | $724965.91     | 0.00%             | 2027-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                    | AIB GROUP PLC 1.875%/VAR 11/19/2029 REGS                                                                | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |    1510000 | PA      | $1430831.24    | 0.00%             | 2029-11-19      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2043#AC9441                                                                          | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79576 | PA      | $76814.27      | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US FOODS INC 4.625% 06/01/2030 144A                                                                     | CUSIP: 90290MAE1<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      55000 | PA      | $48807.55      | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 09/01/2040#MA4128                                                                          | CUSIP: 31418DSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326965 | PA      | $281738.15     | 0.00%             | 2040-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 09/46#Q43257                                                                             | CUSIP: 3132WGTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1364153 | PA      | $1283437.75    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.75% 04/01/2033 144A                                | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5185000 | PA      | $5022865.05    | 0.01%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BXSC 2022-WSS F                                                                  | BXSC 2022-WSS D TSFR1M+ 03/15/2035 144A                                                                 | CUSIP: 05610BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8167000 | PA      | $7716672.44    | 0.02%             | 2035-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                 | CARLISLE COS INC 2.2% 03/01/2032                                                                        | CUSIP: 142339AL4<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |    1890000 | PA      | $1450270.16    | 0.00%             | 2032-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | LEVEL 3 TERM B 1LN 03/01/2027                                                                           | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |    1549912 | PA      | $1472896.48    | 0.00%             | 2027-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY SOUTHN CALIF                                                          | UNIVERSITY SOUTHN CALIF 3.841% 10/01/2047                                                               | CUSIP: 914886AC0<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |     715000 | PA      | $601088.06     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/01/2048#BK3836                                                                          | CUSIP: 3140HHHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127867 | PA      | $123545.77     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 09/20/2051#MA7590                                                                            | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29865659 | PA      | $27112194.88   | 0.06%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 11/15/2042#AA5821                                                                        | CUSIP: 36178DPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205626 | PA      | $188723.21     | 0.00%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 10/20/2043#MA1377                                                                          | CUSIP: 36179NQ68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     844195 | PA      | $848831.01     | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2010-135 ZA 4.5% 12/40                                                                              | CUSIP: 31398SE82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     336641 | PA      | $337577.58     | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                            | OPEN TEXT CORPORATION 3.875% 02/15/2028 144A                                                            | CUSIP: 683715AC0<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |     490000 | PA      | $413290.50     | 0.00%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QATAR PETROLEUM                                                                  | QATAR PETROLEUM 2.25% 07/12/2031 REGS                                                                   | CUSIP: N/A<br>LEI: 254900QTESJKJ3P87J26       | Long             | DBT              | CORP              | QA        |     620000 | PA      | $515375.00     | 0.00%             | 2031-07-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                                      | GERMANY FEDERAL REPUBLIC OF 0% 08/15/2031 REGS                                                          | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    6525000 | PA      | $5781566.86    | 0.01%             | 2031-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 1.95% 02/15/2028 144A                                                                      | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1620000 | PA      | $1369232.08    | 0.00%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TPK AUTH TPK REV                                                   | NEW JERSEY ST TPK AUTH TPK REVBUILD AMERICA BDS-TAXABLE-SER F 7.414% 1/1/40                             | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |    1845000 | PA      | $2316748.42    | 0.00%             | 2040-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLDGS INC                                                         | NATIONSTAR MTG HLDGS INC 6% 01/15/2027 144A                                                             | CUSIP: 63861CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $454555.00     | 0.00%             | 2027-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                          | DARLING INGREDIENTS INC 5.25% 04/15/2027 144A                                                           | CUSIP: 237266AH4<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |     300000 | PA      | $290355.00     | 0.00%             | 2027-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STERICYCLE INC                                                                   | STERICYCLE INC 3.875% 01/15/2029 144A                                                                   | CUSIP: 858912AG3<br>LEI: B8PTJH2P0AXSWSMP2136 | Long             | DBT              | CORP              | US        |     530000 | PA      | $461100.00     | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2051#FM9568                                                                          | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11442191 | PA      | $9484032.88    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 04/01/2041#AH9677                                                                        | CUSIP: 3138ABXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16759 | PA      | $17060.95      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 08/01/2043#AS0203                                                                        | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67803 | PA      | $62117.79      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 09/01/2047#G08784                                                                        | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     781422 | PA      | $730302.55     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                        | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108819 | PA      | $99888.89      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR 2021-1                                       | SANTANDER DRIVE AUTO RECEIVABLES TR 2021-1 1.13% 11/16/2026                                             | CUSIP: 80286NAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2800000 | PA      | $2634195.76    | 0.01%             | 2026-11-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CATALENT PHARMA SOLUTIONS                                                        | CATALENT PHARMA SOLUTIONS 3.5% 04/01/2030 144A                                                          | CUSIP: 14879EAK4<br>LEI: 549300HALRZ339MSTH85 | Long             | DBT              | CORP              | US        |     220000 | PA      | $179300.00     | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 04/01/2052#                                                                              | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2476883 | PA      | $2119132.18    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AT0228                                                                          | CUSIP: 36193XHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16043 | PA      | $15079.64      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HENLEY CLO IV DAC                                                                | HENLEY CLO IV DAC 3MEUR+90 04/25/2034 144A                                                              | CUSIP: N/A<br>LEI: 6354009HFM8XXW6PPK55       | Long             | ABS-CBDO         | CORP              | IE        |    2000000 | PA      | $1987691.68    | 0.00%             | 2034-04-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                            | FX Forward: USD/GBP settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1781.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                   | PNC FINANCIAL SERVICES GRP INC 3.9% 04/29/2024                                                          | CUSIP: 693475AP0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     375000 | PA      | $370029.87     | 0.00%             | 2024-04-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/01/2052#CB3509                                                                          | CUSIP: 3140QN3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11014279 | PA      | $10520745.34   | 0.02%             | 2052-05-01      | Fixed         | 0.04%                 | 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        |    4937000 | PA      | $4211996.71    | 0.01%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                 | COMCAST CORP NEW 3.75% 04/01/2040                                                                       | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     770000 | PA      | $643411.11     | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 3.6% 05/01/2034                                                                               | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $1933330.18    | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                    | DISCOVER BANK 3.45% 07/27/2026                                                                          | CUSIP: 25466AAJ0<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |     435000 | PA      | $400861.13     | 0.00%             | 2026-07-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 6.25% 6/36 #886983                                                                             | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2540 | PA      | $2566.07       | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2043#Q21524                                                                        | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11958 | PA      | $11650.19      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                              | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1% 08/12/2027 REGS                                                  | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | DBT              | CORP              | SE        |     400000 | PA      | $279844.81     | 0.00%             | 2027-08-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2052#                                                                              | CUSIP: 3140QPQS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5486455 | PA      | $5403760.18    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                              | HUNGARY REPUBLIC OF 2.125% 09/22/2031 144A                                                              | CUSIP: 445545AM8<br>LEI: 5299008DH62LEB10JK83 | Long             | DBT              | NUSS              | HU        |    1400000 | PA      | $1041512.50    | 0.00%             | 2031-09-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| Voya Funds/USA                                                                   | Voya Intermediate Bond I                                                                                | CUSIP: 92913L684<br>LEI: N/A                  | Long             | EC               | RF                | US        |  162909408 | NS      | $1401020912.01 | 2.98%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN BANK INTERNATIONAL COOPERATION                                             | JAPAN BANK INTL COOPERATION 3.25% 07/20/2023                                                            | CUSIP: 471048BS6<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $395467.86     | 0.00%             | 2023-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOTAL CAPITAL INTL SA                                                            | TOTAL CAP INTL 2.829% 01/10/2030                                                                        | CUSIP: 89153VAT6<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     800000 | PA      | $713382.64     | 0.00%             | 2030-01-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 02/20/2048#MA5021                                                                          | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     527722 | PA      | $525342.62     | 0.00%             | 2048-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                       | VOLKSWAGEN INTL FINANCE NV 3.748%/VAR PERP REGS                                                         | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |     300000 | PA      | $270894.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 5.5% 12/01/2052 #TBA                                                                          | CUSIP: 01F0526C1<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -5500000 | PA      | $-5562734.10   | -0.01%            | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2051#CB2420                                                                          | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1174280 | PA      | $1047375.74    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF 2019-CF2                                                                      | CF 2019-CF2 2.6236% 11/15/2052                                                                          | CUSIP: 12528YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $715114.78     | 0.00%             | 2052-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                                                                  | 180 MEDICAL INC 3.875% 10/15/2029 144A                                                                  | CUSIP: 682357AA6<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |     200000 | PA      | $169981.57     | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 06/01/2052#SD8220                                                                          | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2255269 | PA      | $1997974.68    | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 03/01/2051#QC0031                                                                        | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68225 | PA      | $53177.96      | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 02/01/2052#SD8195                                                                          | CUSIP: 3132DWC84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     688938 | PA      | $611254.89     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC NEW                                                                    | ONEOK INC NEW 5.2% 07/15/2048                                                                           | CUSIP: 682680AV5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1375000 | PA      | $1167123.00    | 0.00%             | 2048-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 0.875% 06/30/2026                                                                             | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41590000 | PA      | $37283160.44   | 0.08%             | 2026-06-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AZZ INC                                                                          | AZZ TERM B 1LN 05/13/2029                                                                               | CUSIP: 00247NAG7<br>LEI: 549300HD1X2NFLWPYC83 | Long             | LON              | CORP              | US        |      98569 | PA      | $98138.25      | 0.00%             | 2029-05-13      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ZIGGO BV                                                                         | ZIGGO BV 4.875% 01/15/2030 144A                                                                         | CUSIP: 98955DAA8<br>LEI: 213800TQASLF9JXH5J59 | Long             | DBT              | CORP              | NL        |     115000 | PA      | $97750.00      | 0.00%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                             | WR GRACE HOLDING LLC 5.625% 10/01/2024 144A                                                             | CUSIP: 92943GAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $391024.00     | 0.00%             | 2024-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 5.00% 2/30 #MA0320                                                                            | CUSIP: 31417YLA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189386 | PA      | $193727.02     | 0.00%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2045#AS6286                                                                          | CUSIP: 3138WF6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244599 | PA      | $237097.83     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 06/01/2051#CB0850                                                                          | CUSIP: 3140QK5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8409436 | PA      | $7496684.62    | 0.02%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 02/01/2050#SD0265                                                                          | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4796828 | PA      | $4315909.05    | 0.01%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2039#AC4562                                                                        | CUSIP: 31417QB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3360 | PA      | $3329.62       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                            | FLORIDA PWR and LT CO 5.25% 02/01/2041                                                                  | CUSIP: 341081FD4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     400000 | PA      | $399860.08     | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 11/01/2044#AL7307                                                                        | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541384 | PA      | $545529.91     | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HLDGS INC                                                             | ZAYO INCREMENTAL TERM 1LN 03/09/2027                                                                    | CUSIP: 98919XAE1<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | LON              | CORP              | US        |    1038746 | PA      | $807043.61     | 0.00%             | 2027-03-09      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 4/42 #Q07441                                                                                 | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26604 | PA      | $25729.41      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMEREN ILL CO                                                                    | AMEREN ILL CO 4.15% 03/15/2046                                                                          | CUSIP: 02361DAQ3<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    1135000 | PA      | $960367.40     | 0.00%             | 2046-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK CR CARD ISSUANCE TR                                                     | CITIBANK CR CARD ISSUANCE TR 3.29% 05/23/2025                                                           | CUSIP: 17305EGM1<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $693864.36     | 0.00%             | 2025-05-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                                     | WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050                                                     | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34697279 | PA      | $1203884.55    | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                                                   | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     265225 | PA      | $16962.91      | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                     | ENTEGRIS INC 3.625% 05/01/2029 144A                                                                     | CUSIP: 29362UAD6<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |     275000 | PA      | $228250.00     | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION INC                                                     | ADTALEM GLOBAL EDUCATION TERM B 1LN 08/12/2028                                                          | CUSIP: 00737RAE0<br>LEI: 549300Z467EZLMODV621 | Long             | LON              | CORP              | US        |     654783 | PA      | $645780.05     | 0.00%             | 2028-08-12      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/01/2045#AY4526                                                                          | CUSIP: 3138YJA48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71856 | PA      | $69787.21      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                     | NEXTERA ENERGY CAP HLDGS INC 2.75% 11/01/2029                                                           | CUSIP: 65339KBM1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1442428.00    | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 11/01/2051#QD1240                                                                          | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1787920 | PA      | $1587435.70    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019 1ML+145 10/15/2036 144A                                                                   | CUSIP: 056054AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7863350 | PA      | $7575848.62    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 2.127% 11/25/2031                                                        | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $415105.10     | 0.00%             | 2031-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                         | BX TRUST 0.8% 06/15/2023 144A                                                                           | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8356696 | PA      | $8000479.61    | 0.02%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                 | BERRY GLOBAL INC 1.57% 01/15/2026                                                                       | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    1675000 | PA      | $1493442.90    | 0.00%             | 2026-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2050#CA5122                                                                          | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1627101 | PA      | $1463971.50    | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.00% 2/27 #AB4420                                                                            | CUSIP: 31417A4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261791 | PA      | $252858.92     | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMPRESAS PUBLICAS DE MEDELLIN ESP                                                | EMPRESAS PUBLIC DE MEDELLIN 4.375% 02/15/2031 REGS                                                      | CUSIP: N/A<br>LEI: 549300SU25TO8EMXB434       | Long             | DBT              | CORP              | CO        |     400000 | PA      | $293750.00     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | UNION PACIFIC CORP 2.973% 09/16/2062                                                                    | CUSIP: 907818FN3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     200000 | PA      | $131939.28     | 0.00%             | 2062-09-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 4.625% 12/01/2030 144A                                                                 | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     170000 | PA      | $107806.78     | 0.00%             | 2030-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 08/01/2043#AU1687                                                                          | CUSIP: 3138X02V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29693 | PA      | $28912.09      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENCENT HLDGS LTD                                                                | TENCENT HLDGS LTD 3.84% 04/22/2051 144A                                                                 | CUSIP: 88032WBC9<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    2435000 | PA      | $1683924.25    | 0.00%             | 2051-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 07/01/2046#AS7530                                                                        | CUSIP: 3138WHLL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324926 | PA      | $283325.55     | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 05/01/2045#AX9659                                                                        | CUSIP: 3138YBWV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37483 | PA      | $36462.26      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AI AQUA MERGER SUB INC                                                           | CULLIGAN TERM B 1LN 07/30/2028                                                                          | CUSIP: 00132UAL8<br>LEI: 5493005QMH1D47U26R45 | Long             | LON              | CORP              | US        |     314901 | PA      | $298629.61     | 0.00%             | 2028-07-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC33                                                  | CITIGROUP COML MTG TR 2015-GC33 3.515% 09/10/2058                                                       | CUSIP: 29425AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1584037 | PA      | $1503060.52    | 0.00%             | 2058-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 4.625% 03/15/2052 144A                                                                          | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1655000 | PA      | $1334403.05    | 0.00%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/20/2047#MA4900                                                                          | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     305038 | PA      | $287388.36     | 0.00%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 01/01/2050#MA3905                                                                          | CUSIP: 31418DKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     739978 | PA      | $663246.09     | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL2                                                                   | PRPM 2021-RPL2 VAR 10/25/2051 144A                                                                      | CUSIP: 69357QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2514550 | PA      | $2200568.32    | 0.00%             | 2051-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LIFE STORAGE LP                                                                  | LIFE STORAGE LP 2.2% 10/15/2030                                                                         | CUSIP: 53227JAC8<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |    3660000 | PA      | $2851810.95    | 0.01%             | 2030-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BFLD TR 2020 -OBRK                                                               | BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A                                                           | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7501000 | PA      | $7397414.94    | 0.02%             | 2028-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                             | TTM TECHNOLOGIES INC 4% 03/01/2029 144A                                                                 | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |     130000 | PA      | $110284.51     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 07/01/2052#MA4653                                                                          | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3499786 | PA      | $3100510.02    | 0.01%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                             | HOWMET AEROSPACE INC 5.95% 02/01/2037                                                                   | CUSIP: 013817AK7<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     575000 | PA      | $543456.52     | 0.00%             | 2037-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THYSSENKRUPP AG                                                                  | THYSSENKRUPP AG 1.875% 03/06/2023 REGS                                                                  | CUSIP: N/A<br>LEI: 549300UDG16DOYUPR330       | Long             | DBT              | CORP              | DE        |    2650000 | PA      | $2730014.09    | 0.01%             | 2023-03-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                | BX COMMERCIAL MORTGAGE TRUST 2021-VINO A 1ML+69.82 05/15/2038 144A                                      | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5200000 | PA      | $4978317.76    | 0.01%             | 2038-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 4.125% 12/15/2026                                                                 | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4475000 | PA      | $4371161.43    | 0.01%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+172.21 10/15/2036 144A                                        | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5425000 | PA      | $4984192.71    | 0.01%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2043#Q17612                                                                        | CUSIP: 3132J83W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6050 | PA      | $5714.43       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                       | DCP MIDSTREAM OPER LP 5.125% 05/15/2029                                                                 | CUSIP: 23311VAH0<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     355000 | PA      | $344206.47     | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 5.6% 02/15/2041                                                                               | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    3986000 | PA      | $3841462.82    | 0.01%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG 4.488/VAR 05/12/2026 144A                                                                  | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1455000 | PA      | $1417785.09    | 0.00%             | 2026-05-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                   | AMERICAN ELECTRIC POWER INC 5.95% 11/01/2032                                                            | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5286279.10    | 0.01%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 03/15/2042#796180                                                                          | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28492 | PA      | $27501.51      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| XPO LOGISTICS INC                                                                | XPO LOGISTICS INC 6.25% 05/01/2025 144A                                                                 | CUSIP: 983793AH3<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |     154000 | PA      | $155567.31     | 0.00%             | 2025-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 4.95% 04/01/2024                                                         | CUSIP: 681936BB5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    1152000 | PA      | $1135958.28    | 0.00%             | 2024-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WASH MULTIFAMILY ACQUISITION INC                                                 | WASH MULTIFAMILY ACQUISITION INC 5.75% 04/15/2026 144A                                                  | CUSIP: 93710WAA3<br>LEI: 549300AS7PRY5PHG6L12 | Long             | DBT              | CORP              | US        |     325000 | PA      | $304629.00     | 0.00%             | 2026-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC 4% 10/01/2023                                                                              | CUSIP: 29250NAF2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    3799000 | PA      | $3756164.41    | 0.01%             | 2023-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 8/31#J35097                                                                              | CUSIP: 31307RUW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160264 | PA      | $152012.34     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                        | VOYA CLO 2020-2 LTD/LLC 3ML+116 07/19/2034 144A                                                         | CUSIP: 92918HAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15930000 | PA      | $15461132.31   | 0.03%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 03/01/45#AX9566                                                                          | CUSIP: 3138YBTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1635886 | PA      | $1591339.83    | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/41 #783261                                                                                 | CUSIP: 36241LTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     345569 | PA      | $342287.06     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                   | HALLIBURTON CO 6.7% 09/15/2038                                                                          | CUSIP: 406216AW1<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     170000 | PA      | $182660.91     | 0.00%             | 2038-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 09/01/2031#AS8011                                                                        | CUSIP: 3138WH3V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     698012 | PA      | $660189.17     | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 8.407%/VAR 11/14/2032 REGS                                                         | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |     400000 | PA      | $498885.76     | 0.00%             | 2032-11-14      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS LTD                                                       | ADIENT GLOBAL HOLDINGS LTD 4.875% 08/15/2026 144A                                                       | CUSIP: 00687YAA3<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    2000000 | PA      | $1842200.00    | 0.00%             | 2026-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | LEVEL 3 FINANCING INC 3.875% 11/15/2029 144A                                                            | CUSIP: 527298BQ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    2945000 | PA      | $2288618.40    | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | REALTY INCOME CORP 3.4% 01/15/2028                                                                      | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4790000 | PA      | $4430266.40    | 0.01%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 3.05% 06/05/2023                                                                          | CUSIP: 02005NBK5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   11748000 | PA      | $11590786.97   | 0.02%             | 2023-06-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXVIII LTD                                                 | MADISON PARK FUNDING XXXVIII LTD 3ML+112 07/17/2034 144A                                                | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12500000 | PA      | $12127025.00   | 0.03%             | 2034-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 12/39 #728451                                                                                | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38723 | PA      | $39077.90      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 04/01/2030#AS4752                                                                        | CUSIP: 3138WEH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590164 | PA      | $563718.00     | 0.00%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | VISTRA OPERATIONS CO LLC 5.625% 02/15/2027 144A                                                         | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    5625000 | PA      | $5441923.86    | 0.01%             | 2027-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2043#AB9376                                                                        | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     975072 | PA      | $920189.31     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 01/01/2047#AS8699                                                                          | CUSIP: 3138WJUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385907 | PA      | $372986.59     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 05/20/2045#MA2828                                                                          | CUSIP: 36179RD97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     159229 | PA      | $160103.50     | 0.00%             | 2045-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2042#794559                                                                          | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22670 | PA      | $21892.44      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                                | UNITED KINGDOM G.B. and N.IRELAND 2.25% 09/07/2023 REGS                                                 | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    5145000 | PA      | $6144572.97    | 0.01%             | 2023-09-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 01/01/2047#BE7087                                                                        | CUSIP: 3140FS2V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34375 | PA      | $34165.68      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST                                                           | LENDMARK FUNDING TRUST 21-1A B 2.47% 11/20/2031 144A                                                    | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     150000 | PA      | $121547.97     | 0.00%             | 2031-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 12/01/2042#C04422                                                                        | CUSIP: 31292L4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     564284 | PA      | $517448.22     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                              | UNITED AIRLINES TERM B 1LN 04/21/2028                                                                   | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |    1593190 | PA      | $1570997.35    | 0.00%             | 2028-04-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                      | SUNOCO LP / SUNOCO FIN CORP 4.5% 05/15/2029                                                             | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     255000 | PA      | $220801.24     | 0.00%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AON CORP / AON GLOBAL HOLDINGS PLC                                               | AON CORP / AON GLOBAL HOLDINGS PLC 2.6% 12/02/2031                                                      | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     940000 | PA      | $769497.35     | 0.00%             | 2031-12-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 02/01/2041#A96961                                                                        | CUSIP: 312945WW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30747 | PA      | $31375.40      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP                                    | RETAIL OPPTY INVTS PRTNRSHP LP 5% 12/15/2023                                                            | CUSIP: 76132FAA5<br>LEI: 549300KH0PNTJK9NTE57 | Long             | DBT              | CORP              | US        |     626000 | PA      | $617835.63     | 0.00%             | 2023-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 11/01/2049#SD7509                                                                          | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16931246 | PA      | $15265504.17   | 0.03%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.75% 05/18/2046                                                                          | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $8529934.50    | 0.02%             | 2046-05-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 4.5% 04/16/2050                                                                      | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     400000 | PA      | $308200.00     | 0.00%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 05/01/2038#ZA2505                                                                        | CUSIP: 31329KYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48833 | PA      | $46725.22      | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEX INC                                                                  | ENTERGY TEX INC 1.75% 03/15/2031                                                                        | CUSIP: 29365TAK0<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    1475000 | PA      | $1153305.18    | 0.00%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAIN SYS INC DEL                                                       | ADVANCED DRAIN SYS INC DEL 5% 09/30/2027 144A                                                           | CUSIP: 00790RAA2<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |     500000 | PA      | $466037.50     | 0.00%             | 2027-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLS INC 2016-2 CL AA PASS THRU TRS                                    | AMERICAN AIRLS INC 2016-2 CL AA PASS THRU TRS 3.2% 12/15/2029                                           | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400680 | PA      | $352073.99     | 0.00%             | 2029-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 03/01/2041#MA4287                                                                          | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41098 | PA      | $35259.06      | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.5% 01/43 #Q16224                                                                                 | CUSIP: 3132J7LE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9925 | PA      | $9375.17       | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 05/01/2051#                                                                                | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13840224 | PA      | $11428428.13   | 0.02%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                  | FX Forward: USD/EUR settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-225.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 4.223/VAR 05/01/2029                                                      | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3395000 | PA      | $3189468.36    | 0.01%             | 2029-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 06/01/2048#G67713                                                                          | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2864915 | PA      | $2780501.99    | 0.01%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 1/41 #AB2068                                                                                 | CUSIP: 31416XJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23609 | PA      | $22211.83      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                      | GSMS 2021-IP B 1ML+125 10/15/2036 144A                                                                  | CUSIP: 36262MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730000 | PA      | $675113.34     | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029 144A                                                          | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    2590000 | PA      | $2357721.60    | 0.01%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIALS INC                                                    | MARTIN MARIETTA MATERIALS INC 2.4% 07/15/2031                                                           | CUSIP: 573284AW6<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    1455000 | PA      | $1181945.64    | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 8/42 #Q10333                                                                                 | CUSIP: 3132HLLN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28327 | PA      | $26586.78      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | IL ST TAXM 7.35% 7/01/35                                                                                | CUSIP: 452152GS4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4322500 | PA      | $4588617.74    | 0.01%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 12/01/2049#QA5154                                                                          | CUSIP: 31346YWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4459511 | PA      | $4005442.95    | 0.01%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIGICEL INTERNATIONAL FIN LTD                                                    | DIGICEL TERM B 05/25/2024                                                                               | CUSIP: N/A<br>LEI: 5493007V023VOEW4FK27       | Long             | LON              | CORP              | LC        |     887941 | PA      | $752530.10     | 0.00%             | 2024-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/01/42 #AQ5136                                                                         | CUSIP: 3138MLV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318065 | PA      | $300162.51     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 07/01/2050#FM3884                                                                          | CUSIP: 3140X7J67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2234301 | PA      | $2013088.31    | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/42#AQ8665                                                                          | CUSIP: 3138MQTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1884645 | PA      | $1778567.41    | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                               | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                      | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3422286 | PA      | $2994627.38    | 0.01%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEMPUR SEALY INTERNATIONAL INC                                                   | TEMPUR SEALY INTERNATIONAL INC 4% 04/15/2029 144A                                                       | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |     875000 | PA      | $725438.95     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                                               | MATTAMY GROUP CORP 4.625% 03/01/2030 144A                                                               | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |    1500000 | PA      | $1235227.50    | 0.00%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WYETH LLC                                                                        | WYETH LLC 6.45% 02/01/2024                                                                              | CUSIP: 983024AF7<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1911011.12    | 0.00%             | 2024-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWER CO                                                             | NEW ENGLAND POWER CO 2.807% 10/06/2050 144A                                                             | CUSIP: 644188BG8<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |    2062000 | PA      | $1278889.21    | 0.00%             | 2050-10-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | REALTY INCOME CORP 3.25% 01/15/2031                                                                     | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    1177000 | PA      | $1028135.66    | 0.00%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                     | GLP CAP LP / GLP FING II INC 4% 01/15/2030                                                              | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $108441.25     | 0.00%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 08/39#A87886                                                                             | CUSIP: 312934XP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     404628 | PA      | $412026.70     | 0.00%             | 2039-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 11/01/2051#RA6239                                                                          | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1069676 | PA      | $885279.92     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIEMAE 20YR 3% 11/01/2036#AS8249                                                                     | CUSIP: 3138WJEX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     763813 | PA      | $721964.54     | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 3980 EP 5% 1/42                                                                                     | CUSIP: 3137AKL66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1690388 | PA      | $1712097.28    | 0.00%             | 2042-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                            | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   71600000 | PA      | $51705828.30   | 0.11%             | 2052-02-15      | Fixed         | 0.02%                 | 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        |    3540000 | PA      | $2485731.96    | 0.01%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2049#FM1534                                                                        | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1426941 | PA      | $1417918.70    | 0.00%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCUBS COML MTG TR 2017-C1                                                        | CCUBS COML MTG TR 2017-C1 A3 3.283% 11/15/2050                                                          | CUSIP: 12508GAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5008999.05    | 0.01%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                           | OREILLY AUTOMOTIVE INC 1.75% 03/15/2031                                                                 | CUSIP: 67103HAK3<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     770000 | PA      | $597652.03     | 0.00%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2052#RA7312                                                                        | CUSIP: 3133KPDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1705115 | PA      | $1571176.92    | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIG CLO 2018-1 LLC                                                               | AIG CLO 2018-1A A1R LLC 3ML+112 04/20/2032 144A                                                         | CUSIP: 00141UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7500000 | PA      | $7342335.00    | 0.02%             | 2032-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 11/01/2036#FS2499                                                                        | CUSIP: 3140XHX51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5593810 | PA      | $5178822.45    | 0.01%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                        | KROGER CO 2.65% 10/15/2026                                                                              | CUSIP: 501044DE8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     430000 | PA      | $395634.44     | 0.00%             | 2026-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US 10YR NOTE FUT (CBT)MAR23 TYH3                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -471 | NC      | $-423191.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ORSTED A/S                                                                       | ORSTED A/S 5.125% 09/13/2034 REGS                                                                       | CUSIP: N/A<br>LEI: W9NG6WMZIYEU8VEDOG48       | Long             | DBT              | CORP              | DK        |     400000 | PA      | $497054.74     | 0.00%             | 2034-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                      | GARTNER INC 4.5% 07/01/2028 144A                                                                        | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     165000 | PA      | $155334.30     | 0.00%             | 2028-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                                                 | ASCENSION HEALTH 2.532% 11/15/2029                                                                      | CUSIP: 04352EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     295000 | PA      | $255528.09     | 0.00%             | 2029-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LTD                                                           | SIRIUS REAL ESTATE LTD 1.125% 06/22/2026 REGS                                                           | CUSIP: N/A<br>LEI: 213800NURUF5W8QSK566       | Long             | DBT              | CORP              | GG        |     400000 | PA      | $319886.27     | 0.00%             | 2026-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/43#AL7261                                                                          | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     808373 | PA      | $758888.96     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP 5.125% 05/15/2032                                                                    | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    3998000 | PA      | $3750163.98    | 0.01%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                                                 | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                                                | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1526851 | PA      | $1393082.13    | 0.00%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 2.511%/VAR 10/20/2032                                                                    | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4835000 | PA      | $3844891.99    | 0.01%             | 2032-10-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| HOME POINT CAPITAL INC                                                           | HOME POINT CAPITAL INC 5% 02/01/2026 144A                                                               | CUSIP: 43734LAA4<br>LEI: 549300DQF6YN0E43PM71 | Long             | DBT              | CORP              | US        |      50000 | PA      | $30131.50      | 0.00%             | 2026-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                                   | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    8936000 | PA      | $7606816.91    | 0.02%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 5/41 #005055                                                                              | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1451143 | PA      | $1442467.42    | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 4.5% 05/15/2035                                                                            | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1980000 | PA      | $1814415.04    | 0.00%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019 IMC B 1ML+130 04/15/2034                                                                  | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4464000 | PA      | $4289264.76    | 0.01%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SOFR 1.726%/VAR 04/01/2027                                                                 | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    5935000 | PA      | $5238726.22    | 0.01%             | 2027-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 6.375%/VAR PERP                                                                       | CUSIP: 404280AT6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | EP               | CORP              | GB        |     620000 | PA      | $590550.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | FX Forward: USD/EUR settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-275926.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2 LLC                                                              | VOYA CLO 2019-2 LLC 3ML+127 07/20/2032 144A                                                             | CUSIP: 92917RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8868000 | PA      | $8683678.62    | 0.02%             | 2032-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 11/41 #772088                                                                                | CUSIP: 36176PRH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32839 | PA      | $30941.27      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                              | SIRIUS XM RADIO INC 5.5% 07/01/2029 144A                                                                | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $931100.00     | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 05/01/2052#SD8213                                                                          | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3120740 | PA      | $2765927.11    | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 2.239%/VAR 07/21/2032                                                                    | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5560000 | PA      | $4336014.93    | 0.01%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| PATTERN ENERGY OP LP/PAT                                                         | PATTERN ENERGY OP LP/PAT 4.5% 08/15/2028 144A                                                           | CUSIP: 70339PAA7<br>LEI: 254900P898KPCM50SP51 | Long             | DBT              | CORP              | US        |      90000 | PA      | $80763.10      | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 03/01/2043#AR6931                                                                        | CUSIP: 3138W4VZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177718 | PA      | $156186.66     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 2.375% 07/15/2031                                                                               | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $812219.63     | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 4% 11/15/2052                                                               | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   96025000 | PA      | $99866000.00   | 0.21%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A96766                                                                                 | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35701 | PA      | $35548.33      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2018-C13                                                         | UBS COML MTG TR 2018-C13 A3 4.0694% 10/15/2051                                                          | CUSIP: 90353KAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5671528.80    | 0.01%             | 2051-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                          | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                                  | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10799000 | PA      | $9585919.28    | 0.02%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 4.375% 04/15/2038                                                        | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $1043752.96    | 0.00%             | 2038-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 01/01/2043#C04446                                                                          | CUSIP: 31292L5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161152 | PA      | $147776.40     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                              | BANCO BILBAO VIZ ARGENTARIA SA 5.875/VAR PERP REGS                                                      | CUSIP: N/A<br>LEI: K8MS7FD7N5Z2WQ51AZ71       | Long             | EP               | CORP              | ES        |     800000 | PA      | $808546.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 3.125% 07/27/2026                                                                        | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   37616000 | PA      | $35283045.90   | 0.07%             | 2026-07-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                     | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                            | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3771452 | PA      | $2941717.74    | 0.01%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                               | VORNADO REALTY LP 2.15% 06/01/2026                                                                      | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    1762000 | PA      | $1489235.53    | 0.00%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   50954000 | PA      | $54609272.32   | 0.12%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 05/01/2051#FM9747                                                                          | CUSIP: 3140XDZM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1349043 | PA      | $1116066.81    | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 2.355% 03/15/2032                                                            | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    6199000 | PA      | $4976122.22    | 0.01%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 12/01/2046#G08738                                                                        | CUSIP: 3128MJZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     995824 | PA      | $933790.88     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITY FINANCE PLC                                                 | THAMES WATER UTILITY FIN PLC 1.875% 01/24/2024 REGS                                                     | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |     270000 | PA      | $313626.55     | 0.00%             | 2024-01-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                               | CENOVUS ENERGY INC 5.25% 06/15/2037                                                                     | CUSIP: 15135UAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    3195000 | PA      | $2958982.70    | 0.01%             | 2037-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                    | CARNIVAL CORP 4% 08/01/2028 144A                                                                        | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     225000 | PA      | $186750.00     | 0.00%             | 2028-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 02/01/2052#BV0272                                                                        | CUSIP: 3140MDJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $459025.14     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                              | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                                   | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    2792000 | PA      | $2170780.00    | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                                      | MCAFEE TERM B 1LN 03/01/2029                                                                            | CUSIP: 57906HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2842875 | PA      | $2695415.07    | 0.01%             | 2029-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.3%/VAR PERP                                                               | CUSIP: 060505FQ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |    7090000 | PA      | $6103091.36    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XIV LTD                                                            | JAMESTOWN CLO XIV LTD 3ML+175 10/20/2034 144A                                                           | CUSIP: 47048XAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10600000 | PA      | $10080727.20   | 0.02%             | 2034-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP III                                                         | FARMERS EXCHANGE CAP III 5.454/VAR 10/15/2054 144A                                                      | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3335000 | PA      | $3014981.90    | 0.01%             | 2054-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AS6967                                                                          | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56573 | PA      | $53175.64      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                 | EXXON MOBIL CORP 4.114% 03/01/2046                                                                      | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     805000 | PA      | $700914.10     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                      | DTE ELEC CO 3.75% 08/15/2047                                                                            | CUSIP: 23338VAG1<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $829264.12     | 0.00%             | 2047-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 05/01/2052#                                                                              | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16465313 | PA      | $14087129.39   | 0.03%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2017-134 BA 2.5% 11/46                                                                              | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     727241 | PA      | $657555.47     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 2/41 #AH0067                                                                                 | CUSIP: 3138A1CD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     773467 | PA      | $769259.83     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                             | HEATHROW FUNDING LTD 2.625% 03/16/2028 REGS                                                             | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |    1985000 | PA      | $1935373.10    | 0.00%             | 2028-03-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGARA MED TERM NTS BOOK ENTRY REG S                          | PERUSAHAAN LISTRIK NEGARA PNBE 1.875% 11/05/2031 144A                                                   | CUSIP: N/A<br>LEI: 254900OYVDRYS9J51J61       | Long             | DBT              | CORP              | ID        |    1500000 | PA      | $1117799.51    | 0.00%             | 2031-11-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN AND HAMILTON INC                                                      | BOOZ ALLEN AND HAMILTON INC 3.875% 09/01/2028 144A                                                      | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |     320000 | PA      | $288396.80     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 2.159/VAR 09/15/2029 144A                                                                   | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    1870000 | PA      | $1516944.80    | 0.00%             | 2029-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 7.75% 07/15/2036                                                                                | CUSIP: 19767QAS4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2908045.13    | 0.01%             | 2036-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 12/20/2049#BR8987                                                                          | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37311 | PA      | $34825.93      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC        | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 6% 06/15/2027 144A            | CUSIP: 03969YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $195242.00     | 0.00%             | 2027-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A97152                                                                                 | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54279 | PA      | $54053.77      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2046#G60393                                                                        | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38289 | PA      | $36071.20      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 10/01/2034#C91793                                                                        | CUSIP: 3128P77E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6590413 | PA      | $6363070.28    | 0.01%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POWER TEAM SERVICES LLC                                                          | POWER TEAM SERVICES LLC 9.033% 12/04/2025 144A                                                          | CUSIP: 73939VAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |    1108000 | PA      | $921789.52     | 0.00%             | 2025-12-04      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | HUMANA INC 3.125% 08/15/2029                                                                            | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2285555.19    | 0.00%             | 2029-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                               | TEACHERS INS and ANNUITY ASSN AMER 4.375% VAR 09/15/2054 144A                                           | CUSIP: 878091BE6<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2006729.13    | 0.00%             | 2054-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                    | AIA GROUP LTD 0.88%/VAR 09/09/2033 REGS                                                                 | CUSIP: N/A<br>LEI: ZP5ILWVSYE4LJGMMVD57       | Long             | DBT              | CORP              | HK        |     395000 | PA      | $318482.30     | 0.00%             | 2033-09-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                               | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 5.125% 04/30/2031 144A                               | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1825000 | PA      | $1619523.25    | 0.00%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                        | LINCOLN NATIONAL CORP IND 3.05% 01/15/2030                                                              | CUSIP: 534187BJ7<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |     280000 | PA      | $232847.15     | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2051#FM9539                                                                          | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3625141 | PA      | $3000221.15    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 3.5% 02/12/2034                                                            | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1420000 | PA      | $1183570.00    | 0.00%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                                                  | BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A                                         | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4913766 | PA      | $4400973.79    | 0.01%             | 2061-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 4.3% 04/29/2053                                                                      | CUSIP: 698299BB9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     615000 | PA      | $458175.00     | 0.00%             | 2053-04-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2% 04/01/2036#BR6332                                                                          | CUSIP: 3140L5BA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4464720 | PA      | $4025963.78    | 0.01%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2050#BQ6306                                                                          | CUSIP: 3140KSAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     761902 | PA      | $634132.71     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 03/01/2052#BV7090                                                                        | CUSIP: 3140ML2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     923773 | PA      | $849477.62     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CITYMD BIDCO LLC                                                              | SUMMIT HEALTH TERM B 1LN 11/18/2028                                                                     | CUSIP: 92940KAK1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2400000 | PA      | $2387256.00    | 0.01%             | 2028-11-18      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 2.125%/VAR 10/13/2026 REGS                                                         | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |    1400000 | PA      | $1242212.50    | 0.00%             | 2026-10-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP SOFR 1.343%/VAR 12/06/2024                                                   | CUSIP: 14040HCK9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    4720000 | PA      | $4503416.66    | 0.01%             | 2024-12-06      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 07/20/2044#MA2074                                                                          | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     474648 | PA      | $464749.64     | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 03/01/2042#AI9097                                                                        | CUSIP: 3138APDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308940 | PA      | $290016.58     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/40 #782918                                                                                 | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     338910 | PA      | $341848.50     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                        | SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A                                                        | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5862953 | PA      | $4415556.53    | 0.01%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                           | CONSOLIDATED EDISON CO OF NY 3.7% 11/15/2059                                                            | CUSIP: 209111FW8<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1244424.70    | 0.00%             | 2059-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLS PASS THRU TR 2013-1A-O                                              | UNITED AIRLS PASS THRU TR 2013-1A-O 4.3% 02/15/2027                                                     | CUSIP: 909319AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     123637 | PA      | $115528.56     | 0.00%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GSR MTG LN TR 2006-OA1                                                           | GSR MTG LN TR 2006-OA1 1ML+44 08/25/2046                                                                | CUSIP: 362631AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18144712 | PA      | $4283610.96    | 0.01%             | 2046-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE 0.875% 08/05/2030                                                                            | CUSIP: 3135G05Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |     815000 | PA      | $648575.26     | 0.00%             | 2030-08-05      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    2700000 | NC      | $36937.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                        | ARIZONA PUBLIC SERVICE CO 6.35% 12/15/2032                                                              | CUSIP: 040555DE1<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1206934.50    | 0.00%             | 2032-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC                                                                     | ACRISURE TERM B 1LN 02/13/2027                                                                          | CUSIP: 00488PAL9<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |    1240458 | PA      | $1159158.40    | 0.00%             | 2027-02-13      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2019-BROOK                                     | J P MORGAN CHASE COML MTG SECS TR 2019-BROOK 1ML+90 09/15/2029 144A                                     | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5421952 | PA      | $5260299.95    | 0.01%             | 2029-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2041#A97673                                                                        | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177492 | PA      | $176753.53     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4.25% 09/30/2024                                                                              | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  150240000 | PA      | $149788106.63  | 0.32%             | 2024-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                           | PATRICK INDUSTRIES INC 4.75% 05/01/2029 144A                                                            | CUSIP: 703343AD5<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |     110000 | PA      | $86350.00      | 0.00%             | 2029-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 1.5% 01/01/2036#MA4228                                                                        | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2448932 | PA      | $2153752.99    | 0.00%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.5% 01/15/2030 144A                                 | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16270000 | PA      | $15605533.20   | 0.03%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.875% 05/15/2028                                                                             | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18690000 | PA      | $17802225.00   | 0.04%             | 2028-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                                           | UBS COMMERCIAL MORTGAGE TRUST 2018-C12 4.2962% 08/15/2051                                               | CUSIP: 90353DAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2830788.30    | 0.01%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC CO                                                        | ATLANTIC CITY ELECTRIC CO 2.3% 03/15/2031                                                               | CUSIP: 048303CJ8<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |     425000 | PA      | $348705.39     | 0.00%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE III LLC                                                | LYB INTERNATIONAL FINANCE III LLC 3.375% 10/01/2040                                                     | CUSIP: 50249AAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     490000 | PA      | $355480.34     | 0.00%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2042#AB6017                                                                        | CUSIP: 31417CVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     681667 | PA      | $639625.07     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA UNI SCH DIST                                                      | LOS ANGELES CALIF UNI SCH DISTBUILD AMERICA BOND-TAXABLE-KRY                                            | CUSIP: 544646XZ0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1535000 | PA      | $1623949.87    | 0.00%             | 2034-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 07/01/45#G08654                                                                          | CUSIP: 3128MJWQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     365707 | PA      | $344525.47     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | COMMONSPIRIT HEALTH 4.35% 11/01/2042                                                                    | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2115862.90    | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.5% 01/01/2040#AC8577                                                                        | CUSIP: 31417VQ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173312 | PA      | $180119.62     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-32A A1                                                                 | SYMP 2022-32A A1 TSFR3M+132 04/23/2035 144A                                                             | CUSIP: 87168NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7640000 | PA      | $7429013.76    | 0.02%             | 2035-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C32                                 | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C32 A3 3.459% 12/15/2049                                   | CUSIP: 61691GAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4836809 | PA      | $4504466.41    | 0.01%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                   | BRANDYWINE OPER PARTNERSHIP LP 4.1% 10/01/2024                                                          | CUSIP: 105340AN3<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    4892000 | PA      | $4707914.04    | 0.01%             | 2024-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.0% 12/01/2029#MA2149                                                                        | CUSIP: 31418BL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     910690 | PA      | $875632.21     | 0.00%             | 2030-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 02/01/2031#J33761                                                                        | CUSIP: 31307QFA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     614532 | PA      | $584427.19     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTURY CMNTYS INC                                                               | CENTURY COMMUNITIES INC 3.875% 08/15/2029 144A                                                          | CUSIP: 156504AM4<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |     135000 | PA      | $108945.00     | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US ULTRA BOND CBT FUT MAR23 WNH3                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        196 | NC      | $416323.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | VISTRA OPERATIONS CO LLC 4.375% 05/01/2029 144A                                                         | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $879373.10     | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 12/15/2041#792596                                                                          | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6160 | PA      | $5947.79       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US 2YR NOTE (CBT) FUT MAR23 TUH3                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        -33 | NC      | $-14764.16     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 12/49#BR8986                                                                               | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15302 | PA      | $14282.41      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 02/01/2052#BV0121                                                                        | CUSIP: 3140MDD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     904484 | PA      | $831456.90     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 11/01/2052 #TBA                                                                            | CUSIP: 21H0326B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $3711484.00    | 0.01%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QATAR PETROLEUM                                                                  | QATAR PETROLEUM 3.125% 07/12/2041 144A                                                                  | CUSIP: 74730DAE3<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    1145000 | PA      | $866120.94     | 0.00%             | 2041-07-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MFT 2021-3A A                                                                    | MFT 2021-3A A 0.65% 12/15/2031 144A                                                                     | CUSIP: 57108QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1616908 | PA      | $1592335.18    | 0.00%             | 2031-12-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 06/01/2045#AZ4601                                                                        | CUSIP: 3138YWDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28102 | PA      | $27319.56      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | 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        |    2825000 | PA      | $2678852.18    | 0.01%             | 2028-06-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 08/01/2045#Q35879                                                                          | CUSIP: 3132QSQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393501 | PA      | $382890.06     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 01/01/2048#CA1567                                                                        | CUSIP: 3140Q8W50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205996 | PA      | $204033.70     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                         | SERVICE PPTYS TR 4.375% 02/15/2030                                                                      | CUSIP: 44106MAY8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     200000 | PA      | $140336.00     | 0.00%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.50% 8/42 #MA0318                                                                              | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     240610 | PA      | $226884.00     | 0.00%             | 2042-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) SOFR 1.431%/VAR 03/09/2027                                                | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   15505000 | PA      | $13633408.04   | 0.03%             | 2027-03-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2022                                                                   | BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A                                                           | CUSIP: 05592DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4626000 | PA      | $4333251.92    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                                  | TYSON FOODS INC 4% 03/01/2026                                                                           | CUSIP: 902494BJ1<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    2520000 | PA      | $2454879.77    | 0.01%             | 2026-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2041#AH0064                                                                        | CUSIP: 3138A1CA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42240 | PA      | $42015.64      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/01/2041#AC9301                                                                        | CUSIP: 31417WKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23710 | PA      | $24137.93      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ISHARES CORE TOTAL USD BOND MARKET ETF                                           | iShares 3-7 Year Treasury Bond ETF                                                                      | CUSIP: 464288661<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |    2873309 | NS      | $333045246.19  | 0.71%             |  |  |  | No            |                  1 | On Loan: —       |
| TAPESTRY INC                                                                     | TAPESTRY INC 3.05% 03/15/2032                                                                           | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |   14311000 | PA      | $11073692.09   | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                              | ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030                                                          | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    5395000 | PA      | $5249021.39    | 0.01%             | 2030-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TCW FDS INC                                                                      | TCW Emerging Markets Income N                                                                           | CUSIP: 87234N351<br>LEI: 549300RGHXB227I79431 | Long             | EC               | RF                | US        |   29494516 | NS      | $231481812.70  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                           | GSCM ITXEX538 PAY 525 01/18/23                                                                          | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |    5900000 | NC      | $43333.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2052#MA4549                                                                          | CUSIP: 31418EBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2444262 | PA      | $2168652.68    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BUILDING SOC(UNGTD) STEP 03/08/2024 144A                                                     | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    1970000 | PA      | $1954246.93    | 0.00%             | 2024-03-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                             | TANGER PROPERTIES LP 2.75% 09/01/2031                                                                   | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    4140000 | PA      | $2960977.47    | 0.01%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q02345                                                                        | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16208 | PA      | $16396.41      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                | DELL INTL/EMC CORP 5.45% 06/15/2023                                                                     | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1627000 | PA      | $1627952.61    | 0.00%             | 2023-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 3.469% 04/15/2034 144A                                                                     | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $793911.07     | 0.00%             | 2034-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXIV LTD                                                   | MADISON PARK FUNDING XXXIV LTD 3ML+112 04/25/2032 144A                                                  | CUSIP: 55819GAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20000000 | PA      | $19650080.00   | 0.04%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROCKLAND PARK CLO LTD                                                            | ROCKLAND PARK CLO LTD 3ML+112 04/20/2034 144A                                                           | CUSIP: 773663AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7250000 | PA      | $7057498.00    | 0.01%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/01/2052 #TBA                                                                            | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -20200000 | PA      | $-18739836.94  | -0.04%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                                | MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A                                                 | CUSIP: 61771LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13482000 | PA      | $12513907.46   | 0.03%             | 2036-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PREMIER ENTERTAINMENT SU                                                         | PREMIER ENTERTAINMENT SU 5.875% 09/01/2031 144A                                                         | CUSIP: 74052HAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1325000 | PA      | $1009491.00    | 0.00%             | 2031-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 2.125% 12/20/2023 REGS                                                           | CUSIP: N/A<br>LEI: PBLD0EJDB5FWOLXP3B76       | Long             | DBT              | CORP              | US        |     265000 | PA      | $309458.18     | 0.00%             | 2023-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 03/01/2041#MA4286                                                                        | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     710653 | PA      | $582566.87     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                | GENERAL MOTORS CO 6.75% 04/01/2046                                                                      | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1775000 | PA      | $1775508.18    | 0.00%             | 2046-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENPACT LUXEMBOURG SARL / GENPACT USA INC                                        | GENPACT LUXEMBOURG SARL / GENPACT USA INC 1.75% 04/10/2026                                              | CUSIP: 37190AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     960000 | PA      | $859292.05     | 0.00%             | 2026-04-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC 4.976%/VAR 08/11/2033                                                          | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2530000 | PA      | $2328458.76    | 0.00%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                       | DCP MIDSTREAM OPER LP 5.625% 07/15/2027                                                                 | CUSIP: 23311VAJ6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     260000 | PA      | $258950.18     | 0.00%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                                              | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     322033 | PA      | $325650.97     | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.5% 09/15/2040#748784                                                                        | CUSIP: 3620C42R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45552 | PA      | $45119.06      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2.5% 05/01/2041#MA4334                                                                        | CUSIP: 31418DY89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4840396 | PA      | $4275136.39    | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2018-IND                                                                   | BX TR 2018-EXCL 1ML+262.5 7/19 144A                                                                     | CUSIP: 12433WAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1952300 | PA      | $1685241.36    | 0.00%             | 2037-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES LVIII CLO LLC                                                               | ARES LVIII CLO LLC SOFR90A+133 01/15/2035 144A                                                          | CUSIP: 04018AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7506000 | PA      | $7196362.49    | 0.02%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                                           | BP CAPITAL MARKETS PLC T5Y 4.375%/VAR PERP                                                              | CUSIP: 05565QDU9<br>LEI: 549300CRVT18MXX0AG93 | Long             | EP               | CORP              | GB        |    6695000 | PA      | $6368618.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 07/01/2033#                                                                                | CUSIP: 3140JAUL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180645 | PA      | $172562.20     | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 03/01/2046#BM4748                                                                        | CUSIP: 3140J9H20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395385 | PA      | $371358.77     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 2.75% 02/21/2028 144A                                                       | CUSIP: 05401AAP6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    2730000 | PA      | $2197978.80    | 0.00%             | 2028-02-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                                          | DEERE JOHN CAPITAL CORP 2.65% 06/24/2024                                                                | CUSIP: 24422ETT6<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |     615000 | PA      | $596435.81     | 0.00%             | 2024-06-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE LTD                                                      | ENERGEAN ISRAEL FINANCE LTD 4.875% 03/30/2026 144A REGS                                                 | CUSIP: N/A<br>LEI: 98450044QACBL3F8EB03       | Long             | DBT              | CORP              | IL        |    1356000 | PA      | $1257690.00    | 0.00%             | 2026-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 11/15/2043#711823                                                                        | CUSIP: 36297GYU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     407934 | PA      | $386471.16     | 0.00%             | 2043-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 3.75% 02/15/2027 144A                                             | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     805000 | PA      | $726166.35     | 0.00%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 08/01/45#G08659                                                                          | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214162 | PA      | $201757.96     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3% 02/02/2029 144A                                   | CUSIP: 46590XAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     390000 | PA      | $327141.34     | 0.00%             | 2029-02-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                                        | OLIN CORP 5.125% 09/15/2027                                                                             | CUSIP: 680665AJ5<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |     700000 | PA      | $656250.00     | 0.00%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | NATWEST GRP PLC(UNGTD) 5.125% 05/28/2024                                                                | CUSIP: 780099CH8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   25198000 | PA      | $24894848.91   | 0.05%             | 2024-05-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PROTEUS LTD                                                           | TRANSOCEAN PROTEUS LTD 6.25% 12/01/2024 144A                                                            | CUSIP: 893829AA9<br>LEI: 5493000CTMQ2LH21VM89 | Long             | DBT              | CORP              | KY        |    1800000 | PA      | $1764000.00    | 0.00%             | 2024-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2022-B36 MTG TR                                                        | BENCHMARK 2022-B36 MTG TR 4.4699% 07/15/2055                                                            | CUSIP: 08163QBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5713015.20    | 0.01%             | 2055-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/01/2041#AH7450                                                                        | CUSIP: 3138A9H49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30834 | PA      | $31288.94      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030                                                               | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   10008000 | PA      | $8501919.40    | 0.02%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2049#BO8254                                                                          | CUSIP: 3140K4E48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1664975 | PA      | $1495447.26    | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC 4.25% 12/01/2026                                                                           | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    1943000 | PA      | $1883878.36    | 0.00%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                     | WP CAREY INC 4% 02/01/2025                                                                              | CUSIP: 92936UAC3<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    5544000 | PA      | $5392589.76    | 0.01%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 09/01/2042#G07816                                                                        | CUSIP: 3128MAAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     817391 | PA      | $820831.90     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAMB COML MTG TR 2019-LIFE                                                       | CAMB COML MTG TR 2019-LIFE A 1ML+107 12/15/2037 144A                                                    | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3800000 | PA      | $3718954.36    | 0.01%             | 2037-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031                                                          | CUSIP: 3137AQ6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      91614 | PA      | $2856.24       | 0.00%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 11/01/2031#AS8388                                                                        | CUSIP: 3138WJKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     583580 | PA      | $551957.62     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                               | CNA FINANCIAL CORP 3.9% 05/01/2029                                                                      | CUSIP: 126117AV2<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1286933.47    | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PAPA JOHNS INTERNATIONAL INC                                                     | PAPA JOHNS INTERNATIONAL INC 3.875% 09/15/2029 144A                                                     | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1378486.02    | 0.00%             | 2029-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1110000 | NC      | $15185.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 2.65% 11/20/2040                                                             | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1515000 | PA      | $1048748.01    | 0.00%             | 2040-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                        | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     499871 | PA      | $472169.01     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | SIMON PROPERTY GROUP LP 3.5% 09/01/2025                                                                 | CUSIP: 828807CV7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |      55000 | PA      | $52905.76      | 0.00%             | 2025-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ADVOCATE HEALTH and HOSPITALS CORP                                               | ADVOCATE HEALTH and HOSPITALS CORP 3.387% 10/15/2049                                                    | CUSIP: 007589AC8<br>LEI: 549300AEHU3PPOUCIL87 | Long             | DBT              | CORP              | US        |     510000 | PA      | $373727.59     | 0.00%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 10/15/2041#775540                                                                          | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42416 | PA      | $40949.92      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     740000 | NC      | $10123.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                    | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC 3ML+113 10/25/2034 144A                                   | CUSIP: 15033TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3624000 | PA      | $3495224.78    | 0.01%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GREYSTONE COMMERCIAL CAPITAL TRUST SERIES 2021-2                                 | GREYSTONE COMMERCIAL CAPITAL TRUST SERIES 2021-2 FRN 1ML+227 05/31/2025 144A                            | CUSIP: 39810DAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7700000.00    | 0.02%             | 2025-05-31      | Variable      | 0.06%                 | No            |                  3 | On Loan: No      |
| DISCOVER BANK                                                                    | DISCOVER BANK 4.682%/VAR 08/09/2028                                                                     | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    3503000 | PA      | $3373922.93    | 0.01%             | 2028-08-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6% 11/35 #AD0687                                                                                   | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278500 | PA      | $289173.95     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.625% 02/15/2029                                                                             | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10965000 | PA      | $10250561.72   | 0.02%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                              | UNITED AIRLINES INC 4.15% 10/11/2025                                                                    | CUSIP: 210795PZ7<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     455221 | PA      | $437216.29     | 0.00%             | 2025-10-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/01/2051#CB0531                                                                          | CUSIP: 3140QKSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308729 | PA      | $275026.65     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXI LTD                                                             | SYMPHONY CLO XXI LTD 21A AR 3ML+106 07/15/2032 144A                                                     | CUSIP: 87166RDE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     768000 | PA      | $750129.41     | 0.00%             | 2032-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                           | CONOCOPHILLIPS CO 3.758% 03/15/2042                                                                     | CUSIP: 20826FBC9<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     525000 | PA      | $444538.14     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 08/15/2043#AD5682                                                                          | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16478 | PA      | $15993.45      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2% 02/01/2036#SB8510                                                                          | CUSIP: 3132D6N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3775577 | PA      | $3411623.88    | 0.01%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRIME SECURITY SERVICES BORROWER LLC                                             | ADT PRIME SECURITY TERM B 1LN 09/23/2026                                                                | CUSIP: 03765VAK6<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |     440605 | PA      | $433942.87     | 0.00%             | 2026-09-23      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                        | BALL CORP 3.125% 09/15/2031                                                                             | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     395000 | PA      | $313827.15     | 0.00%             | 2031-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/41 #489861                                                                                 | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12769 | PA      | $12326.21      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                      | GARTNER INC 3.75% 10/01/2030 144A                                                                       | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     105000 | PA      | $90825.00      | 0.00%             | 2030-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                    | FORD MOTOR CO 5.291% 12/08/2046                                                                         | CUSIP: 345370CS7<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    1925000 | PA      | $1520807.75    | 0.00%             | 2046-12-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                     | DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050                                                           | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   11727000 | PA      | $8466103.01    | 0.02%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 02/01/2043#AB8463                                                                        | CUSIP: 31417FMM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177598 | PA      | $155692.57     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                        | TEGNA INC 4.75% 03/15/2026 144A                                                                         | CUSIP: 87901JAF2<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |     225000 | PA      | $219925.17     | 0.00%             | 2026-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 02/01/2052#CB2842                                                                          | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6074971 | PA      | $5010651.88    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                            | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   15500000 | PA      | $14650110.36   | 0.03%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS SOFR 1.323%/VAR 01/13/2027 144A                                                             | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    9875000 | PA      | $8577389.45    | 0.02%             | 2027-01-13      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 4.3% 08/15/2039                                                               | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      70000 | PA      | $56700.00      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 01/47#MA4197                                                                                 | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174455 | PA      | $169399.46     | 0.00%             | 2047-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 07/01/2042 #AB5652                                                                       | CUSIP: 31417CH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412449 | PA      | $373936.53     | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | IL ST 4.95% 06/01/23                                                                                    | CUSIP: 452151LE1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2089091 | PA      | $2088447.27    | 0.00%             | 2023-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                                    | FIRSTCASH INC 5.625% 01/01/2030 144A                                                                    | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1364458.50    | 0.00%             | 2030-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                            | FIRST CITIZENS BANK and TRUST CO 6.125% 03/09/2028                                                      | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    4840000 | PA      | $4964698.78    | 0.01%             | 2028-03-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 10/41 #AJ1242                                                                                | CUSIP: 3138ASLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66213 | PA      | $66409.74      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 7.125/VAR PERP                                                                       | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |    2520000 | PA      | $2116800.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO TRUST                                                                    | KKR CLO TRUST 3ML+117 07/20/2034 144A                                                                   | CUSIP: 48254QAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13000000 | PA      | $12587510.00   | 0.03%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/49#FM2050                                                                               | CUSIP: 3140X5H48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     512595 | PA      | $459921.83     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY PA TRUSTEES                                                           | UNIVERSITY PA TRUSTEES 3.61% 02/15/2119                                                                 | CUSIP: 91481CAC4<br>LEI: 549300FG60YK9HZ7DS75 | Long             | DBT              | CORP              | US        |     285000 | PA      | $190773.87     | 0.00%             | 2119-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 2.625% 04/15/2026                                                                      | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     220000 | PA      | $201740.33     | 0.00%             | 2026-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.5% 11/01/2052#MA4807                                                                        | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1186093 | PA      | $1200514.49    | 0.00%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                  | MADISON PK FDG XLV LLC 2020-45A AR 3ML+112 07/15/2034 144A                                              | CUSIP: 55820BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4233000 | PA      | $4123322.97    | 0.01%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 2.625% 02/15/2029                                                                      | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     275000 | PA      | $233995.78     | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | FISERV INC 3.85% 06/01/2025                                                                             | CUSIP: 337738AP3<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    1540000 | PA      | $1494694.57    | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK CORPORATE MARKETS PLC                                                | LLOYDS BANK CORPORATE MARKETS PLC 1.75% 07/11/2024 REGS                                                 | CUSIP: N/A<br>LEI: 213800MBWEIJDM5CU638       | Long             | DBT              | CORP              | GB        |     275000 | PA      | $314798.65     | 0.00%             | 2024-07-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SPRINT CORP                                                                      | SPRINT CORP 7.875% 09/15/2023                                                                           | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    3220000 | PA      | $3289680.80    | 0.01%             | 2023-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q01871                                                                        | CUSIP: 3132GFCG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43808 | PA      | $44706.26      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 21-3                                                | UPSTART SECURITIZATION TRUST 21-3 0.83% 07/20/2031 144A                                                 | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4309502 | PA      | $4181995.15    | 0.01%             | 2031-07-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PIMCO FDS PAC INVT MGMT SER                                                      | PIMCO Investment Grade Credit Bond Instl                                                                | CUSIP: 722005816<br>LEI: 549300F3V4IM7FBY9U59 | Long             | EC               | RF                | US        |   67041266 | NS      | $583929430.68  | 1.24%             |  |  |  | No            |                  1 | On Loan: No      |
| KAZMUAIGAZ NATIONAL CO JSC                                                       | KAZMUNAYGAS NATIONAL CO JSC 5.375% 04/24/2030 REGS                                                      | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |     200000 | PA      | $178875.00     | 0.00%             | 2030-04-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PHOENIX 2 LTD                                                         | TRANSOCEAN PHOENIX 2 LTD 7.75% 10/15/2024 144A                                                          | CUSIP: 893828AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1245200 | PA      | $1228304.26    | 0.00%             | 2024-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| COMM 14-CCRE18 MTG TR                                                            | COMM 14-CCRE18 MTG TR 3.828% 07/15/2047                                                                 | CUSIP: 12632QAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1610000 | PA      | $1556242.74    | 0.00%             | 2047-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BUILDING SOC(UNGTD) 6.178%/VAR 12/07/2027 REGS                                               | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |     400000 | PA      | $483531.84     | 0.00%             | 2027-12-07      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 2.666%/VAR 01/29/2031                                                                     | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   19195000 | PA      | $15933399.42   | 0.03%             | 2031-01-29      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2% 06/01/2036#FS2033                                                                          | CUSIP: 3140XHHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518918 | PA      | $469220.54     | 0.00%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                    | FORD MOTOR CO 4.75% 01/15/2043                                                                          | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1479880.40    | 0.00%             | 2043-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 1.658%/VAR 03/11/2027                                                       | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8135000 | PA      | $7208404.06    | 0.02%             | 2027-03-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| DANA INC                                                                         | DANA INC 4.5% 02/15/2032                                                                                | CUSIP: 235825AJ5<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |     115000 | PA      | $90059.48      | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 09/01/2044#AS3293                                                                        | CUSIP: 3138WCUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97182 | PA      | $94444.94      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 5.25% 04/15/2025                                                                                | CUSIP: 404119BQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $997946.73     | 0.00%             | 2025-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                              | MAGNETITE XXIII LTD 3ML+113 01/25/2035 144A                                                             | CUSIP: 55954NAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4904000 | PA      | $4744855.39    | 0.01%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | APPLE INC 3.85% 08/04/2046                                                                              | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    1420000 | PA      | $1231244.82    | 0.00%             | 2046-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                                            | EVERGY KANSAS CENTRAL 4.125% 03/01/2042                                                                 | CUSIP: 95709TAH3<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |     655000 | PA      | $550006.49     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/48#BK4838                                                                               | CUSIP: 3140HJLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9902 | PA      | $9564.75       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FOOT LOCKER INC                                                                  | FOOT LOCKER INC 4% 10/01/2029 144A                                                                      | CUSIP: 344849AA2<br>LEI: 549300X383CBNP6MTV94 | Long             | DBT              | CORP              | US        |      60000 | PA      | $49473.60      | 0.00%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                                                 | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     305365 | PA      | $285461.91     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B23 MTG TR                                                        | BENCHMARK 2021-B23 MTG TR 1.823% 02/15/2054                                                             | CUSIP: 08162RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1574518.60    | 0.00%             | 2054-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB10                                                                   | CFMT 2022-HB10 3.5% 11/25/2035 144A                                                                     | CUSIP: 12529GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6700000 | PA      | $6351526.30    | 0.01%             | 2035-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                    | FORD MOTOR CO 3.25% 02/12/2032                                                                          | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    1675000 | PA      | $1329871.59    | 0.00%             | 2032-02-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 09/01/2047#BH9317                                                                        | CUSIP: 3140GYK73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     950610 | PA      | $893539.93     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                          | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     714006 | PA      | $669716.58     | 0.00%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                          | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.875% 05/01/2025                                               | CUSIP: 42225UAJ3<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $2613896.23    | 0.01%             | 2025-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 7.437%/VAR 11/02/2033                                                              | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $317787.71     | 0.00%             | 2033-11-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/40 #AL0145                                                                                 | CUSIP: 3138EGET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225474 | PA      | $224043.53     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 07/51#QC4163                                                                               | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     575448 | PA      | $476788.76     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2050#                                                                                | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     919842 | PA      | $759838.10     | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                 | VIRGIN MEDIA SECD FIN PLC 5.5% 05/15/2029 144A                                                          | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     175000 | PA      | $159687.50     | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                         | GENERAL MTRS FINL CO INC 2.4% 04/10/2028                                                                | CUSIP: 37045XDH6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1895000 | PA      | $1599573.44    | 0.00%             | 2028-04-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2045#Q33623                                                                        | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34618 | PA      | $32612.52      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                                    | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    8719000 | PA      | $7795349.60    | 0.02%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                      | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                      | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    3200000 | PA      | $2840960.00    | 0.01%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 4/41 #A97945                                                                                 | CUSIP: 312946ZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     410590 | PA      | $408886.38     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q02067                                                                        | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60601 | PA      | $61851.74      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.50% 12/37 #967254                                                                                | CUSIP: 31414JBX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52181 | PA      | $54280.59      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                            | LCH OIS SOFRV2.5% MAC 12/21/29                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    2959000 | NC      | $-27169.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 04/20/2047#784303                                                                            | CUSIP: 3622A2X80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1971482 | PA      | $1911271.93    | 0.00%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5.0% 08/20/2045#MA3037                                                                          | CUSIP: 36179RLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     490194 | PA      | $503720.29     | 0.00%             | 2045-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PEDIATRIX MEDICAL GROUP INC                                                      | PEDIATRIX MEDICAL GROUP INC 5.375% 02/15/2030 144A                                                      | CUSIP: 58502BAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     170000 | PA      | $143447.70     | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                                                   | PHILLIPS 66 CO 3.75% 03/01/2028 144A                                                                    | CUSIP: 718547AG7<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |     595000 | PA      | $547057.55     | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 7/35 #995203                                                                                 | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55178 | PA      | $55620.22      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG 2012-14 CLASS JS 1ML+665 12/25/2030                                                     | CUSIP: 3136A4WY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      32144 | PA      | $267.24        | 0.00%             | 2030-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/40 #719262                                                                                 | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73753 | PA      | $74443.63      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROWN FINANCE US INC                                                             | CROWN FINANCE US SUPER PRIORITY DIP TERM 1LN 09/09/2023                                                 | CUSIP: 22834KAL5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     916269 | PA      | $882486.00     | 0.00%             | 2023-09-09      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| STANFORD HEALTHCARE                                                              | STANFORD HEALTHCARE 3.027% 08/15/2051                                                                   | CUSIP: 85434VAC2<br>LEI: 5493005311WCPXQGDG42 | Long             | DBT              | CORP              | US        |     680000 | PA      | $466626.77     | 0.00%             | 2051-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHYSICIANS REALTY LP                                                             | PHYSICIANS REALTY LP 2.625% 11/01/2031                                                                  | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |    1940000 | PA      | $1525027.52    | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/01/2039#AV6645                                                                          | CUSIP: 3138XJL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296107 | PA      | $287950.87     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 4.95% 01/10/2047                                                                   | CUSIP: 06738EAV7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1435000 | PA      | $1215950.82    | 0.00%             | 2047-01-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 06/01/2031#J34623                                                                          | CUSIP: 31307RD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17869 | PA      | $17145.37      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AH2367                                                                                 | CUSIP: 3138A3TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     520155 | PA      | $502914.17     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 4.15% 03/28/2027                                                           | CUSIP: 91087BAC4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     275000 | PA      | $269912.50     | 0.00%             | 2027-03-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC                                                                    | WELLTOWER INC 2.75% 01/15/2031                                                                          | CUSIP: 95040QAL8<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    6560000 | PA      | $5321319.28    | 0.01%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 2.65% 08/15/2030                                                                                | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1925000 | PA      | $1579706.09    | 0.00%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 08/01/2028#AU2296                                                                        | CUSIP: 3138X1RS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312736 | PA      | $299503.39     | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #779846                                                                                | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12812 | PA      | $12378.21      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL1 LLC                                                               | PRPM 2021-RPL1 LLC 1.484% 07/25/2051 144A                                                               | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1908469 | PA      | $1693220.48    | 0.00%             | 2051-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2049#MA3871                                                                          | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     853581 | PA      | $765868.78     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                    | SOUTHERN CALIFORNIA EDISON CO 3.9% 12/01/2041                                                           | CUSIP: 842400FT5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     395000 | PA      | $299853.56     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                                | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                              | CUSIP: 61771LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1495000 | PA      | $1301824.32    | 0.00%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                      | WORKDAY INC 3.5% 04/01/2027                                                                             | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     405000 | PA      | $382870.35     | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 2.55% 12/01/2033                                                                           | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    6858000 | PA      | $5387720.72    | 0.01%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B24 MTG TR                                                        | BENCHMARK 2021-B24 MTG TR 2.2638% 03/15/2054                                                            | CUSIP: 08163CBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17600000 | PA      | $14479421.44   | 0.03%             | 2054-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                         | PRESIDENT AND FELLOWS OF HARVARD COLLEGE 3.15% 07/15/2046                                               | CUSIP: 740816AM5<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |     315000 | PA      | $243283.56     | 0.00%             | 2046-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 3.65% 03/25/2041                                                                            | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1278000 | PA      | $949688.24     | 0.00%             | 2041-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME RE 2021-1 LTD                                                               | HOME RE 2021-1 LTD M1C 1ML+230 07/25/2033 144A                                                          | CUSIP: 437307AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     745000 | PA      | $718307.47     | 0.00%             | 2033-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 03/01/2052#CB3036                                                                          | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     862475 | PA      | $713258.60     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 09/20/2051#MA7589                                                                          | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29958668 | PA      | $26392238.37   | 0.06%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 4.65% 08/15/2032                                                                       | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    6660000 | PA      | $6308619.33    | 0.01%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 5.93% 05/01/2060                                                                              | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $4111669.86    | 0.01%             | 2060-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2% 02/01/2042#RB5145                                                                          | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     996177 | PA      | $843751.82     | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 03/01/2032#G18636                                                                          | CUSIP: 3128MMV67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     446751 | PA      | $427550.42     | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VALVOLINE INC                                                                    | VALVOLINE INC 3.625% 06/15/2031 144A                                                                    | CUSIP: 92047WAG6<br>LEI: 549300CMHPBEY6VPOT75 | Long             | DBT              | CORP              | US        |     700000 | PA      | $570500.00     | 0.00%             | 2031-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RWE AG                                                                           | RWE AG 2.75% 05/24/2030 REGS                                                                            | CUSIP: N/A<br>LEI: 529900GB7KCA94ACC940       | Long             | DBT              | CORP              | DE        |    1850000 | PA      | $1805549.11    | 0.00%             | 2030-05-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 3.5% 07/15/2051                                                                                 | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $1939668.29    | 0.00%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 08/20/2048#MA5398                                                                            | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4839049 | PA      | $4670090.66    | 0.01%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2046#AU2287                                                                          | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34332 | PA      | $32270.18      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                                          | SBA COMMUNICATIONS CORP 3.875% 02/15/2027                                                               | CUSIP: 78410GAD6<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     400000 | PA      | $369296.98     | 0.00%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC ENERGY GROUP INC FRN 3ML+211.25 05/15/2067                                                          | CUSIP: 976657AH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    1012000 | PA      | $829901.58     | 0.00%             | 2067-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | FISERV INC 3.5% 07/01/2029                                                                              | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    7395000 | PA      | $6669320.59    | 0.01%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 2.25% 06/15/2026                                                                              | CUSIP: 097023BR5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     810000 | PA      | $729970.38     | 0.00%             | 2026-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2047#                                                                              | CUSIP: 3128MJ3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114338 | PA      | $113354.75     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 2.25% 01/15/2023                                                                         | CUSIP: 00914AAD4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    1711000 | PA      | $1703023.80    | 0.00%             | 2023-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL GAME TECHNOLOGY PLC.                                               | INTERNATIONAL GAME TECHNOLOGY PL 6.25% 01/15/2027 144A                                                  | CUSIP: 460599AD5<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $198750.00     | 0.00%             | 2027-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 04/01/2043#AT4017                                                                        | CUSIP: 3138WRPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251237 | PA      | $230091.62     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                            | FX Forward: USD/GBP settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1146.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                              | INTESA SANPAOLO SPA 5.017% 06/26/2024 144A                                                              | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   31005000 | PA      | $29854206.33   | 0.06%             | 2024-06-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 6/40 #743475                                                                                 | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24451 | PA      | $24681.84      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                 | VODAFONE GROUP PLC 4.875%/VAR 10/03/2078 REGS                                                           | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |     600000 | PA      | $679761.00     | 0.00%             | 2078-10-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAP I INC TR 2007 NC3                                         | MSAC 2007-NC3 A2D 1ML+ 26 5/37                                                                          | CUSIP: 61755AAE6<br>LEI: 549300LT6TIGKPKJS707 | Long             | ABS-CBDO         | CORP              | US        |    2174314 | PA      | $1494870.21    | 0.00%             | 2037-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 2.015/VAR 02/13/2026                                                        | CUSIP: 06051GHY8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1554000 | PA      | $1440074.64    | 0.00%             | 2026-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 07/01/2033#709252                                                                          | CUSIP: 31401H5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46370 | PA      | $46685.96      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                         | LAMB WESTON HOLDINGS INC 4.875% 05/15/2028 144A                                                         | CUSIP: 513272AC8<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     345000 | PA      | $325200.45     | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 2.219%/VAR 06/09/2026 144A                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    9163000 | PA      | $8415015.06    | 0.02%             | 2026-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2046#BD9690                                                                        | CUSIP: 3140FHXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168180 | PA      | $157820.57     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                | EURO-BOBL FUTURE DEC22 OEZ2                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -36 | NC      | $72206.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                           | DISCOVER FINANCIAL SVS 3.95% 11/06/2024                                                                 | CUSIP: 254709AK4<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    8102000 | PA      | $7880537.58    | 0.02%             | 2024-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 07/01/2043#AU1628                                                                        | CUSIP: 3138X0Y28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281954 | PA      | $258223.49     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 02/01/2041#AE0972                                                                        | CUSIP: 31419BCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57344 | PA      | $58389.94      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                   | EXTENDED STAY AMER TR 2021-ESH 1.38% 07/15/2038 144A                                                    | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2054885 | PA      | $1951850.87    | 0.00%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/50#FM3269                                                                               | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434286 | PA      | $390745.38     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 5.25% 06/15/2035                                                                             | CUSIP: 695114BZ0<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    1320000 | PA      | $1295853.45    | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 2.164%/VAR 02/11/2026                                                            | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7535000 | PA      | $7024985.39    | 0.01%             | 2026-02-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ENCORE CR RECEIVABLES TR                                                         | ENCORE CR RECEIVABLES TR 05-4 M4 1ML+60 01/25/2036                                                      | CUSIP: 29256PAZ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4800000 | PA      | $4507717.44    | 0.01%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/01/2041#AJ1874                                                                        | CUSIP: 3138ATCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308577 | PA      | $290367.63     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALCOA NEDERLAND HOLDING BV                                                       | ALCOA NEDERLAND HOLDING BV 4.125% 03/31/2029 144A                                                       | CUSIP: 013822AG6<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |     110000 | PA      | $96394.10      | 0.00%             | 2029-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE TECH CORP                                                 | WESTINGHOUSE AIR BRAKE TECH CORP 3.45% 11/15/2026                                                       | CUSIP: 960386AL4<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    1490000 | PA      | $1380535.41    | 0.00%             | 2026-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 4% 11/13/2030                                                                        | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     345000 | PA      | $291818.25     | 0.00%             | 2030-11-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | CIGNA CORP 4.375% 10/15/2028                                                                            | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   14599000 | PA      | $14228537.67   | 0.03%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | UNUM GROUP 5.75% 08/15/2042                                                                             | CUSIP: 91529YAJ5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    2238000 | PA      | $1996956.70    | 0.00%             | 2042-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 5.2% 03/01/2047                                                                                 | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    3275000 | PA      | $2833221.13    | 0.01%             | 2047-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 01/42#G60517                                                                             | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     639638 | PA      | $636983.21     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 10/01/2031#G15963                                                                        | CUSIP: 3128MEZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87329 | PA      | $82668.99      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3.5% 12/01/2052 #TBA                                                                          | CUSIP: 01F0326C3<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -13600000 | PA      | $-12461000.00  | -0.03%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INGRAM MICRO INC                                                                 | INGRAM MICRO TERM B 1LN 07/02/2028                                                                      | CUSIP: 45258FAB6<br>LEI: 549300KJMEWPKRQZHX63 | Long             | LON              | CORP              | US        |     321299 | PA      | $316177.26     | 0.00%             | 2028-07-02      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 05/52#MA8044                                                                               | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9656476 | PA      | $8976274.15    | 0.02%             | 2052-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#QD3433                                                                          | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311644 | PA      | $257823.89     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 02/01/2051#MA4255                                                                          | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2596162 | PA      | $2144566.32    | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AR3062                                                                          | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48578 | PA      | $45660.87      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #719230                                                                                 | CUSIP: 3620A5A74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41086 | PA      | $40695.81      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                                           | ATHENAHEALTH TERM B 1LN 02/15/2029                                                                      | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |    1342541 | PA      | $1223054.47    | 0.00%             | 2029-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTRAL PARENT INC/CENTRAL MERGER SUB INC                                        | CENTRAL PARENT INC/CENTRAL MERGER SUB INC 7.25% 06/15/2029 144A                                         | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     135000 | PA      | $130274.27     | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042 144A                                                          | CUSIP: 21871XAJ8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     701000 | PA      | $573928.45     | 0.00%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 11/15/41                                                                                        | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     850000 | PA      | $389787.05     | 0.00%             | 2041-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 5.00% 6/24 #995957                                                                            | CUSIP: 31416CME3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3997 | PA      | $3980.29       | 0.00%             | 2024-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV                                      | NYC TFA (PIT) 3.14% 8/1/2028                                                                            | CUSIP: 64971XBN7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2735000 | PA      | $2487899.31    | 0.01%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                        | LINCOLN NATIONAL CORP IND 4.35% 03/01/2048                                                              | CUSIP: 534187BG3<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |     165000 | PA      | $126053.66     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PAC PPTYS LP 3.25% 01/15/2030                                                                    | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    1775000 | PA      | $1390308.58    | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL NL B.V.                                          | GSK CONSUMER HEALTHCARE CAPITAL NL B.V. 2.125% 03/29/2034 REGS                                          | CUSIP: N/A<br>LEI: 549300RXQZBOJONY3Q97       | Long             | DBT              | CORP              | US        |     700000 | PA      | $621428.21     | 0.00%             | 2034-03-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 10/42 #Q12211                                                                                | CUSIP: 3132HNN47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21248 | PA      | $19944.66      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 7.5% 03/15/2027                                                                           | CUSIP: 893647BH9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      40000 | PA      | $40100.00      | 0.00%             | 2027-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2049                                                          | CUSIP: 3137FRHM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2363633 | PA      | $1969872.22    | 0.00%             | 2049-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK43                                                                  | BANK 2022-BNK43 4.399% 08/15/2055                                                                       | CUSIP: 06541QAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4264173.00    | 0.01%             | 2055-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 03/20/45#MA2677                                                                            | CUSIP: 36179Q6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170177 | PA      | $156668.24     | 0.00%             | 2045-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | DIAMONDBACK ENERGY INC 3.25% 12/01/2026                                                                 | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4217904.00    | 0.01%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 04/01/2051#QC0204                                                                        | CUSIP: 3133AJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5213243 | PA      | $4498548.17    | 0.01%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRANSUNION LLC                                                                   | TRANSUNION TERM B-5 1LN 11/16/2026                                                                      | CUSIP: 89334GAX2<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |     690952 | PA      | $671826.29     | 0.00%             | 2026-11-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.0% 08/01/2028#AS0294                                                                        | CUSIP: 3138W9KG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151491 | PA      | $146180.01     | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 08/01/2044#Q28059                                                                        | CUSIP: 3132M8TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14164 | PA      | $13795.00      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 4/40 #A91937                                                                                 | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25049 | PA      | $25529.88      | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                       | TENNESSEE VALLEY AUTHORITY 1.5% 09/15/2031                                                              | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |     780000 | PA      | $625370.86     | 0.00%             | 2031-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                      | BAYC 2007-2 A2 1ML+32 7/37                                                                              | CUSIP: 07325XAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61458 | PA      | $52661.48      | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/01/2050#CA5689                                                                          | CUSIP: 3140QDKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7153460 | PA      | $6445212.72    | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 1.5% 11/01/2051#BU3784                                                                        | CUSIP: 3140M5F26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45382 | PA      | $35287.56      | 0.00%             | 2051-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/40 #AE8956                                                                                | CUSIP: 31419K5S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22633 | PA      | $22514.11      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                       | HILCORP ENERGY I LP/FIN CO 6.25% 04/15/2032 144A                                                        | CUSIP: 431318AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     950000 | PA      | $871625.00     | 0.00%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                                       | HASBRO INC 3% 11/19/2024                                                                                | CUSIP: 418056AX5<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    5655000 | PA      | $5410966.00    | 0.01%             | 2024-11-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SPDR NYSE TECHNOLOGY ETF                                                         | SPDR Portfolio Long Term Treasury ETF                                                                   | CUSIP: 78464A664<br>LEI: 549300PS44ZVKSLTMI64 | Long             | EC               | RF                | US        |   13249417 | NS      | $395495097.45  | 0.84%             |  |  |  | No            |                  1 | On Loan: —       |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 11/01/2051#CB2048                                                                        | CUSIP: 3140QMH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7258837 | PA      | $6233083.42    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | ABBVIE INC 4.55% 03/15/2035                                                                             | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     400000 | PA      | $380475.85     | 0.00%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                     | ROCKIES EXPRESS PIPELINE LLC 4.8% 05/15/2030 144A                                                       | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    1331000 | PA      | $1132055.71    | 0.00%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 1/40 #723623                                                                                 | CUSIP: 3620A94G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22432 | PA      | $22203.78      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                             | LIFE 2021-BMR MTG TR 1ML+70 03/15/2038 144A                                                             | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9466986 | PA      | $9098920.47    | 0.02%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 5.75% 01/15/2030 144A                                                                  | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $681000.00     | 0.00%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 02/01/2042#FS0617                                                                          | CUSIP: 3140XFVK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     639675 | PA      | $541798.76     | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.5% 08/01/2034#CA4087                                                                        | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1017252 | PA      | $985194.18     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                            | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                             | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1890000 | PA      | $1775605.29    | 0.00%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B 1ML+92.21 10/15/2036 144A                                       | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1201000 | PA      | $1127809.62    | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2018-3PCK                                           | GS MORTGAGE SECURITIES TRUST 2018-3PCK A 1ML+145 09/15/2021 144A                                        | CUSIP: 36255YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9403723 | PA      | $9219404.61    | 0.02%             | 2031-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 05/01/2044#AS9099                                                                          | CUSIP: 3138WKDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86268 | PA      | $87270.63      | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                      | MATCH GROUP HLD II LLC 4.125% 08/01/2030 144A                                                           | CUSIP: 57665RAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      70000 | PA      | $58450.00      | 0.00%             | 2030-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL GAME TECHNOLOGY PLC.                                               | INTERNATIONAL GAME TECHNOLOGY PL 6.5% 02/15/2025 144A                                                   | CUSIP: 460599AC7<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $603085.50     | 0.00%             | 2025-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THOMAS JEFFERSON UNIVERSITY                                                      | THOMAS JEFFERSON UNIVERSITY 3.847% 11/01/2057                                                           | CUSIP: 88444NAS7<br>LEI: DB1TWPCZX5RK7VR27A68 | Long             | DBT              | CORP              | US        |    2575000 | PA      | $1876529.96    | 0.00%             | 2057-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                                            | CELLNEX FINANCE CO SA 1% 09/15/2027 REGS                                                                | CUSIP: N/A<br>LEI: 549300OUROMFTRFA7T23       | Long             | DBT              | CORP              | ES        |    1600000 | PA      | $1410008.00    | 0.00%             | 2027-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3ML+109 10/01/2025                                                          | CUSIP: 06051GGT0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     746000 | PA      | $711794.99     | 0.00%             | 2025-10-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 10/45#Q36614                                                                             | CUSIP: 3132QTK47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9469 | PA      | $8920.23       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 12/40 #A95831                                                                                | CUSIP: 312944PQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     594518 | PA      | $592045.77     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 01/01/2052#CB2662                                                                          | CUSIP: 3140QM5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321624 | PA      | $285559.44     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 06/01/2050#RA2677                                                                          | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3879880 | PA      | $3225597.05    | 0.01%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/01/2042#Q11868                                                                        | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20273 | PA      | $19654.42      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 08/01/2034#C91778                                                                        | CUSIP: 3128P76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242227 | PA      | $233870.71     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOPHIA LP                                                                        | ELLUCIAN TERM B 1LN 10/07/2027                                                                          | CUSIP: 83578BAN3<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |     264963 | PA      | $254960.78     | 0.00%             | 2027-10-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                         | QATAR ST 4.5% 04/23/2028 REGS                                                                           | CUSIP: N/A<br>LEI: 52990074F6OJOAXK4P65       | Long             | DBT              | NUSS              | QA        |    1400000 | PA      | $1403500.00    | 0.00%             | 2028-04-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                              | UNITED AIRLINES INC 4.625% 04/15/2029 144A                                                              | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     370000 | PA      | $329380.30     | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 09/01/2051#CB1549                                                                        | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6002521 | PA      | $5172118.63    | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PITNEY-BOWES INC                                                                 | PITNEY-BOWES INC 7.25% 03/15/2029 144A                                                                  | CUSIP: 724479AQ3<br>LEI: 549300N2O26NW4ST6W55 | Long             | DBT              | CORP              | US        |     110000 | PA      | $79200.00      | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 1.5% 06/01/2051#CB0788                                                                        | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673089 | PA      | $524008.58     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 07/20/2047#MA4586                                                                          | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3251417 | PA      | $3063283.86    | 0.01%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC                                                     | BRITISH AMERICAN TOBACCO PLC 3%/VAR PERP REGS                                                           | CUSIP: N/A<br>LEI: 213800FKA5MF17RJKT63       | Long             | EP               | CORP              | GB        |    2900000 | PA      | $2420710.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DANAHER CORP                                                                     | DANAHER CORP 2.8% 12/10/2051                                                                            | CUSIP: 235851AW2<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | DBT              | CORP              | US        |     965000 | PA      | $664513.10     | 0.00%             | 2051-12-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 4.125% 05/15/2045                                                                           | CUSIP: 68389XBF1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3770000 | PA      | $2878575.55    | 0.01%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                         | ALTICE FRANCE HOLDING SA 8% 05/15/2027 REGS                                                             | CUSIP: N/A<br>LEI: 5299000JVHXKJPOE6H40       | Long             | DBT              | CORP              | LU        |    4800000 | PA      | $3792512.48    | 0.01%             | 2027-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 06/20/2045#MA2893                                                                          | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4934936 | PA      | $4825858.06    | 0.01%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/42#AB5501                                                                             | CUSIP: 31417CDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12925 | PA      | $12132.73      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/01/2045#AZ4775                                                                        | CUSIP: 3138YWJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1365776 | PA      | $1268843.06    | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2019-1                                                            | TOWD PT MTG TR 2019-1 3.75% 03/25/2058 144A                                                             | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1311860 | PA      | $1213983.20    | 0.00%             | 2058-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                             | FRONTIER COMMUNICATIONS HOLDINGS LLC 5.875% 10/15/2027 144A                                             | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      95000 | PA      | $90394.40      | 0.00%             | 2027-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                                              | VIRGIN MONEY UK PLC 5.125/VAR 12/11/2030 REGS                                                           | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |     600000 | PA      | $667432.74     | 0.00%             | 2030-12-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC 4.375% 03/22/2028                                                              | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    1365000 | PA      | $1282664.39    | 0.00%             | 2028-03-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | COINBASE GLOBAL INC 3.375% 10/01/2028 144A                                                              | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |     285000 | PA      | $166576.80     | 0.00%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPORTUN FDG XIV LLC                                                              | OPORTUN FDG XIV LLC 21-A B 1.76% 03/08/2028 144A                                                        | CUSIP: 68377BAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $365529.48     | 0.00%             | 2028-03-08      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2046#BD1238                                                                        | CUSIP: 3140F8LU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43756 | PA      | $43612.92      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2% 12/01/2052 #TBA                                                                            | CUSIP: 01F0206C8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -332950000 | PA      | $-273830565.63 | -0.58%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                          | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                                | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |    2533000 | PA      | $2636634.96    | 0.01%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/48#BK1867                                                                               | CUSIP: 3140HFCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10515 | PA      | $10159.55      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 08/45#MA3033                                                                               | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     336619 | PA      | $309686.75     | 0.00%             | 2045-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/01/2040#AD9214                                                                        | CUSIP: 31418XGY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39668 | PA      | $40387.29      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 2/42 #778862                                                                                 | CUSIP: 36176XB73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80111 | PA      | $75529.54      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XIV LTD                                                            | JAMESTOWN CLO XIV LTD 3ML+120 10/20/2034 144A                                                           | CUSIP: 47048XAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13000000 | PA      | $12607686.00   | 0.03%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS HEALTH CORP 4.78% 03/25/2038                                                                        | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1320000 | PA      | $1219931.99    | 0.00%             | 2038-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                           | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                            | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12846000 | PA      | $10898907.12   | 0.02%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 03/01/2052#BU8883                                                                          | CUSIP: 3140MA2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1428365 | PA      | $1265966.49    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                | BLACKSTONE PROP PARTNERS EUR HOLD 2.625% 10/20/2028 REGS                                                | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |     350000 | PA      | $326465.95     | 0.00%             | 2028-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/01/2039#AW9574                                                                          | CUSIP: 3138XZT84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66311 | PA      | $64919.67      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 02/47#MA4261                                                                                 | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     571557 | PA      | $523863.79     | 0.00%             | 2047-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC                                       | NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC 5% 01/27/2030 144A                                           | CUSIP: 67052NAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |     280000 | PA      | $239750.00     | 0.00%             | 2030-01-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKROCK RAINIER CLO VI LTD / BLACKROCK RAINIER CLO VI LLC                      | BLACKROCK RAINIER CLO VI LTD / BLACKROCK RAINIER CLO VI LLC 3ML+170 04/20/2033 144A                     | CUSIP: 09261MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8500000 | PA      | $8094099.50    | 0.02%             | 2033-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                        | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     646441 | PA      | $609000.09     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 08/01/2033#730817                                                                          | CUSIP: 31402J4A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13067 | PA      | $13147.34      | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2046#Q40046                                                                        | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999939 | PA      | $1882230.69    | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS                    | GOVERNMENT NATL MTG ASN MLFY R 1.34% 06/16/2063                                                         | CUSIP: 38380RRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1786503 | PA      | $1394503.42    | 0.00%             | 2063-06-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2045#Q31974                                                                        | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110711 | PA      | $104367.73     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOOG INC                                                                         | MOOG INC 4.25% 12/15/2027 144A                                                                          | CUSIP: 615394AM5<br>LEI: 549300WM2I4U7OBAHG07 | Long             | DBT              | CORP              | US        |     360000 | PA      | $323100.00     | 0.00%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 6.125% 12/15/2045                                                                    | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2010000 | PA      | $1903673.93    | 0.00%             | 2045-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 4.5% 01/15/2028 144A                                              | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     435000 | PA      | $397990.99     | 0.00%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 09/40#AE4589                                                                             | CUSIP: 31419FC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139707 | PA      | $135053.67     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 06/01/2028#AT7761                                                                        | CUSIP: 3138WVTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158317 | PA      | $151618.15     | 0.00%             | 2028-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                       | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   12288000 | PA      | $10738901.48   | 0.02%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 05/01/2035#SB8045                                                                        | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3104811 | PA      | $2890969.05    | 0.01%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 10/20/2047#MA4779                                                                            | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80384 | PA      | $77803.46      | 0.00%             | 2047-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    6590000 | NC      | $90155.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HYDRO-QUEBEC                                                                     | HYDRO-QUEBEC 8.05% 07/07/2024                                                                           | CUSIP: 448814EJ8<br>LEI: 6THEVG93PYJH84S4D167 | Long             | DBT              | CORP              | CA        |    1455000 | PA      | $1525436.55    | 0.00%             | 2024-07-07      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK CORPORATE MARKETS PLC                                                | LLOYDS BANK CORPORATE MARKETS PLC 1.5% 06/23/2023 REGS                                                  | CUSIP: N/A<br>LEI: 213800MBWEIJDM5CU638       | Long             | DBT              | CORP              | GB        |     260000 | PA      | $307608.49     | 0.00%             | 2023-06-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2044#AW5423                                                                        | CUSIP: 3138XVAZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33213 | PA      | $33218.84      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 02/01/2052#                                                                              | CUSIP: 31418EBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7554345 | PA      | $6934384.46    | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 1.167% 02/04/2023                                                                             | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3969817.60    | 0.01%             | 2023-02-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AUTOZONE INC 1.65% 01/15/2031                                                                           | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     505000 | PA      | $391780.65     | 0.00%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                  | ARES LV CLO LTD 2020-55A A1R 3ML+113 07/15/2034 144A                                                    | CUSIP: 04018BAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5889000 | PA      | $5725639.14    | 0.01%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 5.35% 12/01/2053                                                                             | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    1445000 | PA      | $1453580.67    | 0.00%             | 2053-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT CSTR 01/25/2030                                                          | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   60679347 | PA      | $4567656.05    | 0.01%             | 2030-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 3.5% 11/15/2030                                                                        | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   10592000 | PA      | $9373033.56    | 0.02%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 2.8% 04/01/2027                                                                             | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    9449000 | PA      | $8622339.31    | 0.02%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2049#CA4628                                                                          | CUSIP: 3140QCEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4931094 | PA      | $4749433.19    | 0.01%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | CONSTELLATION BRANDS INC 4.4% 11/15/2025                                                                | CUSIP: 21036PBB3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     805000 | PA      | $795991.76     | 0.00%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AS6968                                                                          | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83982 | PA      | $78939.24      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 5.8% 04/01/2047                                                                               | CUSIP: 42809HAH0<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    4517000 | PA      | $4387708.33    | 0.01%             | 2047-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALTHCARE INC                                                          | PIEDMONT HEALTHCARE INC 2.864% 01/01/2052                                                               | CUSIP: 72014TAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1055000 | PA      | $657809.03     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3% 01/01/2053 #TBA                                                                            | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   18000000 | PA      | $15944765.40   | 0.03%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 11/01/2051#BU0986                                                                        | CUSIP: 3140M2CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6370587 | PA      | $5484288.23    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 5/42 #766751                                                                                 | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     173294 | PA      | $163366.81     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 05/01/2046#V82275                                                                          | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259898 | PA      | $236539.71     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                    | METHANEX CORP 5.125% 10/15/2027                                                                         | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |     320000 | PA      | $293600.00     | 0.00%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 11/33 #725027                                                                                | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53605 | PA      | $53977.87      | 0.00%             | 2033-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NYU LANGONE HOSPITALS                                                            | NYU LANGONE HOSPITALS 4.368% 07/01/2047                                                                 | CUSIP: 62952EAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     810000 | PA      | $678158.89     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                            | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10727000 | PA      | $10503361.68   | 0.02%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2020-HB5                                          | CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A                                         | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2648638 | PA      | $2542918.98    | 0.01%             | 2031-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 09/01/2052#SD1572                                                                          | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     494851 | PA      | $498616.95     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS SOFR 3.132%/VAR 01/20/2033 144A                                                             | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3670000 | PA      | $2917001.80    | 0.01%             | 2033-01-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA1                                          | FREDDIE MAC STACR REMIC TRUST 2020-DNA1 B1 1ML+230 01/25/2050 144A                                      | CUSIP: 35565HBD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6600000 | PA      | $6170230.44    | 0.01%             | 2050-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                                               | STEEL DYNAMICS INC 2.4% 06/15/2025                                                                      | CUSIP: 858119BL3<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     790000 | PA      | $739927.30     | 0.00%             | 2025-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 06/20/2052#MA8099                                                                          | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2524072 | PA      | $2345487.26    | 0.00%             | 2052-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 10/39 #710924                                                                                | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39932 | PA      | $40273.89      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 7.39%/VAR 11/03/2028                                                                  | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $524370.94     | 0.00%             | 2028-11-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                     | NEXTERA ENERGY CAP HLDGS INC FRN 3ML+27 02/22/2023                                                      | CUSIP: 65339KBT6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4998890.65    | 0.01%             | 2023-02-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 09/01/2046#MA2737                                                                          | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200386 | PA      | $181954.96     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTUS MIDSTREAM LP                                                               | ALTUS MIDSTREAM LP 5.875% 06/15/2030 144A                                                               | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |     105000 | PA      | $98669.55      | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/48#BK2485                                                                               | CUSIP: 3140HFXP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24679 | PA      | $23837.58      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO I DAC                                                           | INVESCO EURO CLO I DAC 3MEUR+65 07/15/2031 144A                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |   10000000 | PA      | $10050999.29   | 0.02%             | 2031-07-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 06/01/2031#J34501                                                                        | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1071209 | PA      | $1016053.35    | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                                                          | MARATHON PETROLEUM CORP 3.8% 04/01/2028                                                                 | CUSIP: 56585ABD3<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    5590000 | PA      | $5189878.59    | 0.01%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QWEST CORPORATION                                                                | QWEST CORP 7.25% 09/15/2025                                                                             | CUSIP: 912920AK1<br>LEI: 549300R2L4N683OO1509 | Long             | DBT              | CORP              | US        |     203000 | PA      | $201985.00     | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2047#BM2005                                                                          | CUSIP: 3140J6GP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184378 | PA      | $177859.16     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.3% 11/20/2026                                                                           | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2129000 | PA      | $2076850.08    | 0.00%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.2% 08/26/2024                                                             | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2028000 | PA      | $1999581.86    | 0.00%             | 2024-08-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 08/01/2049#QA1997                                                                          | CUSIP: 31334YGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     520617 | PA      | $467445.02     | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CROWN PT CLO 11 LTD / CROWN PT CLO 11 LLC                                        | CROWN PT CLO 11 LTD / CROWN PT CLO 11 LLC 3ML+112 01/17/2034 144A                                       | CUSIP: 22845JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $973989.00     | 0.00%             | 2034-01-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS and RESORTS LP                                                       | HOST HOTELS and RESORTS LP 2.9% 12/15/2031                                                              | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |     740000 | PA      | $575584.40     | 0.00%             | 2031-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 05/01/2043#AT5989                                                                        | CUSIP: 3138WTUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280509 | PA      | $256900.48     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                              | AVANTOR FUNDING INC 3.875% 07/15/2028 REGS                                                              | CUSIP: N/A<br>LEI: 5493003VM0XB4U8YD238       | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2401184.49    | 0.01%             | 2028-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LIMITED                                                           | SANTOS FINANCE LTD 3.649% 04/29/2031 144A                                                               | CUSIP: 803014AA7<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |    4800000 | PA      | $3831535.82    | 0.01%             | 2031-04-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                   | BOMBARDIER INC 6% 02/15/2028 144A                                                                       | CUSIP: 097751BX8<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    3750000 | PA      | $3516337.50    | 0.01%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 1.5% 11/01/2050#MA4181                                                                        | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5127312 | PA      | $3996484.53    | 0.01%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 4.5% 01/15/2025                                                          | CUSIP: 681936BD1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    2793000 | PA      | $2716316.70    | 0.01%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                              | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    8905000 | PA      | $7545177.38    | 0.02%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2048#V83994                                                                          | CUSIP: 3132L9NK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     453809 | PA      | $437317.66     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.50% 11/36 #904131                                                                                | CUSIP: 31411CPQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6887 | PA      | $7154.04       | 0.00%             | 2036-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2046#BC0289                                                                        | CUSIP: 3140EUKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22589 | PA      | $22479.64      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2051#CB2166                                                                          | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1675019 | PA      | $1490334.98    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 06/01/2050#SD7518                                                                          | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6238577 | PA      | $5620909.68    | 0.01%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                         | LAMB WESTON HOLDINGS INC 4.375% 01/31/2032 144A                                                         | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     900000 | PA      | $796608.00     | 0.00%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 7.875% 09/15/2031                                                             | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      40000 | PA      | $43800.00      | 0.00%             | 2031-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MTG TR                                                            | COMM 2014-UBS6 XA CSTR 12/47                                                                            | CUSIP: 12592PBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9203794 | PA      | $117413.72     | 0.00%             | 2047-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 12/01/2052 #TBA                                                                              | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  130200000 | PA      | $110553822.54  | 0.23%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                             | BWX TECHNOLOGIES INC 4.125% 06/30/2028 144A                                                             | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |     200000 | PA      | $178000.00     | 0.00%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 1.217% 12/06/2023                                                         | CUSIP: 38141GZE7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7855000 | PA      | $7571784.99    | 0.02%             | 2023-12-06      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-2                                                                      | PRPM 2021-2 2.115% 03/25/2026 144A                                                                      | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10801315 | PA      | $9795054.37    | 0.02%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2045#AS6304                                                                          | CUSIP: 3138WGAE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     451270 | PA      | $437430.86     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                         | VENTURE GLOBAL CALCASIEU 3.875% 11/01/2033 144A                                                         | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     115000 | PA      | $93523.18      | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 3.137% 11/15/2035 144A                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1763000 | PA      | $1306522.58    | 0.00%             | 2035-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DYCOM INDUSTRIES INC                                                             | DYCOM INDUSTRIES INC 4.5% 04/15/2029 144A                                                               | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |     165000 | PA      | $141708.60     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP INC                                                  | COGENT COMMUNICATIONS GROUP INC 7% 06/15/2027 144A                                                      | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |     255000 | PA      | $248625.00     | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 04/01/2051#                                                                              | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18494955 | PA      | $15895864.49   | 0.03%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 4% 07/01/2037#MA4713                                                                          | CUSIP: 31418EGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4913011 | PA      | $4812483.76    | 0.01%             | 2037-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                       | TOLL BROS FIN CORP 4.875% 03/15/2027                                                                    | CUSIP: 88947EAS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7917000 | PA      | $7417754.85    | 0.02%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2015-70 JC 3% 10/45                                                                                 | CUSIP: 3136AQCV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     468265 | PA      | $443414.61     | 0.00%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 07/01/2040#MA4071                                                                          | CUSIP: 31418DQZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     687005 | PA      | $591976.46     | 0.00%             | 2040-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ERAC USA FIN LLC                                                                 | ERAC USA FIN LLC 3.3% 12/01/2026 144A                                                                   | CUSIP: 26884TAR3<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    8865000 | PA      | $8212796.99    | 0.02%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B26 MTG TR                                                        | BENCHMARK 2021-B26 A4 2.295% 06/15/2054                                                                 | CUSIP: 08163EBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8800000 | PA      | $7242343.68    | 0.02%             | 2054-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDGS S A                                                       | INTELSAT JACKSON HLDGS SA CVR SER A RT                                                                  | CUSIP: N/A<br>LEI: 8XJ8KF85PBKK1TLMFN29       | Long             | EC               | CORP              | LU        |       7920 | NS      | $69458.40      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| MSC 2021-L6                                                                      | MSC 2021-L6 XA 1.35631% 06/15/2054                                                                      | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12544676 | PA      | $807182.15     | 0.00%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 08/01/2046#Q43328                                                                        | CUSIP: 3132WGVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43007 | PA      | $40422.11      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 09/01/2042#AO7372                                                                        | CUSIP: 3138LYFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67678 | PA      | $63574.54      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 03/01/2048#MA3332                                                                        | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     804248 | PA      | $749933.13     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2021                                                              | GS MTG SECS TR 2021-RENT C 1ML+155 11/21/2023 144A                                                      | CUSIP: 36260XAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3488852 | PA      | $3281991.01    | 0.01%             | 2035-11-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KENNEDY-WILSON INC                                                               | KENNEDY-WILSON INC 4.75% 02/01/2030                                                                     | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |     225000 | PA      | $178312.50     | 0.00%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY CORP                                                                | KIMCO REALTY CORP 3.2% 04/01/2032                                                                       | CUSIP: 49446RAZ2<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $1121864.16    | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | ONEMAIN FINANCE CORP 3.875% 09/15/2028                                                                  | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     850000 | PA      | $674390.00     | 0.00%             | 2028-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                           | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6135000 | PA      | $4034481.46    | 0.01%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 09/01/2049#CA4106                                                                          | CUSIP: 3140QBR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511905 | PA      | $463302.09     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 01/01/2043#C09022                                                                        | CUSIP: 31292SAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326744 | PA      | $299624.30     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/01/2046#AS7155                                                                          | CUSIP: 3138WG5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     646015 | PA      | $587403.95     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| QATAR PETROLEUM                                                                  | QATAR PETROLEUM 1.375% 09/12/2026 144A                                                                  | CUSIP: 74730DAB9<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    1000000 | PA      | $884960.00     | 0.00%             | 2026-09-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/01/2052#MA4644                                                                          | CUSIP: 31418EES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17126100 | PA      | $16219555.89   | 0.03%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                             | PINE STR TR II 5.568% 02/15/2049 144A                                                                   | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7800000 | PA      | $6987151.24    | 0.01%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                   | EXTENDED STAY AMER TR 2021-ESH C 1ML+170 07/15/2038 144A                                                | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1515050 | PA      | $1439085.55    | 0.00%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | FX Forward: GBP/USD settle 2022-12-02                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $184923.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                                      | TCW IRS 2YR/30YR 1.7725% 07/24/53                                                                       | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    4960000 | NC      | $1415028.90    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AUTOZONE INC 4% 04/15/2030                                                                              | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    6924000 | PA      | $6474723.73    | 0.01%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILIAD SA                                                                         | ILIAD SA 1.5% 10/14/2024 REGS                                                                           | CUSIP: N/A<br>LEI: 969500FZ9BTRZS3JNB97       | Long             | DBT              | CORP              | FR        |    3100000 | PA      | $3068599.32    | 0.01%             | 2024-10-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 3.125% 04/15/2031                                                                  | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $148000.00     | 0.00%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 0.75% 03/31/2026                                                                              | CUSIP: 91282CBT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   71770000 | PA      | $64539733.02   | 0.14%             | 2026-03-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-IMC D 1ML+185 04/15/2034 144A                                                             | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3099000 | PA      | $2891006.28    | 0.01%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAM (CARTER) CO                                                              | WILLIAM (CARTER) CO 5.625% 03/15/2027 144A                                                              | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |     875000 | PA      | $839118.99     | 0.00%             | 2027-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/01/46#BC1443                                                                            | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1874447 | PA      | $1829263.14    | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 1.922%/VAR 10/24/2031                                                       | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5730000 | PA      | $4438206.57    | 0.01%             | 2031-10-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2052#BT2347                                                                        | CUSIP: 3140LQTD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3688764 | PA      | $3387480.07    | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLATFELTER CORP                                                                  | GLATFELTER CORP 4.75% 11/15/2029 144A                                                                   | CUSIP: 377320AA4<br>LEI: 549300LDQLQBT38QDY28 | Long             | DBT              | CORP              | US        |      90000 | PA      | $58725.00      | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                                              | WHITBREAD GROUP PLC 2.375% 05/31/2027 REGS                                                              | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |    1320000 | PA      | $1342022.64    | 0.00%             | 2027-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BALBOA BAY LOAN FUNDING 2020-1 LTD                                               | BALBOA BAY LOAN FUNDING 2020-1 LTD 3ML+112 01/20/2032 144A                                              | CUSIP: 05766BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $9790440.00    | 0.02%             | 2032-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNATIONAL HOLDINGS LTD             | DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNATIONAL HOLDINGS LTD 8.75% 05/25/2024 144A              | CUSIP: 25381VAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     400000 | PA      | $349500.00     | 0.00%             | 2024-05-25      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                              | MEDLINE BORROWER LP 5.25% 10/01/2029 144A                                                               | CUSIP: 62482BAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     425000 | PA      | $346375.00     | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 07/01/2050#                                                                                | CUSIP: 3140XFTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3896199 | PA      | $3494616.65    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LN TR 2007-OH3                                                       | ALTERNATIVE LN TR 2007-OH3 STEP 09/25/2047                                                              | CUSIP: 02151DAD6<br>LEI: 549300TXT201GGLA0F48 | Long             | ABS-CBDO         | CORP              | US        |    1899360 | PA      | $1695090.41    | 0.00%             | 2047-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                      | PACIFIC GAS and ELECTRIC CO 4.95% 07/01/2050                                                            | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     785000 | PA      | $628434.02     | 0.00%             | 2050-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | ROYAL BK SCOTLND GRP PLC(UNGTD) 3.622%/VAR 08/14/2030 REGS                                              | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    1900000 | PA      | $2098729.44    | 0.00%             | 2030-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                                                   | JOHN LEWIS PLC 6.125% 01/21/2025                                                                        | CUSIP: N/A<br>LEI: 213800JSUFNZLZLCVJ25       | Long             | DBT              | CORP              | GB        |    1616000 | PA      | $1868756.06    | 0.00%             | 2025-01-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 04/01/2051#SD8141                                                                        | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19104606 | PA      | $16419841.07   | 0.03%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2047#Q51803                                                                        | CUSIP: 3132XUAD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     520267 | PA      | $484118.17     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BVEBO 2022-3 A                                                                   | BVEBO 2022-3 A 3.242% 05/29/2052 144A                                                                   | CUSIP: 51236JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9670613 | PA      | $9538659.78    | 0.02%             | 2052-05-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                     | SM ENERGY CO 6.625% 01/15/2027                                                                          | CUSIP: 78454LAP5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     300000 | PA      | $294000.00     | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA/LUXEMBOURG                                                           | INTELSAT SA/LUXEMBOURG                                                                                  | CUSIP: N/A<br>LEI: 549300YV2L21F4K80V46       | Long             | EC               | CORP              | LU        |      75636 | NS      | $3652462.44    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF 1ML+65 05/20/2061                                              | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       4854 | PA      | $4792.80       | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 08/01/2052#SD8236                                                                        | CUSIP: 3132DWEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5504164 | PA      | $5048585.84    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                                                          | VEOLIA ENVIRONNEMENT SA 2%/VAR PERP REGS                                                                | CUSIP: N/A<br>LEI: 969500LENY69X51OOT31       | Long             | EP               | CORP              | FR        |    1300000 | PA      | $1105897.65    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE23 MORTGAGE TRUST                                                  | COMM 2015-CCRE23 MTG TR 3.23% 05/10/2048                                                                | CUSIP: 12593AAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2208176 | PA      | $2103430.50    | 0.00%             | 2048-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 10/20/44#MA2305                                                                            | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     764323 | PA      | $768520.55     | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.5% 11/01/2052#CB5139                                                                        | CUSIP: 3140QQV93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5499343 | PA      | $5573083.14    | 0.01%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 4.75% 11/24/2025 144A                                                           | CUSIP: 83367TBR9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     830000 | PA      | $790565.24     | 0.00%             | 2025-11-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR                                                              | CITIGROUP MTG LN TR 6% 11/25/2035                                                                       | CUSIP: 17307GL71<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1227904 | PA      | $1106230.76    | 0.00%             | 2035-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO                                                                   | ORGANON TERM B 1LN 06/02/2028                                                                           | CUSIP: 68621XAE3<br>LEI: 549300AMCKY57OK2CO56 | Long             | LON              | CORP              | US        |    1283873 | PA      | $1269750.53    | 0.00%             | 2028-06-02      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 3.85% 04/01/2027                                                            | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1648069.06    | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT SECURITIES BV                                                                 | AT SECURITIES BV 5.25%/VAR PERP REGS                                                                    | CUSIP: N/A<br>LEI: 894500FVP65TB5QVZL54       | Long             | EP               | CORP              | NL        |    2750000 | PA      | $1523500.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                          | WESTERN GAS PARTNERS LP 3.95% 06/01/2025                                                                | CUSIP: 958254AE4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    1126000 | PA      | $1078145.00    | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 7.75% 09/01/2024 144A                                                                | CUSIP: 903724AP7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    2800000 | PA      | $760900.00     | 0.00%             | 2024-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2% 02/15/2050                                                               | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16780000 | PA      | $11462182.07   | 0.02%             | 2050-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.875% 12/01/2024                                                                               | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    2489000 | PA      | $2467522.67    | 0.01%             | 2024-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                        | MILLICOM INTL CELLULAR SA 4.5% 04/27/2031 144A                                                          | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $163575.00     | 0.00%             | 2031-04-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 05/48#BM3904                                                                               | CUSIP: 3140J8KS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207992 | PA      | $209899.62     | 0.00%             | 2048-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 11/41 #AB3867                                                                                | CUSIP: 31417AJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3683 | PA      | $3460.70       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2046#BC9096                                                                        | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493094 | PA      | $461950.07     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 5.00% 9/25 #AE0552                                                                            | CUSIP: 31419ATJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12139 | PA      | $12076.30      | 0.00%             | 2025-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA ASAHAN ALUMINIUM TBK PT                                                | INDONESIA ASAHAN ALUMINIUM TBK PT 4.75% 05/15/2025 REGS                                                 | CUSIP: N/A<br>LEI: 2549008P48EB9SN2OI80       | Long             | DBT              | CORP              | ID        |     800000 | PA      | $782088.00     | 0.00%             | 2025-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                          | MNGT SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    2510000 | NC      | $34338.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                  | ROLLS-ROYCE PLC 3.375% 06/18/2026                                                                       | CUSIP: N/A<br>LEI: X57JK1U580XATGR67572       | Long             | DBT              | CORP              | GB        |    1085000 | PA      | $1114811.05    | 0.00%             | 2026-06-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RADIATE HOLDCO LLC / RADIATE FIN INC                                             | RADIATE HOLDCO LLC / RADIATE FIN INC 4.5% 09/15/2026 144A                                               | CUSIP: 75026JAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     345000 | PA      | $282106.50     | 0.00%             | 2026-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.65% 07/30/2045                                                                          | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     350000 | PA      | $310370.12     | 0.00%             | 2045-07-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO VII LTD / TRALEE CLO VII LLC                                          | TRALEE CLO VII LTD / TRALEE CLO VII LLC 3ML+132 04/25/2034 144A                                         | CUSIP: 89288CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12000000 | PA      | $11649900.00   | 0.02%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 12/01/2051#RA6434                                                                        | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3928410 | PA      | $3372055.20    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ICON LUXEMBOURG SARL                                                             | ICON TERM B 1LN 07/03/2028                                                                              | CUSIP: N/A<br>LEI: 635400PUWMHSPI2DDA35       | Long             | LON              | CORP              | LU        |     302224 | PA      | $300540.51     | 0.00%             | 2028-07-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 3/41 #A97661                                                                                 | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150264 | PA      | $149638.36     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | ABBVIE INC 4.4% 11/06/2042                                                                              | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    3405000 | PA      | $3041342.56    | 0.01%             | 2042-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 4% 11/01/2037#SB8189                                                                          | CUSIP: 3132D6C24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7891272 | PA      | $7727339.55    | 0.02%             | 2037-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.5% 04/15/2038                                                                                 | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1125000 | PA      | $964806.54     | 0.00%             | 2038-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 1/41 #004922                                                                              | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2936796 | PA      | $2843724.41    | 0.01%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD WEC HOLDINGS INC                                                      | WESTINGHOUSE TERM 1LN 08/01/2025                                                                        | CUSIP: 11284EAP8<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |     100000 | PA      | $99219.00      | 0.00%             | 2025-08-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 09/01/2048#Q58491                                                                        | CUSIP: 3132Y2NH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119564 | PA      | $111713.91     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 04/01/2048#ZM6138                                                                        | CUSIP: 3131Y0ZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68278 | PA      | $66915.22      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 2.797%/VAR 01/19/2028 144A                                                      | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    1835000 | PA      | $1591832.66    | 0.00%             | 2028-01-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C26                                 | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C26 3.252% 11/15/2048                                      | CUSIP: 61690VAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $3052780.80    | 0.01%             | 2048-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 06/01/2043#G07425                                                                          | CUSIP: 3128M9SN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270856 | PA      | $263975.68     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 11/01/2052#SD1862                                                                          | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     700142 | PA      | $707658.58     | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GRAND CITY PROPERTIES SA                                                         | GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS                                                             | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | EP               | CORP              | LU        |    2400000 | PA      | $1099073.39    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 08/01/2052#RA7749                                                                        | CUSIP: 3133KPTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2999999 | PA      | $2751689.41    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 4.28% 08/14/2041                                                           | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     400000 | PA      | $322825.00     | 0.00%             | 2041-08-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 09/01/2042#AP5143                                                                        | CUSIP: 3138M8WD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177483 | PA      | $161123.05     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 08/01/2042#Q10047                                                                        | CUSIP: 3132HLBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422102 | PA      | $396526.03     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 2.357/VAR 08/18/2031                                                                  | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     818000 | PA      | $624178.25     | 0.00%             | 2031-08-18      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 12/01/42 #AB7276                                                                         | CUSIP: 31417ECN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368691 | PA      | $337775.58     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2021-1 LTD                                                         | BELLEMEADE RE 2021-1 LTD SOFR30A+295 03/25/2031 144A                                                    | CUSIP: 07876MAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2140000 | PA      | $2035175.10    | 0.00%             | 2031-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                             | EMIRATE OF ABU DHABI 2.5% 09/30/2029 REGS                                                               | CUSIP: N/A<br>LEI: 213800FER4348CINTA77       | Long             | DBT              | NUSS              | AE        |    1200000 | PA      | $1076850.00    | 0.00%             | 2029-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2046#BC5795                                                                        | CUSIP: 3140F1NM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123842 | PA      | $123165.69     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME RE 2021-2 LTD                                                               | HOME RE 2021-2 M1B LTD SOFR30A+160 01/25/2034 144A                                                      | CUSIP: 43730VAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     665000 | PA      | $647402.11     | 0.00%             | 2034-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2046#BD2680                                                                        | CUSIP: 3140F96S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410061 | PA      | $407821.12     | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNR 2015-H13 HA 2.5% 08/64                                                                              | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       6660 | PA      | $6251.75       | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                                      | MSC 2021-L6 A3 2.196% 06/15/2054                                                                        | CUSIP: 61692CAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $5518969.40    | 0.01%             | 2054-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEW YORK and PRESBYTERIAN HOSP                                                   | NEW YORK and PRESBYTERIAN HOSP 4.024% 08/01/2045                                                        | CUSIP: 649322AA2<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |     600000 | PA      | $504220.68     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2021                                                              | GS MTG SECS TR 2021 1ML+185 11/21/2023 144A                                                             | CUSIP: 36260XAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2152696 | PA      | $2021742.70    | 0.00%             | 2035-11-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                     | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                                 | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3237821 | PA      | $2636233.48    | 0.01%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028                                                       | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8640000 | PA      | $7878411.73    | 0.02%             | 2028-12-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SEASPAN CORPORATION                                                              | SEASPAN CORPORATION 5.5% 08/01/2029 144A                                                                | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |     115000 | PA      | $88533.90      | 0.00%             | 2029-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.75% 08/15/2032                                                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45800000 | PA      | $42422250.00   | 0.09%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2045#BA3565                                                                          | CUSIP: 3140E76B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225654 | PA      | $218733.39     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERVICE CO                                                   | SOUTHWESTERN PUBLIC SERVICE CO 5.15% 06/01/2052                                                         | CUSIP: 845743BW2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2740399.74    | 0.01%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                                                             | KAISER ALUMINUM CORP 4.625% 03/01/2028 144A                                                             | CUSIP: 483007AJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     415000 | PA      | $364955.15     | 0.00%             | 2028-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CNX MIDSTREAM PARTNERS LP                                                        | CNX MIDSTREAM PARTNERS LP 4.75% 04/15/2030 144A                                                         | CUSIP: 12654AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      45000 | PA      | $37529.71      | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 9/41 #772063                                                                                 | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162567 | PA      | $157024.40     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                            | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                                  | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    3734000 | PA      | $3547498.05    | 0.01%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 2.9% 02/16/2028                                                                      | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     275000 | PA      | $229618.29     | 0.00%             | 2028-02-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 04/01/2052#                                                                                | CUSIP: 3132DWDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11138840 | PA      | $9872407.25    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AASET 2018-1 TR                                                                  | AASET 2018-1A A 3.844% 1/38 144A                                                                        | CUSIP: 000367AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2443785 | PA      | $1479880.77    | 0.00%             | 2038-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3% 01/01/2037#C91908                                                                          | CUSIP: 3128P8DM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1395481 | PA      | $1320202.76    | 0.00%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL2 TR                                                                | CSMC 2020-RPL2 TR VAR 02/25/2060 144A                                                                   | CUSIP: 22946BAP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     610159 | PA      | $600945.18     | 0.00%             | 2060-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/01/2039#AL7550                                                                        | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1078234 | PA      | $1086324.30    | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LTD                                                              | SA GLOBAL SUKUK LTD 1.602% 06/17/2026 REGS                                                              | CUSIP: N/A<br>LEI: 5493007DFAVKU7UOGR47       | Long             | DBT              | CORP              | KY        |     200000 | PA      | $179000.00     | 0.00%             | 2026-06-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2042#AJ2880                                                                        | CUSIP: 3138AUFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12790 | PA      | $12827.76      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2041#AJ2399                                                                        | CUSIP: 3138ATUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26661 | PA      | $26740.34      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIA OUTLETS                                                                      | VIA OUTLETS 1.75% 11/15/2028 REGS                                                                       | CUSIP: N/A<br>LEI: 2594009AT1MND8D7E216       | Long             | DBT              | CORP              | NL        |     700000 | PA      | $559952.48     | 0.00%             | 2028-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 2.6% 02/15/2033 144A                                                                       | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   14104000 | PA      | $10657133.45   | 0.02%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2048#G61821                                                                        | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5140572 | PA      | $5096753.67    | 0.01%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                          | CF HIPPOLYTA ISSUER LLC 1.99% 07/15/2060 144A                                                           | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6652921 | PA      | $5514275.27    | 0.01%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 5/42 #AO2138                                                                                 | CUSIP: 3138LSLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452580 | PA      | $425241.02     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                              | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     704000 | PA      | $547214.55     | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 2.252% 09/29/2032                                                                    | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     480000 | PA      | $361890.00     | 0.00%             | 2032-09-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECUTITIES TR 2015--C29                                           | JPMBB COML MTG SECUTITIES TR 2015-C29 A3A2 3.3423% 05/15/2048 144A                                      | CUSIP: 46644RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1611241 | PA      | $1517394.40    | 0.00%             | 2048-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 04/20/2048#BG3507                                                                            | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     497392 | PA      | $480491.97     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                             | CLEVELAND-CLIFFS INC 4.625% 03/01/2029 144A                                                             | CUSIP: 185899AK7<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     110000 | PA      | $96250.00      | 0.00%             | 2029-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP                             | COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP TSFR3M+170 07/24/2034 144A                         | CUSIP: 19737TAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7340000 | PA      | $7042722.66    | 0.01%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 5.805% 05/01/2050                                                                             | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    6560000 | PA      | $6189058.90    | 0.01%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                 | LPL HOLDINGS INC 4% 03/15/2029 144A                                                                     | CUSIP: 50212YAD6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     445000 | PA      | $388189.08     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.125% 07/31/2024                                                                             | CUSIP: 9128282N9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41045000 | PA      | $39464126.38   | 0.08%             | 2024-07-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 09/01/2052#SD8243                                                                        | CUSIP: 3132DWEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9526173 | PA      | $8734716.33    | 0.02%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 04/01/2051#FM6540                                                                        | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5411507 | PA      | $4705144.79    | 0.01%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 11/01/2049#QA4692                                                                          | CUSIP: 31346YF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8810611 | PA      | $7943799.69    | 0.02%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMCM 2022-RPL1 TR                                                               | CSMCM 2022-RPL1 TR 4.23104% 04/25/2061 144A                                                             | CUSIP: 12662JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     407786 | PA      | $363908.61     | 0.00%             | 2061-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                | BERKSHIRE HATHAWAY ENERGY COMPANY 3.7% 07/15/2030                                                       | CUSIP: 084659AV3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    1280000 | PA      | $1187756.06    | 0.00%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                       | TOLL BROS FIN CORP 4.375% 04/15/2023                                                                    | CUSIP: 88947EAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4973523.45    | 0.01%             | 2023-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/01/2035#310165                                                                        | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1351034 | PA      | $1363265.57    | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG ENERGY INC 6.625% 01/15/2027                                                                        | CUSIP: 629377CC4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     122000 | PA      | $122939.40     | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC                       | UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC 4.75% 04/15/2028 144A                        | CUSIP: 91327BAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     585000 | PA      | $488597.85     | 0.00%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #745138                                                                                 | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63693 | PA      | $63076.09      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 72 CLO LTD                                                                | DRYDEN 72 CLO LTD 3ML+165 05/15/2032 144A                                                               | CUSIP: 26252NAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5754600.00    | 0.01%             | 2032-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    4080000 | NC      | $55816.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | ILLINOIS ST BUILD AMERICA BONDS-TAXABLE-SE                                                              | CUSIP: 452152FA4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2510000 | PA      | $2576605.11    | 0.01%             | 2035-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 4.3% 07/22/2027                                                                  | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   21880000 | PA      | $21131335.32   | 0.04%             | 2027-07-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                  | AASET 2019-2 B TR 4.458% 10/16/2039 144A                                                                | CUSIP: 00038RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1333003 | PA      | $612571.84     | 0.00%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  3 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 7.875% PERP REGS                                                                | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Long             | EP               | CORP              | FR        |     415000 | PA      | $408609.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 3.638% 03/15/2025 144A                                                                   | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    2033000 | PA      | $1941191.69    | 0.00%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                 | ABN AMRO BANK NV 2.47%/VAR 12/13/2029 144A                                                              | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    3000000 | PA      | $2431843.32    | 0.01%             | 2029-12-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L       | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A       | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7479652 | PA      | $6121848.41    | 0.01%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 2.52%/VAR 11/03/2032                                                                      | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     650000 | PA      | $510758.60     | 0.00%             | 2032-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                           | FX Forward: EUR/USD settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |          1 | NC      | $363.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRUGREEN LP                                                                      | TRUGREEN TERM B 1LN 10/30/2027                                                                          | CUSIP: 89787RAH5<br>LEI: 549300QNRP2MNHR3QM19 | Long             | LON              | CORP              | US        |     227019 | PA      | $201705.96     | 0.00%             | 2027-10-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AT2645                                                                          | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36423 | PA      | $34151.92      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 02/01/2035#FM2518                                                                        | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1128269 | PA      | $1052323.52    | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/41 #552552                                                                                | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58126 | PA      | $56141.22      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/46#G60551                                                                               | CUSIP: 31335ATG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393071 | PA      | $383331.87     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 12/01/2045#G08682                                                                          | CUSIP: 3128MJXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     315240 | PA      | $305853.03     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAP LTD                                                                 | PETRONAS CAP LTD 3.5% 04/21/2030 144A                                                                   | CUSIP: 716743AP4<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |    1700000 | PA      | $1561127.00    | 0.00%             | 2030-04-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UNITEDHEALTH GROUP INC 5.8% 03/15/2036                                                                  | CUSIP: 91324PAR3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     820000 | PA      | $873322.05     | 0.00%             | 2036-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 3.6% 04/01/2050                                                                             | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $904392.03     | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LN TR                                                                | SLM STUDENT LN 03-14 A7 3ML+60 10/25/2065 144A                                                          | CUSIP: 78442GKG0<br>LEI: GX18J72G8XB30P3MQA62 | Long             | ABS-CBDO         | CORP              | US        |    4000000 | PA      | $3719247.60    | 0.01%             | 2065-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 02/01/2035#QN1578                                                                        | CUSIP: 3133G7XF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1181680 | PA      | $1101769.29    | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                               | VORNADO REALTY LP 3.4% 06/01/2031                                                                       | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    6373000 | PA      | $4858167.85    | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 06/01/2041#Q01604                                                                        | CUSIP: 3132GEX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68851 | PA      | $70271.51      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                   | US BANCORP DEL 5.85%/VAR 10/21/2033                                                                     | CUSIP: 91159HJJ0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    2925000 | PA      | $3049908.73    | 0.01%             | 2033-10-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                     | BAYC 2007-3 M5 1ML+60 7/37                                                                              | CUSIP: 07325YAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15510 | PA      | $17343.96      | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                                            | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32853 | PA      | $30664.77      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PMHC II INC                                                                      | PMHC II INC 9% 02/15/2030 144A                                                                          | CUSIP: 69357VAA3<br>LEI: 549300GYZ1T3S8OPH343 | Long             | DBT              | CORP              | US        |     175000 | PA      | $131250.00     | 0.00%             | 2030-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                                                 | MORGAN STANLEY CAP I TR 2018-BOP A 1ML+85 06/15/2035 144A                                               | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4512912 | PA      | $4256080.51    | 0.01%             | 2033-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049                                                         | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   14852000 | PA      | $15205876.67   | 0.03%             | 2049-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | DIAMONDBACK ENERGY INC 3.5% 12/01/2029                                                                  | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1705000 | PA      | $1517622.99    | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 3.875% 11/30/2029                                                                             | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15670000 | PA      | $15807112.50   | 0.03%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #733234                                                                                 | CUSIP: 3620ALSX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6447 | PA      | $6385.30       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 10/20/2042#MA0463                                                                            | CUSIP: 36179MQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300190 | PA      | $290398.98     | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 4.50% 6/24 #AA6863                                                                            | CUSIP: 31416QTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1607 | PA      | $1594.81       | 0.00%             | 2024-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                            | WELLS FARGO COMMERCIAL MORTGAGE TRUST 21-C59 A4 2.343% 04/15/2054                                       | CUSIP: 95003CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4044780.00    | 0.01%             | 2054-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 04/01/2051#BR0462                                                                        | CUSIP: 3140KXQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     764288 | PA      | $660465.16     | 0.00%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3.0% 04/01/2029#J27984                                                                        | CUSIP: 31307G2R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     571432 | PA      | $550979.20     | 0.00%             | 2029-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 12/01/2034#FM0046                                                                          | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3639731 | PA      | $3465495.68    | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRISTOL PARK CLO LTD 2016                                                        | BRISTOL PARK CLO LTD 2016 3ML+99 04/15/2029 144A                                                        | CUSIP: 11014PAJ4<br>LEI: 549300XRS6MFERKEPO61 | Long             | ABS-CBDO         | CORP              | KY        |    7997743 | PA      | $7868834.90    | 0.02%             | 2029-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 06/45#AZ3341                                                                               | CUSIP: 3138YUWB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114593 | PA      | $111401.01     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 4.375% 04/15/2040                                                                      | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     200000 | PA      | $173959.84     | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040                                                               | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      65000 | PA      | $63535.55      | 0.00%             | 2040-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST TSFR1M+77.15 04/15/2037 144A             | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4800000 | PA      | $4451025.60    | 0.01%             | 2037-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS 06 HE4                                                        | MORGAN STANLEY ABS 06 HE4 STEP 06/25/2036                                                               | CUSIP: 61748BAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3660650 | PA      | $2028559.99    | 0.00%             | 2036-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 09/01/2046#BC7248                                                                        | CUSIP: 3140F3BS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449275 | PA      | $421881.36     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2052#RA7311                                                                        | CUSIP: 3133KPDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3071301 | PA      | $2828127.78    | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 03/01/30#V60745                                                                          | CUSIP: 3132KEZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205074 | PA      | $196052.86     | 0.00%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 12/15/2042#AA8612                                                                        | CUSIP: 36178GR97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65913 | PA      | $60443.56      | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | EVERSOURCE ENERGY 4.6% 07/01/2027                                                                       | CUSIP: 30040WAR9<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    2925000 | PA      | $2895367.64    | 0.01%             | 2027-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 3/41 #004977                                                                              | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     513077 | PA      | $496806.98     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2043#AV2959                                                                        | CUSIP: 3138XEJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5591 | PA      | $5597.01       | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-XL C 1ML+130 10/15/2036 144A                                                              | CUSIP: 056054AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4286550 | PA      | $4169211.28    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 06/01/2052#MA4686                                                                          | CUSIP: 31418EF47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11723408 | PA      | $11680744.09   | 0.02%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 02/01/2052#FS0605                                                                        | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6432734 | PA      | $5529749.00    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG SOFR 1.305%/VAR 02/02/2027 144A                                                    | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    8565000 | PA      | $6735344.70    | 0.01%             | 2027-02-02      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 10/42 #Q12050                                                                                | CUSIP: 3132HNH36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1206028 | PA      | $1133168.27    | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC COML MTG SECS TR 2019-COR4                                                 | JPMCC COML MTG SECS TR 2019-COR4 A3 3.7629% 03/10/2052                                                  | CUSIP: 48128YAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5400000 | PA      | $4969905.12    | 0.01%             | 2052-03-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | WI 2022-K150 A2 3.71% 11/32                                                                             | CUSIP: 3137H8U41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2600000 | PA      | $2450020.30    | 0.01%             | 2032-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                        | UST BILLS 0% 12/22/2022                                                                                 | CUSIP: 912796X87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  102560000 | PA      | $102346059.84  | 0.22%             | 2022-12-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                     | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                            | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1275146.78    | 0.00%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                                                                 | AMWINS TERM B 1LN 02/19/2028                                                                            | CUSIP: 03234TAW8<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |    2456268 | PA      | $2403237.17    | 0.01%             | 2028-02-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                             | TANGER PROPERTIES LP 3.125% 09/01/2026                                                                  | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    3497000 | PA      | $3156489.94    | 0.01%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 04/20/2045#MA2753                                                                          | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86891 | PA      | $79993.62      | 0.00%             | 2045-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 12/01/2051#RA6496                                                                        | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2178934 | PA      | $1870345.97    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME LN TR 2007 OPT1                                                   | SVHE 2007-OPT1 2A2 1ML+15 6/37                                                                          | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9260810 | PA      | $6454026.35    | 0.01%             | 2037-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC/TX                                                             | RENT-A-CENTER INC/TX 6.375% 02/15/2029 144A                                                             | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |     325000 | PA      | $267312.50     | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MEDICAL CARE US FINANCE III INC                                        | FRESENIUS MEDICAL CARE US FINANCE III INC 1.875% 12/01/2026 144A                                        | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |     660000 | PA      | $563002.55     | 0.00%             | 2026-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARGENT SECS INC                                                                  | ARSI 2005-W5 A2D 1ML+32 1/36                                                                            | CUSIP: 040104QP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2572199 | PA      | $2344345.73    | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                        | ROGERS COMMUNICATIONS INC 3.8% 03/15/2032 144A                                                          | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    3750000 | PA      | $3319841.40    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                     | ENTEGRIS TERM B 1LN 07/06/2029                                                                          | CUSIP: 29362LAL8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | LON              | CORP              | US        |     500000 | PA      | $495345.00     | 0.00%             | 2029-07-06      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ITALY REPUBLIC OF                                                                | ITALY REPUBLIC OF 2.375% 10/17/2024                                                                     | CUSIP: 465410BX5<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    3800000 | PA      | $3560231.32    | 0.01%             | 2024-10-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL HOTELS GROUP PLC NEW                                            | INTERCONTINENT HTL GRP PLC NEW 3.375% 10/08/2028 REGS                                                   | CUSIP: N/A<br>LEI: 2138007ZFQYRUSLU3J98       | Long             | DBT              | CORP              | GB        |    1305000 | PA      | $1367222.97    | 0.00%             | 2028-10-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 3/42 #773363                                                                                 | CUSIP: 36176Q5Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17785 | PA      | $16753.72      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2039#AW1156                                                                          | CUSIP: 3138XQJA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142652 | PA      | $139569.79     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2041#AL0762                                                                        | CUSIP: 3138EGZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82566 | PA      | $82812.02      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5% 06/20/2048#MA5266                                                                            | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2785210 | PA      | $2831601.24    | 0.01%             | 2048-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 3.875% 01/27/2026                                                                        | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     540000 | PA      | $523221.05     | 0.00%             | 2026-01-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 01/47#BE2975                                                                               | CUSIP: 3140FNJV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184559 | PA      | $179037.61     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | SIMON PROPERTY GROUP LP 1.75% 02/01/2028                                                                | CUSIP: 828807DL8<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    1805000 | PA      | $1540440.72    | 0.00%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                       | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A 1ML+120 12/31/2049 144A                               | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4470000 | PA      | $4214405.85    | 0.01%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/01/2052#SD8231                                                                        | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2532577 | PA      | $2468286.99    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                 | PUGET ENERGY INC 2.379% 06/15/2028                                                                      | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     815000 | PA      | $697472.35     | 0.00%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                             | PARAGUAY REPUBLIC OF 2.739% 01/29/2033 144A                                                             | CUSIP: 699149AK6<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    1560000 | PA      | $1234642.50    | 0.00%             | 2033-01-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 04/20/2048#BG7744                                                                            | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     405441 | PA      | $391665.04     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2045#AS5133                                                                        | CUSIP: 3138WEV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1318388 | PA      | $1240886.38    | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                       | TOLL BROS FIN CORP 4.35% 02/15/2028                                                                     | CUSIP: 88947EAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   29675000 | PA      | $26740469.22   | 0.06%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MTG ASSN HECM 1ML+ 08/20/2062                                                            | CUSIP: 38375BUL4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     381008 | PA      | $377812.26     | 0.00%             | 2062-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 11/01/2052#CB5128                                                                          | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1248374 | PA      | $1260605.89    | 0.00%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                       | GRAPHIC PACKAGING INTL INC 4.125% 08/15/2024                                                            | CUSIP: 38869PAM6<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    3137000 | PA      | $3050732.50    | 0.01%             | 2024-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 6.54% 02/01/2039#                                                                             | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116280 | PA      | $119056.46     | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4% 01/22/2025                                                               | CUSIP: 06051GFM6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   43905000 | PA      | $43044966.47   | 0.09%             | 2025-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                       | HESS MIDSTREAM PARTNERS LP 5.125% 06/15/2028 144A                                                       | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     110000 | PA      | $103560.60     | 0.00%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUTUAL INSURANCE CO                                                   | NATIONWIDE MUTUAL INSURANCE CO 3ML+0 12/15/2024 144A                                                    | CUSIP: 638671AJ6<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |    5490000 | PA      | $5490211.97    | 0.01%             | 2024-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/42#AB5500                                                                             | CUSIP: 31417CDE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11299 | PA      | $10608.15      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2047#ZM2486                                                                        | CUSIP: 3131XVXP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2442895 | PA      | $2277149.44    | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 08/01/2051#                                                                                | CUSIP: 3132DWB51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2103424 | PA      | $1734909.47    | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                           | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                           | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6044088 | PA      | $4966970.67    | 0.01%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEGENDS HOSPITALITY HOLDING CO LLC / LEGENDS HOSPITALITY CO-ISSUER INC           | LEGENDS HOSPITALITY HOLDING CO LLC / LEGENDS HOSPITALITY CO-ISSUER INC 5% 02/01/2026 144A               | CUSIP: 52473NAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      60000 | PA      | $52493.12      | 0.00%             | 2026-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN KETTERING CANCER CTR                                              | MEMORIAL SLOAN KTTRNG CNCR CTR 5% 07/01/2042                                                            | CUSIP: 586054AA6<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |     350000 | PA      | $351722.74     | 0.00%             | 2042-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 06/01/2051#FM7507                                                                        | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8690477 | PA      | $7504511.66    | 0.02%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIEMAE 30YR 3.5% 07/47#BM3041                                                                        | CUSIP: 3140J7LX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3603009 | PA      | $3387826.88    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP                                                                | SITE CENTERS CORP 4.25% 02/01/2026                                                                      | CUSIP: 23317HAE2<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    5582000 | PA      | $5307142.26    | 0.01%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                              | FX Forward: USD/CAD settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |          1 | NC      | $1171.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2021-BNK31                                                                  | BANK 2021-BNK31 1.771% 02/15/2054                                                                       | CUSIP: 06541ABB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1569432.40    | 0.00%             | 2054-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 04/01/2050#RA2400                                                                          | CUSIP: 3133KHUZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3181016 | PA      | $2855135.79    | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2044#Q25265                                                                        | CUSIP: 3132M5QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64769 | PA      | $64839.49      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                                 | GALAXY PIPELINE ASSETS BIDCO LTD 2.16% 03/31/2034 144A                                                  | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     522433 | PA      | $440149.72     | 0.00%             | 2034-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN TR II                                                                   | JPMorgan Core Plus Bond A                                                                               | CUSIP: 4812C0811<br>LEI: DQ695W4P67V7A4LC6I09 | Long             | EC               | RF                | US        |   70259968 | NS      | $505169166.69  | 1.07%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                                            | LCH OIS SOFRV2.75% MAC 12/21/27                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |   38719000 | NC      | $-319374.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC OKLA                                                   | CONTINENTAL RESOURCES INC OKLA 2.875% 04/01/2032 144A                                                   | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $3340148.50    | 0.01%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2021-1 LTD                                                              | EAGLE RE 2021-1 LTD SOFR30A+215 10/25/2033 144A                                                         | CUSIP: 26983BAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     781781 | PA      | $781066.96     | 0.00%             | 2033-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/41 #783501                                                                                 | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42116 | PA      | $42472.25      | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2.25% 05/15/2041                                                            | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   93030000 | PA      | $71484106.87   | 0.15%             | 2041-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 12/01/2032#J38057                                                                          | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321412 | PA      | $306895.31     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELEC and GAS CO                                                   | PUBLIC SERVICE ELEC and GAS CO 3.6% 12/01/2047                                                          | CUSIP: 74456QBT2<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     410000 | PA      | $319019.22     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/47#BM1277                                                                               | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     655912 | PA      | $635591.26     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2048#Q54192                                                                          | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43048 | PA      | $41631.48      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 03/51#BR6470                                                                             | CUSIP: 3140L5FL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     792185 | PA      | $684572.73     | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2046#AR3124                                                                          | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54675 | PA      | $51391.97      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/01/2045#BA4584                                                                        | CUSIP: 3140E9CW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     583348 | PA      | $566004.73     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARRICK PD AUSTRALIA FIN PTY LTD                                                 | BARRICK PD AUSTRALIA FIN P LTD 5.95% 10/15/2039                                                         | CUSIP: 06849UAD7<br>LEI: 5493008DX0TK7OFLV260 | Long             | DBT              | CORP              | AU        |    1340000 | PA      | $1382058.96    | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                          | CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 3.95% 03/01/2048                                                | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    1205000 | PA      | $997943.24     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2046#MA2806                                                                          | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1186993 | PA      | $1077817.38    | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2046#BM4548                                                                        | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1187684 | PA      | $1181081.87    | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA FDS TR II                                                               | Columbia Mortgage Opportunities A                                                                       | CUSIP: 19764F813<br>LEI: N/A                  | Long             | EC               | RF                | US        |   21303389 | NS      | $174474755.63  | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/01/2052#FS2011                                                                          | CUSIP: 3140XHGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23950418 | PA      | $21317184.61   | 0.05%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HOLDINGS PLC 4.796%/VAR 11/15/2024                                                   | CUSIP: 80281LAJ4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    4025000 | PA      | $3949579.75    | 0.01%             | 2024-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 4.005%/VAR 04/23/2029                                                             | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2290000 | PA      | $2135602.20    | 0.00%             | 2029-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 11/20/2047#MA4838                                                                            | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136191 | PA      | $131818.35     | 0.00%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/41#AL1431                                                                             | CUSIP: 3138EHSV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392978 | PA      | $394146.67     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2048#BK1653                                                                        | CUSIP: 3140HEZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324599 | PA      | $321709.82     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALPHA BANK SA                                                                    | ALPHA BANK SA 4.25%/VAR 02/13/2030 REGS                                                                 | CUSIP: N/A<br>LEI: 5299009N55YRQC69CN08       | Long             | DBT              | CORP              | GR        |     390000 | PA      | $329668.09     | 0.00%             | 2030-02-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDGS S A                                                       | INTELSAT JACKSON HLDGS SA 9.75% 07/15/2025 144A                                                         | CUSIP: 45824TAY1<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |    5500000 | PA      | $0.55          | 0.00%             | 2025-07-15      | Fixed         | 0.10%                 | No            |                  3 | On Loan: No      |
| JAZZ SECURITIES DAC                                                              | JAZZ SECURITIES DAC 4.375% 01/15/2029 144A                                                              | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |      95000 | PA      | $86214.40      | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | COMMONSPIRIT HEALTH 2.76% 10/01/2024                                                                    | CUSIP: 20268JAA1<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     575000 | PA      | $549964.62     | 0.00%             | 2024-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 03/01/2051#FM6564                                                                        | CUSIP: 3140XAJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706999 | PA      | $608970.00     | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 07/01/2044#G08597                                                                        | CUSIP: 3128MJUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53371 | PA      | $50346.84      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                    | MARRIOTT INTERNATIONAL INC/MD 3.6% 04/15/2024                                                           | CUSIP: 571900BB4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1285334.55    | 0.00%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 05/01/2034#C91764                                                                        | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119287 | PA      | $115358.00     | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 4.1% 02/15/2047                                                               | CUSIP: 674599CL7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     265000 | PA      | $205375.00     | 0.00%             | 2047-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2047#AX5831                                                                          | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21338 | PA      | $20577.56      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE III LLC                                                | LYB INTERNATIONAL FINANCE III LLC 4.2% 05/01/2050                                                       | CUSIP: 50249AAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $112390.36     | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/46#AS7248                                                                               | CUSIP: 3138WHBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245240 | PA      | $237488.91     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                           | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+266.7 11/15/2038 144A                                        | CUSIP: 26863LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $906035.40     | 0.00%             | 2038-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    2680000 | NC      | $36664.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5% 5/35 #003710                                                                                 | CUSIP: 36202EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50345 | PA      | $50754.99      | 0.00%             | 2035-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC           | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A           | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     615000 | PA      | $548727.60     | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-C10                                       | JP MORGAN CHASE COML MTG SECS TR 2013-C10 3.3715% 12/15/2047                                            | CUSIP: 46639JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1591984.00    | 0.00%             | 2047-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                     | ECOPETROL SA 6.875% 04/29/2030                                                                          | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1534000 | PA      | $1371396.00    | 0.00%             | 2030-04-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTG SECS INC                                                          | AMERIQUEST MTG SECS INC M3 1ML+120 11/25/2034                                                           | CUSIP: 03072SVT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3108480 | PA      | $2814454.68    | 0.01%             | 2034-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | COMMONWEALTH EDISON CO 4.35% 11/15/2045                                                                 | CUSIP: 202795JG6<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     415000 | PA      | $359253.88     | 0.00%             | 2045-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 09/01/2034#CA4232                                                                          | CUSIP: 3140QBV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1377899 | PA      | $1311507.97    | 0.00%             | 2034-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 3.75% 02/15/2051 144A                                                                      | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    5224000 | PA      | $3686620.05    | 0.01%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL CO LTD                                                     | TAKEDA PHARMACEUTICAL CO LTD 3.025% 07/09/2040                                                          | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    1410000 | PA      | $1054421.12    | 0.00%             | 2040-07-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 12/01/2040#MA4204                                                                          | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4817846 | PA      | $4133362.94    | 0.01%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                       | CORPORATE OFFICE PPTYS LP 2.25% 03/15/2026                                                              | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    1775000 | PA      | $1558971.97    | 0.00%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 11/20/2043#AG0445                                                                            | CUSIP: 36181TP62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1600 | PA      | $1561.89       | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 12/01/2046#G08742                                                                        | CUSIP: 3128MJZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119905 | PA      | $112435.74     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 10/01/2051#RA6010                                                                        | CUSIP: 3133KMVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4060121 | PA      | $3758005.69    | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                 | VODAFONE GROUP PLC 5.25% 05/30/2048                                                                     | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    3350000 | PA      | $3008519.06    | 0.01%             | 2048-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 11/01/2049#QA4483                                                                          | CUSIP: 31339U6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1617201 | PA      | $1452537.19    | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 7/29 #MA0130                                                                                 | CUSIP: 31417YEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58724 | PA      | $60070.38      | 0.00%             | 2029-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                         | ELANCO ANIMAL HEALTH TERM B 1LN 08/01/2027                                                              | CUSIP: 28414BAF3<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |    2839462 | PA      | $2744084.48    | 0.01%             | 2027-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 01/01/2033#J38387                                                                          | CUSIP: 31307VJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     449784 | PA      | $427781.63     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 3.75% 01/11/2028                                                           | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2170000 | PA      | $2077775.00    | 0.00%             | 2028-01-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FIRSTENERGY CORP 7.375% 11/15/2031                                                                      | CUSIP: 337932AC1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    6359000 | PA      | $7160305.54    | 0.02%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #745068                                                                                 | CUSIP: 3620C0W53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77469 | PA      | $76713.35      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 05/01/2045#G61807                                                                          | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186802 | PA      | $180781.06     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 02/35#BO9279                                                                             | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     543489 | PA      | $506906.02     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEMPUR SEALY INTERNATIONAL INC                                                   | TEMPUR SEALY INTERNATIONAL INC 3.875% 10/15/2031 144A                                                   | CUSIP: 88023UAJ0<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |     120000 | PA      | $93157.20      | 0.00%             | 2031-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2052#RA6987                                                                        | CUSIP: 3133KNXQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3552964 | PA      | $3276095.49    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#QD3432                                                                          | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     272597 | PA      | $224923.96     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP 4.375% 05/15/2025                                                                    | CUSIP: 925650AA1<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     749000 | PA      | $720844.25     | 0.00%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 4.6% 06/01/2060                                                          | CUSIP: 035240AU4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    5007000 | PA      | $4508589.55    | 0.01%             | 2060-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 3.75% 05/15/2030                                                                     | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2964000 | PA      | $2627252.88    | 0.01%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                    | BAT INTL FINANCE PLC 4.448% 03/16/2028                                                                  | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    8700000 | PA      | $8102427.45    | 0.02%             | 2028-03-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA GTD MTG PASS THRU CTF SOFR30A+525 03/25/2042 144A                                                  | CUSIP: 20753YAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     240000 | PA      | $233074.73     | 0.00%             | 2042-03-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2.5% 05/01/2041#SC0167                                                                        | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     742269 | PA      | $658602.57     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 12/01/2032#SB0030                                                                          | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480462 | PA      | $460615.18     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3 4/43 #AB9025                                                                                     | CUSIP: 31417GA30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     504239 | PA      | $461957.75     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 2.099/VAR 06/04/2026                                                                  | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2295000 | PA      | $2080548.41    | 0.00%             | 2026-06-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                                      | GERMANY FEDERAL REPUBLIC OF 1.25% 08/15/2048 REGS                                                       | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    2135000 | PA      | $1977727.07    | 0.00%             | 2048-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GREYSTONE COML CAP TR SER 2021-3                                                 | GREYSTONE COML CAP TR SER 2021-3 1ML+223 08/17/2023 144A                                                | CUSIP: 39810EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6891455.20    | 0.01%             | 2023-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 09/01/2042#AP4786                                                                        | CUSIP: 3138M8J87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189131 | PA      | $171558.53     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC T5Y 3.875%/VAR PERP                                                                       | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |    4320000 | PA      | $3604500.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 10/01/2043#AU4405                                                                        | CUSIP: 3138X33P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305994 | PA      | $280239.97     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5.00% 2/36 #003817                                                                              | CUSIP: 36202EG29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27939 | PA      | $28205.01      | 0.00%             | 2036-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 9/38 #G05188                                                                                 | CUSIP: 3128M7CZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43778 | PA      | $44471.48      | 0.00%             | 2038-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                          | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                                | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    1465000 | PA      | $1355125.00    | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 5.65% 7/37 #942609                                                                             | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7234 | PA      | $7355.98       | 0.00%             | 2037-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 3.85% 04/01/2060                                                                            | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $4383555.35    | 0.01%             | 2060-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/42#AP8469                                                                               | CUSIP: 3138MCMT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594057 | PA      | $544244.46     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                   | MCDONALDS CORP 4.7% 12/09/2035                                                                          | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    1865000 | PA      | $1807211.00    | 0.00%             | 2035-12-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 3.509%/VAR 01/23/2029                                                             | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6550000 | PA      | $5989655.95    | 0.01%             | 2029-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | ONEMAIN FINANCE CORP 4% 09/15/2030                                                                      | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     500000 | PA      | $375496.68     | 0.00%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                      | APACHE CORP 4.25% 01/15/2030                                                                            | CUSIP: 037411BF1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     575000 | PA      | $516729.50     | 0.00%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP                                      | PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP 2.532% 10/01/2029                                           | CUSIP: 743820AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2405000 | PA      | $2030504.08    | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 10/40#004832                                                                               | CUSIP: 36202FLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138293 | PA      | $130639.70     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2016-2                                                | NAVSL 16-2A3 1ML+150 6/65 144A                                                                          | CUSIP: 63940FAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1350704 | PA      | $1316573.18    | 0.00%             | 2065-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROWE T PRICE INSTL INCOME FDS INC                                                | T. Rowe Price Instl Floating Rate F                                                                     | CUSIP: 77958B105<br>LEI: E81VH37I6Q4XM5FXIK06 | Long             | EC               | RF                | US        |   10234601 | NS      | $94055985.96   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5% 09/20/2046#MA3940                                                                            | CUSIP: 36179SLV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     220310 | PA      | $223769.98     | 0.00%             | 2046-09-20      | Fixed         | 0.05%                 | 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        |    8796000 | PA      | $8170569.66    | 0.02%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PAC PPTYS LP 4.65% 04/01/2029                                                                    | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |   12773000 | PA      | $11122937.24   | 0.02%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 05/01/2050#BP4416                                                                        | CUSIP: 3140KB4A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6062186 | PA      | $5236790.58    | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 8/41 #430354                                                                                 | CUSIP: 36207FBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     311370 | PA      | $300738.75     | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HORIZON THERAPEUTICS USA INC                                                     | HORIZON THERAPEUTICS TERM B 1LN 03/15/2028                                                              | CUSIP: 44055UAD7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2017260 | PA      | $1994565.92    | 0.00%             | 2028-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST                                                      | LEGACY MORTGAGE ASSET TRUST 1.991% 09/25/2060 144A                                                      | CUSIP: 52475PAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     820305 | PA      | $801809.20     | 0.00%             | 2060-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 3.875% 09/10/2024                                                                 | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     250000 | PA      | $245707.35     | 0.00%             | 2024-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                                             | CUSIP: 3136AA4A0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     623502 | PA      | $567802.39     | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019 1ML+265 10/15/2036 144A                                                                   | CUSIP: 056054AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6162500 | PA      | $5814461.10    | 0.01%             | 2036-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 10/01/2050#MA4159                                                                        | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11029804 | PA      | $9507363.51    | 0.02%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 03/01/2051#SD8134                                                                          | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1778848 | PA      | $1469422.00    | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                        | LINCOLN NATIONAL CORP IND 6.3% 10/09/2037                                                               | CUSIP: 534187AW9<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |     110000 | PA      | $109272.86     | 0.00%             | 2037-10-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                                    | LONG GILT FUTURE MAR23 G H3                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |        -61 | NC      | $65019.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 11/01/2050#SD8104                                                                        | CUSIP: 3132DWAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3662967 | PA      | $2855100.76    | 0.01%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 06/01/2051#SD8151                                                                        | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418014 | PA      | $359139.62     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                   | SHELL INTL FIN B V 3.25% 05/11/2025                                                                     | CUSIP: 822582BD3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    1465000 | PA      | $1423538.83    | 0.00%             | 2025-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.004%/VAR 12/20/2023                                                       | CUSIP: 06051GHC6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3865000 | PA      | $3860473.00    | 0.01%             | 2023-12-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/40 #737311                                                                                 | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61852 | PA      | $62430.80      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN EDISON CO                                                           | METROPOLITAN EDISON CO 4.3% 01/15/2029 144A                                                             | CUSIP: 591894CC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2755000 | PA      | $2596481.21    | 0.01%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                                   | PROOFPOINT TERM B 1LN 08/31/2028                                                                        | CUSIP: 74345HAB7<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |     107202 | PA      | $103014.70     | 0.00%             | 2028-08-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                                            | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                                             | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1648593 | PA      | $1375937.31    | 0.00%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| THOR INDUSTRIES INC                                                              | THOR INDUSTRIES INC 4% 10/15/2029 144A                                                                  | CUSIP: 885160AA9<br>LEI: 254900XZO1228PDSG060 | Long             | DBT              | CORP              | US        |     150000 | PA      | $119229.42     | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2% 01/01/2053 #TBA                                                                            | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  393075000 | PA      | $323617428.97  | 0.69%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2041#AI8607                                                                        | CUSIP: 3138ANR54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3375 | PA      | $3396.72       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2051#                                                                                | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5179144 | PA      | $4270152.92    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                                      | AKER BP ASA 3.1% 07/15/2031 144A                                                                        | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    2295000 | PA      | $1891185.62    | 0.00%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY MI UNIV REVS                                                          | UNIV MICH REVS 3.504% 4/1/2052                                                                          | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1080000 | PA      | $851318.32     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 2/39 #930610                                                                                 | CUSIP: 31412N3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311960 | PA      | $309876.09     | 0.00%             | 2039-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                           | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                                 | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3237000 | PA      | $3060349.14    | 0.01%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                 | VODAFONE GROUP PLC 4.25% 09/17/2050                                                                     | CUSIP: 92857WBU3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    3525000 | PA      | $2781979.98    | 0.01%             | 2050-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                            | MASSACHUSETTS INSTITUTE OF TECHNOLOGY 5.6% 07/01/2111                                                   | CUSIP: 575718AA9<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |     400000 | PA      | $429726.60     | 0.00%             | 2111-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST                                                           | LENDMARK FUNDING TRUST 21-1A A 1.9% 11/20/2031 144A                                                     | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4200000 | PA      | $3535393.68    | 0.01%             | 2031-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERSINCOME TAX REV                                      | NEW YORK ST D 2.202% 3/15/2034                                                                          | CUSIP: 64990FE42<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     945000 | PA      | $700561.67     | 0.00%             | 2034-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 11/01/2051#RA6302                                                                          | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2996206 | PA      | $2472215.09    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                 | PUGET ENERGY INC 3.65% 05/15/2025                                                                       | CUSIP: 745310AH5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    1014000 | PA      | $965509.76     | 0.00%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 1.875% 02/15/2041                                                           | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62580000 | PA      | $45223828.13   | 0.10%             | 2041-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/01/2039#AA9716                                                                        | CUSIP: 31416TYN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14231 | PA      | $14472.82      | 0.00%             | 2039-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE BV                                                     | LYB INTL FIN BV 5.25% 07/15/2043                                                                        | CUSIP: 50247VAB5<br>LEI: 549300J6QSW38QNOJK61 | Long             | DBT              | CORP              | NL        |    5455000 | PA      | $4839634.49    | 0.01%             | 2043-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 09/01/2038#AU4761                                                                          | CUSIP: 3138X4JF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416522 | PA      | $405309.66     | 0.00%             | 2038-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT CORP 5% 01/15/2029                                                                                  | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     595000 | PA      | $567241.24     | 0.00%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                        | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                              | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    6675000 | PA      | $5851768.25    | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                   | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                         | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    1707000 | PA      | $1508304.94    | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 07/01/2043#Q20358                                                                        | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38544 | PA      | $37565.11      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 07/51#BQ1010                                                                               | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443170 | PA      | $366496.97     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-IMC C 1ML+160 04/15/34 144A                                                               | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2952000 | PA      | $2806787.28    | 0.01%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | COMMONWEALTH EDISON CO 3.7% 08/15/2028                                                                  | CUSIP: 202795JN1<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     250000 | PA      | $237263.50     | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 4/42 #AK4826                                                                                 | CUSIP: 3138E9LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174319 | PA      | $163653.77     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2047#BM4754                                                                        | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2868567 | PA      | $2690972.92    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TELENET FINANCE LUXEMBOURG NOTES SARL                                            | TELENET FINANCE LUXEMBOURG NOTES SARL 5.5% 03/01/2028 144A                                              | CUSIP: N/A<br>LEI: 2138007RI9GLJPCC3E25       | Long             | DBT              | CORP              | LU        |     400000 | PA      | $358200.00     | 0.00%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2018-IND                                                                   | BX TR 2018-IND 1ML+132.5 09/15/2037 144A                                                                | CUSIP: 12433WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1080352 | PA      | $1044985.94    | 0.00%             | 2037-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2045#Q33347                                                                        | CUSIP: 3132QPWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53540 | PA      | $50438.73      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                            | EG GLOBAL FINANCE PLC 6.25% 10/30/2025 REGS                                                             | CUSIP: N/A<br>LEI: 549300TL8Q5207VYET27       | Long             | DBT              | CORP              | GB        |    5600000 | PA      | $5098939.99    | 0.01%             | 2025-10-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 2.05% 02/15/2028                                                                       | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1251913.70    | 0.00%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 03/01/2042#AB4590                                                                        | CUSIP: 31417BC47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     778142 | PA      | $729871.76     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                  | SEALED AIR CORP 1.573% 10/15/2026 144A                                                                  | CUSIP: 81211KAZ3<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $2370610.91    | 0.01%             | 2026-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                         | LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A                                                         | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    9380000 | PA      | $8717788.79    | 0.02%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                          | WESTERN GAS PARTNERS LP STEP 02/01/2030                                                                 | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     785000 | PA      | $699505.65     | 0.00%             | 2030-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                       | HESS MIDSTREAM PARTNERS LP 5.5% 10/15/2030 144A                                                         | CUSIP: 428102AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $45832.05      | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2045#BC3688                                                                        | CUSIP: 3140EYC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180951 | PA      | $170256.83     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2044#AX2179                                                                        | CUSIP: 3138Y3M57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7439 | PA      | $7416.02       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2.75% 08/15/2047                                                            | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10820000 | PA      | $8680936.75    | 0.02%             | 2047-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC NV                                                    | GOLDEN NUGGET TERM B 1LN 01/27/2029                                                                     | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     614111 | PA      | $584799.48     | 0.00%             | 2029-01-27      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+107.21 10/15/2036 144A                                        | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1607000 | PA      | $1497014.35    | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 02/01/2041#                                                                                | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9252450 | PA      | $7937932.52    | 0.02%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                    | INTERCONTINENTAL EXCHANGE INC 3.75% 12/01/2025                                                          | CUSIP: 45866FAD6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    3162000 | PA      | $3086362.75    | 0.01%             | 2025-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                                           | MARLETTE FUNDING TRUST 1.36% 04/15/2032 144A                                                            | CUSIP: 57109KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |    1913622 | PA      | $1871038.49    | 0.00%             | 2032-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2039#935275                                                                        | CUSIP: 31412UQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9850 | PA      | $9795.43       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | ELEVANCE HEALTH INC 4.625% 05/15/2042                                                                   | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    1520000 | PA      | $1385998.35    | 0.00%             | 2042-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                     | ANHEUSER-BUSCH INBEV FIN INC 4.7% 02/01/2036                                                            | CUSIP: 035242AM8<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |    9871000 | PA      | $9471171.99    | 0.02%             | 2036-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                  | BAE SYSTEMS PLC 3.4% 04/15/2030 144A                                                                    | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    2985000 | PA      | $2656544.75    | 0.01%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 06/01/2045#Q34156                                                                        | CUSIP: 3132QQTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     749614 | PA      | $683881.67     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/01/2041#AJ1616                                                                        | CUSIP: 3138ASYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423566 | PA      | $397934.82     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                         | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    7569000 | PA      | $6986572.19    | 0.01%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2051#MA4467                                                                          | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1880978 | PA      | $1671822.52    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JMP CR ADVISORS CLO IV LTD / JMP CR ADVISORS CLO IV LLC                          | JMP CR ADVISORS CLO IV LTD / JMP CR ADVISORS CLO IV LLC 3ML+128 07/17/2029 144A                         | CUSIP: 46647YAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1308870 | PA      | $1292817.81    | 0.00%             | 2029-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                            | NORTHROP GRUMMAN CORP 4.75% 06/01/2043                                                                  | CUSIP: 666807BH4<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     545000 | PA      | $512299.93     | 0.00%             | 2043-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                          | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                                | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    2085000 | PA      | $2027735.48    | 0.00%             | 2026-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/45#G08672                                                                             | CUSIP: 3128MJXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68436 | PA      | $66398.09      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                   | PNC FINANCIAL SERVICES GRP INC SFRIX 6.037%/VAR 10/28/2033                                              | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    2880000 | PA      | $3025321.98    | 0.01%             | 2033-10-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KAZMUAIGAZ NATIONAL CO JSC                                                       | KAZMUNAYGAS NATIONAL CO JSC 3.5% 04/14/2033 144A                                                        | CUSIP: 48126PAA0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    1220000 | PA      | $900970.00     | 0.00%             | 2033-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                              | AVANTOR FUNDING INC 4.625% 07/15/2028 144A                                                              | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |     380000 | PA      | $349600.00     | 0.00%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 07/01/2050#RA3078                                                                          | CUSIP: 3133KJM33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2088102 | PA      | $1876795.77    | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 02/34#G30703                                                                             | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2705256 | PA      | $2617852.76    | 0.01%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                                  | TAYLOR MORRISON COMMUNITIES INC 5.75% 01/15/2028 144A                                                   | CUSIP: 87724RAB8<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |     280000 | PA      | $260145.28     | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2050#CA5224                                                                          | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11364507 | PA      | $10242884.29   | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 02/01/2036#FS1999                                                                        | CUSIP: 3140XHGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5925526 | PA      | $5517408.62    | 0.01%             | 2036-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                              | GSCOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    3570000 | NC      | $48839.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                                | DISH NETWORK CORP 11.75% 11/15/2027 144A                                                                | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     505000 | PA      | $519054.15     | 0.00%             | 2027-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 09/01/2043#G60065                                                                          | CUSIP: 31335ACA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140123 | PA      | $135692.80     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 3/41#AH8925                                                                              | CUSIP: 3138AA4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1139380 | PA      | $1133286.91    | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 1.5% 12/01/2050#MA4209                                                                        | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12361685 | PA      | $9635319.03    | 0.02%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 03/01/2041#A97717                                                                        | CUSIP: 312946SE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13500 | PA      | $13509.92      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                      | CHENIERE ENERGY PARTNERS LP 3.25% 01/31/2032                                                            | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     115000 | PA      | $93581.25      | 0.00%             | 2032-01-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                      | ROYAL CARIBBEAN CRUISES LTD 5.5% 08/31/2026 144A                                                        | CUSIP: 780153BJ0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     280000 | PA      | $242900.00     | 0.00%             | 2026-08-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP TRANSMISSION CO LLC 4% 12/01/2046                                                                   | CUSIP: 00115AAF6<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     375000 | PA      | $302673.98     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                          | UBSCM 2017-C7 XA CSTR 12/50                                                                             | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15706795 | PA      | $558491.21     | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                       | J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A                                    | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     919000 | PA      | $800721.85     | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2015-GC30                                                         | GS MTG SECS TR 2015-GC30 3.119% 05/10/2050                                                              | CUSIP: 36250GAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1883924 | PA      | $1777040.22    | 0.00%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 09/47#MA4720                                                                                 | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3122419 | PA      | $3022178.92    | 0.01%             | 2047-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 05/01/2051#SD8146                                                                          | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2248277 | PA      | $1856492.25    | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5% 10/37#004037                                                                                 | CUSIP: 36202EPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9475 | PA      | $9595.39       | 0.00%             | 2037-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                                | ILIAD HOLDING SAS 6.5% 10/15/2026 144A                                                                  | CUSIP: 449691AA2<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |     475000 | PA      | $451687.80     | 0.00%             | 2026-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES SERIES 2020-1                                     | CHASE AUTO CREDIT LINKED NOTES SERIES 2020-1 2.102% 02/26/2029 144A                                     | CUSIP: 46591HCG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     418917 | PA      | $392608.77     | 0.00%             | 2029-02-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 5.8% 05/01/2025                                                                           | CUSIP: 02005NBJ8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    6894000 | PA      | $6922455.54    | 0.01%             | 2025-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 5.247%/VAR 07/26/2030                                                        | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    6880000 | PA      | $6557766.74    | 0.01%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2016-COR1 MTG TR                                                            | COMM 2016-COR1 MTG TR 2.826% 10/10/2049                                                                 | CUSIP: 12594MBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7520414 | PA      | $6831777.69    | 0.01%             | 2049-10-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                                              | MACQUARIE GROUP LTD 1.34%/VAR 01/12/2027 144A                                                           | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    5861000 | PA      | $5067678.02    | 0.01%             | 2027-01-12      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 06/01/2031#J34669                                                                          | CUSIP: 31307RFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23813 | PA      | $22849.31      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.25% 12/31/2026                                                                              | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29355000 | PA      | $26405739.84   | 0.06%             | 2026-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2045#AS5263                                                                        | CUSIP: 3138WEZ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     760394 | PA      | $715693.49     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2% 04/01/2036#BR0968                                                                          | CUSIP: 3140KYCE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5680103 | PA      | $5121909.33    | 0.01%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 02/01/2041#AH5574                                                                        | CUSIP: 3138A7FQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221535 | PA      | $214212.17     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                                                      | HOLOGIC INC 3.25% 02/15/2029 144A                                                                       | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |     225000 | PA      | $197687.25     | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC NEW                                                                    | ONEOK INC NEW 4.95% 07/13/2047                                                                          | CUSIP: 682680AT0<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1165000 | PA      | $959059.58     | 0.00%             | 2047-07-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 02/01/2042#BU1292                                                                          | CUSIP: 3140M2NJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568474 | PA      | $481491.51     | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORP                                                                | VERTIV GROUP CORP 4.125% 11/15/2028 144A                                                                | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |     280000 | PA      | $240800.00     | 0.00%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 01/01/2052#FS0288                                                                          | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2607053 | PA      | $2151118.87    | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 08/20/2046#MA3872                                                                          | CUSIP: 36179SJR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137862 | PA      | $122139.44     | 0.00%             | 2046-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BCAP LLC 2010-RR4-II TR                                                          | BCAP LLC 2010-RR4-II TR CSTR 01/26/2037 144A                                                            | CUSIP: 05532XCY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3310143 | PA      | $2580758.99    | 0.01%             | 2037-01-26      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2022-CSMO                                                         | BX COML MTG TR 2022-CSMO TSFR1M+211.48 06/15/2027                                                       | CUSIP: 05610MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6438000 | PA      | $6369422.42    | 0.01%             | 2027-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                                                          | SSE PLC 3.74%/VAR PERP REGS                                                                             | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |     635000 | PA      | $692175.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NCL FINANCE LTD                                                                  | NCL FINANCE LTD 6.125% 03/15/2028 144A                                                                  | CUSIP: 62888HAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      40000 | PA      | $30827.11      | 0.00%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES INTL INC                                                        | SCIENTIFIC GAMES TERM 1LN 04/07/2029                                                                    | CUSIP: N/A<br>LEI: RLTHESQ0RNFQJWPBJN60       | Long             | LON              | CORP              | US        |     428073 | PA      | $419190.33     | 0.00%             | 2029-04-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD FINANCE CO INC                                    | GO DADDY OPERATING CO LLC / GD FINANCE CO INC 3.5% 03/01/2029 144A                                      | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     330000 | PA      | $278875.94     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE LLC                                                       | ALLIANT ENERGY FINANCE LLC 1.4% 03/15/2026 144A                                                         | CUSIP: 01882YAC0<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $1978072.98    | 0.00%             | 2026-03-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/01/2048#BM3877                                                                          | CUSIP: 3140J8JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262392 | PA      | $253443.25     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                                                 | LENOVO GROUP LTD 6.536% 07/27/2032 144A                                                                 | CUSIP: 526250AE5<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |    1490000 | PA      | $1416006.60    | 0.00%             | 2032-07-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 7.1% 11/15/2027                                                                           | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    6180000 | PA      | $6355489.63    | 0.01%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3.5% 12/01/2052 #TBA                                                                          | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  121975000 | PA      | $111759593.75  | 0.24%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FNMA 6.625% 11/15/30                                                                                    | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    1480000 | PA      | $1734170.69    | 0.00%             | 2030-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 07/01/2048#Q59935                                                                          | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1308727 | PA      | $1274664.34    | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2052#CB4025                                                                        | CUSIP: 3140QPPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5991286 | PA      | $5891620.13    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                               | METROPOLITAN LIFE GLBL FDG I 4.3% 08/25/2029 144A                                                       | CUSIP: 59217GFD6<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6711316.15    | 0.01%             | 2029-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 07/51#MA4378                                                                               | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2688781 | PA      | $2219394.45    | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ISHARES CORE TOTAL USD BOND MARKET ETF                                           | iShares 1-5 Year invmt Grd Corp Bd ETF                                                                  | CUSIP: 464288646<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |   12958582 | NS      | $647929100.00  | 1.38%             |  |  |  | No            |                  1 | On Loan: —       |
| EATON CORP                                                                       | EATON CORP 4.7% 08/23/2052                                                                              | CUSIP: 278062AJ3<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |     495000 | PA      | $459296.95     | 0.00%             | 2052-08-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.15% 02/15/2024                                     | CUSIP: 00774MAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2065000 | PA      | $1992141.10    | 0.00%             | 2024-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                      | ASURION TERM B8 1LN 12/23/2026                                                                          | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     595981 | PA      | $520488.27     | 0.00%             | 2026-12-23      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| C and W SENIOR FINANCING DAC                                                     | C and W SENIOR FINANCING DAC 6.875% 09/15/2027 144A                                                     | CUSIP: 12674TAA4<br>LEI: 5493009O8OIWZPZRY516 | Long             | DBT              | CORP              | IE        |     305000 | PA      | $271068.75     | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/01/2040#AD9114                                                                        | CUSIP: 31418XDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28144 | PA      | $28644.13      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 07/20/2046#MA3802                                                                            | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     870473 | PA      | $799468.27     | 0.00%             | 2046-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM TERM F 1LN 12/9/2025                                                                          | CUSIP: 89364MBR4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     188615 | PA      | $185608.61     | 0.00%             | 2025-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    5110000 | NC      | $69907.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 1.7% 03/25/2026                                                                            | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     700000 | PA      | $630958.36     | 0.00%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 10/01/2043#BM5466                                                                        | CUSIP: 3140JACC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     645799 | PA      | $566144.31     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 12/15/2040#734089                                                                        | CUSIP: 3620AMRJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1979134 | PA      | $1912158.26    | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 10/40 #A94662                                                                                | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13051 | PA      | $12996.64      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                       | TVA 5.25% 9/15/39                                                                                       | CUSIP: 880591EH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |     150000 | PA      | $157176.06     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B3 COML MTG TR                                                    | BENCHMARK 2018-B3 COML MTG TR 3.746% 04/10/2051                                                         | CUSIP: 08161BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1635684.58    | 0.00%             | 2051-04-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                 | HILTON DOMESTIC OPERATING CO INC 4% 05/01/2031 144A                                                     | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     970000 | PA      | $815930.97     | 0.00%             | 2031-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BEECHWOOD PARK CLO LTD                                                           | BEECHWOOD PARK CLO LTD 19-1A A1R TSFR3M+130 01/17/2035 144A                                             | CUSIP: 07355TAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7708000 | PA      | $7550695.14    | 0.02%             | 2035-01-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | PROLOGIS LP 3.25% 06/30/2026                                                                            | CUSIP: 74340XBU4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     805000 | PA      | $765516.79     | 0.00%             | 2026-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 10/01/2048#G67716                                                                        | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12577 | PA      | $12535.64      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 1.5% 12/01/2037 #TBA                                                                          | CUSIP: 01F0124C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -22900000 | PA      | $-20014320.62  | -0.04%            | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | ALTRIA GROUP INC 4.25% 08/09/2042                                                                       | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     490000 | PA      | $365355.64     | 0.00%             | 2042-08-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POLAND REPUBLIC OF                                                               | POLAND REPUBLIC OF 5.75% 11/16/2032                                                                     | CUSIP: 857524AE2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     164000 | PA      | $172600.16     | 0.00%             | 2032-11-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CROWDSTRIKE HOLDINGS INC                                                         | CROWDSTRIKE HOLDINGS INC 3% 02/15/2029                                                                  | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |     125000 | PA      | $104047.50     | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | EVERSOURCE ENERGY 4.2% 06/27/2024                                                                       | CUSIP: 30040WAS7<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    1285000 | PA      | $1267369.62    | 0.00%             | 2024-06-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                         | LAMB WESTON HOLDINGS INC 4.125% 01/31/2030 144A                                                         | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     525000 | PA      | $464299.50     | 0.00%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORP                                                       | RAYTHEON TECHNOLOGIES CORP 4.125% 11/16/2028                                                            | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     490000 | PA      | $474849.44     | 0.00%             | 2028-11-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT CAPITAL CORP 5.65% 03/16/2052                                                                       | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2506792.08    | 0.01%             | 2052-03-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 07/01/2046#Q41906                                                                          | CUSIP: 3132WFDL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9296 | PA      | $9010.66       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2020-GS2                                             | LEGACY MORTGAGE ASSET TRUST 2020-GS2 2.75% 03/25/2060 144A                                              | CUSIP: 52475AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12849510 | PA      | $12004621.43   | 0.03%             | 2060-03-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DANA INC                                                                         | DANA INC 5.625% 06/15/2028                                                                              | CUSIP: 235825AG1<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |     400000 | PA      | $368000.00     | 0.00%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AB7567                                                                        | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276972 | PA      | $254006.81     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PITNEY-BOWES INC                                                                 | PITNEY-BOWES INC 6.875% 03/15/2027 144A                                                                 | CUSIP: 724479AP5<br>LEI: 549300N2O26NW4ST6W55 | Long             | DBT              | CORP              | US        |      55000 | PA      | $43241.00      | 0.00%             | 2027-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2010-150 ZC 4.75% 01/41                                                                             | CUSIP: 31397QAV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     534492 | PA      | $531049.82     | 0.00%             | 2041-01-25      | Fixed         | 0.05%                 | 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        |    1195956 | PA      | $1078427.68    | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 1/41 #AH1274                                                                                 | CUSIP: 3138A2MY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103376 | PA      | $102822.53     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                         | WILLIS NORTH AMERICA INC 2.95% 09/15/2029                                                               | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    4385000 | PA      | $3702177.49    | 0.01%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXVIII LTD / BLUEMOUNTAIN CLO XXVIII LLC                        | BLUEMOUNTAIN CLO XXVIII LTD / BLUEMOUNTAIN CLO XXVIII LLC 3ML+126 04/15/2034 144A                       | CUSIP: 09630PAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2917170.00    | 0.01%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                                          | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      30888 | PA      | $1095.84       | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AT1323                                                                          | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69452 | PA      | $65281.33      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 5/40 #004696                                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24689 | PA      | $24536.89      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 10/20/2046#MA4005                                                                            | CUSIP: 36179SNW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     178884 | PA      | $174147.68     | 0.00%             | 2046-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                                               | ALCON FINANCE CORP 2.6% 05/27/2030 144A                                                                 | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    2185000 | PA      | $1835752.83    | 0.00%             | 2030-05-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2046#Q40647                                                                        | CUSIP: 3132WDWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     423511 | PA      | $398452.15     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTOMATIC DATA PROCESSING INC                                                    | AUTOMATIC DATA PROCESSING INC 1.7% 05/15/2028                                                           | CUSIP: 053015AG8<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | DBT              | CORP              | US        |     695000 | PA      | $610257.41     | 0.00%             | 2028-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE ASSURANCES SA                                                    | CRDT AGR ASSR 4.75/VAR 9/27/48                                                                          | CUSIP: N/A<br>LEI: 969500K2MUPSI57XK083       | Long             | DBT              | CORP              | FR        |    1200000 | PA      | $1206575.70    | 0.00%             | 2048-09-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/48#FM1001                                                                             | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327778 | PA      | $306051.45     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PARTNERS LP / AMERIGAS FINANCE CORP                                     | AMERIGAS PARTN LP/AMERIGAS FIN 5.75% 05/20/2027                                                         | CUSIP: 030981AL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     654000 | PA      | $623916.00     | 0.00%             | 2027-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                                                 | ASCENSION HEALTH 3.106% 11/15/2039                                                                      | CUSIP: 04352EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     610000 | PA      | $471901.19     | 0.00%             | 2039-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                      | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                      | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1944377 | PA      | $1560433.96    | 0.00%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 4                                                       | BAYVIEW COML ASSET TR 06 4 1ML+27 12/25/2036 144A                                                       | CUSIP: 07325BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83619 | PA      | $76000.93      | 0.00%             | 2036-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                            | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC 3ML+115 10/15/2035 144A                                           | CUSIP: 26246BAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5160000 | PA      | $4991360.88    | 0.01%             | 2035-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4.375% 10/31/2024                                                                             | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9000000 | PA      | $8997890.58    | 0.02%             | 2024-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL CO LTD                                                     | TAKEDA PHARMACEUTICAL CO LTD 2.05% 03/31/2030                                                           | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    3100000 | PA      | $2553192.64    | 0.01%             | 2030-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CLOROX CO                                                                        | CLOROX CO 4.6% 05/01/2032                                                                               | CUSIP: 189054AZ2<br>LEI: 54930044KVSC06Z79I06 | Long             | DBT              | CORP              | US        |    3115000 | PA      | $3028495.64    | 0.01%             | 2032-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER OPERATING MLP 6.625/VAR PERP                                                            | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |     730000 | PA      | $531075.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2052#                                                                              | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7295639 | PA      | $6696711.07    | 0.01%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2043#AU8060                                                                        | CUSIP: 3138X75W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103825 | PA      | $104003.61     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                                                | SUNCOR ENERGY INC 3.75% 03/04/2051                                                                      | CUSIP: 867224AE7<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |     695000 | PA      | $513758.06     | 0.00%             | 2051-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.84% 01/23/2030                                                                    | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    9212000 | PA      | $7563052.00    | 0.02%             | 2030-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-LC11                                      | JP MORGAN CH CMS 13-LC11 2.9599% 04/15/2046                                                             | CUSIP: 46639YAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1781239.68    | 0.00%             | 2046-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2045#Q37045                                                                          | CUSIP: 3132QTZK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179024 | PA      | $173861.38     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARGO AIRCRAFT MANAGEMENT INC                                                    | CARGO AIRCRAFT MANAGEMENT INC 4.75% 02/01/2028 144A                                                     | CUSIP: 14180LAA4<br>LEI: 549300GH5J7LOMV44F11 | Long             | DBT              | CORP              | US        |     160000 | PA      | $142800.00     | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2049#CA4860                                                                          | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1876817 | PA      | $1685718.81    | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA1                                          | STACR 22-DNA3 M1B SOFR30A+290 04/25/2042 144A                                                           | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6000000 | PA      | $5737854.00    | 0.01%             | 2042-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                               | PEACE PARK CLO LTD 3ML+113 10/20/2034 144A                                                              | CUSIP: 70470MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5651000 | PA      | $5492596.82    | 0.01%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC/MD                                                    | MARRIOTT INTERNATIONAL INC/MD 3.125% 06/15/2026                                                         | CUSIP: 571903AS2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    1290000 | PA      | $1207352.32    | 0.00%             | 2026-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026                                                              | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    7558000 | PA      | $7558000.00    | 0.02%             | 2026-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                    | AIB GROUP PLC 6.25%/VAR PERP REGS                                                                       | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | EP               | CORP              | IE        |     690000 | PA      | $683010.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP                     | CRESTWOOD MIDSTRM PTN/FIN CORP 5.75% 04/01/2025                                                         | CUSIP: 226373AP3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1657000 | PA      | $1615369.58    | 0.00%             | 2025-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 2.8% 06/23/2030 144A                                                              | CUSIP: 71567PAP5<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |    1500000 | PA      | $1316250.00    | 0.00%             | 2030-06-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026                                                           | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    1628000 | PA      | $1573976.81    | 0.00%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 09/42#AP5393                                                                             | CUSIP: 3138M87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159447 | PA      | $149715.01     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 03/01/2044#MA1852                                                                        | CUSIP: 31418BBW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104593 | PA      | $107251.91     | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                     | GLP CAP LP / GLP FING II INC 4% 01/15/2031                                                              | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $42491.50      | 0.00%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC TERM B-5 04/15/2027                                                                    | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |     787848 | PA      | $736968.85     | 0.00%             | 2027-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                                           | ATHENAHEALTH TERM DD 1LN 02/15/2029                                                                     | CUSIP: 04686RAC7<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |     228120 | PA      | $207816.91     | 0.00%             | 2029-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A97047                                                                                 | CUSIP: 312945ZL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145300 | PA      | $144692.82     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 3.5% 01/11/2028                                                                   | CUSIP: 455780CD6<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |    4450000 | PA      | $4221937.50    | 0.01%             | 2028-01-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                | ICAHN ENTERPRISES LP/FIN CORP 6.25% 05/15/2026                                                          | CUSIP: 451102BT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2209000 | PA      | $2162743.54    | 0.00%             | 2026-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4.125% 11/15/2032                                                                             | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100225000 | PA      | $104140039.06  | 0.22%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 1/40 #AD0732                                                                                 | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42894 | PA      | $45120.56      | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| YUM BRANDS INC                                                                   | YUM BRANDS INC 3.625% 03/15/2031                                                                        | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     145000 | PA      | $120893.75     | 0.00%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 2.25% 11/15/2031                                                                       | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3015000 | PA      | $2399978.62    | 0.01%             | 2031-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                      | Fidelity Sai Us Treasury Bond Index Fund                                                                | CUSIP: 31635V786<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |  167097916 | NS      | $1458764806.87 | 3.10%             |  |  |  | No            |                  1 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                 | HILTON DOMESTIC OPERATING CO INC 3.75% 05/01/2029 144A                                                  | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     255000 | PA      | $226289.55     | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                 | VODAFONE GROUP PLC 6.25%/VAR 10/03/2078 REGS                                                            | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |     805000 | PA      | $774812.50     | 0.00%             | 2078-10-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING NEW                                                                | OWENS CORNING NEW 3.95% 08/15/2029                                                                      | CUSIP: 690742AJ0<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |     700000 | PA      | $642966.69     | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                 | COMCAST CORP NEW 2.937% 11/01/2056                                                                      | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1940000 | PA      | $1257494.42    | 0.00%             | 2056-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                     | GALLAGHER (ARTHUR J.) and CO 3.05% 03/09/2052                                                           | CUSIP: 04316JAB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    3030000 | PA      | $1940330.89    | 0.00%             | 2052-03-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JAZZ FINANCING LUX SARL                                                          | JAZZ PHARMACEUTICALS TERM B 1LN 05/05/2028                                                              | CUSIP: N/A<br>LEI: 635400WUEO2NSG5OIU34       | Long             | LON              | CORP              | LU        |    1108954 | PA      | $1099250.29    | 0.00%             | 2028-05-05      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 01/01/2052#SD0803                                                                          | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     455321 | PA      | $404264.76     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE TR                                                        | DIVERSIFIED HEALTHCARE TR 4.75% 02/15/2028                                                              | CUSIP: 81721MAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2917000 | PA      | $1997853.30    | 0.00%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUNGARY REPUBLIC OF                                                              | HUNGARY REPUBLIC OF 1.75% 06/05/2035 REGS                                                               | CUSIP: N/A<br>LEI: 5299008DH62LEB10JK83       | Long             | DBT              | NUSS              | HU        |    1370000 | PA      | $963007.66     | 0.00%             | 2035-06-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 11/15/2042#AB9201                                                                          | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26578 | PA      | $25661.87      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC                          | EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC 3ML+125 01/15/2034 144A                         | CUSIP: 27830BBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7240000 | PA      | $7052751.88    | 0.01%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | ELEVANCE HEALTH INC 3.65% 12/01/2027                                                                    | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    1260000 | PA      | $1198228.15    | 0.00%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 09/20/2051#MA7588                                                                            | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2380047 | PA      | $2029184.00    | 0.00%             | 2051-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 02/01/2031#BC2462                                                                          | CUSIP: 3140EWWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     630033 | PA      | $602314.24     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                            | FLORIDA PWR and LT CO 3.8% 12/15/2042                                                                   | CUSIP: 341081FH5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    1280000 | PA      | $1073607.90    | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                        | INVITATION HOMES OPERATING PARTNERSHIP LP 2% 08/15/2031                                                 | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    1125000 | PA      | $832812.55     | 0.00%             | 2031-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SENTARA HEALTHCARE                                                               | SENTARA HEALTHCARE 2.927% 11/01/2051                                                                    | CUSIP: 81728XAA6<br>LEI: 5493002B0YWN6UH30V71 | Long             | DBT              | CORP              | US        |     565000 | PA      | $366305.72     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 4.5% 11/01/2030#AE6799                                                                        | CUSIP: 31419HRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3460 | PA      | $3481.07       | 0.00%             | 2030-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2049#                                                                                | CUSIP: 31418DHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     705887 | PA      | $633351.70     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CELULOSA ARAUCO Y CONSTITUCION SA                                                | CELULOSA ARAUCO Y CONSTITUCION SA 4.5% 08/01/2024                                                       | CUSIP: 151191AZ6<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |    1850000 | PA      | $1815659.38    | 0.00%             | 2024-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2046#BE1671                                                                        | CUSIP: 3140FL2D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74821 | PA      | $74342.40      | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | VIATRIS INC 4% 06/22/2050                                                                               | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    6222000 | PA      | $4046724.09    | 0.01%             | 2050-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRIMO WATER HOLDINGS INC                                                         | PRIMO WATER HOLDINGS INC 4.375% 04/30/2029 144A                                                         | CUSIP: 74168LAA4<br>LEI: 9845008F9A5F2E1D4832 | Long             | DBT              | CORP              | US        |     220000 | PA      | $190115.20     | 0.00%             | 2029-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED GROUP BV                                                                  | UNITED GROUP BV 5.25% 02/01/2030 144A                                                                   | CUSIP: N/A<br>LEI: 213800PC85O8BJ7DU398       | Long             | DBT              | CORP              | NL        |    5200000 | PA      | $4032907.73    | 0.01%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 05/46#MA3662                                                                                 | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     676402 | PA      | $621228.34     | 0.00%             | 2046-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 3.375% 08/15/2042                                                           | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12725000 | PA      | $11641386.72   | 0.02%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 12/01/2052 #TBA                                                                            | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  155050000 | PA      | $136037241.83  | 0.29%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 2.087%/VAR 0 06/14/2029                                                     | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7865000 | PA      | $6638769.58    | 0.01%             | 2029-06-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 12/41 #005259                                                                             | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     578028 | PA      | $559425.30     | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                          | BECTON DICKINSON and CO 3.734% 12/15/2024                                                               | CUSIP: 075887BF5<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    1734000 | PA      | $1691866.14    | 0.00%             | 2024-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2048#BJ2763                                                                        | CUSIP: 3140H4B94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2640343 | PA      | $2610241.70    | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | FISERV INC 2.75% 07/01/2024                                                                             | CUSIP: 337738AS7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     105000 | PA      | $101064.08     | 0.00%             | 2024-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 2.572%/VAR 10/20/2032                                                       | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8260000 | PA      | $6577037.72    | 0.01%             | 2032-10-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.252% 08/01/2041#                                                                            | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219891 | PA      | $221236.44     | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN POSEIDON LTD                                                          | TRANSOCEAN POSEIDON LTD 6.875% 02/01/2027 144A                                                          | CUSIP: 89383JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     105000 | PA      | $102112.50     | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1960000 | NC      | $26813.98      | 0.00%             |  |  |  | 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        |    6930000 | PA      | $5917770.52    | 0.01%             | 2026-08-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                        | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     708935 | PA      | $581158.36     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 09/01/2052#CB4682                                                                          | CUSIP: 3140QQFY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1635442 | PA      | $1647889.15    | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 10/45#MA3174                                                                               | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9444 | PA      | $9226.61       | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5.00% 6/38 #004168                                                                              | CUSIP: 36202ETZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71152 | PA      | $72076.08      | 0.00%             | 2038-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 06/01/2047#BE3702                                                                          | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107489 | PA      | $102731.82     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                                | UNITED KINGDOM G.B. and N.IRELAND 1% 04/22/2024 REGS                                                    | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    2105000 | PA      | $2459005.05    | 0.01%             | 2024-04-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ADT SECURITY CORP/THE                                                            | ADT SECURITY CORP/THE 4.125% 08/01/2029 144A                                                            | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |     115000 | PA      | $100373.15     | 0.00%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK AS (UNGTD) 2.25%/VAR 01/14/2028 REGS                                                        | CUSIP: N/A<br>LEI: MAES062Z21O4RZ2U7M96       | Long             | DBT              | CORP              | DK        |     980000 | PA      | $1009321.48    | 0.00%             | 2028-01-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK34                                                                  | BANK 2021-BNK34 CSTR 06/15/2063                                                                         | CUSIP: 06541JAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  171794000 | PA      | $5980836.32    | 0.01%             | 2063-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.0% 12/01/2028#AU9683                                                                        | CUSIP: 3138X9XM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36585 | PA      | $35302.06      | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 07/01/2031#V61246                                                                        | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480244 | PA      | $455516.71     | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2044#AL6223                                                                        | CUSIP: 3138EN4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168777 | PA      | $169067.76     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#SD8182                                                                          | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4728808 | PA      | $3897377.96    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 5% 04/48#784805                                                                                 | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3307138 | PA      | $3393227.51    | 0.01%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                                        | CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A                                                     | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3687000 | PA      | $3580350.21    | 0.01%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2.5% 05/15/2046                                                             | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19190000 | PA      | $14678101.12   | 0.03%             | 2046-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 2.645/VAR 06/24/2031                                                               | CUSIP: 06738EBM6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2615000 | PA      | $2031196.41    | 0.00%             | 2031-06-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | VISTRA OPERATIONS CO LLC 3.7% 01/30/2027 144A                                                           | CUSIP: 92840VAG7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2651194.41    | 0.01%             | 2027-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 4.5% 06/01/2050                                                          | CUSIP: 035240AT7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    8175000 | PA      | $7391143.31    | 0.02%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 1                                                     | BAYC 2007-1 A2 1ML+27 3/37                                                                              | CUSIP: 07325MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22338 | PA      | $20129.94      | 0.00%             | 2037-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                                | EOG RESOURCES INC 3.9% 04/01/2035                                                                       | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     205000 | PA      | $185705.95     | 0.00%             | 2035-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 06/47#BH4269                                                                               | CUSIP: 3140GSW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33689 | PA      | $32624.70      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 8/1/41 #AI8194                                                                           | CUSIP: 3138ANC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214814 | PA      | $213672.55     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 01/01/2035#FM2286                                                                          | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1959139 | PA      | $1865354.29    | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                             | KRAFT HEINZ FOODS CO 3.75% 04/01/2030                                                                   | CUSIP: 50077LAV8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    4653000 | PA      | $4298365.37    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                      | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    6724000 | PA      | $6009591.68    | 0.01%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.50% 10/41 #005202                                                                             | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     451811 | PA      | $426350.85     | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 2.95% 05/15/2025                                                                            | CUSIP: 68389XBC8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1129070.16    | 0.00%             | 2025-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 12/20/2049#MA6338                                                                            | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1154623 | PA      | $1054848.01    | 0.00%             | 2049-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2044#G07922                                                                        | CUSIP: 3128MAD30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1846591 | PA      | $1745409.82    | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3.0% 10/01/2028#V60298                                                                        | CUSIP: 3132KEKK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227010 | PA      | $219239.73     | 0.00%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                          | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                           | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8574724 | PA      | $7386879.08    | 0.02%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                                | MORGAN STANLEY CAP I TR 2019-MEAD D 3.17709% 11/10/2036 144A                                            | CUSIP: 61771LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2340000 | PA      | $1971667.85    | 0.00%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                         | PRESIDENT AND FELLOWS OF HARVARD COLLEGE 3.3% 07/15/2056                                                | CUSIP: 740816AN3<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |     190000 | PA      | $141128.16     | 0.00%             | 2056-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                          | CF HIPPOLYTA ISSUER LLC 1.69% 07/15/2060 144A                                                           | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16853510 | PA      | $14903959.65   | 0.03%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 12/01/2051#SD8184                                                                          | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6309421 | PA      | $5601928.43    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC                                                                 | MICHAELS COS INC 7.875% 05/01/2029 144A                                                                 | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $591250.00     | 0.00%             | 2029-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2042#AO7760                                                                        | CUSIP: 3138LYTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124873 | PA      | $125243.98     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BUILDING SOC(UNGTD) 4.363%/VAR 08/01/2024 144A                                               | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    2510000 | PA      | $2473426.16    | 0.01%             | 2024-08-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 7.75%/VAR 03/01/2029 REGS                                                          | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |     400000 | PA      | $410203.69     | 0.00%             | 2029-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2018-HART                                                    | GS MTG SECS CORP TR 2018-HART 1ML+100 10/15/2031 144A                                                   | CUSIP: 36259DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4013000 | PA      | $3783386.98    | 0.01%             | 2031-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                                                         | BAYER AG 2.375%/VAR 11/12/2079 REGS                                                                     | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | EP               | CORP              | DE        |    4200000 | PA      | $3977173.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                              | CALPINE TERM B9 1LN 04/05/2026                                                                          | CUSIP: 13134MBQ5<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |    3192259 | PA      | $3147918.41    | 0.01%             | 2026-04-05      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/01/2052 #TBA                                                                            | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32750000 | PA      | $30382656.43   | 0.06%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5.25% 04/15/2029                                                                     | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2803000 | PA      | $2726843.36    | 0.01%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 1.794%/VAR 02/13/2032                                                                    | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6555000 | PA      | $4988614.64    | 0.01%             | 2032-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MICHIGAN FIN AUTH RE                                                             | MICHIGAN FIN AU 3.384% 12/1/2040                                                                        | CUSIP: 59447TXX6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     545000 | PA      | $432990.29     | 0.00%             | 2040-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 05/01/2051#SD7540                                                                        | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8672497 | PA      | $7494405.77    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP 1.734%/VAR 07/22/2027                                                              | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   13095000 | PA      | $11474166.38   | 0.02%             | 2027-07-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2052#MA4656                                                                        | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15975515 | PA      | $15569974.78   | 0.03%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 2/41 #AE6390                                                                                 | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     793028 | PA      | $766776.69     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2049#BO5177                                                                          | CUSIP: 3140K0XF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5615316 | PA      | $5062866.33    | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE AG 7.5%/VAR PERP REGS                                                                     | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | EP               | CORP              | CH        |    2750000 | PA      | $2268750.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 1/1/43 #AB7570                                                                           | CUSIP: 31417EMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199058 | PA      | $182553.39     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                             | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                                    | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    8499000 | PA      | $6372897.04    | 0.01%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                | BLACKSTONE PROP PARTNERS EUR HOLD 1% 05/04/2028 REGS                                                    | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    2355000 | PA      | $1905866.23    | 0.00%             | 2028-05-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                  | FOX CORP 5.576% 01/25/2049                                                                              | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    1641000 | PA      | $1471647.19    | 0.00%             | 2049-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2043#G07388                                                                        | CUSIP: 3128M9RH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181548 | PA      | $171487.33     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECS TRUST                                                    | AEGIS ASSET BACKED SECS TRUST STEP 12/25/2035                                                           | CUSIP: 00764MHE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11165000 | PA      | $10181536.56   | 0.02%             | 2035-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                               | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                      | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8960268 | PA      | $6770557.71    | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 02/01/2049#CA3084                                                                          | CUSIP: 3140QANA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1584822 | PA      | $1521361.43    | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 4.25% 02/01/2024                                                                         | CUSIP: 00914AAA0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    7846000 | PA      | $7706981.43    | 0.02%             | 2024-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 04/01/2052#                                                                                | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18494816 | PA      | $16392044.22   | 0.03%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 3% 10/15/2030                                                                              | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    7638000 | PA      | $6260028.42    | 0.01%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2048#Q54740                                                                        | CUSIP: 3132XXHS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105238 | PA      | $98353.38      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2048#BM3855                                                                          | CUSIP: 3140J8H97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417172 | PA      | $402618.50     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | 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        |    3020000 | PA      | $2619472.50    | 0.01%             | 2030-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 11/01/2032#BJ1634                                                                          | CUSIP: 3140H2Y85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93593 | PA      | $89080.42      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2044#AS1792                                                                        | CUSIP: 3138WA7E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12267 | PA      | $12280.65      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC 2.648% 01/16/2025                                                                   | CUSIP: 65535HAP4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1075000 | PA      | $1016344.99    | 0.00%             | 2025-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/42#AK5551                                                                               | CUSIP: 3138EAEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355931 | PA      | $343828.34     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 3.9% 07/15/2026                                                                      | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     955000 | PA      | $901427.56     | 0.00%             | 2026-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERN FIN 2020-2 TR                                                     | COREVEST AMERICAN FINANCE 2020-2 TRUST 4.244% 05/15/2052 144A                                           | CUSIP: 21872VAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3200000 | PA      | $2976893.44    | 0.01%             | 2052-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                         | VENTURE GLOBAL CALCASIEU 4.125% 08/15/2031 144A                                                         | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     285000 | PA      | $245812.50     | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2048#BK3214                                                                          | CUSIP: 3140HGSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16084 | PA      | $15540.00      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                | GENERAL MOTORS CO 6.6% 04/01/2036                                                                       | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     775000 | PA      | $782909.63     | 0.00%             | 2036-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 2.956/VAR 05/13/2031                                                              | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5386000 | PA      | $4491319.15    | 0.01%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                          | DARLING INGREDIENTS INC 6% 06/15/2030 144A                                                              | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      65000 | PA      | $63387.35      | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                         | MSCI INC 3.25% 08/15/2033 144A                                                                          | CUSIP: 55354GAQ3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |      90000 | PA      | $70706.80      | 0.00%             | 2033-08-15      | Fixed         | 0.03%                 | 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        |    4024000 | PA      | $3771226.44    | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 12/01/2052 #TBA                                                                            | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8100000 | PA      | $7934518.62    | 0.02%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AR1458                                                                        | CUSIP: 3138NXTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162330 | PA      | $148870.89     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 6/40 #G05898                                                                                 | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69842 | PA      | $71173.79      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                        | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37151 | PA      | $36230.26      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 08/01/2034#C91782                                                                        | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197162 | PA      | $190360.54     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | FX Forward: USD/AUD settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-91.24        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                               | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    6475000 | PA      | $6604500.00    | 0.01%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2047#BJ4279                                                                          | CUSIP: 3140H5XH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71983 | PA      | $69573.21      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                                               | STEEL DYNAMICS INC 3.45% 04/15/2030                                                                     | CUSIP: 858119BK5<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    9595000 | PA      | $8451506.38    | 0.02%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                             | LIFE 2021-BMR MTG TR 1ML+88 03/15/2036 144A                                                             | CUSIP: 53218CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1643526 | PA      | $1556957.79    | 0.00%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 3.05% 04/10/2049                                          | CUSIP: 17290XAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2190826 | PA      | $2038158.85    | 0.00%             | 2049-04-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2046#AL9515                                                                        | CUSIP: 3138ERSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     526703 | PA      | $494917.74     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 5.391% 03/15/2062 144A                                                                   | CUSIP: 55903VAS2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     580000 | PA      | $448798.03     | 0.00%             | 2062-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                        | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161415 | PA      | $152368.76     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-1                                                | NAVIENT STUDENT LOAN TRUST 2015-1 A2 1ML+60 04/25/2040                                                  | CUSIP: 63939FAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2511309 | PA      | $2385511.85    | 0.01%             | 2040-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE ENERGY CORP                                                           | CHESAPEAKE ENERGY CORP 5.875% 02/01/2029 144A                                                           | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     105000 | PA      | $100800.00     | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                      | PHILLIPS 66 2.15% 12/15/2030                                                                            | CUSIP: 718546AW4<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     925000 | PA      | $749576.90     | 0.00%             | 2030-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/01/2039#AS3482                                                                          | CUSIP: 3138WC2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498524 | PA      | $484481.51     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 2/15/29                                                                                         | CUSIP: 912833XN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     120000 | PA      | $94482.62      | 0.00%             | 2029-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 6/40 #A92350                                                                                 | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8202 | PA      | $8358.58       | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 04/15/2043#AD7475                                                                          | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37754 | PA      | $36643.94      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2052#SD8264                                                                        | CUSIP: 3132DWFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1507463 | PA      | $1381748.40    | 0.00%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3% 11/01/2052 #TBA                                                                            | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   23000000 | PA      | $20365782.40   | 0.04%             | 2052-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAP LTD                                                                 | PETRONAS CAP LTD 2.48% 01/28/2032 144A                                                                  | CUSIP: 71675CAB4<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $165354.00     | 0.00%             | 2032-01-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 03/15/2041#738107                                                                          | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22400 | PA      | $21647.65      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV                                      | NEW YORK NY CTY TRANSITIONAL FIN ATH RV BUILD AMERICA BONDSTAXABLE-FTR TAX SECD-SUBSR C-2               | CUSIP: 64971MZG0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     860000 | PA      | $892259.55     | 0.00%             | 2036-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                   | SEMT 2004-6 A3B 6ML+44 7/34                                                                             | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        753 | PA      | $679.20        | 0.00%             | 2034-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | EXELON CORP 5.625% 06/15/2035                                                                           | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     150000 | PA      | $153629.25     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG ENERGY INC 3.625% 02/15/2031 144A                                                                   | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     895000 | PA      | $715686.75     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE T1Y 3.337%/VAR 01/21/2033 144A                                                  | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    1105000 | PA      | $864867.94     | 0.00%             | 2033-01-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                                    | II-VI TERM B 1LN 07/01/2029                                                                             | CUSIP: 45173JAQ7<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |     439329 | PA      | $434113.98     | 0.00%             | 2029-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                               | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                                           | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8700000 | PA      | $236498.19     | 0.00%             | 2042-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 02/01/2052#BV2356                                                                        | CUSIP: 3140MFTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     989998 | PA      | $909138.72     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS INC 3.4% 03/22/2041                                                              | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5480000 | PA      | $4206314.62    | 0.01%             | 2041-03-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                    | PG and E CORP 5.25% 07/01/2030                                                                          | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     735000 | PA      | $665531.48     | 0.00%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LCM INVESTMENTS HOLDINGS                                                         | LCM INVESTMENTS HOLDINGS 4.875% 05/01/2029 144A                                                         | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |      50000 | PA      | $41804.99      | 0.00%             | 2029-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                                          | ASTRAZENECA FINANCE LLC 2.25% 05/28/2031                                                                | CUSIP: 04636NAB9<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |     635000 | PA      | $532821.42     | 0.00%             | 2031-05-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LOGAN CLO I LTD / LOGAN CLO I LLC                                                | LOGAN CLO I LTD / LOGAN CLO I LLC 3ML+116 07/20/2034 144A                                               | CUSIP: 540543AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12500000 | PA      | $12169112.50   | 0.03%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 3.428% 03/15/2024 144A                                                                   | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    3519000 | PA      | $3416799.94    | 0.01%             | 2024-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 01/01/2042#AJ9317                                                                        | CUSIP: 3138E2K79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463455 | PA      | $447720.59     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWER CO                                                             | NEW ENGLAND POWER CO 5.936% 11/25/2052 144A                                                             | CUSIP: 644188BH6<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |    4495000 | PA      | $4633385.59    | 0.01%             | 2052-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2047#AX5857                                                                          | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24372 | PA      | $23502.94      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE CO                                                        | ARIZONA PUBLIC SERVICE CO 2.6% 08/15/2029                                                               | CUSIP: 040555CZ5<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     340000 | PA      | $284552.99     | 0.00%             | 2029-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DTE ELEC CO                                                                      | DTE ELEC CO 2.25% 03/01/2030                                                                            | CUSIP: 23338VAK2<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     625000 | PA      | $528846.29     | 0.00%             | 2030-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                        | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3268243 | PA      | $3005391.70    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 7.3% 08/15/2031                                                                               | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    1849000 | PA      | $2032019.86    | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2047#AL9776                                                                        | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2086481 | PA      | $1957958.21    | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2047#BH4576                                                                        | CUSIP: 3140GTCN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73267 | PA      | $72615.29      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOLP TR 2021-NYC                                                                 | DOLP TR 2021-NYC 2.956% 05/10/2041 144A                                                                 | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13500000 | PA      | $10724717.25   | 0.02%             | 2041-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED LLC TR 2006 CB5                                         | SECURITIZED AB LLC TR 06 CB5 1ML+28 06/25/2036                                                          | CUSIP: 81376WAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2335526 | PA      | $1463350.09    | 0.00%             | 2036-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS PTY LTD                                                 | AUSNET SERVICES HOLDINGS PTY LTD 1.625%/VAR 03/11/2081 REGS                                             | CUSIP: N/A<br>LEI: TTMIG9TE1S0X3ZPDHD61       | Long             | DBT              | CORP              | AU        |     760000 | PA      | $648201.39     | 0.00%             | 2081-03-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 09/01/2044#AX8524                                                                          | CUSIP: 3138YAPJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318893 | PA      | $310408.82     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 08/01/2051#FM8205                                                                        | CUSIP: 3140XCDK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3647724 | PA      | $3140810.13    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 04/01/2041#AI1360                                                                        | CUSIP: 3138AEQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85768 | PA      | $87346.07      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | VISTRA OPERATIONS CO LLC 5.5% 09/01/2026 144A                                                           | CUSIP: 92840VAA0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     770000 | PA      | $745151.52     | 0.00%             | 2026-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME LN TR 2007-NS1                                                    | SVHE 2007-NS1 A4 1ML+30 1/37                                                                            | CUSIP: 83612QAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7309000 | PA      | $6930398.19    | 0.01%             | 2037-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS X-R LTD                                                 | OAK HILL CREDIT PARTNERS X-R LTD 3ML+155 04/20/2034 144A                                                | CUSIP: 67707CAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1916496.00    | 0.00%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 10/01/2045#AL7413                                                                        | CUSIP: 3138EQGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1675433 | PA      | $1633475.67    | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROBLOX CORP                                                                      | ROBLOX CORP 3.875% 05/01/2030 144A                                                                      | CUSIP: 771049AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     280000 | PA      | $229118.40     | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                    | UNICREDIT SPA 2.731%/VAR 01/15/2032 REGS                                                                | CUSIP: N/A<br>LEI: 549300TRUWO2CD2G5692       | Long             | DBT              | CORP              | IT        |    1880000 | PA      | $1662597.08    | 0.00%             | 2032-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| POWER FINANCE CORP LTD                                                           | POWER FINANCE CORP LTD 1.841% 09/21/2028 REGS                                                           | CUSIP: N/A<br>LEI: 3358003Q6D9LIJJZ1614       | Long             | DBT              | CORP              | IN        |    2400000 | PA      | $1974226.32    | 0.00%             | 2028-09-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 3.091%/VAR 05/14/2032 144A                                                         | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   19770000 | PA      | $13468563.18   | 0.03%             | 2032-05-14      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 4.5% 04/15/2050                                                                        | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3381000 | PA      | $2855869.81    | 0.01%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UNITEDHEALTH GROUP INC 3.25% 05/15/2051                                                                 | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    3405000 | PA      | $2498616.38    | 0.01%             | 2051-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                         | CHC COML MTG TR 2019-CHC 1ML+175 06/15/2034 144A                                                        | CUSIP: 162665AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2376058 | PA      | $2274901.72    | 0.00%             | 2034-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                                               | KAISER FNDTN HOSPS 2.81% 06/01/2041                                                                     | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    6820000 | PA      | $5019176.75    | 0.01%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 03/20/2052#MA7938                                                                          | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9708605 | PA      | $9037625.23    | 0.02%             | 2052-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS HEALTH CORP 5.3% 12/05/2043                                                                         | CUSIP: 126650CD0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1405000 | PA      | $1340514.42    | 0.00%             | 2043-12-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 5.125% 11/01/2027 144A                                                            | CUSIP: 88033GDA5<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    4850000 | PA      | $4565741.50    | 0.01%             | 2027-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                                  | TAYLOR MORRISON COMMUNITIES INC 5.875% 06/15/2027 144A                                                  | CUSIP: 87724RAA0<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1435181.25    | 0.00%             | 2027-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 07/01/2050#RA2976                                                                        | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7627181 | PA      | $6572020.25    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS                    | GOVERNMENT NATL MTG ASN MLFY R 1.25% 09/16/2062                                                         | CUSIP: 38380RJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1487930 | PA      | $1189639.25    | 0.00%             | 2062-09-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | CIGNA CORP 2.4% 03/15/2030                                                                              | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    4245000 | PA      | $3605429.07    | 0.01%             | 2030-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2018                                                     | DRSLF 2020-78A A 3ML+118 04/17/2033 144A                                                                | CUSIP: 26253LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5400000 | PA      | $5266339.20    | 0.01%             | 2033-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 2.572%/VAR 06/03/2031                                                                     | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6905000 | PA      | $5658959.61    | 0.01%             | 2031-06-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                                     | JDE PEETS BV 2.25% 09/24/2031 144A                                                                      | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    1400000 | PA      | $1048876.61    | 0.00%             | 2031-09-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 03/01/2052#MA4564                                                                          | CUSIP: 31418ECA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13754036 | PA      | $12203162.62   | 0.03%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 08/01/2045#AZ2035                                                                        | CUSIP: 3138YTHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204513 | PA      | $198432.99     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 3/36 #888342                                                                                 | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135094 | PA      | $140282.72     | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL4 TR                                                                | CSMC 2020-RPL4 TR 2% 01/25/2060 144A                                                                    | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1934417 | PA      | $1634195.16    | 0.00%             | 2060-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| YALE UNIVERSITY                                                                  | YALE UNIVERSITY 2.402% 04/15/2050                                                                       | CUSIP: 98459LAC7<br>LEI: 9SFB6DIM0FRWV0EV8S84 | Long             | DBT              | CORP              | US        |    2140000 | PA      | $1386736.91    | 0.00%             | 2050-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 5.5% 09/13/2025                                                                           | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    8267000 | PA      | $8390231.95    | 0.02%             | 2025-09-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                      | BAMLL COML MTG SECS TR 2019 3.287% 11/05/2032 144A                                                      | CUSIP: 05492PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $6014153.60    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2013-133 IB 3% 04/32                                                                                | CUSIP: 3136AHQ94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      91250 | PA      | $2995.95       | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES UTICA LLC / ARU FIN CORP                                        | ASCENT RESOURCES UTICA LLC / ARU FIN CORP 7% 11/01/2026 144A                                            | CUSIP: 04364VAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1530000 | PA      | $1499783.71    | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 10/01/2045#BA4574                                                                        | CUSIP: 3140E9CL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226841 | PA      | $220096.66     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 4.282% 01/09/2028 144A                                                             | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1250000 | PA      | $1018515.18    | 0.00%             | 2028-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL1 TR                                                                | CSMC 2022-RPL1 TR 3.77782% 04/25/2061 144A                                                              | CUSIP: 12661QAH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9441320 | PA      | $8528344.54    | 0.02%             | 2061-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/41 #778681                                                                                | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90206 | PA      | $87095.74      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                           | CONSOLIDATED EDISON CO OF NY 4.3% 12/01/2056                                                            | CUSIP: 209111FK4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     300000 | PA      | $243333.76     | 0.00%             | 2056-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#CB2348                                                                          | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1969811 | PA      | $1629630.07    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 8/15/42                                                                                         | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     490000 | PA      | $215827.87     | 0.00%             | 2042-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                            | LCH OIS SOFRV3.25% MAC 12/21/24                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |   63081000 | NC      | $-573119.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 03/01/2043#AT0162                                                                        | CUSIP: 3138WMFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     626759 | PA      | $549453.09     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP TRANSMISSION CO LLC 3.75% 12/01/2047                                                                | CUSIP: 00115AAH2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     850000 | PA      | $660814.18     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NATIONAL ASSOCIATION                                            | WELLS FARGO BK NATL ASSN 5.25% 08/01/2023 REGS                                                          | CUSIP: N/A<br>LEI: KB1H1DSPRFMYMCUFXT09       | Long             | DBT              | CORP              | US        |     250000 | PA      | $301451.10     | 0.00%             | 2023-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                            | EG GLOBAL FINANCE PLC 8.5% 10/30/2025 144A                                                              | CUSIP: 28228PAB7<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |     380000 | PA      | $362645.45     | 0.00%             | 2025-10-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                      | BAYC 2007-2 A1 1ML+27 7/37                                                                              | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65642 | PA      | $57313.55      | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE24 MTG TR                                                          | COMM 2015-CCRE24 A4 3.432% 08/10/2055                                                                   | CUSIP: 12593JBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     954103 | PA      | $902845.25     | 0.00%             | 2048-08-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 6/41 #005082                                                                              | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     949903 | PA      | $944239.77     | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 3/42 #773365                                                                                 | CUSIP: 36176Q6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11396 | PA      | $10735.23      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CRPT 2021                                                                        | CRPT 2021 1ML+220 07/15/2034 144A                                                                       | CUSIP: 12566BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77702 | PA      | $72208.66      | 0.00%             | 2036-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3% 08/45#AL8626                                                                               | CUSIP: 36184FSP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     447996 | PA      | $413972.27     | 0.00%             | 2045-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 08/20/2045#MA3104                                                                          | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     320703 | PA      | $295044.03     | 0.00%             | 2045-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                                                 | UPSTART SECURITIZATION TR 2021-1 0.91% 06/20/2031 144A                                                  | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2221694 | PA      | $2174176.52    | 0.00%             | 2031-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 12/20/2051#MA7766                                                                            | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9877020 | PA      | $8411705.43    | 0.02%             | 2051-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.75% 02/01/2032 144A                                                            | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     115000 | PA      | $96168.75      | 0.00%             | 2032-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2044#AS1626                                                                        | CUSIP: 3138WAYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     841052 | PA      | $841976.50     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                           | IPALCO ENTERPRISES INC 3.7% 09/01/2024                                                                  | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    2644000 | PA      | $2560578.18    | 0.01%             | 2024-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 12/01/2051#FM9865                                                                        | CUSIP: 3140XD6B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3822867 | PA      | $3288627.17    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/46#AS7008                                                                               | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59866 | PA      | $56270.82      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 2/41 #AH5581                                                                                 | CUSIP: 3138A7FX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479598 | PA      | $477008.70     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3.625% 01/15/2032 144A                               | CUSIP: 46590XAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1194000 | PA      | $985050.00     | 0.00%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 3.65%/VAR PERP                                                            | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |    1750000 | PA      | $1361115.95    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 10/01/42 #Q12052                                                                         | CUSIP: 3132HNH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177427 | PA      | $166622.36     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/01/2041#AI5633                                                                        | CUSIP: 3138AKHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20401 | PA      | $20796.78      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 03/20/2048#MA5079                                                                          | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43772 | PA      | $43574.76      | 0.00%             | 2048-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4.5% 11/30/2024                                                                               | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  429750000 | PA      | $431025820.31  | 0.92%             | 2024-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC 4.95% 08/15/2027                                                                    | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      45000 | PA      | $43757.61      | 0.00%             | 2027-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                         | MHC COML MTG TR 2021-MHC A 1ML+80.096 04/15/2026 144A                                                   | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10550692 | PA      | $10180642.30   | 0.02%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK and PRESBYTERIAN HOSP                                                   | NEW YORK and PRESBYTERIAN HOSP 4.063% 08/01/2056                                                        | CUSIP: 649322AD6<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |     390000 | PA      | $315768.96     | 0.00%             | 2056-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 08/01/2028#AU2696                                                                        | CUSIP: 3138X17J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98359 | PA      | $94197.16      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 05/01/2051#CB0454                                                                        | CUSIP: 3140QKQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18220315 | PA      | $15676901.49   | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                                                           | PT PERTAMINA (PERSERO) 3.1% 08/27/2030 144A                                                             | CUSIP: 69370PAH4<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |     600000 | PA      | $516066.00     | 0.00%             | 2030-08-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GAP INC                                                                          | GAP INC 3.875% 10/01/2031 144A                                                                          | CUSIP: 364760AQ1<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    1490000 | PA      | $1124950.00    | 0.00%             | 2031-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE                                                                   | OMAN SULTANATE 5.625% 01/17/2028 REGS                                                                   | CUSIP: N/A<br>LEI: 549300SZ20F0QTKNQC75       | Long             | DBT              | NUSS              | OM        |    1025000 | PA      | $1003218.75    | 0.00%             | 2028-01-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY COMPANY                                                              | PECO ENERGY COMPANY 2.8% 06/15/2050                                                                     | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     380000 | PA      | $252773.49     | 0.00%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 4.4% 04/15/2046                                                               | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     200000 | PA      | $158000.00     | 0.00%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2045#AY9334                                                                        | CUSIP: 3138YPLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89697 | PA      | $89459.48      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 12/01/2052 #TBA                                                                              | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60750000 | PA      | $54792587.70   | 0.12%             | 2052-12-01      | 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 4.0% 12/15/2040                                                          | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     235633 | PA      | $230317.99     | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 3/35 #735288                                                                                 | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     696482 | PA      | $703285.61     | 0.00%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2044#Q24546                                                                        | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54468 | PA      | $53050.35      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#BQ6913                                                                          | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21237549 | PA      | $17510148.90   | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047       | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   32024000 | PA      | $26493037.93   | 0.06%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNATIONAL HOLDINGS LTD             | DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNATIONAL HOLDINGS LTD PIK VAR 12/31/2025 144A            | CUSIP: 25381XAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    2217435 | PA      | $1396984.05    | 0.00%             | 2025-12-31      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 12/33 #745944                                                                                | CUSIP: 31403DWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31047 | PA      | $31262.82      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2014-C24                                                       | WFRBS 2014-C24 XA CSTR 11/47                                                                            | CUSIP: 92939KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5971941 | PA      | $73426.21      | 0.00%             | 2047-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2047#MA3073                                                                        | CUSIP: 31418CMX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317623 | PA      | $314895.65     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT K124 X1 CSTR 12/25/2030                                                  | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6485260 | PA      | $289431.97     | 0.00%             | 2030-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CHUBB CORP                                                                       | CHUBB CORP 6% 05/11/2037                                                                                | CUSIP: 171232AQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130000 | PA      | $138793.37     | 0.00%             | 2037-05-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                     | NEXTERA ENERGY CAP HLDGS INC 2.25% 06/01/2030                                                           | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     970000 | PA      | $804668.82     | 0.00%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 4/40 #737111                                                                                 | CUSIP: 3620AQ3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25579 | PA      | $25327.29      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 5.584% 03/18/2024                                                                    | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    8575000 | PA      | $8478531.25    | 0.02%             | 2024-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                                    | COMMSCOPE TERM B 1LN 04/04/2026                                                                         | CUSIP: 20337EAQ4<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | LON              | CORP              | US        |    1574139 | PA      | $1510685.12    | 0.00%             | 2026-04-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                       | DAVITA INC 4.625% 06/01/2030 144A                                                                       | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     125000 | PA      | $101185.00     | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #783281                                                                                 | CUSIP: 36241LUE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12040 | PA      | $11923.53      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 10/01/2051#CB1801                                                                          | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5551079 | PA      | $4594156.43    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 7/42 #Q09199                                                                                 | CUSIP: 3132GURU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93728 | PA      | $88143.53      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2041#AB3419                                                                        | CUSIP: 31416YYR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67357 | PA      | $66997.99      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 05/20/2046#AS4758                                                                          | CUSIP: 36193PJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45108 | PA      | $42399.51      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                          | BRISTOL-MYERS SQUIBB CO 4.25% 10/26/2049                                                                | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     345000 | PA      | $306615.77     | 0.00%             | 2049-10-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 3.65% 09/15/2059                                                                           | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    8915000 | PA      | $6192293.83    | 0.01%             | 2059-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 9/41 #G06719                                                                                 | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1144671 | PA      | $1139977.27    | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 04/01/2032#J36729                                                                          | CUSIP: 31307TPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49112 | PA      | $47000.81      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 08/01/2043#G08540                                                                        | CUSIP: 3128MJS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310382 | PA      | $284523.44     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNATIONAL HOLDINGS LTD             | DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNATIONAL HOLDINGS LTD 8.75% 05/25/2024 144A              | CUSIP: 25381XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     300000 | PA      | $261000.00     | 0.00%             | 2024-05-25      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2047#BE1526                                                                        | CUSIP: 3140FLVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199442 | PA      | $187094.09     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 4.063% 11/01/2024                                                                    | CUSIP: 345397ZX4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   22139000 | PA      | $21371788.45   | 0.05%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | SIMON PROPERTY GROUP LP 3.75% 02/01/2024                                                                | CUSIP: 828807CR6<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     375000 | PA      | $369379.76     | 0.00%             | 2024-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.0% 12/20/2042#AA5872                                                                          | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     502458 | PA      | $457214.76     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2019-NQM4                                              | NEW RESIDENTIAL MTG LN TR 2019-NQM4 3.5% 08/25/2059 144A                                                | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1102797 | PA      | $996377.36     | 0.00%             | 2059-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDEN ENTERTAINMENT INC                                                         | GOLDEN ENTERTAINMENT INC 7.625% 04/15/2026 144A                                                         | CUSIP: 381013AA9<br>LEI: 549300P8YYCKQVJ0Y638 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1188000.00    | 0.00%             | 2026-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 11/20/2044#MA2372                                                                          | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1040269 | PA      | $1017275.83    | 0.00%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-C29                                                 | WELLS FARGO COML MTG TR 2015-C29 3.4% 06/15/2048                                                        | CUSIP: 94989KAW3<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |     713827 | PA      | $692653.39     | 0.00%             | 2048-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 10/01/2050#CA7323                                                                          | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3928046 | PA      | $3271777.94    | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 05/20/2050#MA6657                                                                          | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3383635 | PA      | $3175427.25    | 0.01%             | 2050-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                                                         | ENEL SOCIETA PER AZIONI 3.375%/VAR PERP REGS                                                            | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |    1035000 | PA      | $978742.83     | 0.00%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2043#AU1335                                                                        | CUSIP: 3138X0PV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29480 | PA      | $27820.53      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 12/41 #552554                                                                                | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188354 | PA      | $181904.88     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 04/01/2042#MA1028                                                                        | CUSIP: 31418AEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25940 | PA      | $25057.32      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 01/01/2048#BM5261                                                                          | CUSIP: 3140J9Z38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1230017 | PA      | $1185760.30    | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | ABBVIE INC 4.5% 05/14/2035                                                                              | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2084032.65    | 0.00%             | 2035-05-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2% 08/01/2035#RC1535                                                                          | CUSIP: 3133L7V46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     550003 | PA      | $497328.49     | 0.00%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                   | HALLIBURTON CO 4.75% 08/01/2043                                                                         | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     460000 | PA      | $401938.08     | 0.00%             | 2043-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.875% 08/14/2024                                    | CUSIP: 00774MAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    7954000 | PA      | $7528337.24    | 0.02%             | 2024-08-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                                       | PROGRESS RESIDENTIAL TRUST 21-SFR11 E1 3.378% 01/17/2039 144A                                           | CUSIP: 74333XAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4000000 | PA      | $3180892.00    | 0.01%             | 2039-01-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 4.054% 03/15/2029 144A                                                                   | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    1378000 | PA      | $1206756.19    | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2021-1                                             | ECMC GROUP STUDENT LOAN TRUST 2021-1 1ML+57 11/25/2070 144A                                             | CUSIP: 26833RAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     843837 | PA      | $795871.35     | 0.00%             | 2070-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                      | ASURION TERM B4 2LN 01/20/2029                                                                          | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     153044 | PA      | $117205.82     | 0.00%             | 2029-01-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 4.972%/VAR 05/16/2029                                                              | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   15000000 | PA      | $14069782.50   | 0.03%             | 2029-05-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MTG TR                                                          | COMM 2014-CCRE17 XA CSTR 05/10/2047                                                                     | CUSIP: 12631DBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17409148 | PA      | $167872.94     | 0.00%             | 2047-05-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 4.95% 06/15/2028                                                                     | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4954000 | PA      | $4792185.81    | 0.01%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AB2079                                                                                 | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     901972 | PA      | $872086.19     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2044#AL5426                                                                          | CUSIP: 3138ENA41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     728267 | PA      | $666973.11     | 0.00%             | 2044-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 4.687% 06/09/2025                                                                    | CUSIP: 345397ZJ5<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     180000 | PA      | $173193.66     | 0.00%             | 2025-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 2/41 #AE6394                                                                                 | CUSIP: 31419HC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349090 | PA      | $347189.98     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 3.625% 03/15/2032 144A                                                                          | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2095000 | PA      | $1790899.77    | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 6.0% 01/01/2037#932030                                                                        | CUSIP: 31412QPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207508 | PA      | $217426.30     | 0.00%             | 2037-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 03/01/2042#MA4570                                                                          | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1799121 | PA      | $1523838.03    | 0.00%             | 2042-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                   | URUGUAY REPUBLICA ORIENTAL DL 5.1% 06/18/2050                                                           | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    1385000 | PA      | $1378075.00    | 0.00%             | 2050-06-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                          | SAUDI ARABIA KINGDOM OF 3.25% 11/17/2051 144A                                                           | CUSIP: 80413TAZ2<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    7910000 | PA      | $5675425.00    | 0.01%             | 2051-11-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 10/45#Q36893                                                                             | CUSIP: 3132QTUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207460 | PA      | $195444.57     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 8% 12/15/2025 144A                                                                        | CUSIP: 893647BK2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     465000 | PA      | $473137.50     | 0.00%             | 2025-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 4.35% 09/08/2026                                                                         | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $2015358.02    | 0.00%             | 2026-09-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B28 MTG TR                                                        | BENCHMARK 2021-B28 MTG TR 2.2237% 08/15/2054                                                            | CUSIP: 08163GAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     640000 | PA      | $511165.38     | 0.00%             | 2054-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LN TR 2006 B                                              | NATIONSTAR HOME EQ LN TR 06 B 1ML+36 09/25/2036                                                         | CUSIP: 63860FAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8141000 | PA      | $7419956.51    | 0.02%             | 2036-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HOLLY EN PART LP/ HOL FIN CORP                                                   | HOLLY EN PART LP/ HOL FIN CORP 5% 02/01/2028 144A                                                       | CUSIP: 435765AH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     375000 | PA      | $341685.81     | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 07/20/2049#MA6038                                                                            | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     769964 | PA      | $705353.56     | 0.00%             | 2049-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | FX Forward: EUR/USD settle 2022-12-02                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $509898.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/01/2047#MA3182                                                                        | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     899542 | PA      | $839915.21     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SES GLOBAL AMERICAS HLDG GP                                                      | SES GLOBAL AMERICAS HLDG GP 5.3% 03/25/2044 144A                                                        | CUSIP: 78413KAB8<br>LEI: 5299000YGN3VJ3R60481 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1561497.08    | 0.00%             | 2044-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| M and G PLC                                                                      | PRUDENTIAL PLC 5.625%/VAR 10/20/2051 REGS                                                               | CUSIP: N/A<br>LEI: 254900TWUJUQ44TQJY84       | Long             | DBT              | CORP              | GB        |     830000 | PA      | $919598.64     | 0.00%             | 2051-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.0% 4/45#Q32729                                                                                   | CUSIP: 3132QPA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     738405 | PA      | $674347.50     | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 3.298% 01/19/2033                                                                    | CUSIP: 698299BR4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    8600000 | PA      | $7082100.00    | 0.02%             | 2033-01-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRIFOLS WORLDWIDE OPERATIONS USA INC                                             | GRIFOLS WORLDWIDE OPERATIONS TERM B 1LN 11/15/2027                                                      | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1636083 | PA      | $1582681.72    | 0.00%             | 2027-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMCC 2021-MHC                                                                   | JPMCC 2021-MHC VAR 04/15/2038 144A                                                                      | CUSIP: 466330AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  164060500 | PA      | $856215.34     | 0.00%             | 2038-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                                          | CAN 10YR BOND FUT MAR23 CNH3                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | CA        |         52 | NC      | $30988.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2.5% 06/01/2041#MA4366                                                                        | CUSIP: 31418DZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2822515 | PA      | $2492902.53    | 0.01%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO VII-R LTD                                                        | SOUND POINT CLO VII-R LTD 14-3RA A1R 3ML+107 10/23/2031 144A                                            | CUSIP: 83610HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10250000 | PA      | $9976089.25    | 0.02%             | 2031-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | QUEST DIAGNOSTICS INC 5.75% 01/30/2040                                                                  | CUSIP: 74834LAQ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |      93000 | PA      | $89013.62      | 0.00%             | 2040-01-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 10/01/2034#CA4265                                                                          | CUSIP: 3140QBW38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3181424 | PA      | $3028133.66    | 0.01%             | 2034-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2047#BE8498                                                                        | CUSIP: 3140FUNQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89988 | PA      | $89608.42      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 10/01/2043#AL7855                                                                          | CUSIP: 3138EQWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464103 | PA      | $425042.52     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AB2086                                                                                 | CUSIP: 31416XJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352154 | PA      | $340523.13     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 05/01/2040#AD4085                                                                        | CUSIP: 31418RRF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35885 | PA      | $36530.33      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28                      | MSBAM 2016-C28 3.272% 01/15/49                                                                          | CUSIP: 61766LBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3302603 | PA      | $3104694.14    | 0.01%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                                                      | EQUIFAX INC 2.35% 09/15/2031                                                                            | CUSIP: 294429AT2<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |     725000 | PA      | $561301.45     | 0.00%             | 2031-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR3 TR                                                | PROGRESS RESIDENTIAL 2021-SFR3 TR 3.436% 05/17/2026 144A                                                | CUSIP: 74333VAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1277689.50    | 0.00%             | 2026-05-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 05/01/2042#AL5788                                                                        | CUSIP: 3138ENNE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434848 | PA      | $442588.61     | 0.00%             | 2042-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61                                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 A3 2.406% 11/15/2054                                     | CUSIP: 95003QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7300000 | PA      | $5873317.20    | 0.01%             | 2054-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY SOUTH CAROLINA INC                                               | DOMINION ENERGY SOUTH CAROLINA INC 5.45% 02/01/2041                                                     | CUSIP: 837004CE8<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |     285000 | PA      | $283384.58     | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 08/01/2032#J37406                                                                          | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102821 | PA      | $98401.51      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 02/20/2051#MA7192                                                                            | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6215291 | PA      | $5309725.91    | 0.01%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 03/01/2036#CA9439                                                                        | CUSIP: 3140QHPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4201654 | PA      | $3899137.21    | 0.01%             | 2036-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | CREDIT AGRICOLE SA 1.25% 10/02/2024 REGS                                                                | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | CORP              | FR        |     300000 | PA      | $339009.10     | 0.00%             | 2024-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN AB                                                                    | HEIMSTADEN AB 4.375% 03/06/2027 REGS                                                                    | CUSIP: N/A<br>LEI: 549300WD2QBD89VBPV88       | Long             | DBT              | CORP              | SE        |     800000 | PA      | $573911.71     | 0.00%             | 2027-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 2.651%/VAR 03/11/2032                                                       | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   16000000 | PA      | $12979714.56   | 0.03%             | 2032-03-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                              | DOMINION ENERGY INC 7% 06/15/2038                                                                       | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     150000 | PA      | $163096.03     | 0.00%             | 2038-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FIN II LLC 4.25% 12/15/2025 144A                                                               | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   54704000 | PA      | $53049662.97   | 0.11%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2042#Q06232                                                                        | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198392 | PA      | $191889.33     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 10/01/2042#Q12215                                                                        | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12589 | PA      | $12167.13      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 05/20/2046#AS9183                                                                          | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29652 | PA      | $27871.11      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/44#G60201                                                                             | CUSIP: 31335AGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76743 | PA      | $76778.55      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 5.85% 12/15/2027                                                                         | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     970000 | PA      | $963422.61     | 0.00%             | 2027-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 4.375% 08/01/2023                                                        | CUSIP: 681936BJ8<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    1368000 | PA      | $1350114.70    | 0.00%             | 2023-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 02/01/2052#SD0861                                                                          | CUSIP: 3132DM5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     319667 | PA      | $283622.51     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 05/01/2044#G08587                                                                        | CUSIP: 3128MJUM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82159 | PA      | $82247.93      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 02/01/2044#Q25157                                                                        | CUSIP: 3132M5ME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87832 | PA      | $87923.76      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 1.433% 02/04/2024                                                                             | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $954594.24     | 0.00%             | 2024-02-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                         | BUILDERS FIRSTSOURCE INC 4.25% 02/01/2032 144A                                                          | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     110000 | PA      | $89172.64      | 0.00%             | 2032-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                               | STORE CAP CORP 2.75% 11/18/2030                                                                         | CUSIP: 862121AC4<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |    1957000 | PA      | $1526077.03    | 0.00%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENGAL DEBT MERGER SUB LLC                                                       | TROPICANA TERM 1LN 01/24/2029                                                                           | CUSIP: 62984CAD5<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |    3083810 | PA      | $2898781.23    | 0.01%             | 2029-01-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY SOUTH CAROLINA INC                                               | DOMINION ENERGY SOUTH CAROLINA INC 5.1% 06/01/2065                                                      | CUSIP: 837004CJ7<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |     275000 | PA      | $256460.90     | 0.00%             | 2065-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 08/15/2041                                                                                      | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1840000 | PA      | $859715.07     | 0.00%             | 2041-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                            | FX Forward: EUR/USD settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $11980.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD                                                                 | FLATIRON CLO LTD 3ML+109 11/16/2034 144A                                                                | CUSIP: 33883JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5750000 | PA      | $5593916.25    | 0.01%             | 2034-11-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO Income Instl                                                                                      | CUSIP: 72201F490<br>LEI: Y52315K7L96R2YWLTM72 | Long             | EC               | RF                | US        |   72140215 | NS      | $759636465.19  | 1.61%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053        | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1805000 | PA      | $1450340.57    | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STARFRUIT US HOLDCO LLC                                                          | AKZONOBEL SPECIALTY CHEMICALS TERM B 10/01/2025                                                         | CUSIP: N/A<br>LEI: 213800XPQ78J7OIF6Y69       | Long             | LON              | CORP              | US        |    2009472 | PA      | $1956221.35    | 0.00%             | 2025-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 1.589%/VAR 05/24/2027                                                                 | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     675000 | PA      | $578342.59     | 0.00%             | 2027-05-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL3 TRUST                                                             | CSMC 2022-RPL3 TRUST 3.60749% 03/25/2061 144A                                                           | CUSIP: 12659QAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12386150 | PA      | $12195403.11   | 0.03%             | 2061-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                         | GENERAL MTRS FINL CO INC 3.7% 05/09/2023                                                                | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   11800000 | PA      | $11725099.97   | 0.02%             | 2023-05-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES INC                                                        | TELEDYNE TECHNOLOGIES INC 2.25% 04/01/2028                                                              | CUSIP: 879360AD7<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |    1675000 | PA      | $1444189.49    | 0.00%             | 2028-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AK9701                                                                                 | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58548 | PA      | $56548.79      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                         | AES CORP 3.95% 07/15/2030 144A                                                                          | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    9327000 | PA      | $8165788.50    | 0.02%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                            | MOLINA HEALTHCARE INC 3.875% 05/15/2032 144A                                                            | CUSIP: 60855RAL4<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     155000 | PA      | $130781.25     | 0.00%             | 2032-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 03/01/2043#Q16673                                                                        | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     476877 | PA      | $437295.39     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LN TR 2017-3                                                     | NAVIENT STUDENT LN TR 2017-3 1ML+105 07/26/2066 144A                                                    | CUSIP: 63940JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9093000 | PA      | $8925458.75    | 0.02%             | 2066-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2046#Q39975                                                                          | CUSIP: 3132QXCM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41837 | PA      | $40656.73      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RALI SER 2007-QS8 TR                                                             | RALI SERIES 2007-QS8 TRUST 6% 06/25/2037                                                                | CUSIP: 74922UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     904052 | PA      | $693381.36     | 0.00%             | 2037-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO                                                                  | DOW CHEMICAL CO 4.625% 10/01/2044                                                                       | CUSIP: 260543CL5<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |     295000 | PA      | $245393.90     | 0.00%             | 2044-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2042#AO2993                                                                        | CUSIP: 3138LTKF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     853930 | PA      | $801671.45     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 5.125% 09/30/2024                                                                         | CUSIP: 02005NAV2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    2688000 | PA      | $2666769.64    | 0.01%             | 2024-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 10/01/2041#AL4242                                                                        | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256250 | PA      | $260894.87     | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAY AREA TOLL AU CA BRIDGE REV                                                   | BAY AREA TA CA 6.263% 4/1/49                                                                            | CUSIP: 072024ND0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3265000 | PA      | $3741212.33    | 0.01%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 10/41 #AJ4047                                                                                | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304849 | PA      | $294634.97     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q02189                                                                        | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38289 | PA      | $38669.80      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL INTL FUNDING CO                                                       | GE CAPITAL INTL FUNDING CO 4.418% 11/15/2035                                                            | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |    5136000 | PA      | $4847627.11    | 0.01%             | 2035-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 12/01/2051#CB2320                                                                        | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6107903 | PA      | $5254332.36    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-HB7 LLC                                                                | CFMT 2021-HB7 LLC 1.3034% 10/27/2031 144A                                                               | CUSIP: 12530BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4282602 | PA      | $4001550.48    | 0.01%             | 2031-10-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CIFC 2021-7A                                                                     | CIFC 2021-7A B 3ML+160 01/23/2035 144A                                                                  | CUSIP: 12567HAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7600000 | PA      | $7232448.80    | 0.02%             | 2035-01-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 02/01/2043#AR4159                                                                        | CUSIP: 3138W1TR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677338 | PA      | $659952.09     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 06/01/2040#MA4045                                                                          | CUSIP: 31418DP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1128255 | PA      | $972192.36     | 0.00%             | 2040-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                                | CEDAR FUNDING LTD 3ML+110 10/20/2032 144A                                                               | CUSIP: 15033XAJ5<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |    4327000 | PA      | $4208820.98    | 0.01%             | 2032-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                            | EG GLOBAL FINANCE PLC 6.75% 02/07/2025 144A                                                             | CUSIP: 28228PAA9<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |     220000 | PA      | $200200.00     | 0.00%             | 2025-02-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                            | TMTS 2003-4HE A 1ML+43 9/34                                                                             | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       3163 | PA      | $2983.61       | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                                                 | NEW YORK MORTGAGE TRUST 2021-SP1 1.6696% 08/25/2061 144A                                                | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4555862 | PA      | $4047117.47    | 0.01%             | 2061-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2933 ZM 5.75% 02/15/2035                                                                            | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     374747 | PA      | $386269.35     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                          | DUKE ENERGY FLORIDA LLC 2.4% 12/15/2031                                                                 | CUSIP: 26444HAK7<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $830397.13     | 0.00%             | 2031-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DRYDEN 76 CLO LTD                                                                | DRYDEN 76 CLO LTD 3ML+115 10/20/2034 144A                                                               | CUSIP: 26252WAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3910000 | PA      | $3784414.71    | 0.01%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/40 #AE6344                                                                                | CUSIP: 31419HBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56246 | PA      | $55941.07      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PORT AUTH NY and NJ                                                              | PORT NY NJ 4.458% 10/01/2062                                                                            | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     515000 | PA      | $463128.84     | 0.00%             | 2062-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 02/01/2050#SD7512                                                                          | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30051429 | PA      | $27085497.05   | 0.06%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                     | THERMO FISHER SCIENTIFIC INC 2.8% 10/15/2041                                                            | CUSIP: 883556CM2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     620000 | PA      | $466606.41     | 0.00%             | 2041-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                             | ROMANIA REPUBLIC OF 3% 02/14/2031 REGS                                                                  | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    1164000 | PA      | $927417.00     | 0.00%             | 2031-02-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026                                                              | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   10143000 | PA      | $9351994.19    | 0.02%             | 2026-05-07      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                                    | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   78965000 | PA      | $53751475.50   | 0.11%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PNMAC FMSR ISSUER TRUST 2018-FT1                                                 | PNMAC FMSR ISSUER TRUST 2018-FT1 A 1ML+ 04/25/2023 144A                                                 | CUSIP: 69346MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     300000 | PA      | $282689.16     | 0.00%             | 2023-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                     | STRYKER CORP 3.375% 11/01/2025                                                                          | CUSIP: 863667AH4<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     430000 | PA      | $415746.27     | 0.00%             | 2025-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                                                     | NEWMONT CORP 2.8% 10/01/2029                                                                            | CUSIP: 651639AX4<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    2095000 | PA      | $1798410.31    | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 02/46#BC1354                                                                             | CUSIP: 3140EVQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220407 | PA      | $207380.97     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 12/39 #AC8512                                                                                | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288413 | PA      | $286648.26     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC33                                                  | CGCMT 2015-GC33 XA CSTR 09/58                                                                           | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17408247 | PA      | $336287.30     | 0.00%             | 2058-09-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AECOM                                                                            | AECOM 5.125% 03/15/2027                                                                                 | CUSIP: 00774CAB3<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |    1280000 | PA      | $1245286.40    | 0.00%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | REALTY INCOME CORP 2.2% 06/15/2028                                                                      | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     791000 | PA      | $678379.44     | 0.00%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                              | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    4545000 | PA      | $4556362.50    | 0.01%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP                                      | PROVIDENCE ST JOSEPH HEALTH OBLIGATED GROUP 2.746% 10/01/2026                                           | CUSIP: 743756AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     180000 | PA      | $169307.55     | 0.00%             | 2026-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                      | CHENIERE ENERGY PARTNERS LP 4% 03/01/2031                                                               | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     220000 | PA      | $192225.00     | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELTA 2 SARL                                                                     | FORMULA ONE TERM B 1LN 01/15/2030                                                                       | CUSIP: N/A<br>LEI: 549300BBG8Z3D6QSYP53       | Long             | LON              | CORP              | LU        |      57740 | PA      | $57433.85      | 0.00%             | 2030-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.5% 08/01/2052#MA4738                                                                        | CUSIP: 31418EHQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2459386 | PA      | $2488520.96    | 0.01%             | 2052-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA 1ML+605 01/25/2044                                           | CUSIP: 3136AHTW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      82553 | PA      | $8994.89       | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 17 LTD                                                     | ANCHORAGE CAPITAL CLO 17 LTD 3ML+117 07/15/2034 144A                                                    | CUSIP: 03332PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10500000 | PA      | $10168126.50   | 0.02%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SURGERY CENTER HLDGS INC                                                         | SURGERY CENTER HLDGS INC 6.75% 07/01/2025 144A                                                          | CUSIP: 84611WAB0<br>LEI: 54930054EVI5HWPPW113 | Long             | DBT              | CORP              | US        |     215000 | PA      | $210457.36     | 0.00%             | 2025-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CATALENT PHARMA SOLUTIONS                                                        | CATALENT PHARMA SOLUTIONS 3.125% 02/15/2029 144A                                                        | CUSIP: 14879EAH1<br>LEI: 549300HALRZ339MSTH85 | Long             | DBT              | CORP              | US        |     275000 | PA      | $224812.50     | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 05/01/2052#FS1836                                                                        | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7219259 | PA      | $6210378.39    | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 02/43#MA0784                                                                                 | CUSIP: 36179M2R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130632 | PA      | $126375.45     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 02/48#CA1199                                                                               | CUSIP: 3140Q8KM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6813 | PA      | $6584.78       | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                                                                       | TWILIO INC 3.875% 03/15/2031                                                                            | CUSIP: 90138FAD4<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |      85000 | PA      | $68963.90      | 0.00%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | INTUIT INC 1.35% 07/15/2027                                                                             | CUSIP: 46124HAC0<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |     200000 | PA      | $174059.57     | 0.00%             | 2027-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 06/01/2045#Q33871                                                                        | CUSIP: 3132QQJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270787 | PA      | $247042.01     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SFAVE COML MTG SECS TR 2015-5AVE                                                 | SFAVE COML MTG SECS TR 15-5AVE VAR 01/05/2035 144A                                                      | CUSIP: 78413MAA6<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |     740000 | PA      | $513054.14     | 0.00%             | 2043-01-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                             | WR GRACE HOLDING LLC 4.875% 06/15/2027 144A                                                             | CUSIP: 92943GAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $111993.75     | 0.00%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                 | ISRAEL STATE OF 4.5% 01/30/2043                                                                         | CUSIP: 4651387N9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $183448.40     | 0.00%             | 2043-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSUNION LLC                                                                   | TRANS UNION TERM B6 1LN 12/01/2028                                                                      | CUSIP: 89334GAZ7<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |     305520 | PA      | $300096.79     | 0.00%             | 2028-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2043#Q17564                                                                        | CUSIP: 3132J8Z60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11133 | PA      | $10515.74      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 02/01/2043#AR6381                                                                        | CUSIP: 3138W4CT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18138 | PA      | $16633.92      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                              | MEDLINE BORROWER LP 3.875% 04/01/2029 144A                                                              | CUSIP: 62482BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $1805496.00    | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BHMS 2018-ATLS                                                                   | BHMS 2018-ATLS A 1ML+125 07/15/2035 144A                                                                | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10931821 | PA      | $10481226.64   | 0.02%             | 2035-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2042#AO3740                                                                        | CUSIP: 3138LUEN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15254 | PA      | $15299.02      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2% 01/01/2032#G16177                                                                          | CUSIP: 3128MFCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     962406 | PA      | $883658.05     | 0.00%             | 2032-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                 | BAMLL COML MTG SECS TR 2022-DKLX C VAR 01/15/2039 144A                                                  | CUSIP: 05530SAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     562000 | PA      | $529629.98     | 0.00%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORP NEW                                                            | DEVON ENERGY CORP NEW 5.6% 07/15/2041                                                                   | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $966270.77     | 0.00%             | 2041-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 04/01/2049#BN6567                                                                        | CUSIP: 3140JPJM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40961 | PA      | $38198.02      | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                                            | HIGHTOWER HOLDING LLC 6.75% 04/15/2029 144A                                                             | CUSIP: 43118DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     350000 | PA      | $290309.26     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                      | NETFLIX INC 4.375% 11/15/2026                                                                           | CUSIP: 64110LAN6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     165000 | PA      | $159288.17     | 0.00%             | 2026-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS MLP                                                             | BUCKEYE PARTNERS MLP TERM 1LN 11/01/2026                                                                | CUSIP: 11823LAK1<br>LEI: 549300C1PQJLVEIUBK50 | Long             | LON              | CORP              | US        |     245625 | PA      | $242444.16     | 0.00%             | 2026-11-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ELM FOR FIRMENICH INTERN                                                         | ELM FOR FIRMENICH INTERN 3.75%/VAR PERP REGS                                                            | CUSIP: N/A<br>LEI: 5493004Q6ZQIC4MCNJ08       | Long             | EP               | CORP              | NL        |     290000 | PA      | $287439.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TH MSR ISSUER TR                                                                 | TH MSR ISSUER TR 19-FT1 A 1ML+280 06/25/2024 144A                                                       | CUSIP: 87271AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1250000 | PA      | $1163655.38    | 0.00%             | 2024-06-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 4.5% 04/22/2029                                                            | CUSIP: 91087BAF7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $194600.00     | 0.00%             | 2029-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2013-LC13 MTG TR                                                            | COMM 2013-LC13 MTG TR 4.557% 08/10/2046 144A                                                            | CUSIP: 12626GAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $980279.90     | 0.00%             | 2046-08-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 2.976%/VAR 11/05/2030                                                                     | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     240000 | PA      | $204651.07     | 0.00%             | 2030-11-05      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/01/2047#MA3149                                                                          | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1796169 | PA      | $1731542.46    | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 1.5% 10/01/2050#MA4157                                                                        | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2810014 | PA      | $2190266.31    | 0.00%             | 2050-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                                | ENTERPRISE PRODS OPER LLC 3.125% 07/31/2029                                                             | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $960735.64     | 0.00%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                      | GSMS 2021-IP A 1ML+105 10/15/2036 144A                                                                  | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7945000 | PA      | $7394871.52    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST TRANSN FD REV                                                   | MASSACHUSETTS ST TRANSN FD REVBUILD AMERICA BONDS-RECOVERY ZONE ECON DEV BONDS                          | CUSIP: 57604TAD8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     150000 | PA      | $158316.74     | 0.00%             | 2040-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 4.35% 06/01/2040                                                         | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    4618000 | PA      | $4168625.74    | 0.01%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KONTOOR BRANDS INC                                                               | KONTOOR BRANDS INC 4.125% 11/15/2029 144A                                                               | CUSIP: 50050NAA1<br>LEI: 549300M0CPXV65RFF271 | Long             | DBT              | CORP              | US        |      40000 | PA      | $32572.03      | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 09/01/2052#SD8246                                                                          | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6503748 | PA      | $6478046.93    | 0.01%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 1/41 #AH2689                                                                                 | CUSIP: 3138A37B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117617 | PA      | $116982.57     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                               | TEACHERS INS and ANNUITY ASSN AMER 3.3% 05/15/2050 144A                                                 | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    3310000 | PA      | $2333844.09    | 0.00%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 07/01/2050#CA6416                                                                          | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2343408 | PA      | $2106266.40    | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                        | BANK NEW YORK MELLON CORP 1.6% 04/24/2025                                                               | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     525000 | PA      | $487473.22     | 0.00%             | 2025-04-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HOLDINGS PLC 1.673/VAR 06/14/2027                                                    | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    6825000 | PA      | $5788583.76    | 0.01%             | 2027-06-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL US LLC                                           | GSK CONSUMER HEALTHCARE CAPITAL US LLC 3.625% 03/24/2032                                                | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    1305000 | PA      | $1151698.11    | 0.00%             | 2032-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PARTNERS LP / AMERIGAS FINANCE CORP                                     | AMERIGAS PARTN LP/AMERIGAS FIN 5.875% 08/20/2026                                                        | CUSIP: 030981AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5200000 | PA      | $4953000.00    | 0.01%             | 2026-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 08/20/2046#MA3936                                                                            | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1062513 | PA      | $975180.06     | 0.00%             | 2046-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRE-PAID LEGAL SVCS INC                                                          | LEGALSHIELD TERM 1LN 12/15/2028                                                                         | CUSIP: 74006LAS1<br>LEI: 549300DKH5WJ2J8QU878 | Long             | LON              | CORP              | US        |     415013 | PA      | $399794.39     | 0.00%             | 2028-12-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 12/31/2030 144A                         | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2217225.50    | 0.00%             | 2030-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                       | CORPORATE OFFICE PPTYS LP 2.75% 04/15/2031                                                              | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    6209000 | PA      | $4691391.94    | 0.01%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/41 #AJ5385                                                                                | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317944 | PA      | $307258.49     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 12/40 #AE8843                                                                                | CUSIP: 31419KZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48468 | PA      | $48209.37      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 05/01/2041#Q00557                                                                        | CUSIP: 3132GDTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55812 | PA      | $56958.54      | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | NATWEST GRP PLC(UNGTD) 3.619%/VAR 03/29/2029 REGS                                                       | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |     900000 | PA      | $944834.53     | 0.00%             | 2029-03-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTG SECS TR 2007 1                                                     | NEWCASTLE MTG SECS TR 2007 1 STEP 04/25/2037                                                            | CUSIP: 65106FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2579712 | PA      | $2511366.41    | 0.01%             | 2037-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 12/20/2043#AG8740                                                                            | CUSIP: 36182DV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     400340 | PA      | $390865.62     | 0.00%             | 2043-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2019-MH1                                                          | TOWD PT MTG TR 2019-MH1 3% 11/25/2058 144A                                                              | CUSIP: 89177WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2482214 | PA      | $2426108.54    | 0.01%             | 2058-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                             | FREEPORT-MCMORAN INC 4.375% 08/01/2028                                                                  | CUSIP: 35671DCG8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    2590000 | PA      | $2379085.16    | 0.01%             | 2028-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-XL B 1ML+110 10/15/2036 144A                                                              | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4429350 | PA      | $4323441.58    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2.5% 01/01/2053 #TBA                                                                          | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  198825000 | PA      | $170065281.87  | 0.36%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REYNOLDS GRP ISSUER INC/LLC/SA                                                   | REYNOLDS GRP ISSUER INC/LLC/SA 4% 10/15/2027 144A                                                       | CUSIP: 76174LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1098593.75    | 0.00%             | 2027-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2049#FM3664                                                                          | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2130465 | PA      | $2047152.12    | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 3% 02/15/2041                                                                          | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3775000 | PA      | $2745652.10    | 0.01%             | 2041-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2047#BH1623                                                                        | CUSIP: 3140GPYV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22349 | PA      | $22157.38      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                    | DISH DBS CORP 5.125% 06/01/2029                                                                         | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $724680.00     | 0.00%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 02/01/2051#                                                                              | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4296952 | PA      | $3695787.81    | 0.01%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 02/01/2045#Q31307                                                                        | CUSIP: 3132QMNZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7496 | PA      | $7066.81       | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2047#ZM2868                                                                        | CUSIP: 3131XWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     502522 | PA      | $472824.45     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 04/01/2051#MA4305                                                                          | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11401766 | PA      | $9414895.24    | 0.02%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                              | CALPINE CORPORATION 5% 02/01/2031 144A                                                                  | CUSIP: 131347CQ7<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    3365000 | PA      | $2908997.75    | 0.01%             | 2031-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                 | SOUTHERN COMPANY EUSA5 1.875/VAR 09/15/2081                                                             | CUSIP: N/A<br>LEI: 549300FC3G3YU2FBZD92       | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1292425.20    | 0.00%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 04/15/2042#792254                                                                          | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36159 | PA      | $34907.74      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 03/01/2045#AZ3300                                                                        | CUSIP: 3138YUU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39861 | PA      | $38775.55      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/01/2045#AS5384                                                                          | CUSIP: 3138WE6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158220 | PA      | $153515.97     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 10/45#MA3173                                                                               | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106186 | PA      | $100739.16     | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 5.5% 12/01/2052 #TBA                                                                          | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   47300000 | PA      | $47839513.26   | 0.10%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 08/01/2051#RA5746                                                                        | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5027111 | PA      | $4657754.29    | 0.01%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 6/42 #AB5423                                                                                 | CUSIP: 31417CAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     953005 | PA      | $894534.84     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY GROUP                                                             | RYAN SPECIALTY GROUP 4.375% 02/01/2030 144A                                                             | CUSIP: 78351MAA0<br>LEI: 549300K52N7QBO3PYY45 | Long             | DBT              | CORP              | US        |     165000 | PA      | $141075.00     | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2052#CB3606                                                                        | CUSIP: 3140QPAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21999993 | PA      | $20203121.93   | 0.04%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRINKER INTERNATIONAL INC                                                        | BRINKER INTERNATIONAL INC 3.875% 05/15/2023                                                             | CUSIP: 109641AG5<br>LEI: 52990067JY6PBGJNTG76 | Long             | DBT              | CORP              | US        |    1066000 | PA      | $1052675.00    | 0.00%             | 2023-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RETIRO MORTGAGE SECURITIES                                                       | RETIRO MORTGAGE SECURITIES 3MEUR+200 07/30/2075 144A                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     942285 | PA      | $968725.03     | 0.00%             | 2075-07-30      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 09/01/2038#                                                                                | CUSIP: 3128M6MZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47430 | PA      | $49967.06      | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 05/43 #MA1012                                                                              | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     321383 | PA      | $305398.28     | 0.00%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 09/20/2048#MA5466                                                                            | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     503173 | PA      | $485604.30     | 0.00%             | 2048-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 2/38 #G03854                                                                                 | CUSIP: 3128M5TK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177509 | PA      | $180337.54     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                              | NOVA CHEMICALS CORP 5% 05/01/2025 144A                                                                  | CUSIP: 66977WAP4<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    1080000 | PA      | $1016485.20    | 0.00%             | 2025-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.3% 01/11/2023                                                             | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3572000 | PA      | $3566064.66    | 0.01%             | 2023-01-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTRADO CORP                                                                     | WEST CORP TERM B 1LN FUNDED 10/10/2024                                                                  | CUSIP: 68162RAC5<br>LEI: 5493005Z5DB0O5S30R71 | Long             | LON              | CORP              | US        |    1157018 | PA      | $1059631.56    | 0.00%             | 2024-10-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 5.15% 05/01/2030                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $4322045.24    | 0.01%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 06/20/2051#MA7419                                                                            | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2821200 | PA      | $2561981.08    | 0.01%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2.5% 04/01/2037#BM1257                                                                        | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7747176 | PA      | $7171718.15    | 0.02%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                                              | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                                             | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4387928 | PA      | $3878441.42    | 0.01%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-3 LTD / VOYA CLO 2020-3 LLC                                        | VOYA CLO 2020-3 LTD / LLC 3ML+115 10/20/2034 144A                                                       | CUSIP: 92918NAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7430000 | PA      | $7176339.80    | 0.02%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG'06 PTY LTD                                                     | FMG RES AUGUST 2006 PTY LTD 4.5% 09/15/2027 144A                                                        | CUSIP: 30251GBA4<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |       5000 | PA      | $4575.00       | 0.00%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP 1ML+132.9 11/15/2038 144A                                                             | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2630000 | PA      | $2478407.85    | 0.01%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #479596                                                                                | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11400 | PA      | $11026.41      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 06/01/2052#SD8230                                                                        | CUSIP: 3132DWEB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5768874 | PA      | $5624233.10    | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 3.95% 07/01/2024 144A                                                       | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    2862000 | PA      | $2725613.36    | 0.01%             | 2024-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2045#Q32328                                                                        | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218331 | PA      | $205821.83     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2.375% 05/15/2051                                                           | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  360497000 | PA      | $268091481.72  | 0.57%             | 2051-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                   | EXTENDED STAY AMER TR 2021-ESH D 1ML+225 07/15/2038 144A                                                | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3061339 | PA      | $2900174.01    | 0.01%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                             | FREEPORT-MCMORAN INC 5.4% 11/14/2034                                                                    | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     570000 | PA      | $532060.80     | 0.00%             | 2034-11-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE ENERGY CORP                                                           | CHESAPEAKE ENERGY CORP 5.5% 02/01/2026 144A                                                             | CUSIP: 165167DF1<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     330000 | PA      | $318430.78     | 0.00%             | 2026-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                   | COMMERZBANK AG 8.625%/VAR 02/28/2033 REGS                                                               | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $121683.49     | 0.00%             | 2033-02-28      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GOVERNMENT NAT MTG ASSN HECM 1ML+60 08/20/2063                                                          | CUSIP: 38375B5N8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     771112 | PA      | $766648.22     | 0.00%             | 2063-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/01/2037#310068                                                                        | CUSIP: 31374CMR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39750 | PA      | $40166.34      | 0.00%             | 2037-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 05/01/2043#AT2724                                                                        | CUSIP: 3138WQA28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143466 | PA      | $131391.74     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORPORATION                                                           | FAIR ISAAC CORPORATION 4% 06/15/2028 144A                                                               | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     500000 | PA      | $457500.00     | 0.00%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2016-GC36                                                  | CGCMT 2016-GC36 A4 3.349% 02/10/2049                                                                    | CUSIP: 17324TAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2343141.50    | 0.00%             | 2049-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 08/01/2043#AU4585                                                                        | CUSIP: 3138X4CX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35395 | PA      | $32427.47      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HEALTH SYSTEM OF TEXAS                                                | CHILDREN'S HEALTH SYS OF TX 2.511% 08/15/2050                                                           | CUSIP: 16876HAB5<br>LEI: 254900FK4IY1J5YO2L69 | Long             | DBT              | CORP              | US        |     360000 | PA      | $220429.76     | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                        | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     683033 | PA      | $644588.31     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEMPO ACQUISITION LLC / TEMPO ACQUISITION FIN CORP                               | TEMPO ACQUISITION LLC / TEMPO ACQUISITION FIN CORP 5.75% 06/01/2025 144A                                | CUSIP: 88023JAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4936775.80    | 0.01%             | 2025-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                                              | MACQUARIE GROUP LTD 2.871%/VAR 01/14/2033 144A                                                          | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    1690000 | PA      | $1296912.66    | 0.00%             | 2033-01-14      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                                          | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                                                          | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10724716 | PA      | $10505364.14   | 0.02%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                       | CORPORATE OFFICE PPTYS LP 2.9% 12/01/2033                                                               | CUSIP: 22003BAP1<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     490000 | PA      | $349844.81     | 0.00%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                                                                 | SPIRIT REALTY LP 2.7% 02/15/2032                                                                        | CUSIP: 84861TAJ7<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |    7205000 | PA      | $5386767.45    | 0.01%             | 2032-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.5% 02/43 #Q15871                                                                                 | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77366 | PA      | $73078.06      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 07/01/2028#AU1659                                                                        | CUSIP: 3138X0ZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149128 | PA      | $142817.72     | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020 MORTGAGE TRUST                                                    | BENCHMARK 2020 MORTGAGE TRUST 1.685% 01/15/2054                                                         | CUSIP: 08163BBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3175000 | PA      | $2485182.04    | 0.01%             | 2054-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 10/01/2049#                                                                                | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     780586 | PA      | $700374.41     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 2.592/VAR 04/29/2031                                                        | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2295000 | PA      | $1893947.79    | 0.00%             | 2031-04-29      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT and WHITE HLDGS                                                     | BAYLOR SCOTT and WHITE HLDGS 1.777% 11/15/2030                                                          | CUSIP: 072863AH6<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |     870000 | PA      | $679319.06     | 0.00%             | 2030-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                           | CENTERPOINT ENERGY INC 2.95% 03/01/2030                                                                 | CUSIP: 15189TAX5<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |     625000 | PA      | $539923.90     | 0.00%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5% 05/15/2050                                                                        | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   11610000 | PA      | $9568380.34    | 0.02%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 07/01/2052#MA4709                                                                          | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12687862 | PA      | $12641688.02   | 0.03%             | 2052-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 7/35 #735676                                                                                 | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     547945 | PA      | $552822.70     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-LGCY                                                                  | BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A                                                           | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4233000 | PA      | $4214433.64    | 0.01%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA1                                          | FREDDIE MAC STACR REMIC TRUST 2021-DNA1 SOFR30A+300 08/25/2033 144A                                     | CUSIP: 35564KCN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2700000 | PA      | $2203596.63    | 0.00%             | 2033-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 12/15/2046#AX5803                                                                          | CUSIP: 36196HNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4039 | PA      | $3898.80       | 0.00%             | 2046-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 8.875% 07/15/2030                                                             | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     145000 | PA      | $166206.25     | 0.00%             | 2030-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                      | SEVERN TRENT WATER UTIL FIN 6.125% 02/26/2024 REGS                                                      | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |     135000 | PA      | $164700.31     | 0.00%             | 2024-02-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                          | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.1% 02/15/2030                                                 | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    3195000 | PA      | $2681374.80    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                 | AIMCO CLO 11 LTD 3ML+113 10/17/2034 144A                                                                | CUSIP: 00140NAN0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |    3880000 | PA      | $3759941.16    | 0.01%             | 2034-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 04/01/2043#AT2887                                                                        | CUSIP: 3138WQF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479768 | PA      | $452763.93     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019-IMC A 1ML+105 04/15/34 144A                                                               | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $7299517.50    | 0.02%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/40 #733919                                                                                 | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24979 | PA      | $25225.44      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN KETTERING CANCER CTR                                              | MEMORIAL SLOAN KTTRNG CNCR CTR 4.2% 07/01/2055                                                          | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |     140000 | PA      | $115731.38     | 0.00%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GRAY TELEVISION INC                                                              | GRAY TELEVISION INC 4.75% 10/15/2030 144A                                                               | CUSIP: 389375AL0<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |     100000 | PA      | $73989.00      | 0.00%             | 2030-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 2.9% 06/15/2052                                                                              | CUSIP: 695114CY2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $674443.36     | 0.00%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 2.3% 06/23/2025 144A                                                              | CUSIP: 71567PAN0<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $188522.00     | 0.00%             | 2025-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 03/01/2052#SD0931                                                                        | CUSIP: 3132DNA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11305415 | PA      | $9718434.15    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 07/01/2050#FM3897                                                                          | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2388675 | PA      | $1985861.03    | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 6/35 #735580                                                                                 | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57939 | PA      | $58443.84      | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TR 2022-HB1                                                  | RMF BUYOUT ISSUANCE TR 2022-HB1 A 0% 04/25/2032 144A                                                    | CUSIP: 76970HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2602090 | PA      | $2522583.96    | 0.01%             | 2032-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 05/01/2041#MA4333                                                                          | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23973767 | PA      | $20485346.33   | 0.04%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 01/01/2052#MA4513                                                                          | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15329162 | PA      | $13597806.38   | 0.03%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 1.5%/VAR 01/13/2042 REGS                                                                        | CUSIP: N/A<br>LEI: 9695005MSX1OYEMGDF46       | Long             | DBT              | CORP              | FR        |    1200000 | PA      | $1067156.11    | 0.00%             | 2042-01-13      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                          | SENSATA TECHNOLOGIES BV 4% 04/15/2029 144A                                                              | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |     170000 | PA      | $147837.11     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                             | FREEPORT-MCMORAN INC 4.125% 03/01/2028                                                                  | CUSIP: 35671DCE3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     960000 | PA      | $876844.80     | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP B 1ML+107.98 11/15/2038 144A                                                          | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4235000 | PA      | $4012117.46    | 0.01%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 4/40 #733607                                                                                 | CUSIP: 3620AMAG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4576 | PA      | $4532.22       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TELEDYNE FLIR LLC                                                                | TELEDYNE FLIR LLC 2.5% 08/01/2030                                                                       | CUSIP: 302445AE1<br>LEI: 5493000HDPX16EHNN346 | Long             | DBT              | CORP              | US        |     445000 | PA      | $363622.96     | 0.00%             | 2030-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST                                         | 3650R 2021-PF1 A4 COMMERCIAL MORTGAGE TRUST 2.253% 11/15/2054                                           | CUSIP: 88581EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200000 | PA      | $3354876.84    | 0.01%             | 2054-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2021-1 LTD                                                     | PALMER SQUARE CLO 2021-1 LTD 3ML+119 04/20/2034 144A                                                    | CUSIP: 69701WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5842152.00    | 0.01%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 11/01/2048#MA3521                                                                          | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2359347 | PA      | $2267084.25    | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2046#BE2386                                                                        | CUSIP: 3140FMUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96106 | PA      | $95581.45      | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                       | BMO 2022-C1 MORTGAGE TRUST 3.119% 02/15/2055                                                            | CUSIP: 05609MCB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6200000 | PA      | $5274835.38    | 0.01%             | 2055-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                        | MYLAN INC 5.4% 11/29/2043                                                                               | CUSIP: 628530BC0<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |    1480000 | PA      | $1187769.46    | 0.00%             | 2043-11-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACCENTRO REAL ESTATE AG                                                          | ACCENTRO REAL ESTATE AG 3.625% 02/13/2023 REGS                                                          | CUSIP: N/A<br>LEI: 391200VKLY50XNAFCM46       | Long             | DBT              | CORP              | DE        |     815000 | PA      | $386728.58     | 0.00%             | 2023-02-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/46#AS6520                                                                             | CUSIP: 3138WGG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355438 | PA      | $334099.21     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                                           | UBS COMMERCIAL MORTGAGE TRUST 2018-C12 4.1519% 08/15/2051                                               | CUSIP: 90353DAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6005064 | PA      | $5929902.33    | 0.01%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP TEXAS INC 3.45% 05/15/2051                                                                          | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     560000 | PA      | $394422.59     | 0.00%             | 2051-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPORTUN FDG XIV LLC                                                              | OPORTUN FUNDING XIV LLC 21-A A1.21% 03/08/2028 144A                                                     | CUSIP: 68377BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $733558.64     | 0.00%             | 2028-03-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 2007-75 JI 1ML+654.5 08/37                                               | CUSIP: 31396W3J3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     581900 | PA      | $66372.45      | 0.00%             | 2037-08-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/40 #737104                                                                                 | CUSIP: 3620AQ3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26192 | PA      | $25936.28      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 3.3% 02/15/2051                                                                        | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2935000 | PA      | $2037851.42    | 0.00%             | 2051-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.5% 08/15/2030 144A                                                             | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     180000 | PA      | $151650.00     | 0.00%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                      | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    5706000 | PA      | $5360014.81    | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 01/01/2052#                                                                              | CUSIP: 3140XFEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20614054 | PA      | $17683023.98   | 0.04%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIMMONS FOOD INC/SIMMONS                                                         | SIMMONS FOOD INC/SIMMONS 4.625% 03/01/2029 144A                                                         | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1572250.00    | 0.00%             | 2029-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MILOS CLO LTD                                                                    | MILOS CLO LTD 3ML+107 10/20/2030 144A                                                                   | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |    8353000 | PA      | $8215651.62    | 0.02%             | 2030-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 9/40 #004801                                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     353519 | PA      | $351388.48     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 9/33 #739821                                                                                 | CUSIP: 31402V4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61557 | PA      | $61985.13      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2021-C9                                                             | BBCMS MTG TR 2021-C9 A4 2.021% 02/15/2054                                                               | CUSIP: 05493EAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $8005440.00    | 0.02%             | 2054-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                 | COMCAST CORP NEW 3.999% 11/01/2049                                                                      | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8160.04       | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KSW4 MTG TR                                                           | FREMF 2018-KSW4 MORTGAGE TRUST 2.902% 10/25/2028                                                        | CUSIP: 302960AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4956276 | PA      | $4749697.20    | 0.01%             | 2028-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL3 TR                                                                | CSMC 2020-RPL3 TRUST CSTR 03/25/2060 144A                                                               | CUSIP: 12656PAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5292816 | PA      | $5039289.94    | 0.01%             | 2060-03-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) SOFR 1.948%/VAR 10/21/2027                                                | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6735000 | PA      | $5896111.97    | 0.01%             | 2027-10-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 3.875% 04/15/2030                                                                      | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   36607000 | PA      | $33621156.27   | 0.07%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 02/01/2043#Q15786                                                                        | CUSIP: 3132J62U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66581 | PA      | $61116.95      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVE SECS TR 2020-R01                                                 | CONNECTICUT AVE SECS TR 2020-R01 1ML+205 01/25/2040 144A                                                | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     340591 | PA      | $335453.08     | 0.00%             | 2040-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2.5% 01/01/2053 #TBA                                                                          | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -9000000 | PA      | $-7698164.40   | -0.02%            | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2014-LC14                                                      | WFRBS COML MTG TR 2014-LC14 VAR 03/15/2047                                                              | CUSIP: 96221TAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7306567 | PA      | $68846.13      | 0.00%             | 2047-03-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                         | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                         | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    4273000 | PA      | $3351303.60    | 0.01%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-C16                                       | J P MORGAN CHASE COML MTG SECS TR 2013-C16 4.5169% 12/15/2046                                           | CUSIP: 46641BAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     560000 | PA      | $547866.98     | 0.00%             | 2046-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UNITEDHEALTH GROUP INC 4.25% 04/15/2047                                                                 | CUSIP: 91324PCZ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     770000 | PA      | $668455.82     | 0.00%             | 2047-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MONG DUONG FINANCE HOLDINGS B.V                                                  | MONG DUONG FINANCE HOLDINGS B.V 5.125% 05/07/2029 REGS                                                  | CUSIP: N/A<br>LEI: 549300995KGQFMWSV879       | Long             | DBT              | CORP              | NL        |     250000 | PA      | $212500.00     | 0.00%             | 2029-05-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2040#AE0698                                                                        | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150067 | PA      | $149254.29     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL CORP                                                     | SOUTHERN CO GAS CAP 5.875% 03/15/2041                                                                   | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    2770000 | PA      | $2755456.97    | 0.01%             | 2041-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#CB2346                                                                          | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2356108 | PA      | $1952159.55    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO LTD                                                                  | INVESCO CLO LTD 3ML+113 10/22/2034 144A                                                                 | CUSIP: 46146JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4148000 | PA      | $3996282.75    | 0.01%             | 2034-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3% 10/29/2028                                        | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   11826000 | PA      | $9991661.93    | 0.02%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                           | EXTRA SPACE STORAGE LP 2.35% 03/15/2032                                                                 | CUSIP: 30225VAG2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    4011000 | PA      | $3050855.16    | 0.01%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.5% 12/01/2029#AL8077                                                                        | CUSIP: 3138EQ6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159018 | PA      | $155695.87     | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNATIONAL HOLDINGS LTD             | DIGICEL INTERNATIONAL FINANCE LTD/DIGICEL INTERNATIONAL HOLDINGS LTD 8% 12/31/2026 144A                 | CUSIP: 25381XAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    2650000 | PA      | $1338250.00    | 0.00%             | 2026-12-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                        | BANK NEW YORK MELLON CORP 5.834%/VAR 10/25/2033                                                         | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    2925000 | PA      | $3080353.80    | 0.01%             | 2033-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                                     | CUBESMART LP 2.25% 12/15/2028                                                                           | CUSIP: 22966RAH9<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |    4235000 | PA      | $3497106.81    | 0.01%             | 2028-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                                                                | SUNCOR ENERGY INC 6.8% 05/15/2038                                                                       | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |     350000 | PA      | $373278.63     | 0.00%             | 2038-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | HOME DEPOT INC 4.875% 02/15/2044                                                                        | CUSIP: 437076BD3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1115803.59    | 0.00%             | 2044-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                                             | CUSIP: 3136AA2T1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     670225 | PA      | $606360.97     | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5.00% 10/40 #004835                                                                             | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249072 | PA      | $252969.14     | 0.00%             | 2040-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON UNIVERSITY                                                            | WASHINGTON UNIVERSITY 3.524% 04/15/2054                                                                 | CUSIP: 940663AC1<br>LEI: 2V765680J33YAZOYW441 | Long             | DBT              | CORP              | US        |    2630000 | PA      | $2148640.31    | 0.00%             | 2054-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                                        | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                                     | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1673000 | PA      | $1540525.00    | 0.00%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                               | CENTURYLINK TERM B 1LN 03/15/2027                                                                       | CUSIP: 15669GAH7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |    1282551 | PA      | $1214152.09    | 0.00%             | 2027-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019 1ML+230 10/15/2036 144A                                                                   | CUSIP: 056054AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15725000 | PA      | $15012703.11   | 0.03%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 02/01/2052#SD8193                                                                          | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1911882 | PA      | $1574535.52    | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMM 2015-PC1 MTG TR                                                             | COMM 2015-PC1 MTG TR 3.62% 07/10/2050                                                                   | CUSIP: 12593GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     806614 | PA      | $775633.98     | 0.00%             | 2050-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 01/01/2053 #TBA                                                                            | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   72875000 | PA      | $63992907.55   | 0.14%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                            | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3046882 | PA      | $2757276.36    | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SERIES 2015-A                                                          | AIMCO CLO SERIE 2015-AA AR2 3ML+114 10/17/2034 144A                                                     | CUSIP: 00900LAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4150000 | PA      | $4009028.65    | 0.01%             | 2034-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-C31                                                 | WFCM 2015-C31 XA CSTR 11/48                                                                             | CUSIP: 94989WAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6364663 | PA      | $140004.13     | 0.00%             | 2048-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 12/01/2032#BM5345                                                                          | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     580554 | PA      | $556028.13     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/37 #995073                                                                                | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43505 | PA      | $45605.02      | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 01/01/2042#AJ5571                                                                        | CUSIP: 3138AXFM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77281 | PA      | $74662.23      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHOBANI LLC/FINANCE CORP INC                                                     | CHOBANI LLC/FINANCE CORP INC 4.625% 11/15/2028 144A                                                     | CUSIP: 17027NAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1409732.51    | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 11/20/2046#MA4069                                                                          | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124054 | PA      | $117186.37     | 0.00%             | 2046-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 03/01/2048#Q54622                                                                          | CUSIP: 3132XXD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6853 | PA      | $6627.39       | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                             | FRONTIER COMMUNICATIONS HOLDINGS LLC 5% 05/01/2028 144A                                                 | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     215000 | PA      | $191350.00     | 0.00%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                               | HOWARD HUGHES CORP 4.125% 02/01/2029 144A                                                               | CUSIP: 44267DAE7<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     300000 | PA      | $247389.14     | 0.00%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/01/2041#AB4058                                                                        | CUSIP: 31417AQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320431 | PA      | $309553.11     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                        | ROGERS COMMUNICATIONS INC 3.2% 03/15/2027 144A                                                          | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    4297000 | PA      | $4009670.14    | 0.01%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 02/20/2049#MA5763                                                                            | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115164 | PA      | $111044.10     | 0.00%             | 2049-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHILDRENS HOSP CORP                                                              | CHILDRENS HOSP CORP 4.115% 01/01/2047                                                                   | CUSIP: 16876BAA0<br>LEI: 549300NXFO6BISJLOS32 | Long             | DBT              | CORP              | US        |     265000 | PA      | $226465.93     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                  | FX Forward: GBP/USD settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |          1 | NC      | $1150.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GMACM MTG LN TR                                                                  | GMACM 2005-AR6 2A1 CSTR 11/35                                                                           | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1678064 | PA      | $1383101.27    | 0.00%             | 2035-11-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 4.625% 06/15/2025 144A                                            | CUSIP: 92564RAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     315000 | PA      | $301443.23     | 0.00%             | 2025-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNE 2020-27A AR                                                                | MAGNE 2020-27A AR 3ML+114 10/20/2034 144A                                                               | CUSIP: 55955EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1417000 | PA      | $1373666.72    | 0.00%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | ABBVIE INC 4.05% 11/21/2039                                                                             | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   18245000 | PA      | $15939748.08   | 0.03%             | 2039-11-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2046#AS7822                                                                        | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277960 | PA      | $261185.76     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #772072                                                                                | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63751 | PA      | $61550.43      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                       | HILCORP ENERGY I LP/FIN CO 6% 04/15/2030 144A                                                           | CUSIP: 431318AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     965000 | PA      | $887347.48     | 0.00%             | 2030-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 10/01/2052#FS3047                                                                          | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2598417 | PA      | $2610885.17    | 0.01%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 10/01/2051#MA4438                                                                        | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6048329 | PA      | $5189853.09    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 12/01/2051#CB2376                                                                        | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2536987 | PA      | $2180861.65    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                        | SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A                                                        | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     665815 | PA      | $389248.94     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PPL ELEC UTILS CORP                                                              | PPL ELEC UTILS CORP 4.125% 06/15/2044                                                                   | CUSIP: 69351UAS2<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     800000 | PA      | $670958.16     | 0.00%             | 2044-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25                      | MSBAM 15-C25 3.372% 10/28                                                                               | CUSIP: 61765TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2639213.92    | 0.01%             | 2048-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 1.375% 11/15/2040                                                           | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49314600 | PA      | $32703670.35   | 0.07%             | 2040-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/39 #930854                                                                                 | CUSIP: 31412PE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27827 | PA      | $27645.56      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AB7738                                                                        | CUSIP: 31417ES44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     686159 | PA      | $628623.18     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                                                | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                                                         | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15784000 | PA      | $15358696.96   | 0.03%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 01/01/2048#Q53334                                                                          | CUSIP: 3132XVV42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     312403 | PA      | $301049.97     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2052#                                                                              | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3364879 | PA      | $3100564.17    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 4.25% 03/15/2023                                                                     | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1373000 | PA      | $1368630.54    | 0.00%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 3.875% 05/21/2024                                                                         | CUSIP: 02005NBH2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    6322000 | PA      | $6150524.16    | 0.01%             | 2024-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2050#MA4182                                                                          | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3960642 | PA      | $3271698.84    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 07/01/2043#AS0044                                                                        | CUSIP: 3138W9BN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260192 | PA      | $238292.82     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | CIGNA CORP 4.5% 02/25/2026                                                                              | CUSIP: 125523BZ2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    5015000 | PA      | $4992976.58    | 0.01%             | 2026-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/01/2048#BK2527                                                                          | CUSIP: 3140HFYZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22107 | PA      | $21352.76      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.25% 04/30/2028                                                                              | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  288000000 | PA      | $252033750.72  | 0.54%             | 2028-04-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.5% 10/01/2052#CB4843                                                                        | CUSIP: 3140QQLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4156510 | PA      | $4210944.90    | 0.01%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039                                                         | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    5390000 | PA      | $5510584.06    | 0.01%             | 2039-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2047#BE9261                                                                        | CUSIP: 3140FVJF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15222 | PA      | $15101.27      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV                                      | NYC TFA (PIT) 1.97% 2/1/2033                                                                            | CUSIP: 64971XXC7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2015000 | PA      | $1496886.07    | 0.00%             | 2033-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MDPK 2021-48A                                                                    | MDPK 2021-48A A 3ML+115 04/19/2033 144A                                                                 | CUSIP: 55821UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4904070.00    | 0.01%             | 2033-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2041#AI6550                                                                        | CUSIP: 3138ALH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89692 | PA      | $89179.72      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 06/01/2042#MA4630                                                                          | CUSIP: 31418EEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     582764 | PA      | $493595.29     | 0.00%             | 2042-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC 3.87%/VAR 07/09/2025                                                           | CUSIP: 53944YAL7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    5375000 | PA      | $5174389.25    | 0.01%             | 2025-07-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 1/1/43 #Q14326                                                                           | CUSIP: 3132HQYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149552 | PA      | $131232.85     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                    | INTERCONTINENTAL EXCHANGE INC 4.6% 03/15/2033                                                           | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1074721.54    | 0.00%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP NEW                                                          | PILGRIMS PRIDE CORP NEW 5.875% 09/30/2027 144A                                                          | CUSIP: 72147KAE8<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    1513000 | PA      | $1495146.60    | 0.00%             | 2027-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/01/2046#BC4754                                                                          | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1907740 | PA      | $1860560.68    | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIA DE SEGUROS FIDELIDADE SA                                                     | FIDELIDADE COMPANHIA 4.25%/VAR 09/04/2031 REGS                                                          | CUSIP: N/A<br>LEI: 529900FNLE8ZOPUOT704       | Long             | DBT              | CORP              | PT        |     500000 | PA      | $421266.10     | 0.00%             | 2031-09-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C34                                                 | WELLS FARGO COML MTG TR 2016-C34 3.096% 5/15/49                                                         | CUSIP: 95000DBD2<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |    6124000 | PA      | $5642098.77    | 0.01%             | 2049-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 05/01/2039#AL0524                                                                        | CUSIP: 3138EGSN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79001 | PA      | $79843.24      | 0.00%             | 2039-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                               | ESSEX PORTFOLIO LP 3.875% 05/01/2024                                                                    | CUSIP: 29717PAN7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    2685000 | PA      | $2627422.67    | 0.01%             | 2024-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 02/15/2042#778869                                                                        | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37229 | PA      | $35957.47      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CALPINE CORPORATION                                                              | CALPINE CORPORATION 5.125% 03/15/2028 144A                                                              | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2418256.89    | 0.01%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 4.875% 01/01/2026 144A                                                            | CUSIP: 88033GCY4<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1100816.80    | 0.00%             | 2026-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 04/01/2041#Q00334                                                                        | CUSIP: 3132GDLP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31200 | PA      | $31837.78      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 4.875% 05/01/2025                                                                             | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2035000 | PA      | $2016124.22    | 0.00%             | 2025-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2050#CA7616                                                                          | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2534384 | PA      | $2097494.87    | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE TECH CORP                                                 | WESTINGHOUSE AIR BRAKE TECH CORP STEP 09/15/2028                                                        | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    9085000 | PA      | $8726667.61    | 0.02%             | 2028-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                   | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                         | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3784000 | PA      | $3297588.44    | 0.01%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURITIZATION TR 2007 HE1                                             | HSI ASSET SECURITIZ TR 07 HE1 1ML+14 01/25/2037                                                         | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2569888 | PA      | $1907268.38    | 0.00%             | 2037-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 01/01/2035#CA5039                                                                          | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257836 | PA      | $245251.44     | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2019-AB1                                          | FINANCE OF AMERICA HECM BUYOUT 2019-AB1 VAR 02/25/2032 144A                                             | CUSIP: 31735JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7862284 | PA      | $7555636.50    | 0.02%             | 2032-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 09/01/2031 144A                         | CUSIP: 87470LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     225000 | PA      | $200531.25     | 0.00%             | 2031-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES CSTR 12/25/2027                            | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  140715183 | PA      | $3318387.66    | 0.01%             | 2027-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                                               | TRAVIS PERKINS PLC 3.75% 02/17/2026 REGS                                                                | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |     600000 | PA      | $636372.00     | 0.00%             | 2026-02-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                         | CSX CORP 6.15% 05/01/2037                                                                               | CUSIP: 126408GK3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    1375000 | PA      | $1487705.35    | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                          | PHILIPPINES REPUBLIC OF 2.457% 05/05/2030                                                               | CUSIP: 718286CJ4<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     800000 | PA      | $684088.00     | 0.00%             | 2030-05-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK31                                                                  | BANK 2021-BNK31 02/2054                                                                                 | CUSIP: 06541ABN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $380017.40     | 0.00%             | 2054-02-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                            | BAYVIEW COML ASSET TR 1ML+58.5 01/25/2036 144A                                                          | CUSIP: 07324SCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39365 | PA      | $35700.27      | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2046#G08687                                                                        | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     419330 | PA      | $394519.03     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                           | DISCOVER FINANCIAL SVS 6.7% 11/29/2032                                                                  | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    1592000 | PA      | $1619543.83    | 0.00%             | 2032-11-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | REALTY INCOME CORP 2.85% 12/15/2032                                                                     | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    1553000 | PA      | $1274262.51    | 0.00%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIXTH STR CLO XVII LTD / SIXTH STR CLO XVII LLC                                  | SIXTH STR CLO XVII LTD / SIXTH STR CLO XVII LLC A 3ML+124 01/20/2034 144A                               | CUSIP: 83012FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4881990.00    | 0.01%             | 2034-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5.00% 3/42 #005334                                                                              | CUSIP: 36202F4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182772 | PA      | $185551.70     | 0.00%             | 2042-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                | CHILE REPUBLIC OF 2.45% 01/31/2031                                                                      | CUSIP: 168863DP0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     500000 | PA      | $422750.00     | 0.00%             | 2031-01-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 10/01/2051#CB1799                                                                          | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8766558 | PA      | $7269033.32    | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 6.125% 06/15/2030 144A                                                            | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     175000 | PA      | $165826.50     | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 02/01/2052#MA4548                                                                        | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16076739 | PA      | $13764726.99   | 0.03%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 04/20/2043#MA0933                                                                          | CUSIP: 36179NBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     265450 | PA      | $244626.91     | 0.00%             | 2043-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 8/15/40                                                                                         | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31315000 | PA      | $15318891.84   | 0.03%             | 2040-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SASOL FING USA LLC                                                               | SASOL FING USA LLC 4.375% 09/18/2026                                                                    | CUSIP: 80386WAC9<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |     810000 | PA      | $732442.50     | 0.00%             | 2026-09-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/01/2052#MA4782                                                                        | CUSIP: 31418EJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1450503 | PA      | $1329538.85    | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 03/01/2033#AB0066                                                                          | CUSIP: 31416VCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308686 | PA      | $310546.23     | 0.00%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 03/01/2051#MA4281                                                                          | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23245045 | PA      | $19201630.10   | 0.04%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 02/01/2042#AJ1884                                                                        | CUSIP: 3138ATCW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391322 | PA      | $367762.49     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 03/01/2045#Q31980                                                                        | CUSIP: 3132QNFW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95791 | PA      | $87481.39      | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SWF ESCROW ISSUER CORP                                                           | SWF ESCROW ISSUER CORP 6.5% 10/01/2029 144A                                                             | CUSIP: 78500AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     850000 | PA      | $500437.50     | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                   | VIRGINIA ELECTRIC AND POWER CO 6% 01/15/2036                                                            | CUSIP: 927804FA7<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     470000 | PA      | $487374.50     | 0.00%             | 2036-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 4% 04/15/2029 144A                                                                         | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1286269.41    | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                        | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     696281 | PA      | $570785.46     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.50% 2/36 #745578                                                                                 | CUSIP: 31403DJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1240 | PA      | $1321.12       | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO-IV LTD / ROMARK CLO-IV LLC                                            | ROMARK CLO-IV LTD / ROMARK CLO-IV LLC 21-4A A1 3ML+117 07/10/2034 144A                                  | CUSIP: 77588LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13250000 | PA      | $12844020.00   | 0.03%             | 2034-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 01/48#MA4962                                                                               | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     236145 | PA      | $222259.48     | 0.00%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                        | DUKE ENERGY CAROLINAS LLC 4.25% 12/15/2041                                                              | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    2345000 | PA      | $2045071.19    | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q02020                                                                        | CUSIP: 3132GFG50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29121 | PA      | $29695.75      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                               | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    8596000 | PA      | $9326660.00    | 0.02%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/41 #AI1116                                                                                 | CUSIP: 3138AEG23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79468 | PA      | $78952.30      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNPI ITXEX538 PAY 650 12/21/22                                                                          | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    7450000 | NC      | $3168.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 03/01/2043#AR9126                                                                        | CUSIP: 3138W7D84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81614 | PA      | $71547.35      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2046#AS6522                                                                        | CUSIP: 3138WGG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331732 | PA      | $311816.19     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2042#AK7569                                                                        | CUSIP: 3138ECMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21615 | PA      | $21753.58      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US 2YR NOTE (CBT) FUT MAR23 TUH3                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       2015 | NC      | $1076250.56    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                 | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A                                             | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4172000 | PA      | $4018732.40    | 0.01%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER INVT SA                                                             | SCHLUMBERGER INVT SA 3.65% 12/01/2023                                                                   | CUSIP: 806854AH8<br>LEI: 529900EZ29I5KXPV2J32 | Long             | DBT              | CORP              | LU        |     210000 | PA      | $207346.91     | 0.00%             | 2023-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO II LTD                                                              | GREYWOLF CLO II LTD 3ML+114 04/15/2034 144A                                                             | CUSIP: 398079AW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   35000000 | PA      | $33941950.00   | 0.07%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 1.5% 01/01/2037#FS2747                                                                        | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5093706 | PA      | $4468600.95    | 0.01%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 08/01/2052#                                                                                | CUSIP: 3133KPQD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7297391 | PA      | $6945321.12    | 0.01%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 1/42 #790493                                                                                 | CUSIP: 36177JRP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14730 | PA      | $13886.43      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 04/01/2043#AB8897                                                                        | CUSIP: 31417F3F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695422 | PA      | $637109.63     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                     | STRYKER CORP 3.5% 03/15/2026                                                                            | CUSIP: 863667AN1<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     675000 | PA      | $654505.41     | 0.00%             | 2026-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 2.45% 07/15/2028                                                                           | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    7280000 | PA      | $6122321.30    | 0.01%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                             | 1011778 BC ULC/NEW RED FIN INC 4% 10/15/2030 144A                                                       | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    4925000 | PA      | $4147638.00    | 0.01%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                  | PHILIP MORRIS INTL INC 5.625% 11/17/2029                                                                | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     525000 | PA      | $533900.71     | 0.00%             | 2029-11-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                              | MEDLINE TERM B 1LN 10/23/2028                                                                           | CUSIP: 58503UAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3039725 | PA      | $2883513.53    | 0.01%             | 2028-10-23      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 05/01/2052#                                                                                | CUSIP: 3132DWDU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23336565 | PA      | $22101278.68   | 0.05%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE LTD                                                      | ENERGEAN ISRAEL FINANCE LTD 5.375% 03/30/2028 144A REGS                                                 | CUSIP: N/A<br>LEI: 98450044QACBL3F8EB03       | Long             | DBT              | CORP              | IL        |    1395000 | PA      | $1279521.90    | 0.00%             | 2028-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019 C-17                                          | UBS COMMERCIAL MORTGAGE TRUST 2019 C-17 2.6686% 10/15/2052                                              | CUSIP: 90278MAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1065000 | PA      | $905247.98     | 0.00%             | 2052-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/40 #737454                                                                                 | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47264 | PA      | $47701.60      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 3.52%/VAR 10/27/2028                                                                      | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4710000 | PA      | $4309411.53    | 0.01%             | 2028-10-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | SUTTER HEALTH 4.091% 08/15/2048                                                                         | CUSIP: 86944BAE3<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1003783.72    | 0.00%             | 2048-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 05/01/2033#710653                                                                          | CUSIP: 31401KQE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5451 | PA      | $5473.32       | 0.00%             | 2033-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                   | CSMC 2018-SITE 4.284% 04/15/2036 144A                                                                   | CUSIP: 12690CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5237000 | PA      | $4967068.79    | 0.01%             | 2036-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BELLIS FINCO PLC                                                                 | BELLIS FINCO PLC 4% 02/16/2027 144A                                                                     | CUSIP: N/A<br>LEI: 259400ELWH6Z4ICFTD70       | Long             | DBT              | CORP              | GB        |    9000000 | PA      | $7668137.98    | 0.02%             | 2027-02-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 12/01/2043#C09055                                                                        | CUSIP: 31292SBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177417 | PA      | $172799.62     | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/01/2047#G61047                                                                        | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     342855 | PA      | $341362.56     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN28                                                                   | BANK 2020-BN28 1.584% 03/15/2063                                                                        | CUSIP: 06540YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $7007768.10    | 0.01%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SPRINT CORP                                                                      | SPRINT CORP 7.125% 06/15/2024                                                                           | CUSIP: 85207UAH8<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    2950000 | PA      | $3012489.67    | 0.01%             | 2024-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                           | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                                                | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     488721 | PA      | $478454.04     | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 06/01/2043#AT9645                                                                        | CUSIP: 3138WXWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10576 | PA      | $9689.14       | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C7 COML MTG TR                                                        | CSAIL 2016-C7 A4 3.21% 11/15/49                                                                         | CUSIP: 12637UAV1<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |    3186022 | PA      | $2950211.72    | 0.01%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 05/01/2033#K90513                                                                        | CUSIP: 3132J2SA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     553940 | PA      | $536043.10     | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | DUKE ENERGY PROGRESS LLC 4% 04/01/2052                                                                  | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1315000 | PA      | $1075638.55    | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HLDGS INC                                                             | ZAYO GROUP HLDGS INC 4% 03/01/2027 144A                                                                 | CUSIP: 98919VAA3<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1360913.00    | 0.00%             | 2027-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 2.50%/VAR 03/31/2032 REGS                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |    1400000 | PA      | $1305284.93    | 0.00%             | 2032-03-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 09/01/2051#MA4414                                                                        | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     965035 | PA      | $828816.17     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2052#BV1926                                                                        | CUSIP: 3140MFD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1133041 | PA      | $1041915.16    | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                               | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                               | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $229676.55     | 0.00%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/01/2042#C04038                                                                        | CUSIP: 31292LPX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     385365 | PA      | $362145.65     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5.5% 3/20/41 #004984                                                                            | CUSIP: 36202FRD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61802 | PA      | $63877.46      | 0.00%             | 2041-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 6% 12/01/2052 #TBA                                                                            | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   10800000 | PA      | $11048063.04   | 0.02%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 3/38 #G04668                                                                                 | CUSIP: 3128M6QV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84789 | PA      | $86112.48      | 0.00%             | 2038-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 2.196% 02/04/2026                                                                             | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4665000 | PA      | $4240556.89    | 0.01%             | 2026-02-04      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 01/20/2043#MA0698                                                                          | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3979964 | PA      | $3667755.69    | 0.01%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                                        | OLIN CORP 5.625% 08/01/2029                                                                             | CUSIP: 680665AL0<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |     195000 | PA      | $182221.11     | 0.00%             | 2029-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3% 12/01/2052 #TBA                                                                            | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  164550000 | PA      | $145665320.52  | 0.31%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 12/01/2042#AQ8684                                                                        | CUSIP: 3138MQUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360086 | PA      | $329892.64     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                             | NEXTERA ENERGY OPERATING PARTNERS LP 4.25% 09/15/2024 144A                                              | CUSIP: 65342QAC6<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      27000 | PA      | $25407.81      | 0.00%             | 2024-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.412%/VAR 03/31/2031                                                                     | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   13726000 | PA      | $12758410.89   | 0.03%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIX LTD / SYMPHONY CLO XIX LLC                                      | SYMPHONY CLO XIX LTD / SYMPHONY CLO XIX LLC 3ML+96 04/16/2031 144A                                      | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2730000 | PA      | $2678037.18    | 0.01%             | 2031-04-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFILIATED MANAGERS GROUP INC                                                    | AFFILIATED MANAGERS GROUP INC 4.25% 02/15/2024                                                          | CUSIP: 008252AM0<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | DBT              | CORP              | US        |    1847000 | PA      | $1826644.32    | 0.00%             | 2024-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 0.981%/VAR 5/01/2025                                                                      | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     600000 | PA      | $559737.65     | 0.00%             | 2025-05-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 02/01/2043#C09031                                                                        | CUSIP: 31292SA83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140543 | PA      | $123327.68     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                            | MASSACHUSETTS INSTITUTE OF TECHNOLOGY 2.989% 07/01/2050                                                 | CUSIP: 575718AG6<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $987097.20     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 3/42 #794582                                                                                 | CUSIP: 36177PCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68277 | PA      | $64460.58      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLT 2021-RPL1 TR                                                                | COLT 2021-RPL1 TR 1.8808% 09/25/2061 144A                                                               | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3744114 | PA      | $3276583.12    | 0.01%             | 2061-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT CAPITAL CORP 4.7% 04/02/2027                                                                        | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     325000 | PA      | $313355.57     | 0.00%             | 2027-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6                                      | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049                                          | CUSIP: 17291EBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12608641 | PA      | $226422.19     | 0.00%             | 2049-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                                    | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    8480000 | PA      | $6341344.00    | 0.01%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                               | CENOVUS ENERGY INC 3.75% 02/15/2052                                                                     | CUSIP: 15135UAX7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    3645000 | PA      | $2626175.30    | 0.01%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                           | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+70.1 11/15/2036 144A                                         | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10980000 | PA      | $10474353.43   | 0.02%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TELEFLEX INC                                                                     | TELEFLEX INC 4.25% 06/01/2028 144A                                                                      | CUSIP: 879369AG1<br>LEI: UUL85LWXB4NGSWWXIQ25 | Long             | DBT              | CORP              | US        |      60000 | PA      | $55710.00      | 0.00%             | 2028-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 10/20/2046#MA4003                                                                            | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3184211 | PA      | $2922485.06    | 0.01%             | 2046-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH LLC                                                        | CABLEVISION LIGHTPATH LLC 3.875% 09/15/2027 144A                                                        | CUSIP: 12687GAA7<br>LEI: 5493002ZVBLRLGES1R71 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8621.80       | 0.00%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2011-94 SA 1ML+610 07/41                                                                            | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      75302 | PA      | $7561.99       | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 2.528% 11/18/2027 144A                                                      | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    8455000 | PA      | $6838784.48    | 0.01%             | 2027-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                         | SOUTH AFRICA REPUBLIC OF 5.875% 04/20/2032                                                              | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     700000 | PA      | $642250.00     | 0.00%             | 2032-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA1                                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA7 M1B SOFR30A+500 03/25/2052 144A                                 | CUSIP: 35564KL49<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3150000 | PA      | $3297717.68    | 0.01%             | 2052-03-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| MICROSTRATEGY INC                                                                | MICROSTRATEGY INC 6.125% 06/15/2028 144A                                                                | CUSIP: 594972AF8<br>LEI: 549300WQTWEJUEHXQX21 | Long             | DBT              | CORP              | US        |     170000 | PA      | $125740.51     | 0.00%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 11/01/2050#QB6612                                                                        | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     337939 | PA      | $263406.32     | 0.00%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 09/20/2049#MA6153                                                                            | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     709190 | PA      | $649679.25     | 0.00%             | 2049-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 6.5% 12/01/2052 144A                                 | CUSIP: 46590XAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5490000 | PA      | $5297850.00    | 0.01%             | 2052-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RENTOKIL INITIAL PLC                                                             | RENTOKIL INITIAL PLC 5% 06/27/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 549300VN4WV7Z6T14K68       | Long             | DBT              | CORP              | GB        |     450000 | PA      | $525202.15     | 0.00%             | 2032-06-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                         | GENERAL MTRS FINL CO INC 4% 01/15/2025                                                                  | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    5695000 | PA      | $5541948.30    | 0.01%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 4.5% 09/01/2026 144A                                              | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1325000 | PA      | $1240756.50    | 0.00%             | 2026-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | AMERICAN EXPRESS CO 3.55%/VAR PERP                                                                      | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | EP               | CORP              | US        |     770000 | PA      | $612150.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 8.201%/VAR 11/16/2034 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     550000 | PA      | $689542.21     | 0.00%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                           | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  250020000 | PA      | $207829125.00  | 0.44%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INVICTUS US LLC                                                                  | INVICTUS US LLC 5% 10/30/2029 144A                                                                      | CUSIP: 29977LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     350000 | PA      | $280000.00     | 0.00%             | 2029-10-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2% 12/01/2036#BU1384                                                                          | CUSIP: 3140M2RE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     782190 | PA      | $704344.90     | 0.00%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/01/2042#AO9129                                                                          | CUSIP: 3138M1EB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173198 | PA      | $167275.39     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTV SOFTWR INC                                                    | TAKE-TWO INTERACTV SOFTWR INC 4% 04/14/2032                                                             | CUSIP: 874054AH2<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    3095000 | PA      | $2756327.43    | 0.01%             | 2032-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/01/2043#BM1167                                                                          | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135275 | PA      | $130669.71     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 10/01/2051#                                                                              | CUSIP: 3132DWCL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4424017 | PA      | $4072358.61    | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/38 #AL0095                                                                                 | CUSIP: 3138EGC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     699591 | PA      | $735440.54     | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HOME RE 2021-1 LTD                                                               | HOME RE 2021-1 LTD 1ML+155 07/25/2033 144A                                                              | CUSIP: 437307AB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     123627 | PA      | $122880.98     | 0.00%             | 2033-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 2996 ZD 5.5% 06/35                                                                                  | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     241222 | PA      | $248093.34     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                      | EQUINOR ASA 3.7% 04/06/2050                                                                             | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     920000 | PA      | $750772.17     | 0.00%             | 2050-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                      | MATCH GROUP HLD II LLC 3.625% 10/01/2031 144A                                                           | CUSIP: 57667JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     170000 | PA      | $129909.22     | 0.00%             | 2031-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2048#MA3334                                                                        | CUSIP: 31418CV43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632945 | PA      | $626124.66     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                   | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                            | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3181000 | PA      | $3015237.45    | 0.01%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 10/01/2050#                                                                                | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1695795 | PA      | $1402935.49    | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/46#AS8573                                                                             | CUSIP: 3138WJQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282058 | PA      | $264242.68     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 8/40 #741372                                                                                 | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74425 | PA      | $73717.95      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 05/51#SD7541                                                                               | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19185572 | PA      | $15950215.09   | 0.03%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LII LTD / MADISON PK FDG LII LLC                                  | MADISON PK FDG LII LTD / MADISON PK FDG LII LLC 3ML+110 01/22/2035 144A                                 | CUSIP: 55822BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6180000 | PA      | $5959423.44    | 0.01%             | 2035-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 01/01/2041#A96537                                                                        | CUSIP: 312945HN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23930 | PA      | $24410.70      | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | LEVEL 3 FINANCING INC 3.4% 03/01/2027 144A                                                              | CUSIP: 527298BP7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    2605000 | PA      | $2222554.95    | 0.00%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 09/20/2040#004799                                                                          | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     342047 | PA      | $323068.20     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 04/42#890427                                                                             | CUSIP: 31410LHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4390 | PA      | $4121.91       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2046#Q44628                                                                        | CUSIP: 3132WJEA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1186457 | PA      | $1113290.37    | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                              | SPECTRUM BRANDS INC 5.5% 07/15/2030 144A                                                                | CUSIP: 84762LAW5<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $856380.00     | 0.00%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM ARM 5.78% 10/35 #1N0063                                                                            | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2348 | PA      | $2416.43       | 0.00%             | 2035-10-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 04/01/2052#QE0521                                                                        | CUSIP: 3133B9SJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16267604 | PA      | $13917976.61   | 0.03%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BATTALION CLO XI LTD / BATTALION CLO XI LLC                                      | BATTALION CLO XI LTD / BATTALION CLO XI LLC 3ML+115 04/24/2034 144A                                     | CUSIP: 07132LAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22750000 | PA      | $21970767.00   | 0.05%             | 2034-04-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 6.625%/VAR PERP REGS                                                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | EP               | CORP              | FR        |     830000 | PA      | $798875.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 12/01/2033#C91737                                                                        | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106143 | PA      | $102647.46     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 5.5% 01/01/2053 #TBA                                                                          | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   26500000 | PA      | $26785701.80   | 0.06%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | POST HLDGS INC 4.625% 04/15/2030 144A                                                                   | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     530000 | PA      | $464995.50     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2013-C14                                                  | JPMBB COML MTG SEC TR 2013 C14 AS 4.409% 08/15/2046                                                     | CUSIP: 46640LAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3088000 | PA      | $3024849.47    | 0.01%             | 2046-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 11/41 #AL1193                                                                                | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176692 | PA      | $170769.87     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                                                   | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     428701 | PA      | $27302.95      | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                    | LOWES COS INC 3.75% 04/01/2032                                                                          | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    1904000 | PA      | $1734375.29    | 0.00%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2045#G08677                                                                        | CUSIP: 3128MJXF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     303686 | PA      | $294643.04     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 10/01/2050#SD8098                                                                          | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3007400 | PA      | $2488030.12    | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARCH CAPITAL FINANCE LLC                                                         | ARCH CAP FIN LLC 4.011% 12/15/2026                                                                      | CUSIP: 03939CAA1<br>LEI: 549300XG4URFY0200M65 | Long             | DBT              | CORP              | US        |    4595000 | PA      | $4415941.26    | 0.01%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                                | STATE STREET CORP 2.901%/VAR 03/30/2026                                                                 | CUSIP: 857477BM4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     833000 | PA      | $791973.63     | 0.00%             | 2026-03-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/42#AQ6804                                                                             | CUSIP: 3138MNR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24481 | PA      | $22950.11      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                                                    | SEMPRA ENERGY 3.3% 04/01/2025                                                                           | CUSIP: 816851BN8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2122365.12    | 0.00%             | 2025-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | CIGNA CORP 3.25% 04/15/2025                                                                             | CUSIP: 125523AV2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     355000 | PA      | $343246.04     | 0.00%             | 2025-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PARK AVE INSTL ADVISERS CLO LTD 2018-1/PK AVE INSTL ADVISERS CLO LLC 2018-1      | PARK AVE INSTL ADVISERS CLO LTD 2018-1/LLC 2018-1 3ML+100 10/20/2031 144A                               | CUSIP: 70016RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12750000 | PA      | $12421266.75   | 0.03%             | 2031-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    2180000 | NC      | $29823.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 2/42 #766918                                                                                 | CUSIP: 36176HYP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231873 | PA      | $218317.13     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                            | GNMA 2017-H06 FA 12ML+35 08/66                                                                          | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1720892 | PA      | $1711896.01    | 0.00%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                         | QATAR ST 3.75% 04/16/2030 REGS                                                                          | CUSIP: N/A<br>LEI: 52990074F6OJOAXK4P65       | Long             | DBT              | NUSS              | QA        |     400000 | PA      | $384000.00     | 0.00%             | 2030-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | VISTRA OPERATIONS CO LLC 5% 07/31/2027 144A                                                             | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     195000 | PA      | $183041.45     | 0.00%             | 2027-07-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2052#MA4701                                                                        | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8043118 | PA      | $7838942.70    | 0.02%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                                                   | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162804 | PA      | $157049.31     | 0.00%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD                                                         | MADISON PARK FUNDING LTD 21-59A A 3ML+114 01/18/2034 144A                                               | CUSIP: 55822EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4500000 | PA      | $4399438.50    | 0.01%             | 2034-01-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 10/01/2051#QC9556                                                                        | CUSIP: 3133AUTM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     739029 | PA      | $636905.69     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDGS S A                                                       | INTELSAT JACKSON HLDGS SA 5.5% 08/01/2023                                                               | CUSIP: 45824TAP0<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |    2500000 | PA      | $0.25          | 0.00%             | 2023-08-01      | Fixed         | 0.06%                 | No            |                  3 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                          | ALABAMA POWER CO 3.75% 03/01/2045                                                                       | CUSIP: 010392FM5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     650000 | PA      | $509480.39     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 06/01/2041#MA4364                                                                          | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12621762 | PA      | $10785170.43   | 0.02%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 09/15/2043#711804                                                                        | CUSIP: 36297GX96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     576928 | PA      | $546573.24     | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 4.125% 08/17/2027                                                                    | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     185000 | PA      | $168788.45     | 0.00%             | 2027-08-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                     | WP CAREY INC 3.85% 07/15/2029                                                                           | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    1725000 | PA      | $1548458.05    | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP NEW                                                          | PILGRIMS PRIDE CORP NEW 3.5% 03/01/2032 144A                                                            | CUSIP: 72147KAG3<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2414730.00    | 0.01%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                     | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                            | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   12588000 | PA      | $11894118.10   | 0.03%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                                                              | DENTSPLY SIRONA INC 3.25% 06/01/2030                                                                    | CUSIP: 24906PAA7<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2486403.33    | 0.01%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 11/49#MA3833                                                                             | CUSIP: 31418DHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     631846 | PA      | $546310.56     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 01/20/2047#MA4198                                                                          | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160682 | PA      | $161413.55     | 0.00%             | 2047-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB8 LLC                                                                | CFMT 2022-HB8 LLC 3.75% 04/24/2025 144A                                                                 | CUSIP: 12526WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7525577 | PA      | $7243367.95    | 0.02%             | 2025-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 06/01/2039#AL6611                                                                          | CUSIP: 3138EPKZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336383 | PA      | $339313.80     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 11/01/2040#AE8265                                                                        | CUSIP: 31419KFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10235 | PA      | $9913.07       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM3 TR                                                                 | OBX 2021-NQM3 TR 1.054% 07/25/2061 144A                                                                 | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14034362 | PA      | $10498020.28   | 0.02%             | 2061-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/01/2039#AW8233                                                                          | CUSIP: 3138XYEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93186 | PA      | $90561.15      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                         | RR 7 LTD 3ML+134 01/15/2037 144A                                                                        | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7731000 | PA      | $7511563.30    | 0.02%             | 2037-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 11/01/2052#SD1863                                                                          | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3200000 | PA      | $3225354.56    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 11/46#MA4071                                                                               | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     420017 | PA      | $422323.09     | 0.00%             | 2046-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 02/01/2044#Q24973                                                                        | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37849 | PA      | $36864.35      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RLGH TR 2021-TROT                                                                | RLGH TR 2021-TROT VAR 04/15/2026 144A                                                                   | CUSIP: 74969CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1824381.33    | 0.00%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                  | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                                   | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5128676 | PA      | $4077177.04    | 0.01%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | FX Forward: USD/EUR settle 2022-12-02                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-2939553.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 03/01/2043#Q16470                                                                        | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106388 | PA      | $97657.71      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                           | CEDAR FUNDING LTD 2022 TSFR3M+132 04/20/2035 144A                                                       | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7060000 | PA      | $6782492.58    | 0.01%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 5/15/42                                                                                         | CUSIP: 912834LK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2635000 | PA      | $1175588.44    | 0.00%             | 2042-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 5.875% 02/15/2026                                                                               | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1135000 | PA      | $1144245.98    | 0.00%             | 2026-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 08/15/2040#721759                                                                        | CUSIP: 3620A7ZY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89084 | PA      | $86116.87      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                  | PHILIP MORRIS INTL INC 5.75% 11/17/2032                                                                 | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     285000 | PA      | $293486.22     | 0.00%             | 2032-11-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 0.0% 05/15/2044                                                                                 | CUSIP: 912834NP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7670000 | PA      | $3138389.20    | 0.01%             | 2044-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                                                     | NEWMONT CORP 2.6% 07/15/2032                                                                            | CUSIP: 651639AZ9<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $856706.53     | 0.00%             | 2032-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 08/01/2043#AU2854                                                                          | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101213 | PA      | $98551.61      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                                                      | BACARDI LTD 4.7% 05/15/2028 144A                                                                        | CUSIP: 067316AF6<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |     343000 | PA      | $326756.21     | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 01/01/2041#MA4232                                                                          | CUSIP: 31418DV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1655040 | PA      | $1419904.76    | 0.00%             | 2041-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                                                      | CITYCON OYJ 4.496%/VAR PERP REGS                                                                        | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |     450000 | PA      | $287087.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                           | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                           | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4167060 | PA      | $3260828.63    | 0.01%             | 2051-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 4.017%/VAR 10/31/2038                                                     | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4495000 | PA      | $3790693.69    | 0.01%             | 2038-10-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2047#BD2436                                                                        | CUSIP: 3140F9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385300 | PA      | $360964.05     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC                                  | ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC 4.125% 08/15/2026 144A                                  | CUSIP: 03969AAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      10000 | PA      | $8800.00       | 0.00%             | 2026-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 06/20/2042#MA0154                                                                          | CUSIP: 36179ME30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156210 | PA      | $147325.36     | 0.00%             | 2042-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 4.25% 09/15/2024                                                                         | CUSIP: 00912XAN4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    9907000 | PA      | $9731637.48    | 0.02%             | 2024-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                           | FEDERAL HOME LOAN BANKS 3.25% 11/16/2028                                                                | CUSIP: 3130AFFX0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    1330000 | PA      | $1286461.15    | 0.00%             | 2028-11-16      | Fixed         | 0.03%                 | 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        |     838000 | PA      | $723247.46     | 0.00%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 02/20/2052#MA7882                                                                            | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1989661 | PA      | $1800317.93    | 0.00%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                    | DISH DBS CORP 7.75% 07/01/2026                                                                          | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     550000 | PA      | $460680.00     | 0.00%             | 2026-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SARATOGA INVT CORP CLO 2013-1 LTD / SARATOGA INVT CORP CLO 2013-1 INC            | SARATOGA INVT CORP CLO 2013-1 LTD / SARATOGA INVT CORP CLO 2013-1 INC 3ML+132 04/20/2033 144A           | CUSIP: 80349BBB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12000000 | PA      | $11804832.00   | 0.03%             | 2033-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 04/51#MA7311                                                                                 | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1074607 | PA      | $917365.46     | 0.00%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                         | VENTURE GLOBAL CALCASIEU 3.875% 08/15/2029 144A                                                         | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     340000 | PA      | $293675.00     | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2044#Q25146                                                                        | CUSIP: 3132M5L34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87934 | PA      | $88029.72      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2021-1 LTD                                                              | EAGLE RE 2021-1 LTD SOFR30A+270 10/25/2033 144A                                                         | CUSIP: 26983BAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1735000 | PA      | $1690173.50    | 0.00%             | 2033-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 2.593%/VAR 09/11/2025 144A                                                         | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   13060000 | PA      | $11569706.94   | 0.02%             | 2025-09-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGELLAN MIDSTREAM PARTNRS MLP                                                   | MAGELLAN MIDSTREAM PARTNRS MLP 4.2% 10/03/2047                                                          | CUSIP: 559080AM8<br>LEI: MZF5TI8NFVZZNUSKDL39 | Long             | DBT              | CORP              | US        |     795000 | PA      | $613357.89     | 0.00%             | 2047-10-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                                 | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7708000 | PA      | $6831789.01    | 0.01%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 2.633%/VAR 11/07/2025                                                                 | CUSIP: 404280CE7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3000000 | PA      | $2789161.32    | 0.01%             | 2025-11-07      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                      | ASBURY AUTOMOTIVE GROUP INC 4.625% 11/15/2029 144A                                                      | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      75000 | PA      | $65437.50      | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                                   | TRANSOCEAN INC 11.5% 01/30/2027 144A                                                                    | CUSIP: 893830BQ1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |     140000 | PA      | $141050.00     | 0.00%             | 2027-01-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP                                                                | SITE CENTERS CORP 3.625% 02/01/2025                                                                     | CUSIP: 23317HAD4<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    2396000 | PA      | $2260956.12    | 0.00%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 10/1/33 #A14237                                                                          | CUSIP: 31296NV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151710 | PA      | $153112.42     | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 3.49% 05/28/2030                                                                     | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    1000000 | PA      | $840480.49     | 0.00%             | 2030-05-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.75% 05/15/2025                                                                              | CUSIP: 91282CEQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      50000 | PA      | $48304.69      | 0.00%             | 2025-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN ASSET FDS INC                                                            | Western Asset Core Bond I                                                                               | CUSIP: 957663305<br>LEI: 549300Q2LEO7M5HGWP70 | Long             | EC               | RF                | US        |  221387023 | NS      | $2368841147.52 | 5.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PPL ELEC UTILS CORP                                                              | PPL ELEC UTILS CORP 6.25% 05/15/2039                                                                    | CUSIP: 69351UAM5<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     350000 | PA      | $377609.16     | 0.00%             | 2039-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                         | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                           | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     949000 | PA      | $899006.96     | 0.00%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                            | SOUTHWEST AIRLINES CO 2.625% 02/10/2030                                                                 | CUSIP: 844741BF4<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |     735000 | PA      | $613053.66     | 0.00%             | 2030-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AEROPORTI DI ROMA SPA                                                            | AEROPORTI DI ROMA SPA 1.75% 07/30/2031 REGS                                                             | CUSIP: N/A<br>LEI: 8156007259ABDEA3F444       | Long             | DBT              | CORP              | IT        |     745000 | PA      | $594932.30     | 0.00%             | 2031-07-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                            | LCH OIS SOFRV2.5% MAC 12/21/32                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    2740000 | NC      | $-33301.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 04/01/2051#BR8460                                                                        | CUSIP: 3140L7MJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2170978 | PA      | $1857750.31    | 0.00%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                        | IQVIA INC 5% 10/15/2026 144A                                                                            | CUSIP: 449934AD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     230000 | PA      | $221375.00     | 0.00%             | 2026-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION INC                                                     | ADTALEM GLOBAL EDUCATION INC 5.5% 03/01/2028 144A                                                       | CUSIP: 00737WAA7<br>LEI: 549300Z467EZLMODV621 | Long             | DBT              | CORP              | US        |     639000 | PA      | $594270.00     | 0.00%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/20/2042 #MA0625                                                                         | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2669314 | PA      | $2516299.84    | 0.01%             | 2042-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5% 12/01/2052 #TBA                                                                              | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6600000 | PA      | $6596625.42    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C29                      | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C29 ASB 3.14% 05/15/2049                        | CUSIP: 61766EBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     324397 | PA      | $310426.58     | 0.00%             | 2049-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FREDDIE MAC 0.375% 05/05/2023                                                                           | CUSIP: 3137EAER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    3065000 | PA      | $3010063.25    | 0.01%             | 2023-05-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026                                     | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    4282000 | PA      | $4108202.70    | 0.01%             | 2026-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2039#AV6581                                                                          | CUSIP: 3138XJJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412938 | PA      | $401564.59     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTRAL PARENT INC                                                               | CDK GLOBAL TERM 1LN 07/06/2029                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     525591 | PA      | $518842.63     | 0.00%             | 2029-07-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.6% 03/09/2026                                                                           | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3450647.76    | 0.01%             | 2026-03-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                                      | TCW IRS 2YR/30YR 1.8075% 07/24/53                                                                       | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    2480000 | NC      | $724253.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOS ANGELES CA UNI SCH DIST                                                      | LOS ANGELES CA UNI SCH DIST BUILD AMERICA BONDS                                                         | CUSIP: 544646ZR6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     570000 | PA      | $646135.30     | 0.00%             | 2034-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2044#AS3651                                                                        | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1868504 | PA      | $1862850.69    | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                    | SAN DIEGO GAS and ELECTRIC CO 3.75% 06/01/2047                                                          | CUSIP: 797440BV5<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     860000 | PA      | $675119.32     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                                    | COHERENT CORP 5% 12/15/2029 144A                                                                        | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |     505000 | PA      | $445662.50     | 0.00%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2045#BM5975                                                                          | CUSIP: 3140JAT99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     828674 | PA      | $758411.75     | 0.00%             | 2045-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2052#MA4684                                                                        | CUSIP: 31418EF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11769664 | PA      | $11474567.79   | 0.02%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 3.125% 03/15/2027 144A                                                                          | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $955094.45     | 0.00%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                                               | BAUSCH and LOMB TERM B 1LN 05/10/2027                                                                   | CUSIP: N/A<br>LEI: 549300NY6OZM39SO6475       | Long             | LON              | CORP              | CA        |     341119 | PA      | $322869.59     | 0.00%             | 2027-05-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 0.375% 04/30/2025                                                                             | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4920000 | PA      | $4491421.85    | 0.01%             | 2025-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 09/01/2052#SD8261                                                                          | CUSIP: 3132DWFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3008836 | PA      | $3079458.96    | 0.01%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                               | AUTONATION INC DEL 4.75% 06/01/2030                                                                     | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     953000 | PA      | $858180.79     | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY MN                                                                    | UNIV MINNESOTA 4.048% 4/1/2052                                                                          | CUSIP: 914460WT3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3060000 | PA      | $2674925.01    | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | FX Forward: EUR/USD settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $3568.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 3.375% 02/15/2030                                                                          | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    5670000 | PA      | $4829780.05    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                     | BAYC 2007-3 A2 1ML+29 7/37                                                                              | CUSIP: 07325YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22741 | PA      | $19951.43      | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NISOURCE INC 4.8% 02/15/2044                                                                            | CUSIP: 65473QBC6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     550000 | PA      | $491464.07     | 0.00%             | 2044-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                                                       | NUCOR CORP 4.3% 05/23/2027                                                                              | CUSIP: 670346AY1<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    1320000 | PA      | $1289400.67    | 0.00%             | 2027-05-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 04/51#MA7312                                                                               | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1544968 | PA      | $1364065.01    | 0.00%             | 2051-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                      | EQUINOR ASA 3.95% 05/15/2043                                                                            | CUSIP: 85771PAL6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     300000 | PA      | $257458.01     | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 2.406%/VAR 10/30/2025                                                            | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5834000 | PA      | $5498066.38    | 0.01%             | 2025-10-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                                                     | NEWMONT CORP 2.25% 10/01/2030                                                                           | CUSIP: 651639AY2<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    2345000 | PA      | $1895032.14    | 0.00%             | 2030-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                         | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                                 | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    1693000 | PA      | $1563536.29    | 0.00%             | 2028-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | QUEST DIAGNOSTICS INC 4.7% 03/30/2045                                                                   | CUSIP: 74834LAY6<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     150000 | PA      | $127273.35     | 0.00%             | 2045-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 08/20/2043#MA1225                                                                          | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72506 | PA      | $71016.68      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 5.375% 02/01/2025                                                                               | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     305000 | PA      | $304258.77     | 0.00%             | 2025-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | ROYAL BK SCOTLND GRP PLC(UNGTD) 3.073/VAR 05/22/2028                                                    | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    5799000 | PA      | $5133768.76    | 0.01%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 3.4% 09/18/2029                                                                   | CUSIP: 455780CK0<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     420000 | PA      | $384825.00     | 0.00%             | 2029-09-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 0.75% 04/30/2026                                                                              | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   71811200 | PA      | $64366397.89   | 0.14%             | 2026-04-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 09/01/2050#SD8090                                                                          | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16305519 | PA      | $13489598.47   | 0.03%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | COMMONSPIRIT HEALTH 2.782% 10/01/2030                                                                   | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     695000 | PA      | $560753.55     | 0.00%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                             | HEIMSTADEN BOSTAD AB 3.625/VAR PERP REGS                                                                | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | EP               | CORP              | SE        |     185000 | PA      | $116738.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 03/01/2052#CB3038                                                                          | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     736815 | PA      | $607726.71     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                                                    | VOLT XCIV LLC 2.2395% 02/27/2051 144A                                                                   | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16893953 | PA      | $14904835.69   | 0.03%             | 2051-02-27      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                       | EATON VANCE CLO 2020-2 LTD 3ML+114 01/15/2035 144A                                                      | CUSIP: 27829PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6200000 | PA      | $6016108.00    | 0.01%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                                               | KAISER FNDTN HOSPS 3.002% 06/01/2051                                                                    | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |     975000 | PA      | $675425.33     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2% 04/01/2041#                                                                                | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41763 | PA      | $35686.02      | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 5.125% 06/16/2025                                                                    | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     135000 | PA      | $130722.09     | 0.00%             | 2025-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | XCEL ENERGY INC 4% 06/15/2028                                                                           | CUSIP: 98389BAV2<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    2640000 | PA      | $2531610.07    | 0.01%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 3/41 #004978                                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2188958 | PA      | $2175835.34    | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 10/41 #005204                                                                             | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1312224 | PA      | $1319430.03    | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SETANTA AIRCRAFT LEASING DAC                                                     | AERCAP TERM B 1LN 11/05/2028                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | IE        |     485000 | PA      | $478433.10     | 0.00%             | 2028-11-05      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | DEUTSCHE BANK AG 3.25%/VAR 05/24/2028 REGS                                                              | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |     600000 | PA      | $578656.85     | 0.00%             | 2028-05-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/01/2051#BU3013                                                                        | CUSIP: 3140M4K31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415999 | PA      | $382282.21     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 09/42#G07184                                                                               | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235174 | PA      | $227470.99     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                                | TAMPA ELECTRIC CO 4.45% 06/15/2049                                                                      | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |     800000 | PA      | $678003.26     | 0.00%             | 2049-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHEQUITY INC                                                                 | HEALTHEQUITY INC 4.5% 10/01/2029 144A                                                                   | CUSIP: 42226AAA5<br>LEI: 529900LRJU1RAFQHM467 | Long             | DBT              | CORP              | US        |      45000 | PA      | $39424.50      | 0.00%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLOWSERVE CORP                                                                   | FLOWSERVE CORP 2.8% 01/15/2032                                                                          | CUSIP: 34355JAB4<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |     405000 | PA      | $303134.28     | 0.00%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 12/39 #890385                                                                                | CUSIP: 31410LF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176251 | PA      | $185324.34     | 0.00%             | 2039-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 3.875% 02/15/2029 144A                                            | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1483360.54    | 0.00%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                     | NEXTERA ENERGY CAP HLDGS INC 4.625% 07/15/2027                                                          | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2350000 | PA      | $2330599.29    | 0.00%             | 2027-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY MI UNIV REVS                                                          | UNIV MICH REVS 2.437% 4/1/2040                                                                          | CUSIP: 914455UF5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1050000 | PA      | $758611.35     | 0.00%             | 2040-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PIMCO FDS PAC INVT MGMT SER                                                      | PIMCO Total Return Instl                                                                                | CUSIP: 693390700<br>LEI: 549300F3V4IM7FBY9U59 | Long             | EC               | RF                | US        |  693684820 | NS      | $5986499995.06 | 12.72%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/01/2039#AA8725                                                                        | CUSIP: 31416SVT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38865 | PA      | $39468.42      | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MID AMERICA APTS LP                                                              | MID AMERICA APTS LP 4% 11/15/2025                                                                       | CUSIP: 59523UAM9<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    1296000 | PA      | $1254889.83    | 0.00%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 1.5% 01/01/2051#MA4236                                                                        | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4616661 | PA      | $3598457.82    | 0.01%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 02/01/2045#MA2189                                                                        | CUSIP: 31418BNF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19499 | PA      | $17790.69      | 0.00%             | 2045-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                      | Fidelity U.S. Bond Index Fund                                                                           | CUSIP: 316146356<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |  104321691 | NS      | $1071383763.23 | 2.28%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 09/01/2052#QF0927                                                                        | CUSIP: 3133BNA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99991 | PA      | $91652.16      | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                             | 1011778 BC ULC/NEW RED FIN INC 5.75% 04/15/2025 144A                                                    | CUSIP: 68245XAK5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      90000 | PA      | $90225.00      | 0.00%             | 2025-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 11/01/2042#AB6903                                                                        | CUSIP: 31417DU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143637 | PA      | $130204.43     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 12/01/2051#CB2321                                                                        | CUSIP: 3140QMSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2882911 | PA      | $2474623.15    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 6.75% 06/20/2028 REGS                                                                | CUSIP: N/A<br>LEI: 6354001WLTJXOMEXPY07       | Long             | DBT              | NUSS              | UA        |    1450000 | PA      | $293569.52     | 0.00%             | 2028-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | COINBASE GLOBAL INC 3.625% 10/01/2031 144A                                                              | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |     295000 | PA      | $159300.00     | 0.00%             | 2031-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNMA II 4.5% 6/45#MA2894                                                                                | CUSIP: 36179RGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73714 | PA      | $74118.32      | 0.00%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 07/01/2041#                                                                                | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4463017 | PA      | $3813603.54    | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                | PERU REPUBLIC OF 2.783% 01/23/2031                                                                      | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     772000 | PA      | $652340.00     | 0.00%             | 2031-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 6/37 #939637                                                                                 | CUSIP: 31413ALS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3400 | PA      | $3580.35       | 0.00%             | 2037-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 09/01/2040#C03520                                                                        | CUSIP: 31292K4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123698 | PA      | $119763.93     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 06/20/2046#MA3737                                                                            | CUSIP: 36179SEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267700 | PA      | $260612.19     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2039#                                                                                | CUSIP: 312936EZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214935 | PA      | $208258.92     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2022-R2                                                                | CIM TRUST 2022-R2 VAR 12/25/2061 144A                                                                   | CUSIP: 12567NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2461473 | PA      | $2267711.47    | 0.00%             | 2061-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 11/32#ZA3931                                                                             | CUSIP: 31329MLL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1685761 | PA      | $1584932.62    | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2046#BC6149                                                                        | CUSIP: 3140F1ZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222223 | PA      | $208812.32     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 08/01/2046#Q42260                                                                          | CUSIP: 3132WFQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53916 | PA      | $49070.21      | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                                      | AKER BP ASA 2.875% 01/15/2026 144A                                                                      | CUSIP: 00973RAG8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    7120000 | PA      | $6605650.77    | 0.01%             | 2026-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045       | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2420000 | PA      | $2279803.01    | 0.00%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 0.976/VAR 05/24/2025                                                                  | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     835000 | PA      | $768112.93     | 0.00%             | 2025-05-24      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 20-R LTD                                             | OCTAGON INVESTMENT PARTNERS 20-R LTD 19-4A BR 3ML+170 05/12/2031 144A                                   | CUSIP: 67576WAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2402317.50    | 0.01%             | 2031-05-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                                     | BX 2021-BXMF 1ML+64 10/15/2026 144A                                                                     | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7377000 | PA      | $6998905.88    | 0.01%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/41 #783262                                                                                 | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30620 | PA      | $30325.38      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PPL ELEC UTILS CORP                                                              | PPL ELEC UTILS CORP 4.15% 10/01/2045                                                                    | CUSIP: 69351UAT0<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     790000 | PA      | $661333.96     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 3% 09/15/2023                                                                            | CUSIP: 00912XAT1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     800000 | PA      | $784258.75     | 0.00%             | 2023-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2020-HB4 LLC                                                                | CFMT 2020-HB4 A LLC 0% 12/26/2030 144A                                                                  | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1691826 | PA      | $1634488.04    | 0.00%             | 2030-12-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MEG ENERGY CORP                                                                  | MEG ENERGY CORP 7.125% 02/01/2027 144A                                                                  | CUSIP: 552704AE8<br>LEI: 5493002WXPTG5ZC1T326 | Long             | DBT              | CORP              | CA        |     220000 | PA      | $223561.80     | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BXMT 2020-FL3 LTD                                                                | BXMT 2020-FL3 LTD STEP 03/15/2037 144A                                                                  | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   13100000 | PA      | $12894510.78   | 0.03%             | 2037-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 6.25% 03/15/2026 144A                                                                     | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     915000 | PA      | $910553.10     | 0.00%             | 2026-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 05/01/2043#AR5169                                                                        | CUSIP: 3138W2W76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338901 | PA      | $310377.99     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 08/47#MA3088                                                                               | CUSIP: 31418CNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393108 | PA      | $379209.13     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.5% 05/31/2024                                                                               | CUSIP: 91282CER8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29075000 | PA      | $28199342.70   | 0.06%             | 2024-05-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 4.5% 01/01/2053 #TBA                                                                          | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    7450000 | PA      | $7252113.10    | 0.02%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2052#SD0958                                                                        | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2034679 | PA      | $1882482.75    | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032                                      | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    4200000 | PA      | $3347272.66    | 0.01%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG2012-9 SH 1ML+655 06/25/2041                                                             | CUSIP: 3136A3M81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      23437 | PA      | $293.56        | 0.00%             | 2041-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 08/01/2031#V61273                                                                        | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     807088 | PA      | $765531.97     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OHIOHEALTH CORP                                                                  | OHIOHEALTH CORP 2.297% 11/15/2031                                                                       | CUSIP: 67777JAL2<br>LEI: JGYGIL4QGKKPZU7C1D18 | Long             | DBT              | CORP              | US        |    8505000 | PA      | $6896504.89    | 0.01%             | 2031-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GTC AURORA LUXEMBOURG SA                                                         | GTC AURORA LUXEMBOURG SA 2.25% 06/23/2026 REGS                                                          | CUSIP: N/A<br>LEI: 549300UAWIR6P1PVC062       | Long             | DBT              | CORP              | LU        |     775000 | PA      | $587509.75     | 0.00%             | 2026-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 01/01/2044#G08567                                                                        | CUSIP: 3128MJTZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194740 | PA      | $189671.09     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2046#BM4980                                                                          | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3031769 | PA      | $2929121.32    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2044#AW6505                                                                        | CUSIP: 3138XWGP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269450 | PA      | $269493.21     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.2% 05/12/2026                                                                    | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1701000 | PA      | $1649272.18    | 0.00%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2044#Q25069                                                                        | CUSIP: 3132M5JN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79912 | PA      | $79999.12      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | LEVEL 3 FINANCING INC 3.625% 01/15/2029 144A                                                            | CUSIP: 527298BS1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $3618160.00    | 0.01%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY COMPANY                                                              | PECO ENERGY COMPANY 4.375% 08/15/2052                                                                   | CUSIP: 693304BE6<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     725000 | PA      | $642751.32     | 0.00%             | 2052-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                            | BAYC 2005-3A A2 1ML+40 11/35                                                                            | CUSIP: 07324SCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15891 | PA      | $14439.83      | 0.00%             | 2035-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2045#AS5393                                                                        | CUSIP: 3138WE7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176106 | PA      | $175914.47     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.50% 9/39 #AD0242                                                                                 | CUSIP: 31418MHU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243393 | PA      | $252554.10     | 0.00%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 8/40 #G05969                                                                                 | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77483 | PA      | $78840.18      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                            | BAUSCH HEALTH COS INC 5.25% 02/15/2031 144A                                                             | CUSIP: 071734AL1<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    4796000 | PA      | $2002812.72    | 0.00%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                                | ENTERPRISE PRODS OPER LLC 4.85% 03/15/2044                                                              | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2665000 | PA      | $2379571.44    | 0.01%             | 2044-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 6.537%/VAR 08/12/2033 144A                                                         | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   10990000 | PA      | $9627713.89    | 0.02%             | 2033-08-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2044#AW4740                                                                        | CUSIP: 3138XUHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24741 | PA      | $24745.10      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.0% 10/01/2027#AP6647                                                                        | CUSIP: 3138MAL55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393694 | PA      | $380260.90     | 0.00%             | 2027-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 10/01/2042#AB6694                                                                        | CUSIP: 31417DNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180999 | PA      | $163912.08     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARKS and SPENCER PLC                                                            | MARKS and SPENCER PLC STEP 07/10/2027 REGS                                                              | CUSIP: N/A<br>LEI: 213800CN1RI3UCIZWB95       | Long             | DBT              | CORP              | GB        |    1500000 | PA      | $1557755.50    | 0.00%             | 2027-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERISOURCEBERGEN CORP                                                           | AMERISOURCEBERGEN CORP 2.7% 03/15/2031                                                                  | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    5980000 | PA      | $4950844.15    | 0.01%             | 2031-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 4% 01/01/2036#G30933                                                                          | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1376998 | PA      | $1356160.34    | 0.00%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                              | PRUDENTIAL FINL INC 5.375% 05/15/2045                                                                   | CUSIP: 744320AV4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    5278000 | PA      | $4948652.80    | 0.01%             | 2045-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 07/01/2028#AU1660                                                                        | CUSIP: 3138X0Z27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148691 | PA      | $142399.25     | 0.00%             | 2028-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2045#Q37467                                                                        | CUSIP: 3132QUJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2582966 | PA      | $2433364.86    | 0.01%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                         | QATAR ST 5.103% 04/23/2048 144A                                                                         | CUSIP: 74727PAY7<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    2200000 | PA      | $2200000.00    | 0.00%             | 2048-04-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                              | SPRINT CAPITAL CORP 8.75% 03/15/2032                                                                    | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |     555000 | PA      | $663585.75     | 0.00%             | 2032-03-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND                                                          | DRYDEN SENIOR LOAN FUND 3ML+113 02/20/2035 144A                                                         | CUSIP: 262484AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3054000 | PA      | $2949431.04    | 0.01%             | 2035-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 01/20/2043#MA0852                                                                          | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209611 | PA      | $199185.14     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 08/01/2028#AS0290                                                                        | CUSIP: 3138W9KC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100077 | PA      | $95842.72      | 0.00%             | 2028-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2042#AO5544                                                                        | CUSIP: 3138LWES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155803 | PA      | $156266.77     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-IND                                                                | SREIT TR 2021-IND 1ML+69.2 10/15/2038 144A                                                              | CUSIP: 78473JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $5515420.10    | 0.01%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 12/20/2049#BR8985                                                                          | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81631 | PA      | $76193.43      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+132.21 10/15/2036 144A                                        | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1560000 | PA      | $1434217.51    | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 03/01/2044#AW0779                                                                        | CUSIP: 3138XP2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157426 | PA      | $161428.36     | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 2.45% 02/15/2031 144A                                                                      | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   12129000 | PA      | $9569349.21    | 0.02%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2042#AP9743                                                                        | CUSIP: 3138MDZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173060 | PA      | $173574.60     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 2.667%/VAR 03/10/2032                                                              | CUSIP: 06738EBR5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   10165000 | PA      | $7764291.90    | 0.02%             | 2032-03-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 9/41 #Q03295                                                                                 | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134574 | PA      | $130205.67     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-HB7 LLC                                                                | CFMT 2021-HB7 LLC 3.3574% 07/25/2054 144A                                                               | CUSIP: 12527QAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3543485 | PA      | $3459894.95    | 0.01%             | 2054-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 4.75% 01/15/2026                                                                     | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     850000 | PA      | $834072.32     | 0.00%             | 2026-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NCR CORPORATION NEW                                                              | NCR CORPORATION NEW 6.125% 09/01/2029 144A                                                              | CUSIP: 62886EAV0<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    1023000 | PA      | $992310.00     | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AGILENT TECHNOLOGIES INC                                                         | AGILENT TECHNOLOGIES INC 2.3% 03/12/2031                                                                | CUSIP: 00846UAN1<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |    1245000 | PA      | $1014805.85    | 0.00%             | 2031-03-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2013-GC17                                                  | CITIGROUP COML MTG TR 13-GC17 4.544% 11/10/2046                                                         | CUSIP: 17321RAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2245760.71    | 0.00%             | 2046-11-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-NUGS                                                | MORGAN STANLEY CAP I TR 2019-NUGS A 1ML+88.4 12/15/2021 144A                                            | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5200000 | PA      | $4846934.56    | 0.01%             | 2036-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG ENERGY INC 3.875% 02/15/2032 144A                                                                   | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     750000 | PA      | $602921.25     | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                             | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                                    | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |     894000 | PA      | $715363.07     | 0.00%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2049#CA4536                                                                          | CUSIP: 3140QCBE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2108445 | PA      | $1893762.39    | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 12/01/2047#G08792                                                                        | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1018077 | PA      | $950839.97     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                          | MNGT SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    1870000 | NC      | $25582.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 4.2% 03/15/2048                                                               | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     125000 | PA      | $96250.00      | 0.00%             | 2048-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                        | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87399 | PA      | $86381.16      | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/01/2041#AB3738                                                                        | CUSIP: 31417AEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456362 | PA      | $428689.55     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 4.2% 09/15/2023                                                                      | CUSIP: 29278NAC7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1452000 | PA      | $1441395.13    | 0.00%             | 2023-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 10/44#G60153                                                                             | CUSIP: 31335AE20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295535 | PA      | $296132.39     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELEC and GAS CO                                                   | PUBLIC SERVICE ELEC and GAS CO 3.65% 09/01/2042                                                         | CUSIP: 74456QBA3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     625000 | PA      | $506016.48     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 5.5% 02/15/2049                                                                                 | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    4516000 | PA      | $4057303.60    | 0.01%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 06/01/2039#A86705                                                                        | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148959 | PA      | $148185.08     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP II                                                          | FARMERS EXCH CAP II 6.151 11/53 144A                                                                    | CUSIP: 30958PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1444859.21    | 0.00%             | 2053-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                           | DISCOVER FINANCIAL SVS 4.5% 01/30/2026                                                                  | CUSIP: 254709AP3<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    6463000 | PA      | $6221543.22    | 0.01%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 3/34 #725228                                                                                 | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59865 | PA      | $62100.36      | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/42#AB5369                                                                             | CUSIP: 31417B6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41179 | PA      | $38654.59      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2047#AX5815                                                                          | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19592 | PA      | $18894.01      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4.0% 12/15/2040#737704                                                                        | CUSIP: 3620ARRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50111 | PA      | $48395.38      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 06/01/2043#AB9749                                                                        | CUSIP: 31417GZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220091 | PA      | $201567.62     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2045#AL7147                                                                        | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     570051 | PA      | $570143.55     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US 5YR NOTE (CBT) FUT MAR23 FVH3                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        -59 | NC      | $-38815.07     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 04/15/2046#784232                                                                          | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2650901 | PA      | $2564680.65    | 0.01%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2044#G60271                                                                        | CUSIP: 31335AJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     927462 | PA      | $876063.14     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 3/1/28 #J22814                                                                           | CUSIP: 31307BDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273936 | PA      | $262570.98     | 0.00%             | 2028-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 07/15/2043#AE6719                                                                        | CUSIP: 36181APC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     223673 | PA      | $211974.35     | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 01/47#MA4263                                                                                 | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     292782 | PA      | $284298.00     | 0.00%             | 2047-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4% 03/01/2023 144A                                                               | CUSIP: 1248EPBZ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2436190.82    | 0.01%             | 2023-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.5% 05/01/2029#AS2369                                                                        | CUSIP: 3138WBT39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197235 | PA      | $193115.41     | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/2052#FS0631                                                                          | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9725831 | PA      | $8641325.97    | 0.02%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KINROSS GOLD CORP                                                                | KINROSS GOLD CORP 4.5% 07/15/2027                                                                       | CUSIP: 496902AQ0<br>LEI: 549300UEBMAQDN0K0R06 | Long             | DBT              | CORP              | CA        |    9290000 | PA      | $8851419.29    | 0.02%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 05/51#QC1514                                                                               | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1051371 | PA      | $871116.26     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                          | ALABAMA POWER CO 4.1% 01/15/2042                                                                        | CUSIP: 010392FG8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     225000 | PA      | $181188.97     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                                      | TCW IRS 2YR/2YR 1.0725% 07/24/25                                                                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   29695000 | NC      | $-1693377.61   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY                                                        | SAUDI ARABIAN OIL COMPANY 1.625% 11/24/2025 REGS                                                        | CUSIP: N/A<br>LEI: 5586006WD91QHB7J4X50       | Long             | DBT              | CORP              | SA        |     800000 | PA      | $730000.00     | 0.00%             | 2025-11-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DPL INC                                                                          | DPL INC 4.35% 04/15/2029                                                                                | CUSIP: 233293AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2480000 | PA      | $2197900.00    | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 02/01/2043#MA1340                                                                        | CUSIP: 31418AP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260262 | PA      | $228160.58     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2042#C03792                                                                        | CUSIP: 31292LF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     276193 | PA      | $259740.69     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | ILLINOIS ST BUILD AMERICA BONDS-IL ST                                                                   | CUSIP: 452152BM2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3845000 | PA      | $3926971.17    | 0.01%             | 2035-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.088%/VAR 06/20/2030                                                              | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   13438000 | PA      | $12103712.63   | 0.03%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                    | BABSON CLO LTD/CAYMAN ISLANDS 2020-1A AR 3ML+115 10/15/2036 144A                                        | CUSIP: 06762LAM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3908000 | PA      | $3785320.06    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2047#BD2440                                                                        | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156020 | PA      | $146166.10     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.97/VAR 03/05/29                                                           | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10565000 | PA      | $9813767.65    | 0.02%             | 2029-03-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                                           | CHUBB INA HOLDINGS INC 3.15% 03/15/2025                                                                 | CUSIP: 00440EAS6<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    1765000 | PA      | $1706017.76    | 0.00%             | 2025-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                                  | GEN DIGITAL INC 5% 04/15/2025 144A                                                                      | CUSIP: 871503AU2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |     370000 | PA      | $358900.00     | 0.00%             | 2025-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MITNICK CORPORATE PURCHASER INC                                                  | VERACODE TERM 1LN 04/20/2029                                                                            | CUSIP: 60672HAC7<br>LEI: 2549002PYWOTVEDJKW54 | Long             | LON              | CORP              | US        |     148000 | PA      | $140230.00     | 0.00%             | 2029-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP SOFR 4.985%/VAR 07/24/2026                                                   | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6443240.57    | 0.01%             | 2026-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                             | KRAFT HEINZ FOODS CO 5.2% 07/15/2045                                                                    | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    4602000 | PA      | $4351066.01    | 0.01%             | 2045-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THORNBURG MTG SECS TR                                                            | TMST 2003-4 A1 1ML+64 9/43                                                                              | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1336416 | PA      | $1240816.86    | 0.00%             | 2043-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                        | BLOCK INC 2.75% 06/01/2026                                                                              | CUSIP: 852234AN3<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     110000 | PA      | $98307.00      | 0.00%             | 2026-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                              | FX Forward: USD/EUR settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-314.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2041#Q04127                                                                          | CUSIP: 3132GKHC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88045 | PA      | $85180.23      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 05/01/2051#BR9086                                                                        | CUSIP: 3140L8CY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2801670 | PA      | $2421085.34    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 5/42 #766750                                                                                 | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110837 | PA      | $104498.84     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                     | SBA TOWER TR 2.836% 01/15/2050 144A                                                                     | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8004000 | PA      | $7532280.26    | 0.02%             | 2050-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 5.75% 04/01/2037                                                                             | CUSIP: 695114CD8<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     900000 | PA      | $916846.67     | 0.00%             | 2037-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 01/01/2046#BC1552                                                                          | CUSIP: 3140EVWN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83263 | PA      | $80709.36      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2039#AX5330                                                                          | CUSIP: 3138Y64Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267214 | PA      | $259687.31     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM ESCROW LLC                                                            | WINDSTREAM ESCROW LLC 7.75% 08/15/2028 144A                                                             | CUSIP: 97382WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $437500.00     | 0.00%             | 2028-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SOFR3+0 3.057%/VAR 01/25/2033                                                             | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1799000 | PA      | $1478697.82    | 0.00%             | 2033-01-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| HUDBAY MINERALS INC                                                              | HUDBAY MINERALS INC 4.5% 04/01/2026 144A                                                                | CUSIP: 443628AJ1<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |      55000 | PA      | $49810.49      | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2048#Q54499                                                                          | CUSIP: 3132XW7M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16935 | PA      | $16377.47      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 01/20/2048#MA4964                                                                          | CUSIP: 36179TQR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     272454 | PA      | $271226.03     | 0.00%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2051#CB1157                                                                        | CUSIP: 3140QLJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4852571 | PA      | $4506653.77    | 0.01%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 11/01/2051#RA6308                                                                          | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     415661 | PA      | $344007.26     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 3.35%/VAR 3/02/2033                                                              | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    8765000 | PA      | $7497798.11    | 0.02%             | 2033-03-02      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                        | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    3399000 | PA      | $2656702.93    | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 2/40 #711188                                                                                 | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1771 | PA      | $1753.70       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                                                    | AROUNDTOWN SA 3.375%/VAR PERP REGS                                                                      | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | EP               | CORP              | LU        |    2200000 | PA      | $1167553.20    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.50% 10/42 #MA0462                                                                             | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88023 | PA      | $82985.83      | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 2/15/41                                                                                         | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1890000 | PA      | $905234.12     | 0.00%             | 2041-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/47#BJ2132                                                                               | CUSIP: 3140H3LN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125248 | PA      | $121054.70     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                   | FAIRFAX FINANCIAL HLDGS LTD 3.375% 03/03/2031                                                           | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    4595000 | PA      | $3717381.61    | 0.01%             | 2031-03-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#BT9493                                                                          | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     833790 | PA      | $689796.60     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVT PARTNERS 31 LTD / OCTAGON INVT PARTNERS 31 LLC                      | OCTAGON INVT PARTNERS 31 LTD / OCTAGON INVT PARTNERS 31 LLC 3ML+105 07/20/2030 144A                     | CUSIP: 67575XAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2953506.00    | 0.01%             | 2030-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VULCAN MATERIALS CO                                                              | VULCAN MATERIALS CO 4.5% 06/15/2047                                                                     | CUSIP: 929160AV1<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |     350000 | PA      | $296046.33     | 0.00%             | 2047-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 05/01/2039#                                                                              | CUSIP: 312933G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191609 | PA      | $190597.16     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5.5% 01/01/2053 #TBA                                                                            | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $3033120.30    | 0.01%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 5/46#Q40310                                                                                | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41786 | PA      | $38030.59      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   11000000 | NC      | $150486.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                                 | GALAXY PIPELINE ASSETS BIDCO LTD 2.16% 03/31/2034 REGS                                                  | CUSIP: N/A<br>LEI: 549300L82YB0C6JQIC26       | Long             | DBT              | CORP              | JE        |     739728 | PA      | $623220.84     | 0.00%             | 2034-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OVINTIV EXPLORATION INC                                                          | OVINTIV EXPLORATION INC 5.375% 01/01/2026                                                               | CUSIP: 651290AR9<br>LEI: T8W3X1PFLPW2YE0UIP44 | Long             | DBT              | CORP              | US        |     310000 | PA      | $308363.26     | 0.00%             | 2026-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2045#G07949                                                                          | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1329075 | PA      | $1298636.31    | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VALEO                                                                            | VALEO 1% 08/03/2028 REGS                                                                                | CUSIP: N/A<br>LEI: 5493006IH2N2WMIBB742       | Long             | DBT              | CORP              | FR        |     600000 | PA      | $490823.13     | 0.00%             | 2028-08-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2042#Q13381                                                                        | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4735 | PA      | $4640.08       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                                                 | UPSTART SECURITIZATION TR 2021-1 0.87% 03/20/2031 144A                                                  | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      54356 | PA      | $54069.09      | 0.00%             | 2031-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING CORP                                                      | PRIVATE EXPORT FUNDING CORP 1.4% 07/15/2028                                                             | CUSIP: 742651DY5<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | USGSE             | US        |    2605000 | PA      | $2244277.89    | 0.00%             | 2028-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                              | GILEAD SCIENCES INC 4.5% 02/01/2045                                                                     | CUSIP: 375558BA0<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     565000 | PA      | $511545.02     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                                              | WHITBREAD GROUP PLC 3.375% 10/16/2025 REGS                                                              | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |    1870000 | PA      | $2086674.40    | 0.00%             | 2025-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SS and C TECHNOLOGIES INC                                                        | SS and C TECHNOLOGIES INC 5.5% 09/30/2027 144A                                                          | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |     775000 | PA      | $740719.08     | 0.00%             | 2027-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 02/01/2047#AS8821                                                                          | CUSIP: 3138WJYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1083002 | PA      | $1046065.38    | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 11/01/2052 #TBA                                                                            | CUSIP: 21H0426B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $3920468.40    | 0.01%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                            | CPI PROPERTY GROUP SA 3.75%/VAR PERP REGS                                                               | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | EP               | CORP              | LU        |    1325000 | PA      | $698718.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILE REPUBLIC OF                                                                | CHILE REPUBLIC OF 3.24% 02/06/2028                                                                      | CUSIP: 168863CF3<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     814000 | PA      | $761242.63     | 0.00%             | 2028-02-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | CIGNA CORP 3.4% 03/15/2051                                                                              | CUSIP: 125523CQ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    4490000 | PA      | $3272416.57    | 0.01%             | 2051-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTG LN TR                                                             | CARRINGTON MTG LN TR STEP 12/25/2035                                                                    | CUSIP: 144531EG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $8993045.00    | 0.02%             | 2035-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GRIFOLS ESCROW ISSUER SA                                                         | GRIFOLS ESCROW ISSUER SA 4.75% 10/15/2028 144A                                                          | CUSIP: 39843UAA0<br>LEI: 959800HLB3PGTGSLVV62 | Long             | DBT              | CORP              | ES        |    1800000 | PA      | $1512684.00    | 0.00%             | 2028-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 01/20/2051#MA7135                                                                            | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     818696 | PA      | $699668.46     | 0.00%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2043#AS0255                                                                        | CUSIP: 3138W9H94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242265 | PA      | $242682.62     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.0% 11/01/2028#AU6440                                                                        | CUSIP: 3138X6EN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20448 | PA      | $19731.23      | 0.00%             | 2028-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERSINCOME TAX REV                                      | NEW YORK ST D 3.11% 2/15/2039                                                                           | CUSIP: 64990FRB2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3250000 | PA      | $2559697.40    | 0.01%             | 2039-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 3% 08/15/2052                                                               | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3170000 | PA      | $2714312.50    | 0.01%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTG LN TR                                                             | CARRINGTON MTG LN TR 1ML+70.5 12/25/2035                                                                | CUSIP: 144531EF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     522404 | PA      | $520142.33     | 0.00%             | 2035-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.125% 05/15/2025                                                                             | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22900000 | PA      | $21788992.30   | 0.05%             | 2025-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2017-1                                | PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2017-1 3ML+124 02/14/2034 144A                               | CUSIP: 70017KAL3<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1929570.00    | 0.00%             | 2034-02-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3% 12/01/2052 #TBA                                                                            | CUSIP: 01F0306C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -16100000 | PA      | $-14252273.84  | -0.03%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 07/01/2041#AI6151                                                                        | CUSIP: 3138AKZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25648 | PA      | $25482.74      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CALIF WTR and PWR RE                                                 | LOS ANGELES CALIF DEPT WTR and PWR REV BUILD AMERICA BONDS                                              | CUSIP: 544495UG7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     190000 | PA      | $205281.13     | 0.00%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 1.5% 01/01/2038 #TBA                                                                          | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   22900000 | PA      | $20045627.21   | 0.04%             | 2038-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/41 #AJ8098                                                                                | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51592 | PA      | $49853.70      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 08/47#MA4654                                                                               | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     258493 | PA      | $257893.15     | 0.00%             | 2047-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 6.25% 04/15/2049                                                                     | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3525000 | PA      | $3333499.86    | 0.01%             | 2049-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 04/20/2046#MA3597                                                                          | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     656099 | PA      | $620391.28     | 0.00%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                          | MNGT SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    1230000 | NC      | $16827.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.271%/VAR 07/23/2029                                                       | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3660000 | PA      | $3445308.43    | 0.01%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 7/37 #G03508                                                                                 | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1466 | PA      | $1541.47       | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 1/42 #AL2128                                                                                 | CUSIP: 3138EJLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4501 | PA      | $4755.02       | 0.00%             | 2042-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AB7755                                                                        | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201693 | PA      | $184969.49     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 12/45#G08681                                                                             | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560586 | PA      | $527767.41     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.5% 03/01/2031#BC4411                                                                        | CUSIP: 3140EY3V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     820631 | PA      | $799565.32     | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/45#AY8537                                                                               | CUSIP: 3138YNPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248034 | PA      | $240660.09     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 4.926% 05/15/2037 144A                                                                     | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2410000 | PA      | $2114757.53    | 0.00%             | 2037-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY VA UNIV REVS                                                          | UNIV VA REV 2.584% 11/1/2051                                                                            | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1520000 | PA      | $1012105.98    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 03/01/2044#MA1885                                                                        | CUSIP: 31418BCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113448 | PA      | $116332.03     | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B19 MTG TR                                                        | BENCHMARK 2020-B19 A5 1.546% 09/15/2053                                                                 | CUSIP: 08162WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12500000 | PA      | $10061585.00   | 0.02%             | 2053-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 04/50#CA5539                                                                               | CUSIP: 3140QDEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12559936 | PA      | $11292855.60   | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                                            | FREEPORT INDONESIA PT 4.763% 04/14/2027 144A                                                            | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |     200000 | PA      | $191522.00     | 0.00%             | 2027-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 04/01/2037#FS1697                                                                          | CUSIP: 3140XG3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     652758 | PA      | $616206.05     | 0.00%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEXAS PRIVATE ACTIVITY BD SURFACE TRANSN CORP REV                                | TX PABSTC 3.922% 12/31/2049                                                                             | CUSIP: 882667AZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     555000 | PA      | $427613.13     | 0.00%             | 2049-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/01/2040#AH0944                                                                        | CUSIP: 3138A2BN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132419 | PA      | $128048.47     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK32                                                                  | BANK 2021-BNK32 2.349% 04/15/2054                                                                       | CUSIP: 06542BBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20000000 | PA      | $16489186.00   | 0.04%             | 2054-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 07/01/2032#C91467                                                                        | CUSIP: 3128P7TY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4509371 | PA      | $4363679.97    | 0.01%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                   | BOMBARDIER INC 7.875% 04/15/2027 144A                                                                   | CUSIP: 097751BT7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    4360000 | PA      | $4260068.80    | 0.01%             | 2027-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                                     | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                        | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7417302 | PA      | $7205818.01    | 0.02%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2                                      | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2 2.575% 09/10/2049                                           | CUSIP: 17291CBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2532547.92    | 0.01%             | 2049-08-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 01/20/2052#MA7829                                                                          | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8557066 | PA      | $7971687.14    | 0.02%             | 2052-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 4.25% 12/01/2026 144A                                             | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     670000 | PA      | $623221.08     | 0.00%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 5.04% 05/01/2027                                                                              | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $4387018.41    | 0.01%             | 2027-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2% 12/01/2037 #TBA                                                                            | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   47950000 | PA      | $43074089.17   | 0.09%             | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 4.5% 11/15/2031 144A                                                                   | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     220000 | PA      | $167666.80     | 0.00%             | 2031-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                    | SAN DIEGO GAS and ELECTRIC CO 3.32% 04/15/2050                                                          | CUSIP: 797440BY9<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     910000 | PA      | $655072.92     | 0.00%             | 2050-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP VAR 05/15/2024                                                                       | CUSIP: 292480AH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1210000 | PA      | $1182900.26    | 0.00%             | 2024-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                   | CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A                                                               | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7993000 | PA      | $7889800.78    | 0.02%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 08/01/2046#Q45458                                                                          | CUSIP: 3132WKB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398637 | PA      | $386766.68     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS L P / ARCHROCK PARTNERS FIN CORP                               | ARCHROCK PARTNERS LP / FIN CORP 6.25% 04/01/2028 144A                                                   | CUSIP: 03959KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $927500.00     | 0.00%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENESEE and WYOMING INC                                                          | GENESEE and WYOMING TERM 1LN 12/30/2026                                                                 | CUSIP: 55316HAB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |     974047 | PA      | $963702.77     | 0.00%             | 2026-12-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE GRO CO (THE)                                                      | SCOTTS MIRACLE GRO CO (THE) 4.5% 10/15/2029                                                             | CUSIP: 810186AS5<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    1971000 | PA      | $1611292.50    | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                                  | MADISON IAQ LLC 4.125% 06/30/2028 144A                                                                  | CUSIP: 55760LAA5<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |     605000 | PA      | $523197.95     | 0.00%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25                      | MSBAM 2015-C25 XA CSTR 10/48                                                                            | CUSIP: 61765TAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9515000 | PA      | $192841.45     | 0.00%             | 2048-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BELLRING BRANDS INC                                                              | BELLRING BRANDS INC 7% 03/15/2030 144A                                                                  | CUSIP: 07831CAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     110000 | PA      | $106269.90     | 0.00%             | 2030-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO X LTD / ALLEGRO CLO X LLC                                            | ALLEGRO CLO X LTD / ALLEGRO CLO X LLC 3ML+115 07/20/2032 144A                                           | CUSIP: 01750FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16000000 | PA      | $15626864.00   | 0.03%             | 2032-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT CAPITAL CORP 4.39% 08/15/2037                                                                       | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $787701.81     | 0.00%             | 2037-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 12/01/2051#QD1946                                                                        | CUSIP: 3133AYET3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183039 | PA      | $168261.13     | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 8/15/39                                                                                         | CUSIP: 912834EP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8745000 | PA      | $4521821.49    | 0.01%             | 2039-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 06/20/2045#MA2891                                                                          | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92120 | PA      | $84749.28      | 0.00%             | 2045-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                  | PENNYMAC FINANCIAL SERVICES INC 4.25% 02/15/2029 144A                                                   | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $939528.00     | 0.00%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2015-C30                                                  | JPMBB COML MTG SECS TR 2015-C30 3.551% 07/15/2048                                                       | CUSIP: 46644UAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1296264 | PA      | $1234366.99    | 0.00%             | 2048-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST                                                   | ACCR 2006-1 M1 1ML+33 4/36                                                                              | CUSIP: 004375EX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2414000 | PA      | $2174358.12    | 0.00%             | 2036-04-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 09/32#MA3125                                                                               | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142493 | PA      | $136116.70     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 5.05% 03/15/2042 144A                                                                    | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   12171000 | PA      | $9743472.39    | 0.02%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 08/20/2042#MA0317                                                                          | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154570 | PA      | $141875.41     | 0.00%             | 2042-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMENTUM GOVERNMENT SERVICES HOLDINGS LLC                                         | AECOM TERM B 1LN 01/23/27                                                                               | CUSIP: 57776DAB9<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |     276311 | PA      | $272166.54     | 0.00%             | 2027-01-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2052#                                                                              | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9501008 | PA      | $8717580.52    | 0.02%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CACLN 2021-2                                                                     | CACLN 2021-2 E 2.28% 12/26/2028 144A                                                                    | CUSIP: 48128U2Q1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     504086 | PA      | $483143.00     | 0.00%             | 2028-12-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG ENERGY INC 5.75% 01/15/2028                                                                         | CUSIP: 629377CE0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     245000 | PA      | $234587.50     | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.50% 6/38 #889705                                                                                 | CUSIP: 31410KNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55726 | PA      | $57925.66      | 0.00%             | 2038-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3.5% 02/01/2034#G16752                                                                        | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     795618 | PA      | $769712.27     | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | AIR LEASE CORP 3.375% 07/01/2025                                                                        | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    7608000 | PA      | $7179513.64    | 0.02%             | 2025-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    3650000 | NC      | $49934.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 06/01/2048#SD0354                                                                          | CUSIP: 3132DMMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10855554 | PA      | $9846921.81    | 0.02%             | 2048-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEN17 2018-1A                                                                    | DEN17 2018-1A 3ML+106 10/15/2031 144A                                                                   | CUSIP: 22616TAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   25000000 | PA      | $24434750.00   | 0.05%             | 2031-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 11/01/2036#FS1970                                                                        | CUSIP: 3140XHFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25195256 | PA      | $23381212.84   | 0.05%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                          | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC TSFR3M+150 07/20/2035 144A                                      | CUSIP: 01749WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |    5071000 | PA      | $4915807.12    | 0.01%             | 2035-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 2.005/VAR 03/13/2026                                                              | CUSIP: 46647PBH8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7285000 | PA      | $6769583.63    | 0.01%             | 2026-03-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                          | BECTON DICKINSON and CO 4.298% 08/22/2032                                                               | CUSIP: 075887CP2<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     750000 | PA      | $714063.17     | 0.00%             | 2032-08-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                            | BAUSCH HEALTH COS INC 5.25% 01/30/2030 144A                                                             | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     825000 | PA      | $343557.06     | 0.00%             | 2030-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AB7741                                                                        | CUSIP: 31417ES77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     948789 | PA      | $869231.96     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                           | GSCM ITXEX538 PAY 487.5 01/18/23                                                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |    5800000 | NC      | $67722.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                   | BRAZIL FEDERATIVE REPUBLIC OF 4.625% 01/13/2028                                                         | CUSIP: 105756BZ2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     200000 | PA      | $191975.00     | 0.00%             | 2028-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                 | BERRY GLOBAL INC 4.875% 07/15/2026 144A                                                                 | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    7055000 | PA      | $6769201.95    | 0.01%             | 2026-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                            | ON SEMICONDUCTOR CORP 3.875% 09/01/2028 144A                                                            | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |     125000 | PA      | $110836.25     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                      | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                      | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1113000 | PA      | $982033.85     | 0.00%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 05/01/2051#FM7352                                                                        | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5996479 | PA      | $5174408.54    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY MI UNIV REVS                                                          | UNIV MICH REVS 4.454% 4/1/2122                                                                          | CUSIP: 914455UJ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4790000 | PA      | $3930384.68    | 0.01%             | 2122-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.384% 10/23/2035       | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3210000 | PA      | $3158445.60    | 0.01%             | 2035-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/20/2051#MA7769                                                                          | CUSIP: 36179WT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12793150 | PA      | $11922982.95   | 0.03%             | 2051-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                          | ALABAMA POWER CO 6.125% 05/15/2038                                                                      | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     835000 | PA      | $870295.48     | 0.00%             | 2038-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUNSHINE LUXEMBOURG VII SARL                                                     | GALDERMA TERM B 1LN 10/02/2026                                                                          | CUSIP: N/A<br>LEI: 254900CHQOBZNYV4DY60       | Long             | LON              | CORP              | LU        |     452495 | PA      | $429164.54     | 0.00%             | 2026-10-02      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 3.8% 12/01/2057                                                                            | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   27553000 | PA      | $20002596.03   | 0.04%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC                                                                 | MICHAELS TERM 1LN 04/15/2028                                                                            | CUSIP: 59408UAB3<br>LEI: 549300H9LWMBP7HYLR98 | Long             | LON              | CORP              | US        |    1728125 | PA      | $1302332.28    | 0.00%             | 2028-04-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELEC and GAS CO                                                   | PUBLIC SERVICE ELEC and GAS CO 3.65% 09/01/2028                                                         | CUSIP: 74456QBX3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     960000 | PA      | $905781.64     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC                                  | VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC 1A A TSFR3M+240 10/20/2034 144A                         | CUSIP: 92013AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    6967000 | PA      | $6942733.94    | 0.01%             | 2034-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 9/38 #G04817                                                                                 | CUSIP: 3128M6VJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65140 | PA      | $66171.80      | 0.00%             | 2038-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 3.8% 01/31/2028                                                              | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    7795000 | PA      | $7283080.45    | 0.02%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/01/2041#AI5034                                                                        | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15697 | PA      | $15983.80      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                                          | VZ SECURED FINANCING BV 5% 01/15/2032 144A                                                              | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |     565000 | PA      | $467537.50     | 0.00%             | 2032-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 2.522/VAR 04/22/2031                                                              | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4025000 | PA      | $3328874.80    | 0.01%             | 2031-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 12/20/2046#MA4125                                                                          | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     482544 | PA      | $427512.47     | 0.00%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2045#AY5316                                                                        | CUSIP: 3138YJ4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236136 | PA      | $235878.59     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 05/01/2046#BC2276                                                                          | CUSIP: 3140EWQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56077 | PA      | $54445.17      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 08/15/2041#768109                                                                          | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12559 | PA      | $12136.62      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                    | BAT INTL FINANCE PLC 2.25% 06/26/2028 REGS                                                              | CUSIP: N/A<br>LEI: 21380041YBGOQDFAC823       | Long             | DBT              | CORP              | GB        |    2970000 | PA      | $2922486.71    | 0.01%             | 2028-06-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL LTD 2021                                                           | PRIMA CAPITAL LTD 2021 1ML+180 12/15/2037 144A                                                          | CUSIP: 74167CAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2053000 | PA      | $2004687.16    | 0.00%             | 2037-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                | DELL INTL/EMC CORP 6.02% 06/15/2026                                                                     | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2112000 | PA      | $2156891.17    | 0.00%             | 2026-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 7.125% 03/15/2033                                                                             | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    1335000 | PA      | $1459991.18    | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.125% 07/03/2023                                    | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    5132000 | PA      | $5085884.72    | 0.01%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                            | GENERAL DYNAMICS CORP 3.25% 04/01/2025                                                                  | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     955000 | PA      | $928393.26     | 0.00%             | 2025-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IBERDROLA FINANZAS SAU                                                           | IBERDROLA FINANZAS SAU 7.375% 01/29/2024                                                                | CUSIP: N/A<br>LEI: 5493004PZNZWWBOUV388       | Long             | DBT              | CORP              | ES        |     250000 | PA      | $309189.41     | 0.00%             | 2024-01-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                            | BAUSCH HEALTH COS INC 5% 02/15/2029 144A                                                                | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     400000 | PA      | $168476.00     | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                                                   | URUGUAY REPUBLICA ORIENTAL DL 4.375% 01/23/2031                                                         | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     910000 | PA      | $910000.00     | 0.00%             | 2031-01-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 07/01/2043#Q20534                                                                        | CUSIP: 3132JMSX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73964 | PA      | $69865.03      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5.00% 12/36 #003929                                                                             | CUSIP: 36202ELJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37007 | PA      | $37432.12      | 0.00%             | 2036-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN                        | TARGA RES P LP/TARGA RES P FIN 5.5% 03/01/2030                                                          | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      55000 | PA      | $52585.50      | 0.00%             | 2030-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2046#G60440                                                                        | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6154322 | PA      | $5809412.31    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                      | OVINTIV INC 8.125% 09/15/2030                                                                           | CUSIP: 012873AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6179000 | PA      | $6868329.80    | 0.01%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XV LTD                                                        | NORTHWOODS CAPITAL XV LTD 3ML+121 06/20/2034 144A                                                       | CUSIP: 66860GAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   23750000 | PA      | $22861346.25   | 0.05%             | 2034-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                                                  | ZF FINANCE GMBH 2% 05/06/2027 REGS                                                                      | CUSIP: N/A<br>LEI: 5493001N9T6QDCCXB426       | Long             | DBT              | CORP              | DE        |     800000 | PA      | $706567.40     | 0.00%             | 2027-05-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | SYNCHRONY FINANCIAL 5.15% 03/19/2029                                                                    | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   13451000 | PA      | $12822065.00   | 0.03%             | 2029-03-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 1/41 #004946                                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     578061 | PA      | $574590.99     | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2047#Q51124                                                                          | CUSIP: 3132XTHA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11917 | PA      | $11535.89      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    2720000 | NC      | $37211.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                              | SIRIUS XM RADIO INC 3.875% 09/01/2031 144A                                                              | CUSIP: 82967NBM9<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     370000 | PA      | $302475.00     | 0.00%             | 2031-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2042#AK4683                                                                        | CUSIP: 3138E9FZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15302 | PA      | $15347.93      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2046#AL9489                                                                        | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269862 | PA      | $253239.38     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 9.016%/VAR 11/15/2033 144A                                                         | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    7060000 | PA      | $7167788.41    | 0.02%             | 2033-11-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 1ML+50 10/20/2049                                                        | CUSIP: 38382AFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     252945 | PA      | $248049.22     | 0.00%             | 2049-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                      | APACHE CORP 5.25% 02/01/2042                                                                            | CUSIP: 037411AY1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     210000 | PA      | $170407.25     | 0.00%             | 2042-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/01/43#AB9339                                                                            | CUSIP: 31417GLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50782 | PA      | $46523.74      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                      | UNITI GRP/UNITI HLD/CSL 7.875% 02/15/2025 144A                                                          | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2811768.40    | 0.01%             | 2025-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 07/01/2042#Q09230                                                                          | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     423225 | PA      | $409244.44     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                                                     | NEWMONT CORP 5.45% 06/09/2044                                                                           | CUSIP: 651639AV8<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |     185000 | PA      | $177803.98     | 0.00%             | 2044-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 9/38 #677307                                                                                 | CUSIP: 36295QNY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53506 | PA      | $55251.57      | 0.00%             | 2038-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                | QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS                                                              | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |     950000 | PA      | $871072.14     | 0.00%             | 2038-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MEG ENERGY CORP                                                                  | MEG ENERGY CORP 5.875% 02/01/2029 144A                                                                  | CUSIP: 552704AF5<br>LEI: 5493002WXPTG5ZC1T326 | Long             | DBT              | CORP              | CA        |     300000 | PA      | $284700.00     | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE 1.625% 10/15/2024                                                                            | CUSIP: 3135G0W66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    1295000 | PA      | $1228237.04    | 0.00%             | 2024-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FIN II LLC 4.4% 07/15/2044 144A                                                                | CUSIP: 07274NBF9<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    3231000 | PA      | $2554817.45    | 0.01%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 6% 05/01/2036#745512                                                                          | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4167852 | PA      | $4349952.94    | 0.01%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEOK INC NEW                                                                    | ONEOK INC NEW 3.1% 03/15/2030                                                                           | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    4385000 | PA      | $3708635.06    | 0.01%             | 2030-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAZIL MINAS SPE                                                                 | BRAZIL MINAS SPE 5.333% 02/15/2028 REGS                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | NUSS              | KY        |    2388000 | PA      | $2299644.00    | 0.00%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | DIAMONDBACK ENERGY INC 3.125% 03/24/2031                                                                | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    2905000 | PA      | $2444669.92    | 0.01%             | 2031-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 4.194/VAR 04/01/2031 144A                                                          | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   13355000 | PA      | $10124574.68   | 0.02%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 06/01/2031#J34677                                                                          | CUSIP: 31307RFS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20364 | PA      | $19539.31      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                    | PG and E CORP 5% 07/01/2028                                                                             | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    1155000 | PA      | $1065614.55    | 0.00%             | 2028-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/01/2041#AI3724                                                                        | CUSIP: 3138AHD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43540 | PA      | $44348.49      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A                                                      | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    9875000 | PA      | $8539635.15    | 0.02%             | 2026-12-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 01/01/2044#AV6341                                                                        | CUSIP: 3138XJBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42636 | PA      | $42566.79      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 09/01/2031#BC2863                                                                        | CUSIP: 3140EXFD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     621795 | PA      | $588101.84     | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY CORP                                                                | KIMCO REALTY CORP 4.6% 02/01/2033                                                                       | CUSIP: 49446RBA6<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    3535000 | PA      | $3306090.51    | 0.01%             | 2033-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 05/34#C91760                                                                             | CUSIP: 3128P75V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311154 | PA      | $300906.80     | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 3.55% 09/15/2055                                                                           | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1440000 | PA      | $1010028.73    | 0.00%             | 2055-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 08/01/2050#BP6618                                                                        | CUSIP: 3140KEK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10198791 | PA      | $8800616.71    | 0.02%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 11/01/2051#BQ6772                                                                          | CUSIP: 3140KSQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1014405 | PA      | $837317.80     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 01/48#CA1576                                                                               | CUSIP: 3140Q8XE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182608 | PA      | $185139.56     | 0.00%             | 2048-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2042#AL2782                                                                        | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107476 | PA      | $107795.33     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELECTRICIDAD                                                 | COMISION FEDERAL DE ELECTRICID 4.688% 05/15/2029 144A                                                   | CUSIP: 200447AL4<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    2277000 | PA      | $1982128.50    | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/44#G08596                                                                             | CUSIP: 3128MJUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32106 | PA      | $32140.88      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NCR CORPORATION NEW                                                              | NCR CORPORATION NEW 5.125% 04/15/2029 144A                                                              | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |     800000 | PA      | $688167.80     | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C19                                                  | JPMBB COML MTG SES TR 2014-C19 VAR 04/15/2047                                                           | CUSIP: 46641WAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2624467 | PA      | $14910.65      | 0.00%             | 2047-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/01/2048#BM3700                                                                          | CUSIP: 3140J8DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594882 | PA      | $576080.80     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCI NV                                                                           | OCI NV 3.625% 10/15/2025 REGS                                                                           | CUSIP: N/A<br>LEI: 549300NCMRGIBJYUOE57       | Long             | DBT              | CORP              | NL        |    2773800 | PA      | $2863815.64    | 0.01%             | 2025-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2% 12/01/2035#QN4696                                                                          | CUSIP: 3133GBGD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     337818 | PA      | $304937.07     | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                                  | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    8522000 | PA      | $8167971.83    | 0.02%             | 2037-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2046#AR3125                                                                          | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75558 | PA      | $71020.89      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC                                                    | CAESARS RESORT COLLECTION TERM B 1LN 07/20/2025                                                         | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |     809829 | PA      | $803520.47     | 0.00%             | 2025-07-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 2.206/VAR 08/17/2029                                                                  | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6795000 | PA      | $5491320.20    | 0.01%             | 2029-08-17      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                                        | BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A                                                     | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38841816 | PA      | $1643742.93    | 0.00%             | 2052-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 01/01/2042#AJ6217                                                                          | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67135 | PA      | $64888.22      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2042#AL5881                                                                        | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1216887 | PA      | $1210297.70    | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 12/01/2050#QB7301                                                                        | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221292 | PA      | $172486.29     | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                      | MOODYS CORP 4.25% 08/08/2032                                                                            | CUSIP: 615369AZ8<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    2065000 | PA      | $1943335.09    | 0.00%             | 2032-08-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 11/1/42 #Q13634                                                                            | CUSIP: 3132HQBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105205 | PA      | $96636.87      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 05/01/2043#AB9432                                                                        | CUSIP: 31417GPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299164 | PA      | $262264.66     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 02/01/2051#FM6272                                                                        | CUSIP: 3140X96J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6127369 | PA      | $5319906.20    | 0.01%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC NEW                                                                    | ONEOK INC NEW 4.45% 09/01/2049                                                                          | CUSIP: 682680AZ6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    8550000 | PA      | $6515345.90    | 0.01%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                                 | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    6964680 | PA      | $6297296.50    | 0.01%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PIMCO FDS                                                                        | PIMCO Mortgage Opportunities and BdInstl                                                                | CUSIP: 72201U638<br>LEI: O7M5VNOD7AVYOESOBU56 | Long             | EC               | RF                | US        |  131440163 | NS      | $1264454369.38 | 2.69%             |  |  |  | No            |                  1 | On Loan: No      |
| SABLE INTL FINANCE LTD                                                           | SABLE INTL FIN LTD 5.75% 09/07/2027 144A                                                                | CUSIP: 785712AG5<br>LEI: 2138009IE9A35LO5JS73 | Long             | DBT              | CORP              | KY        |     526000 | PA      | $478712.60     | 0.00%             | 2027-09-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 11/01/2041#MA4473                                                                        | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11397571 | PA      | $9279193.29    | 0.02%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                         | SERVICE PPTYS TR 5.5% 12/15/2027                                                                        | CUSIP: 81761LAB8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     100000 | PA      | $87000.00      | 0.00%             | 2027-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETVET CARE CENTERS LLC                                                          | PETVET CARE TERM B3-DD 1LN 02/15/2025                                                                   | CUSIP: 70476XAK1<br>LEI: 549300V0HK8MSXZNOM91 | Long             | LON              | CORP              | US        |     139581 | PA      | $128937.51     | 0.00%             | 2025-02-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 1/35 #G06928                                                                                 | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9440 | PA      | $9523.55       | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 6/40 #782989                                                                                 | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70028 | PA      | $69354.15      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                                        | CGDBB COML MTG TR 2019-MOB B 1ML+125 11/15/36 144A                                                      | CUSIP: 125284AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1347181.50    | 0.00%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 11/01/2050#SD8107                                                                        | CUSIP: 3132DWAG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     908076 | PA      | $782734.32     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/01/2045#Q34311                                                                        | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2337092 | PA      | $2201730.91    | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 10YR 3% 05/01/2027#MA3010                                                                          | CUSIP: 31418CKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8107 | PA      | $7873.45       | 0.00%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP D 1ML+157.82 11/15/2038 144A                                                          | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1728000 | PA      | $1624070.13    | 0.00%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BOND FUND AMERICA INC                                                            | American Funds Bond Fund of Amer F2                                                                     | CUSIP: 097873822<br>LEI: F2Q0NH642XF1RP5YCC95 | Long             | EC               | RF                | US        |   91264358 | NS      | $1046802185.62 | 2.22%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 10/01/2051#FM9210                                                                          | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2378193 | PA      | $2118951.46    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2046#G60603                                                                        | CUSIP: 31335AU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2296410 | PA      | $2162687.82    | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 04/01/2038       | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     450000 | PA      | $384985.48     | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                                        | EQM MIDSTREAM PARTNERS LP 6.5% 07/01/2027 144A                                                          | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     125000 | PA      | $121250.00     | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIEMAE 30YR 2.5% 03/01/2050#BP1381                                                                   | CUSIP: 3140K8RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212905 | PA      | $184382.47     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2043#AB9757                                                                        | CUSIP: 31417GZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     874083 | PA      | $824885.26     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 08/01/2031#AS7695                                                                        | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     835652 | PA      | $791937.63     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                     | NCL CORP LTD 5.875% 02/15/2027 144A                                                                     | CUSIP: 62886HBE0<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     155000 | PA      | $138001.15     | 0.00%             | 2027-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/41 #738229                                                                                 | CUSIP: 3620ASEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24215 | PA      | $24432.23      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 4% 07/23/2025                                                                            | CUSIP: 6174468C6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $979506.89     | 0.00%             | 2025-07-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                                                   | VAR ENERGI ASA 5% 05/18/2027 144A                                                                       | CUSIP: 92212WAA8<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    5410000 | PA      | $5093399.82    | 0.01%             | 2027-05-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | SYNCHRONY FINANCIAL 4.375% 03/19/2024                                                                   | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    7165000 | PA      | $7036905.35    | 0.01%             | 2024-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AUTOZONE INC 3.75% 04/18/2029                                                                           | CUSIP: 053332AW2<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1297332.62    | 0.00%             | 2029-04-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2042#AL6997                                                                        | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1530209 | PA      | $1521953.30    | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 07/01/2045#AZ0833                                                                        | CUSIP: 3138YR4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     918843 | PA      | $893248.73     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                    | CARNIVAL CORP 7.625% 03/01/2026 144A                                                                    | CUSIP: 143658BL5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    1050000 | PA      | $884625.00     | 0.00%             | 2026-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 11/01/2043#AV0893                                                                        | CUSIP: 3138XB7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8994 | PA      | $8231.73       | 0.00%             | 2043-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TERRAFORM POWER OPERATING LLC                                                    | TERRAFORM POWER OPERATING LLC 5% 01/31/2028 144A                                                        | CUSIP: 88104LAE3<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |     645000 | PA      | $598237.50     | 0.00%             | 2028-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/41 #783295                                                                                 | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     449491 | PA      | $445219.55     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                              | SUZANO AUSTRIA GMBH 6% 01/15/2029                                                                       | CUSIP: 86964WAF9<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    1263000 | PA      | $1247622.98    | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 12/39 #004598                                                                             | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128342 | PA      | $127501.71     | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                         | SERVICE PPTYS TR 4.95% 10/01/2029                                                                       | CUSIP: 44106MBB7<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     100000 | PA      | $72703.30      | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGELLAN MIDSTREAM PARTNRS MLP                                                   | MAGELLAN MIDSTREAM PARTNRS MLP 4.25% 09/15/2046                                                         | CUSIP: 559080AL0<br>LEI: MZF5TI8NFVZZNUSKDL39 | Long             | DBT              | CORP              | US        |     190000 | PA      | $147125.74     | 0.00%             | 2046-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 5/15/39                                                                                         | CUSIP: 912834DV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2410000 | PA      | $1254896.64    | 0.00%             | 2039-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                            | BAUSCH HEALTH COS INC 6.25% 02/15/2029 144A                                                             | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    1500000 | PA      | $626745.32     | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 11/01/2051#FM9501                                                                        | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13942561 | PA      | $11994108.92   | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PBF HLDG CO LLC / PBF FIN CORP                                                   | PBF HLDG CO LLC / PBF FIN CORP 6% 02/15/2028                                                            | CUSIP: 69318FAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     190000 | PA      | $173424.40     | 0.00%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 05/46#G08707                                                                               | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192758 | PA      | $186837.86     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2042#MA1159                                                                        | CUSIP: 31418AJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10031 | PA      | $10060.61      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                           | CONSOLIDATED EDISON CO OF NY 6.15% 11/15/2052                                                           | CUSIP: 209111GD9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1732010.16    | 0.00%             | 2052-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TECHNIP ENERGIES NV                                                              | TECHNIP ENERGIES NV 1.125% 05/28/2028 REGS                                                              | CUSIP: N/A<br>LEI: 724500FLODI49NSCIP70       | Long             | DBT              | CORP              | NL        |    1055000 | PA      | $888814.38     | 0.00%             | 2028-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                                   | ADLER GROUP SA 1.875% 01/14/2026 REGS                                                                   | CUSIP: N/A<br>LEI: 391200OYYFJ3DWAMEC69       | Long             | DBT              | CORP              | LU        |     300000 | PA      | $134549.58     | 0.00%             | 2026-01-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2047#RA7212                                                                        | CUSIP: 3133KPAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1174930 | PA      | $1081536.17    | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 6% 07/19/2028 144A                                                                   | CUSIP: 25714PDZ8<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    1250000 | PA      | $1203125.00    | 0.00%             | 2028-07-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC               | FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC 4.625% 01/15/2029 144A               | CUSIP: 31556TAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1324350.00    | 0.00%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 05/20/2048#MA5192                                                                            | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1526477 | PA      | $1474609.91    | 0.00%             | 2048-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NMLT TRUST 2021-INV3                                                             | NMLT TRUST 2021-INV3 PT 2.27689% 11/25/2056 144A                                                        | CUSIP: 62916BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6174778 | PA      | $5483721.75    | 0.01%             | 2056-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                      | CHEMOURS CO 4.625% 11/15/2029 144A                                                                      | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |     530000 | PA      | $426650.00     | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/01/2044#AS3638                                                                          | CUSIP: 3138WDBG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81605 | PA      | $79306.41      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 1/1/43 #Q14696                                                                             | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122691 | PA      | $112622.20     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | ZOETIS INC 3.25% 02/01/2023                                                                             | CUSIP: 98978VAB9<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    5975000 | PA      | $5957723.77    | 0.01%             | 2023-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 02/01/2043#AB7964                                                                        | CUSIP: 31417EZ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2539717 | PA      | $2405498.08    | 0.01%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 6.25% 08/15/2023                                                            | CUSIP: 912810EQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11080000 | PA      | $11203784.43   | 0.02%             | 2023-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2044#AX6510                                                                        | CUSIP: 3138Y8GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472458 | PA      | $472238.92     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                   | CREDIT SUISSE MORTGAGE TRUST 2017-RPL3 4.5349% 04/15/2036 144A                                          | CUSIP: 12690CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1543000 | PA      | $1450581.09    | 0.00%             | 2036-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 12/01/42 #AB7410                                                                         | CUSIP: 31417EGU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332249 | PA      | $304389.75     | 0.00%             | 2042-12-01      | 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        |     875000 | PA      | $780900.91     | 0.00%             | 2028-11-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 3.875% 11/30/2027                                                                             | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24665000 | PA      | $24757493.75   | 0.05%             | 2027-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 7/35 #357843                                                                                 | CUSIP: 31376KP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30241 | PA      | $31608.86      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC 4.4% 05/01/2045                                                                               | CUSIP: 031162BZ2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1253176.64    | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 09/01/2033#AL7521                                                                        | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10110020 | PA      | $10185767.52   | 0.02%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2022-RPL1                                               | BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A                                                | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7801660 | PA      | $6477754.58    | 0.01%             | 2061-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.5% 02/29/2024                                                                               | CUSIP: 91282CEA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5700000 | PA      | $5484914.03    | 0.01%             | 2024-02-29      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 4.375% 01/27/2032 144A                                                               | CUSIP: N/A<br>LEI: 6354001WLTJXOMEXPY07       | Long             | DBT              | NUSS              | UA        |    1365000 | PA      | $274851.08     | 0.00%             | 2032-01-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATURAL GAS SYSTEM LLC                                                | GULFSTREAM NAT GAS SYS LLC 6.19% 11/01/2025 144A                                                        | CUSIP: 402740AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3640000 | PA      | $3670420.03    | 0.01%             | 2025-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                      | BAMLL COML MTG SECS TR 2019-BPR CNM CSTR 11/05/2032 144A                                                | CUSIP: 05492PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     461000 | PA      | $384896.51     | 0.00%             | 2032-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 03/01/2051#SD8135                                                                        | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11267845 | PA      | $9691420.64    | 0.02%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                       | DCP MIDSTREAM OPER LP 3.875% 03/15/2023                                                                 | CUSIP: 23311VAD9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   17626000 | PA      | $17534344.80   | 0.04%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2021-1 A                                            | FORD CREDIT AUTO OWNER TRUST 2021-1 A 1.91% 10/17/2033 144A                                             | CUSIP: 345340AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1190000 | PA      | $1037894.32    | 0.00%             | 2033-10-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 4.5% 03/09/2048                                                                            | CUSIP: 00206RDJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    6650000 | PA      | $5543165.49    | 0.01%             | 2048-03-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 5/40 #AL2129                                                                                 | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61264 | PA      | $64400.46      | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTERN POWER DISTRIBUTION PLC                                                   | WESTERN POWER DISTRIBUTION PLC 3.625% 11/06/2023 REGS                                                   | CUSIP: N/A<br>LEI: 549300HFCD0G1TPU4N09       | Long             | DBT              | CORP              | GB        |     250000 | PA      | $296934.90     | 0.00%             | 2023-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 4.50% 7/25 #G13844                                                                            | CUSIP: 3128MCP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6446 | PA      | $6388.88       | 0.00%             | 2025-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2046#AS8461                                                                        | CUSIP: 3138WJMK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     485686 | PA      | $455009.92     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                        | DUKE ENERGY CAROLINAS LLC 6.1% 06/01/2037                                                               | CUSIP: 26442CAA2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     775000 | PA      | $809079.35     | 0.00%             | 2037-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                        | DUKE ENERGY CAROLINAS LLC 4% 09/30/2042                                                                 | CUSIP: 26442CAN4<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1679741.48    | 0.00%             | 2042-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 11/20/2046#MA4070                                                                            | CUSIP: 36179SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     421051 | PA      | $409902.19     | 0.00%             | 2046-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                        | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152779 | PA      | $152181.33     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 4.5% 01/30/2030 144A                                                                 | CUSIP: 25714PED6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    2000000 | PA      | $1697875.00    | 0.00%             | 2030-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 4/41 #738218                                                                                 | CUSIP: 3620ASDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24381 | PA      | $24642.36      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 10/20/2043#MA1376                                                                          | CUSIP: 36179NQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     263522 | PA      | $258026.66     | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                     | DISCOVERY COMMUNICATIONS LLC 4% 09/15/2055                                                              | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     535000 | PA      | $342952.76     | 0.00%             | 2055-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET                                                                    | CSMC 2020-NET 2.2569% 08/15/2037 144A                                                                   | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2201900 | PA      | $1965337.64    | 0.00%             | 2037-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                   | TARGA RES CORP 4.2% 02/01/2033                                                                          | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    1175000 | PA      | $1027513.85    | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 9/39 #723339                                                                                 | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31837 | PA      | $32103.37      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 07/01/2051#MA4379                                                                        | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     948868 | PA      | $815226.96     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 11/01/2032#BJ2973                                                                        | CUSIP: 3140H4JT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22904 | PA      | $21533.87      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS                    | GOVERNMENT NATL MTG ASN MLFY R 1.5% 06/16/2063                                                          | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4198554 | PA      | $3348037.15    | 0.01%             | 2063-06-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                      | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2762000 | PA      | $2561050.52    | 0.01%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP 4.75% 02/15/2028                                                                     | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    6736000 | PA      | $6349757.76    | 0.01%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | CONSTELLATION BRANDS INC 2.25% 08/01/2031                                                               | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    1285000 | PA      | $1028223.73    | 0.00%             | 2031-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 3.419% 04/15/2033 144A                                                                     | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    5782000 | PA      | $4698049.44    | 0.01%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                    | FORD MOTOR CO 6.1% 08/19/2032                                                                           | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    6525000 | PA      | $6262540.62    | 0.01%             | 2032-08-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 5.625% 05/01/2024 144A                                            | CUSIP: 92564RAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1173551.45    | 0.00%             | 2024-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                          | BECTON DICKINSON and CO 2.823% 05/20/2030                                                               | CUSIP: 075887CJ6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    1695000 | PA      | $1476440.48    | 0.00%             | 2030-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 09/01/2046#G61420                                                                        | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2542534 | PA      | $2395274.36    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 03/01/2051#SD8133                                                                        | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     984895 | PA      | $767676.95     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC33                                                  | CITIGROUP COML MTG TR 2015-GC33 AAB 3.522% 09/10/58                                                     | CUSIP: 29425AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570290 | PA      | $551257.40     | 0.00%             | 2058-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2018-C9                                                          | UBS COMMERCIAL MORTGAGE TRUST 2018-C9 ASB 4.09% 03/15/2051                                              | CUSIP: 90291JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3300000 | PA      | $3179232.21    | 0.01%             | 2051-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   14925000 | PA      | $11789057.95   | 0.03%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/40 #783143                                                                                | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121622 | PA      | $117558.56     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 2/42 #616878                                                                                 | CUSIP: 36290TJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95771 | PA      | $90265.62      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/40 #AE6932                                                                                | CUSIP: 31419HV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20433 | PA      | $20323.58      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                          | BECTON DICKINSON and CO 3.7% 06/06/2027                                                                 | CUSIP: 075887BW8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     118000 | PA      | $112713.09     | 0.00%             | 2027-06-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 04/42#AK8632                                                                             | CUSIP: 3138EDSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22021 | PA      | $20667.21      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                      | PETROBRAS GLOBAL FINANCE BV 6.25% 12/14/2026                                                            | CUSIP: N/A<br>LEI: 549300FNENFFSMO3GT38       | Long             | DBT              | CORP              | NL        |     800000 | PA      | $932140.35     | 0.00%             | 2026-12-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 4% 05/01/2038#C91994                                                                          | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1978794 | PA      | $1940810.69    | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                     | GLP CAP LP / GLP FING II INC 5.375% 11/01/2023                                                          | CUSIP: 361841AF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1980340.00    | 0.00%             | 2023-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                                                      | VISTRA CORP T5Y 7%/VAR PERP 144A                                                                        | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | EP               | CORP              | US        |    2575000 | PA      | $2303140.98    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP 2.65% 11/15/2033                                                                       | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    2010000 | PA      | $1430662.97    | 0.00%             | 2033-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                     | Fidelity Cash Central Fund                                                                              | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  628311871 | NS      | $628437533.35  | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 08/33#731291                                                                               | CUSIP: 31402KNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122678 | PA      | $123508.91     | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 5.625% 09/01/2028                                                                               | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1993709.58    | 0.00%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                          | PIEDMONT NATURAL GAS CO 5.05% 05/15/2052                                                                | CUSIP: 720186AP0<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2275144.05    | 0.00%             | 2052-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                  | PHILIP MORRIS INTL INC 3.875% 08/21/2042                                                                | CUSIP: 718172AU3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     730000 | PA      | $548703.01     | 0.00%             | 2042-08-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRITAX EUROBOX PLC                                                               | TRITAX EUROBOX PLC 0.95% 06/02/2026 REGS                                                                | CUSIP: N/A<br>LEI: 213800HK59N7H979QU33       | Long             | DBT              | CORP              | GB        |     780000 | PA      | $665025.56     | 0.00%             | 2026-06-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                     | ECOPETROL SA 5.875% 09/18/2023                                                                          | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    2218000 | PA      | $2190275.00    | 0.00%             | 2023-09-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 09/39#G05624                                                                             | CUSIP: 3128M7SM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60775 | PA      | $60449.02      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECS TR                                                       | MASTR ASSET BACKED SECS TR 1ML+172.5 06/25/2035                                                         | CUSIP: 57643LKC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1816559 | PA      | $1814187.11    | 0.00%             | 2035-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 3/42 #AL1521                                                                                 | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147022 | PA      | $142030.58     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 04/20/2046#MA3596                                                                            | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     459446 | PA      | $421968.72     | 0.00%             | 2046-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 07/20/2051#MA7472                                                                          | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6473704 | PA      | $5709110.73    | 0.01%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                | ICAHN ENTERPRISES LP/FIN CORP 5.25% 05/15/2027                                                          | CUSIP: 451102BZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     140000 | PA      | $128450.00     | 0.00%             | 2027-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                           | WESCO DISTRIBUTION INC 7.25% 06/15/2028 144A                                                            | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1266312.50    | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                               | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                       | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3460000 | PA      | $3295243.80    | 0.01%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                            | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+71.21 10/15/2036 144A                                         | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8026000 | PA      | $7658870.70    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 04/01/2052#FS1598                                                                          | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16921023 | PA      | $13935352.31   | 0.03%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2% 05/01/2041#RB5111                                                                          | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7320141 | PA      | $6254987.69    | 0.01%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC ENERGY GROUP INC 1.8% 10/15/2030                                                                    | CUSIP: 92939UAE6<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     850000 | PA      | $671185.72     | 0.00%             | 2030-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                       | DAVITA INC 3.75% 02/15/2031 144A                                                                        | CUSIP: 23918KAT5<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1396500.00    | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6% 08/01/2052#SD8253                                                                          | CUSIP: 3132DWE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1940014 | PA      | $1985549.20    | 0.00%             | 2052-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2% 01/01/2038 #TBA                                                                            | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   27900000 | PA      | $25094526.66   | 0.05%             | 2038-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AKELIUS RESIDENTIAL AB                                                           | AKELIUS RESIDENTIAL AB 3.875/VAR 10/05/2078 REGS                                                        | CUSIP: N/A<br>LEI: 213800REBFN6T3PU8L97       | Long             | DBT              | CORP              | SE        |     361000 | PA      | $360167.53     | 0.00%             | 2078-10-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 7/40 #743665                                                                                 | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28725 | PA      | $28990.73      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/41 #AH8029                                                                                 | CUSIP: 3138A94P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91524 | PA      | $91028.29      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                         | GENERAL MTRS FINL CO INC 4.25% 05/15/2023                                                               | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1868262.66    | 0.00%             | 2023-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY GO                                                                 | NYC NY 2.8% 8/1/2030                                                                                    | CUSIP: 64966QCG3<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    3250000 | PA      | $2819264.18    | 0.01%             | 2030-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 10/40 #004833                                                                             | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1123459 | PA      | $1087930.41    | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                | NEWELL BRANDS INC STEP 04/01/2036                                                                       | CUSIP: 651229AX4<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      30000 | PA      | $25678.50      | 0.00%             | 2036-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 10/42 #AP7882                                                                                | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50269 | PA      | $47166.35      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 10/01/2046#MA2781                                                                        | CUSIP: 31418CCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282589 | PA      | $246232.48     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                                  | GEN DIGITAL INC 6.75% 09/30/2027 144A                                                                   | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |     539000 | PA      | $541323.09     | 0.00%             | 2027-09-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINL INC 1.45% 10/02/2023                                                                          | CUSIP: 02005NBL3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    2261000 | PA      | $2183390.47    | 0.00%             | 2023-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                     | ALIMENTATION COUCHE-TARD INC 2.95% 01/25/2030 144A                                                      | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    1800000 | PA      | $1534000.68    | 0.00%             | 2030-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#QD3168                                                                          | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     663841 | PA      | $549197.78     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/42#AB7319                                                                             | CUSIP: 31417EDZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113089 | PA      | $110185.85     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3.0% 06/01/2029#J28440                                                                        | CUSIP: 31307HLV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123188 | PA      | $118779.00     | 0.00%             | 2029-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 07/20/2046#MA3803                                                                          | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1905444 | PA      | $1801741.05    | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/52#SD8221                                                                             | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12013676 | PA      | $11023060.59   | 0.02%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC                                  | ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC 5.25% 08/15/2027 144A                                   | CUSIP: 03969AAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1750000 | PA      | $1323525.00    | 0.00%             | 2027-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 5.013%/VAR 04/04/2051                                                            | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3287567.08    | 0.01%             | 2051-04-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                      | SUNOCO LP / SUNOCO FIN CORP 6% 04/15/2027                                                               | CUSIP: 86765LAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     420000 | PA      | $414072.13     | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                | GENERAL MOTORS CO 6.25% 10/02/2043                                                                      | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    8870000 | PA      | $8545718.12    | 0.02%             | 2043-10-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 04/01/2052#QE0312                                                                          | CUSIP: 3133B9KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11760302 | PA      | $9677876.85    | 0.02%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                            | MOLINA HEALTHCARE INC 3.875% 11/15/2030 144A                                                            | CUSIP: 60855RAK6<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    6245000 | PA      | $5370700.00    | 0.01%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                     | GLP CAP LP / GLP FING II INC 3.25% 01/15/2032                                                           | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2890000 | PA      | $2282069.17    | 0.00%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PMT CR RISK TRANSFER TR 2021-1R                                                  | PMT CR RISK TRANSFER TR 2021-1R 1ML+300 02/27/2024 144A                                                 | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3110800 | PA      | $2966531.56    | 0.01%             | 2024-02-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                   | CSMC 2018-SITE D CSTR 04/15/2036 144A                                                                   | CUSIP: 12690CAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2066000 | PA      | $1898897.99    | 0.00%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                | PERU REPUBLIC OF 4.125% 08/25/2027                                                                      | CUSIP: 715638BU5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     400000 | PA      | $390000.00     | 0.00%             | 2027-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2006 FL12                                                                   | COMM 2014-CR20 XA CSTR 11/10/2047                                                                       | CUSIP: 12592LBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15768998 | PA      | $220210.90     | 0.00%             | 2047-11-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CROCS INC                                                                        | CROCS INC 4.125% 08/15/2031 144A                                                                        | CUSIP: 227046AB5<br>LEI: 549300B0J6YCXD63OG72 | Long             | DBT              | CORP              | US        |     120000 | PA      | $95887.20      | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                   | CSMC 2018-SITE C CSTR 04/15/2036 144A                                                                   | CUSIP: 12690CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1033000 | PA      | $967170.32     | 0.00%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 3.772%/VAR 01/24/2029                                                                    | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5345000 | PA      | $4921902.47    | 0.01%             | 2029-01-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                     | STRYKER CORP 3.65% 03/07/2028                                                                           | CUSIP: 863667AQ4<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    4060000 | PA      | $3877148.28    | 0.01%             | 2028-03-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C21                                 | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C21 3.077% 03/15/2048                                      | CUSIP: 61764XBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3407710 | PA      | $3211584.41    | 0.01%             | 2048-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 02/01/2049#BM5577                                                                          | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1557945 | PA      | $1586404.40    | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA ARM 4.60% 2/35 #779905                                                                             | CUSIP: 31404VNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23588 | PA      | $23635.17      | 0.00%             | 2035-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-EBO1 LLC                                                               | CFMT 2021-EBO1 LLC 1.1581% 11/25/2050 144A                                                              | CUSIP: 12530AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3379406 | PA      | $3168587.38    | 0.01%             | 2050-11-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS HEALTH CORP 2.7% 08/21/2040                                                                         | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    9385000 | PA      | $6604649.36    | 0.01%             | 2040-08-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2045#Q32124                                                                        | CUSIP: 3132QNLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50125 | PA      | $47253.25      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.875% 01/16/2024                                    | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   11491000 | PA      | $11328513.35   | 0.02%             | 2024-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                                | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                              | CUSIP: 61771LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1558000 | PA      | $1406318.57    | 0.00%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2014-GC25                                                  | CGCMT 2014-GC25 AS 4.017% 10/10/2047                                                                    | CUSIP: 17322YAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1183000 | PA      | $1119216.19    | 0.00%             | 2047-10-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.45% 09/29/2027                                                                          | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4630000 | PA      | $4459341.12    | 0.01%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 07/01/2033#721575                                                                          | CUSIP: 31401XT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71157 | PA      | $71585.89      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIT MTG LN TR 2007-1                                                             | CIT MORTGAGE LOAN TRUST 2007-1 1A 1ML+135 10/25/2037 144A                                               | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     523101 | PA      | $519179.22     | 0.00%             | 2037-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                           | WESCO DISTRIBUTION INC 7.125% 06/15/2025 144A                                                           | CUSIP: 95081QAN4<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1518750.00    | 0.00%             | 2025-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.5% 02/43 #Q15869                                                                                 | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153502 | PA      | $144995.56     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 12/15/2042#AB8144                                                                          | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16083 | PA      | $15620.19      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | SIMON PROPERTY GROUP LP 2.45% 09/13/2029                                                                | CUSIP: 828807DF1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1067698.66    | 0.00%             | 2029-09-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                               | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    2712000 | PA      | $2528596.80    | 0.01%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTELLIGENT PACKAGING LTD FINCO INC / INTELLIGENT PACKAGING LTD CO-ISSUER LLC    | INTELLIGENT PACKAGING LTD FINCO INC / INTELLIGENT PACKAGING LTD CO-ISSUER LLC 6% 09/15/2028 144A        | CUSIP: 45827MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      40000 | PA      | $32154.17      | 0.00%             | 2028-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/46#BM3928                                                                             | CUSIP: 3140J8LJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1090778 | PA      | $1083988.73    | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                    | LOWES COS INC 3.35% 04/01/2027                                                                          | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     619000 | PA      | $587410.33     | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL CORP                                                     | SOUTHERN CO GAS CAP 5.15% 09/15/2032                                                                    | CUSIP: 8426EPAF5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    6215000 | PA      | $6141549.39    | 0.01%             | 2032-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 02/01/2052#BV3533                                                                        | CUSIP: 3140MG4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4744878 | PA      | $4361783.53    | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2050#FM5397                                                                          | CUSIP: 3140X87K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10603014 | PA      | $9549920.72    | 0.02%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGNETITE VII LTD                                                                | MAGNETITE VII LTD 3ML+80 01/15/2028 144A                                                                | CUSIP: 55951PBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6357718 | PA      | $6269053.11    | 0.01%             | 2028-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES REPUBLIC OF                                                          | PHILIPPINES REPUBLIC OF 1.648% 06/10/2031                                                               | CUSIP: 718286CK1<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     400000 | PA      | $315544.00     | 0.00%             | 2031-06-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2044#AS2319                                                                        | CUSIP: 3138WBSH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2661 | PA      | $2661.70       | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                | SREIT TR 2021-MFP 1ML+73.08 11/15/2038 144A                                                             | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9194000 | PA      | $8785002.15    | 0.02%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAIRD FDS INC                                                                    | Baird Aggregate Bond Inst                                                                               | CUSIP: 057071854<br>LEI: 5493001CJOVRFMYFIJ62 | Long             | EC               | RF                | US        |   95153596 | NS      | $919183734.95  | 1.95%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN ASSET FDS INC                                                            | Western Asset Core Plus Bond I                                                                          | CUSIP: 957663503<br>LEI: 549300Q2LEO7M5HGWP70 | Long             | EC               | RF                | US        |  311849678 | NS      | $2962571937.40 | 6.30%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 01/01/2047#BE6506                                                                        | CUSIP: 3140FSGQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56862 | PA      | $56640.33      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                         | MHC COML MTG TR 2021-MHC E 1ML+210.1 04/15/2026 144A                                                    | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5425000 | PA      | $5088661.39    | 0.01%             | 2038-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.50% 8/37 #888817                                                                                 | CUSIP: 31410GPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114727 | PA      | $118325.64     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 5.0% 06/01/2031#MA0777                                                                        | CUSIP: 31417Y2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38466 | PA      | $39324.06      | 0.00%             | 2031-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 2/42 #778863                                                                                 | CUSIP: 36176XB81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59942 | PA      | $56507.71      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | CONSTELLATION BRANDS INC 3.7% 12/06/2026                                                                | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1150595.30    | 0.00%             | 2026-12-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ECO DEV AUTH ST PEN                                                   | NEW JERSEY ECO DEV AUTH ST PENSER A MBIA                                                                | CUSIP: 645913AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    9315000 | PA      | $10067292.44   | 0.02%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                        | BANK IRELAND GROUP PLC 2.029%/VAR 09/30/2027 144A                                                       | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    1400000 | PA      | $1160978.00    | 0.00%             | 2027-09-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC                      | ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.9% 02/01/2046                             | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15510000 | PA      | $14509345.36   | 0.03%             | 2046-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA DEPT ARPTS REV                                                    | LA CA AIRPT 2.163% 5/15/2035                                                                            | CUSIP: 544445UE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     500000 | PA      | $352718.10     | 0.00%             | 2035-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 12/01/2052 #TBA                                                                            | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -97100000 | PA      | $-85193267.86  | -0.18%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | UKRAINE GOVERNMENT 8.994% 02/01/2026 REGS                                                               | CUSIP: N/A<br>LEI: 6354001WLTJXOMEXPY07       | Long             | DBT              | NUSS              | UA        |    1800000 | PA      | $421650.00     | 0.00%             | 2026-02-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                            | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                                   | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    6393000 | PA      | $6537442.48    | 0.01%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2046#MA2833                                                                          | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132613 | PA      | $120415.92     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/01/2042#AB5049                                                                          | CUSIP: 31417BTF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33384 | PA      | $32253.62      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Colchester Street Trust                                                 | FIMM MM Government Portfolio - Instl Cl                                                                 | CUSIP: 31607A703<br>LEI: 549300SHPEJB1OPRCV46 | Long             | EC               | RF                | US        |  176056917 | NS      | $176056916.75  | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| OPEN TEXT CORPORATION                                                            | OPEN TEXT CORPORATION 3.875% 12/01/2029 144A                                                            | CUSIP: 683715AD8<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |      55000 | PA      | $43908.35      | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 12/20/2042#MA0624                                                                          | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1367483 | PA      | $1260210.83    | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FGLMC 30YR 3.5% 09/46#Q43176                                                                            | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2380729 | PA      | $2237632.61    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 05/20/2052#MA8046                                                                          | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9490228 | PA      | $9303603.85    | 0.02%             | 2052-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2050#FM7147                                                                        | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1733672 | PA      | $1617264.80    | 0.00%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                     | STRYKER CORP 3.375% 05/15/2024                                                                          | CUSIP: 863667AF8<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     535000 | PA      | $523064.72     | 0.00%             | 2024-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.501%/VAR 08/09/2028                                                              | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     445000 | PA      | $430902.09     | 0.00%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 1.5% 12/01/2040#RB5089                                                                        | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     410796 | PA      | $336755.54     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 4.75% 02/26/2029 REGS                                                               | CUSIP: N/A<br>LEI: 549300CAZKPF4HKMPX17       | Long             | DBT              | CORP              | MX        |    3400000 | PA      | $2841046.11    | 0.01%             | 2029-02-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2021                                                                   | CIM TRUST 2021-R1 A2 2.4% 08/25/2056 144A                                                               | CUSIP: 12563RAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6076037 | PA      | $5409049.65    | 0.01%             | 2056-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 1.5% 12/01/2052 #TBA                                                                          | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   62950000 | PA      | $48899635.54   | 0.10%             | 2052-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 5% 11/24/2025                                                                            | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   40891000 | PA      | $40986513.20   | 0.09%             | 2025-11-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2021-13 LTD                                                        | ELEVATION CLO 2021-13A A1 LTD 3ML+119 07/15/2034 144A                                                   | CUSIP: 28622EAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8500000 | PA      | $8196337.50    | 0.02%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 29 LTD / COLUMBIA CENT CLO 29 CORP                             | CENT CLO 20 LTD / CENT CLO 20-29A AR 3ML+117 10/20/2034 144A                                            | CUSIP: 197363AU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5895000 | PA      | $5681860.38    | 0.01%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 05/20/2044#MA1921                                                                          | CUSIP: 36179QD24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     252442 | PA      | $253828.07     | 0.00%             | 2044-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA FINANCE PLC                                                         | VIRGIN MEDIA FINANCE PLC 5% 07/15/2030 144A                                                             | CUSIP: 92769VAJ8<br>LEI: 2138001LVYC87DDHT482 | Long             | DBT              | CORP              | GB        |     270000 | PA      | $220116.09     | 0.00%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2041#AH6648                                                                        | CUSIP: 3138A8L61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20163 | PA      | $20032.30      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                                                 | FX Forward: USD/EUR settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1099.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                | ICAHN ENTERPRISES LP/FIN CORP 6.375% 12/15/2025                                                         | CUSIP: 451102BQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     205000 | PA      | $200216.04     | 0.00%             | 2025-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CSMC 2016-NXSR COML MTG TR                                                       | CSMC 2016-NXSR COML MTG TR 3.7948% 12/15/2049                                                           | CUSIP: 12594PAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1874337.20    | 0.00%             | 2049-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2.5% 08/20/2051#MA7534                                                                          | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7056692 | PA      | $6218833.40    | 0.01%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 03/01/2033#G18681                                                                          | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     498249 | PA      | $475744.71     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 03/01/2041#A97686                                                                        | CUSIP: 312946RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95208 | PA      | $97143.02      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                            | SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A                                                             | CUSIP: 78473HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     983000 | PA      | $916511.55     | 0.00%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                  | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                                  | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6679486 | PA      | $4749665.64    | 0.01%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC 4.4% 04/05/2052 144A                                                           | CUSIP: 21871XAL3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    2074000 | PA      | $1667018.11    | 0.00%             | 2052-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR ENERGY INC 5.25% 02/15/2025 144A                                                                    | CUSIP: 12662PAB4<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |     330000 | PA      | $316311.60     | 0.00%             | 2025-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 02/01/2035#FM2502                                                                        | CUSIP: 3140X5X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1596181 | PA      | $1488240.29    | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.1% 07/24/2023                                                             | CUSIP: 06053FAA7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   13989000 | PA      | $13932565.44   | 0.03%             | 2023-07-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 01/01/2041#MA4231                                                                        | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     686706 | PA      | $562936.00     | 0.00%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                  | ALLEGRO CLO LTD 3ML+114 07/20/2034 144A                                                                 | CUSIP: 01750WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4673000 | PA      | $4511725.42    | 0.01%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2052#SD8214                                                                        | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103204 | PA      | $94774.49      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 12/20/44#MA2446                                                                            | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85420 | PA      | $83532.18      | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 04/47#784304                                                                                 | CUSIP: 3622A2X98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2018011 | PA      | $1956379.72    | 0.00%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                          | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3781761 | PA      | $3615327.39    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP / GLP FIN CORP                                                | GLOBAL PARTNERS LP / GLP FIN CORP 7% 08/01/2027                                                         | CUSIP: 37954FAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     505000 | PA      | $478487.50     | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL PLC                                                                   | PRUDENTIAL PLC 2.95%/VAR 11/03/2033 REGS                                                                | CUSIP: N/A<br>LEI: 5493001Z3ZE83NGK8Y12       | Long             | DBT              | CORP              | GB        |    2100000 | PA      | $1661301.60    | 0.00%             | 2033-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | ROYAL BK SCOTLND GRP PLC(UNGTD 3ML+176.2 03/22/2025                                                     | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    7301000 | PA      | $7104113.20    | 0.02%             | 2025-03-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                        | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675864 | PA      | $554048.34     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 2.65%/VAR 10/21/2032                                                      | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2130000 | PA      | $1710621.47    | 0.00%             | 2032-10-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                | QBE INS GROUP LTD 6.75%/VAR 12/02/2044 REGS                                                             | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |    2025000 | PA      | $1911093.75    | 0.00%             | 2044-12-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 09/01/2043#AU7317                                                                        | CUSIP: 3138X7DX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56639 | PA      | $51871.85      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 12/01/2034#CA4890                                                                          | CUSIP: 3140QCNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273714 | PA      | $260697.05     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                            | OPEN TEXT TERM B 1LN 11/16/2029                                                                         | CUSIP: N/A<br>LEI: 549300UQROQS42RKHM85       | Long             | LON              | CORP              | CA        |     199464 | PA      | $193563.42     | 0.00%             | 2029-11-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 1.5% 12/01/2052 #TBA                                                                          | CUSIP: 01F0126C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -3400000 | PA      | $-2641124.08   | -0.01%            | 2052-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/46#BC9077                                                                             | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2890163 | PA      | $2712135.14    | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2046#BC3883                                                                          | CUSIP: 3140EYJ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256878 | PA      | $249000.08     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                           | MPT OPER PARTNERSHIP LP/CORP 2.5% 03/24/2026                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4237176.91    | 0.01%             | 2026-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                | BERKSHIRE HATHAWAY ENERGY COMPANY 4.05% 04/15/2025                                                      | CUSIP: 084659AT8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |   16081000 | PA      | $15926538.94   | 0.03%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2043#AB9361                                                                        | CUSIP: 31417GMK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139269 | PA      | $131517.21     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK CR CARD ISSUANCE TR                                                     | CITIBANK CR CARD ISSUANCE TR 18-A7 A7 3.96% 10/15/2030                                                  | CUSIP: 17305EGS8<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |    2500000 | PA      | $2385280.00    | 0.01%             | 2030-10-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                                                  | BANK 2021-BNK33 2.27% 05/15/2064                                                                        | CUSIP: 06541CBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $7352666.10    | 0.02%             | 2064-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 03/20/2051#MA7254                                                                            | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1966286 | PA      | $1679184.47    | 0.00%             | 2051-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| IBM CORPORATION                                                                  | IBM CORPORATION 2.85% 05/15/2040                                                                        | CUSIP: 459200KK6<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |     480000 | PA      | $353271.44     | 0.00%             | 2040-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 4/41 #762904                                                                                 | CUSIP: 36176DKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48360 | PA      | $47900.87      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TPK AUTH TPK REV                                                   | NEW JERSEY ST TPK AUTH TPK REVBUILD AMERICA BONDS-TAXABLE-A-ISSUER SUBSIDY                              | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     855000 | PA      | $1045570.18    | 0.00%             | 2041-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HOLLY EN PART LP/ HOL FIN CORP                                                   | HOLLY EN PART LP/ HOL FIN CORP 6.375% 04/15/2027 144A                                                   | CUSIP: 435765AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $88054.75      | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STRATUS STATIC CLO 2022-1 LTD                                                    | STRATUS STATIC CLO 2022-1 LTD TSFR3M+175 07/20/2030 144A                                                | CUSIP: 86317WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1207487 | PA      | $1189372.08    | 0.00%             | 2030-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 US LLC                                                     | AVOLON TERM B-3 1LN 01/15/2025                                                                          | CUSIP: N/A<br>LEI: 635400O84AGITYFZQB55       | Long             | LON              | CORP              | US        |     725000 | PA      | $712878.00     | 0.00%             | 2025-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2.5% 06/41#RB5115                                                                             | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1168391 | PA      | $1031946.24    | 0.00%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2% 10/01/2035#BK5705                                                                          | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1778266 | PA      | $1605179.54    | 0.00%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    6600000 | NC      | $90291.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS HEALTH CORP 5.05% 03/25/2048                                                                        | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    8960000 | PA      | $8320755.52    | 0.02%             | 2048-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 7/41 #769093                                                                                 | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14643 | PA      | $14144.36      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WASHINGTON UNIVERSITY                                                            | WASHINGTON UNIVERSITY 4.349% 04/15/2122                                                                 | CUSIP: 940663AD9<br>LEI: 2V765680J33YAZOYW441 | Long             | DBT              | CORP              | US        |    2340000 | PA      | $1835469.32    | 0.00%             | 2122-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEGG MASON PARTNERS INCOME TR                                                    | Western Asset Corporate Bond I                                                                          | CUSIP: 52469F275<br>LEI: 549300DBJPHLYDQ5PO37 | Long             | EC               | RF                | US        |   25961281 | NS      | $275708809.16  | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 01/01/2051#MA4237                                                                          | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11396129 | PA      | $9413801.71    | 0.02%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6.0% 02/01/2038#A73397                                                                        | CUSIP: 3128L6X20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22690 | PA      | $23875.07      | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT                      | HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 0.625% 09/16/2028 REGS                      | CUSIP: N/A<br>LEI: 969500I3QVK40XEORU25       | Long             | DBT              | CORP              | FR        |     300000 | PA      | $249681.56     | 0.00%             | 2028-09-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                          | SAUDI ARABIA KINGDOM OF 3.625% 03/04/2028 REGS                                                          | CUSIP: N/A<br>LEI: 54930044PULMORCKB765       | Long             | DBT              | NUSS              | SA        |    1000000 | PA      | $952500.00     | 0.00%             | 2028-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 10/01/2042#C04268                                                                        | CUSIP: 31292LW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67343 | PA      | $61140.55      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                               | ESSEX PORTFOLIO LP 1.7% 03/01/2028                                                                      | CUSIP: 29717PAY3<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |     515000 | PA      | $427855.21     | 0.00%             | 2028-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 2.85% 02/14/2030                                                                  | CUSIP: 455780CQ7<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     400000 | PA      | $359000.00     | 0.00%             | 2030-02-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 5.0% 01/20/2035#781859                                                                          | CUSIP: 36241KB49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1223458 | PA      | $1232581.41    | 0.00%             | 2035-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                                                           | PENN NATIONAL GAMING TERM B 1LN 05/03/2029                                                              | CUSIP: 70757DAZ2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     212827 | PA      | $209634.25     | 0.00%             | 2029-05-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#RA6510                                                                          | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3692024 | PA      | $3054421.05    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#CB2350                                                                          | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2810859 | PA      | $2321039.18    | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.5% 07/15/2023                                                                                 | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     160000 | PA      | $159035.81     | 0.00%             | 2023-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 06/47#Q48876                                                                             | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196612 | PA      | $195904.13     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2047#BE5530                                                                        | CUSIP: 3140FREC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112006 | PA      | $105071.97     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2046#BE4488                                                                        | CUSIP: 3140FP7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191179 | PA      | $190134.39     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2043#Q16935                                                                        | CUSIP: 3132J8EH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257378 | PA      | $243114.60     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022-6                                                  | ANGEL OAK MORTGAGE TRUST 2022-6 4.3% 07/25/2067 144A                                                    | CUSIP: 03465VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8673173 | PA      | $8092694.13    | 0.02%             | 2067-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/41 #AB4115                                                                                | CUSIP: 31417ASD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3541 | PA      | $3421.15       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | 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        |    7647000 | PA      | $6336008.41    | 0.01%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 07/01/2046#Q43088                                                                        | CUSIP: 3132WGNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475281 | PA      | $447010.85     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP TEXAS INC 2.1% 07/01/2030                                                                           | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $1853073.94    | 0.00%             | 2030-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                       | DCP MIDSTREAM OPER LP 5.6% 04/01/2044                                                                   | CUSIP: 23311VAF4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    3773000 | PA      | $3548516.72    | 0.01%             | 2044-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 5.141% 03/15/2052 144A                                                                   | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   19894000 | PA      | $15415085.13   | 0.03%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SASOL FING USA LLC                                                               | SASOL FING USA LLC 5.875% 03/27/2024                                                                    | CUSIP: 80386WAA3<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1485075.00    | 0.00%             | 2024-03-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                    | UNICREDIT SPA T1Y+3.127%/VAR 06/03/2032 144A                                                            | CUSIP: 904678AY5<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    2515000 | PA      | $1911651.20    | 0.00%             | 2032-06-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US 5YR NOTE (CBT) FUT MAR23 FVH3                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        301 | NC      | $183896.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV                                      | NYC TFA (PIT) 3.88% 8/1/2031                                                                            | CUSIP: 64971XEQ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1170000 | PA      | $1066273.07    | 0.00%             | 2031-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                                        | UST BILLS 0% 04/06/2023                                                                                 | CUSIP: 912796YN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14055000 | PA      | $13850580.57   | 0.03%             | 2023-04-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | FX Forward: USD/GBP settle 2022-12-02                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-1479407.49   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4.125% 10/31/2027                                                                             | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  247770000 | PA      | $250925197.33  | 0.53%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 04/45#Q32820                                                                               | CUSIP: 3132QPD27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7208 | PA      | $6582.55       | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 10/01/2046#G08732                                                                          | CUSIP: 3128MJY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     955212 | PA      | $868167.44     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RALI SER 2007-QS3 TR                                                             | RALI SER 2007-QS3 TR 6.25% 02/25/2037                                                                   | CUSIP: 75116BAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2406155 | PA      | $1888604.78    | 0.00%             | 2037-02-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2% 11/15/2041                                                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  246933000 | PA      | $179846319.11  | 0.38%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 07/01/2052#MA4654                                                                        | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14036032 | PA      | $12878659.14   | 0.03%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TR                                                              | MEXICO CITY ARPT TR 5.5% 07/31/2047 144A                                                                | CUSIP: 59284MAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    2250000 | PA      | $1653750.00    | 0.00%             | 2047-07-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 09/01/2051#QC7496                                                                          | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1813860 | PA      | $1612167.69    | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                            | TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030                                                          | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3185000 | PA      | $2797638.29    | 0.01%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                      | BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028                                                            | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    5210000 | PA      | $4851679.75    | 0.01%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS 4.041%/VAR 3/13/28                                                                        | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3380000 | PA      | $3097607.46    | 0.01%             | 2028-03-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LAGARDERE SA                                                                     | LAGARDERE SA 2.125% 10/16/2026 REGS                                                                     | CUSIP: N/A<br>LEI: 969500VX2NV2AQQ65G45       | Long             | DBT              | CORP              | FR        |     800000 | PA      | $795854.21     | 0.00%             | 2026-10-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GARDEN SPINCO CORP                                                               | GARDEN SPINCO CORP 8.625% 07/20/2030 144A                                                               | CUSIP: 365417AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      45000 | PA      | $47773.93      | 0.00%             | 2030-07-20      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                             | KRAFT HEINZ FOODS CO 4.375% 06/01/2046                                                                  | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    8790000 | PA      | $7408757.68    | 0.02%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 2.739%/VAR 10/15/2030                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8845000 | PA      | $7512257.25    | 0.02%             | 2030-10-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 01/52#FS0235                                                                             | CUSIP: 3140XFHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $427781.99     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                         | AMERICAN ASSETS TRUST LP 3.375% 02/01/2031                                                              | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |    3370000 | PA      | $2718355.70    | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.9% 06/01/2052         | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12363000 | PA      | $8211503.73    | 0.02%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TR                                                              | MEXICO CITY ARPT TR 4.25% 10/31/2026 144A                                                               | CUSIP: 59284MAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    4270000 | PA      | $4019137.50    | 0.01%             | 2026-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/46#AS8572                                                                             | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1586619 | PA      | $1486407.33    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2019                                                              | BX COML MTG TR 2019-XCALM AL 1ML+88.72 11/25/2286 144A                                                  | CUSIP: 05608FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2389891 | PA      | $2334623.92    | 0.00%             | 2032-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                      | LENNAR CORP 5% 06/15/2027                                                                               | CUSIP: 526057CV4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |   12100000 | PA      | $11861755.84   | 0.03%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 3/38 #889219                                                                                 | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15759 | PA      | $16580.66      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 04/01/2043#AR9512                                                                        | CUSIP: 3138W7SA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75758 | PA      | $66413.99      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 10/46#G08735                                                                             | CUSIP: 3128MJY95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290233 | PA      | $288643.49     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 06/01/2044#Q26541                                                                        | CUSIP: 3132M65A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52842 | PA      | $51433.75      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 12/01/2047#G61305                                                                          | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2123171 | PA      | $2047343.08    | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/20/2046#AS4297                                                                          | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243890 | PA      | $229244.46     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 12/01/2042#AL2950                                                                        | CUSIP: 3138EKH40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233363 | PA      | $213795.56     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 12/01/2041#AJ7688                                                                        | CUSIP: 3138E0RJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121023 | PA      | $116956.49     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                       | GRAPHIC PACKAGING INTL INC 3.75% 02/01/2030 144A                                                        | CUSIP: 38869AAD9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |      55000 | PA      | $46690.60      | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | ALTRIA GROUP INC 2.45% 02/04/2032                                                                       | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4548743.58    | 0.01%             | 2032-02-04      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 01/01/2041#AH3933                                                                        | CUSIP: 3138A5LP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203442 | PA      | $196623.08     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIAVI SOLUTIONS INC                                                              | VIAVI SOLUTIONS INC 3.75% 10/01/2029 144A                                                               | CUSIP: 925550AF2<br>LEI: 5493006K3E3N1QOBF092 | Long             | DBT              | CORP              | US        |     230000 | PA      | $189750.00     | 0.00%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 04/20/46#AS7319                                                                            | CUSIP: 36193TDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65556 | PA      | $61681.25      | 0.00%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 2/15/36                                                                                         | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1100000 | PA      | $656533.97     | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS HEALTH CORP 5.125% 07/20/2045                                                                       | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1965000 | PA      | $1834719.85    | 0.00%             | 2045-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                   | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                         | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    5608000 | PA      | $4908531.32    | 0.01%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 2.699%/VAR 01/22/2031                                                                    | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   28165000 | PA      | $23601339.71   | 0.05%             | 2031-01-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2% 12/01/2052 #TBA                                                                            | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  381600000 | PA      | $313842150.00  | 0.67%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 02/52#RA6824                                                                               | CUSIP: 3133KNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7121077 | PA      | $5889060.19    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY CA REVS                                                               | UNIV CAL REV 4.131% 5/15/2045                                                                           | CUSIP: 91412GXY6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1750000 | PA      | $1527640.28    | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 4.75% 01/23/2029                                                         | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1688965.15    | 0.00%             | 2029-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                             | TANGER PROPERTIES LP 3.875% 07/15/2027                                                                  | CUSIP: 875484AK3<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   13369000 | PA      | $12151366.19   | 0.03%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                         | TUCSON ELECTRIC POWER CO 3.25% 05/15/2032                                                               | CUSIP: 898813AU4<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1033907.69    | 0.00%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA REPUBLIC OF                                                         | SOUTH AFRICA REPUBLIC OF 4.85% 09/30/2029                                                               | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1240000 | PA      | $1120495.00    | 0.00%             | 2029-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 4.5% 12/01/2052 #TBA                                                                          | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  120700000 | PA      | $117493966.60  | 0.25%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 01/01/2032#C91417                                                                        | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116544 | PA      | $112778.33     | 0.00%             | 2032-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                     | MEXICO UNITED MEXICAN STATES 2.659% 05/24/2031                                                          | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4688000 | PA      | $3888696.00    | 0.01%             | 2031-05-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FNR 2011-4 PZ 5% 2/41                                                                                   | CUSIP: 31397QKY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     176588 | PA      | $170565.26     | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2044#AX8459                                                                          | CUSIP: 3138YAMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650957 | PA      | $635469.01     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 08/01/2045#Q35845                                                                          | CUSIP: 3132QSP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43120 | PA      | $41876.41      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECS TR                                                       | MABS 2005-NC2 A4 1M+35 11/35                                                                            | CUSIP: 57643LMP8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9860408 | PA      | $5737200.71    | 0.01%             | 2035-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2021-R5                                                                | CIM TRUST 2021-R5 2%/VAR 08/25/2061 144A                                                                | CUSIP: 12592SAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6993174 | PA      | $5936028.39    | 0.01%             | 2061-08-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 04/01/2052#FS1587                                                                          | CUSIP: 3140XGXR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1958340 | PA      | $1750985.43    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MTG TR INC                                                            | BLACKSTONE MTG TR TERM B 04/23/2026                                                                     | CUSIP: 09259GAC7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | LON              | CORP              | US        |     492386 | PA      | $479460.65     | 0.00%             | 2026-04-23      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SALT RIVER PROJ AZ AGRIC and PWR                                                 | SALT RIVER PROJ ARIZ AGRIC IMPT and PWR DIST ELEC SYS REV BUILD AMERICA BONDS                           | CUSIP: 79575DE63<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     750000 | PA      | $746318.70     | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FINANCIAL GROUP INC                                                    | JEFFERIES FINANCIAL GROUP INC 2.75% 10/15/2032                                                          | CUSIP: 47233JDX3<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    1355000 | PA      | $1004530.36    | 0.00%             | 2032-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                                  | AIMCO CLO SER 2018-BA AR 3ML+110 01/15/2032 144A                                                        | CUSIP: 00900PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1584000 | PA      | $1552818.96    | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 06/01/2039#AS2599                                                                          | CUSIP: 3138WB3H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     694810 | PA      | $675673.12     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 3.75% 03/26/2025                                                                   | CUSIP: 225433AC5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   15667000 | PA      | $13887689.88   | 0.03%             | 2025-03-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 07/01/2041#Q02130                                                                        | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61849 | PA      | $63081.54      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 0.375% 01/31/2026                                                                             | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8470000 | PA      | $7552526.97    | 0.02%             | 2026-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LOUISIANA ST GAS and FUEL TAX RV                                                 | LA GAS and FUEL 2.952% 5/1/2041                                                                         | CUSIP: 546475VT8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5270000 | PA      | $3998982.98    | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2042#AO2976                                                                        | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4742 | PA      | $4454.48       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | AMERICAN EXPRESS CO 2.55% 03/04/2027                                                                    | CUSIP: 025816CS6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    3110000 | PA      | $2824652.49    | 0.01%             | 2027-03-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | FX Forward: EUR/USD settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $171.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                            | TRANSCONTINENTAL GAS LINE LLC 4.6% 03/15/2048                                                           | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     350000 | PA      | $298666.02     | 0.00%             | 2048-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.5% 01/31#BA4750                                                                             | CUSIP: 3140E9H41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517814 | PA      | $505702.40     | 0.00%             | 2031-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2010-170 B 4% 12/40                                                                                 | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     227042 | PA      | $221400.61     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 07/01/2050#FM3742                                                                        | CUSIP: 3140X7EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4928641 | PA      | $4271445.56    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 10/01/2045#G08671                                                                        | CUSIP: 3128MJW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     503212 | PA      | $473752.53     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2006-A2                            | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2006-A2 STEP 02/25/2036                                   | CUSIP: 590215AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6075768 | PA      | $3631045.06    | 0.01%             | 2036-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| J and J VENTURES GAMING LLC                                                      | J and J VENTURES GAMING TERM 1LN 04/26/28                                                               | CUSIP: 46604BAB4<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |     136205 | PA      | $130502.41     | 0.00%             | 2028-04-26      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| OT MERGER CORP                                                                   | OT MERGER CORP 7.875% 10/15/2029 144A                                                                   | CUSIP: 688777AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $292020.00     | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| STATE STR INVT TR                                                                | State Street Instl US Govt MMkt Premier                                                                 | CUSIP: 857492706<br>LEI: 549300CCOK7OZZUAS108 | Long             | EC               | RF                | US        |  313057318 | NS      | $313057318.33  | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 08/01/2039#AW4267                                                                          | CUSIP: 3138XTW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209856 | PA      | $204010.11     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                      | BAYC 2007-2 M1 1ML+37 7/37                                                                              | CUSIP: 07325XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20919 | PA      | $17904.48      | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BATTALION CLO X LTD / BATTALION CLO X LLC                                        | BATTALION CLO X LTD / BATTALION CLO X LLC 3ML+117 01/25/2035 144A                                       | CUSIP: 07132JBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12000000 | PA      | $11608524.00   | 0.02%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNMA 13-149 MA 2.5% 5/20/40                                                                             | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     828835 | PA      | $791332.25     | 0.00%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                        | CWALT INC 5.5% 05/25/2035                                                                               | CUSIP: 12667GAH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1953698 | PA      | $1627707.29    | 0.00%             | 2035-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE LTD                                                      | ENERGEAN ISRAEL FINANCE LTD 4.5% 03/30/2024 144A REGS                                                   | CUSIP: N/A<br>LEI: 98450044QACBL3F8EB03       | Long             | DBT              | CORP              | IL        |     900000 | PA      | $870388.20     | 0.00%             | 2024-03-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | ABBVIE INC 4.875% 11/14/2048                                                                            | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     335000 | PA      | $314384.30     | 0.00%             | 2048-11-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     970000 | NC      | $13270.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 07/51#MA7473                                                                                 | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7270243 | PA      | $6602234.67    | 0.01%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 06/01/2041#AI4778                                                                        | CUSIP: 3138AJJY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111064 | PA      | $113184.07     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 3.5% 09/15/2053                                                                            | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1298000 | PA      | $916542.57     | 0.00%             | 2053-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                            | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49015200 | PA      | $34195760.63   | 0.07%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIALS INC                                                    | MARTIN MARIETTA MATERIALS INC 2.5% 03/15/2030                                                           | CUSIP: 573284AV8<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |     855000 | PA      | $713697.67     | 0.00%             | 2030-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 08/20/2045#MA3035                                                                          | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1559153 | PA      | $1523229.16    | 0.00%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                                                 | MERCK and CO INC 3.4% 03/07/2029                                                                        | CUSIP: 58933YAX3<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1318681.91    | 0.00%             | 2029-03-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATLAS LUXCO 4 SARL / ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP | ATLAS LUXCO 4 SARL / ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP 4.625% 06/01/2028 144A | CUSIP: 049362AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     520000 | PA      | $437450.00     | 0.00%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.00% 8/37 #G06089                                                                                 | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30719 | PA      | $32218.95      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 07/01/2033#709470                                                                          | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60009 | PA      | $60429.79      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 04/01/2043#G07345                                                                        | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2342564 | PA      | $2294038.92    | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | PRUDENTIAL TRS SWAP 0.0% 01/27/2023                                                                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | GB        |   41452896 | NC      | $-9485391.36   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2.5% 12/01/2037 #TBA                                                                          | CUSIP: 01F0224C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -27400000 | PA      | $-25306470.12  | -0.05%            | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                             | BWX TECHNOLOGIES INC 4.125% 04/15/2029 144A                                                             | CUSIP: 05605HAC4<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |     325000 | PA      | $286000.00     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC29                                                  | CITIGROUP COML MTG TR 2015-GC29 XA CSTR 04/10/2048                                                      | CUSIP: 17323VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28904433 | PA      | $542328.10     | 0.00%             | 2048-04-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LEIGHTON FIN USA PTY LTD                                                         | LEIGHTON FIN USA PTY LTD 1.5% 05/28/2029 REGS                                                           | CUSIP: N/A<br>LEI: 213800SWJBM5VMCQJW54       | Long             | DBT              | CORP              | AU        |    1145000 | PA      | $915991.37     | 0.00%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                        | CAESARS ENTERTAINMENT INC 6.25% 07/01/2025 144A                                                         | CUSIP: 28470RAH5<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |     380000 | PA      | $375554.94     | 0.00%             | 2025-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2044#AW5713                                                                        | CUSIP: 3138XVK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2101 | PA      | $2101.61       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZIGGO BV                                                                         | ZIGGO BV 2.875% 01/15/2030 REGS                                                                         | CUSIP: N/A<br>LEI: 213800TQASLF9JXH5J59       | Long             | DBT              | CORP              | NL        |    1100000 | PA      | $948064.64     | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                            | FX Forward: USD/GBP settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1407.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 12/41 #AJ7680                                                                                | CUSIP: 3138E0RA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14295 | PA      | $13434.78      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 03/01/2052#FS0977                                                                          | CUSIP: 3140XGCP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25988882 | PA      | $23237109.33   | 0.05%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 4.85% 03/01/2048                                                                       | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     100000 | PA      | $87484.05      | 0.00%             | 2048-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LSB INDUSTRIES INC                                                               | LSB INDUSTRIES INC 6.25% 10/15/2028 144A                                                                | CUSIP: 502160AN4<br>LEI: 5493001H215A0HG0MI71 | Long             | DBT              | CORP              | US        |     235000 | PA      | $219471.20     | 0.00%             | 2028-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 1/41 #AH4404                                                                                 | CUSIP: 3138A53N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371908 | PA      | $359508.28     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                        | MYLAN INC 5.2% 04/15/2048                                                                               | CUSIP: 628530BJ5<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1377830.16    | 0.00%             | 2048-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 11/41 #489862                                                                                | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     324998 | PA      | $313917.73     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY MORTGAGE TRUST                                                  | INTOWN 2022-STAY MORTGAGE TRUST TSFR1M+223.92 08/15/2037 144A                                           | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8682000 | PA      | $8594969.90    | 0.02%             | 2039-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FNMA 0.5% 06/17/2025                                                                                    | CUSIP: 3135G04Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    1685000 | PA      | $1534508.72    | 0.00%             | 2025-06-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2042#AO5578                                                                        | CUSIP: 3138LWFU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8818 | PA      | $8843.83       | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 06/47#Q48877                                                                               | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3017533 | PA      | $2933337.37    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING NEW                                                                | OWENS CORNING NEW 4.3% 07/15/2047                                                                       | CUSIP: 690742AG6<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |    5310000 | PA      | $4127747.56    | 0.01%             | 2047-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 04/01/2042#AK8453                                                                        | CUSIP: 3138EDMB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237559 | PA      | $238265.09     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                        | OCCIDENTAL PETROLEUM CORP 4.4% 08/15/2049                                                               | CUSIP: 674599CY9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     240000 | PA      | $187292.21     | 0.00%             | 2049-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                   | VIRGINIA ELECTRIC AND POWER CO 6% 05/15/2037                                                            | CUSIP: 927804FB5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     930000 | PA      | $974986.60     | 0.00%             | 2037-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 5.95% 01/25/2027 144A                                                                | CUSIP: 25714PDT2<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    1100000 | PA      | $1069612.50    | 0.00%             | 2027-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    3220000 | NC      | $44051.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 2/40 #AE0061                                                                                 | CUSIP: 31419AB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222711 | PA      | $234564.14     | 0.00%             | 2040-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 05/01/2042#AO2961                                                                        | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4150 | PA      | $4008.55       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                         | CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034                                                           | CUSIP: 162665AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13951649 | PA      | $13679466.69   | 0.03%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 3.5% 09/01/2030                                                                                 | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2575000 | PA      | $2213135.25    | 0.00%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 04/01/2043#AT3094                                                                        | CUSIP: 3138WQNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7602 | PA      | $6664.46       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                                                 | TRINET GROUP INC 3.5% 03/01/2029 144A                                                                   | CUSIP: 896288AA5<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |     165000 | PA      | $137156.25     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.5% 11/01/2052#SD8268                                                                        | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2314543 | PA      | $2342685.35    | 0.00%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4.5% 11/15/2025                                                                               | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26860000 | PA      | $27162175.00   | 0.06%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE STORAGE LP                                                                  | LIFE STORAGE LP 2.4% 10/15/2031                                                                         | CUSIP: 53227JAD6<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |     160000 | PA      | $123490.90     | 0.00%             | 2031-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                             | DUKE ENERGY CORP NEW 5% 08/15/2052                                                                      | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1822000 | PA      | $1655711.38    | 0.00%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 04/01/2043#Q16915                                                                        | CUSIP: 3132J8DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41672 | PA      | $38252.17      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | 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        |     496500 | PA      | $447398.06     | 0.00%             | 2036-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                 | KINDER MORGAN ENERGY PTNRS LP 4.15% 02/01/2024                                                          | CUSIP: 494550BS4<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     425000 | PA      | $419411.36     | 0.00%             | 2024-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/45#AY3962                                                                               | CUSIP: 3138YHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78356 | PA      | $75952.92      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                              | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1.75% 01/14/2025 REGS                                               | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | DBT              | CORP              | SE        |     200000 | PA      | $174265.12     | 0.00%             | 2025-01-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                    | GOLDMAN SACHS GROUP INC (THE) 3.814%/VAR 04/23/2029                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7695000 | PA      | $7080057.31    | 0.02%             | 2029-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | ONEMAIN FINANCE CORP 5.375% 11/15/2029                                                                  | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     829000 | PA      | $692380.80     | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROLLER BEARING CO OF AMERICA                                                     | ROLLER BEARING CO OF AMERICA 4.375% 10/15/2029 144A                                                     | CUSIP: 775631AD6<br>LEI: 254900U9XW6S76H2P167 | Long             | DBT              | CORP              | US        |      30000 | PA      | $26272.50      | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | UNUM GROUP 4% 06/15/2029                                                                                | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    5961000 | PA      | $5407788.74    | 0.01%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RES L P / EER FIN INC                                            | ENDEAVOR ENERGY RES L P / EER FIN INC 5.75% 01/30/2028 144A                                             | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1455000 | PA      | $1432011.00    | 0.00%             | 2028-01-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 04/01/2043#Q16749                                                                        | CUSIP: 3132J75K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27231 | PA      | $26556.36      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES INC                                                        | TELEDYNE TECHNOLOGIES INC 2.75% 04/01/2031                                                              | CUSIP: 879360AE5<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |    4505000 | PA      | $3711904.30    | 0.01%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 03/01/2050#CA5416                                                                        | CUSIP: 3140QDAS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706623 | PA      | $611959.12     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KKR CLO 41 LTD                                                                   | KKR CLO 41 LTD 22-41A A1 TSFR3M+133 04/15/2035 144A                                                     | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9327000 | PA      | $8917703.26    | 0.02%             | 2035-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 6.0% 11/01/2037#A67449                                                                        | CUSIP: 3128KYH28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2184 | PA      | $2298.03       | 0.00%             | 2037-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 12/41 #AJ4198                                                                                | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198597 | PA      | $191974.71     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING CORP                                                      | PRIVATE EXPORT FUNDING CORP 3.55% 01/15/2024                                                            | CUSIP: 742651DT6<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | USGSE             | US        |     755000 | PA      | $745032.59     | 0.00%             | 2024-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2044#Q30880                                                                        | CUSIP: 3132QL6S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97939 | PA      | $98167.21      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.075/VAR 04/23/2029                                                                      | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   22280000 | PA      | $20815044.10   | 0.04%             | 2029-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG ENERGY INC 3.375% 02/15/2029 144A                                                                   | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      45000 | PA      | $37388.44      | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FINANCE BV                                                     | TRIVIUM PACKAGING FINANCE BV 5.5% 08/15/2026 144A                                                       | CUSIP: 89686QAA4<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | CORP              | NL        |    1458000 | PA      | $1363175.06    | 0.00%             | 2026-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 4.50% 6/25 #MA0442                                                                            | CUSIP: 31417YP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6604 | PA      | $6536.79       | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                     | BAYC 2007-3 M2 1ML+34 7/37                                                                              | CUSIP: 07325YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12890 | PA      | $12193.09      | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC17 MTG TR                                                            | COMM 2014-LC17 XA CSTR 10/47                                                                            | CUSIP: 12592MBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30949598 | PA      | $289812.04     | 0.00%             | 2047-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.5% 01/01/2040#AC9526                                                                        | CUSIP: 31417WSQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251176 | PA      | $261649.33     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2.5% 10/01/2037#BM1951                                                                        | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479276 | PA      | $443675.79     | 0.00%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS HEALTH CORP 3.625% 04/01/2027                                                                       | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2341000 | PA      | $2245115.36    | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF                                                               | PANAMA REPUBLIC OF 4.5% 01/19/2063                                                                      | CUSIP: 698299BS2<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    5665000 | PA      | $4135450.00    | 0.01%             | 2063-01-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2042#Q13237                                                                        | CUSIP: 3132HPS21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     566694 | PA      | $535288.83     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 04/01/2044#Q25598                                                                        | CUSIP: 3132M53F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2221909 | PA      | $2224319.97    | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 3.070%/VAR 02/24/28                                                                       | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1565000 | PA      | $1422019.93    | 0.00%             | 2028-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                      | LENNAR CORP 5.25% 06/01/2026                                                                            | CUSIP: 526057CT9<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    2920000 | PA      | $2886053.04    | 0.01%             | 2026-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 04/15/2043#AA6294                                                                        | CUSIP: 36178D7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190620 | PA      | $176619.29     | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 01/01/2052#RA6622                                                                        | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5174558 | PA      | $4448186.99    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2012-LC9                                       | J P MORGAN CHASE COML MTG SECS TR 2012-LC9 3.353% 12/15/2047 144A                                       | CUSIP: 46639EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205543 | PA      | $205013.24     | 0.00%             | 2047-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 03/46#MA3521                                                                               | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1192564 | PA      | $1128777.33    | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/01/2052#MA4618                                                                          | CUSIP: 31418EDY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12795402 | PA      | $12116746.75   | 0.03%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 11/01/2051#QD0399                                                                          | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270752 | PA      | $224078.85     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG 4.988%/VAR 08/05/2033 REGS                                                                 | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |     200000 | PA      | $186334.12     | 0.00%             | 2033-08-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ATLAS SR LN FD XVI LTD / ATLAS SR LN FD XVI LLC                                  | ATLAS SR LN FD XVI LTD / ATLAS SR LN FD XVI LLC A 3ML+127 01/20/2034 144A                               | CUSIP: 04940AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1939512.00    | 0.00%             | 2034-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HORMEL FOODS CORP                                                                | HORMEL FOODS CORP 0.65% 06/03/2024                                                                      | CUSIP: 440452AG5<br>LEI: MSD54751OJP1FS2ND863 | Long             | DBT              | CORP              | US        |     895000 | PA      | $841669.80     | 0.00%             | 2024-06-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 01/01/2052#MA4512                                                                        | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17192788 | PA      | $14736394.00   | 0.03%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 11/15/2041#656540                                                                          | CUSIP: 36294QLV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1859 | PA      | $1816.01       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP TEXAS INC 3.8% 10/01/2047                                                                           | CUSIP: 00108WAF7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     845000 | PA      | $624735.25     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 04/01/2043#AR6071                                                                        | CUSIP: 3138W3W90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7163 | PA      | $6566.99       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 04/20/2050#MA6599                                                                            | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3922033 | PA      | $3574842.07    | 0.01%             | 2050-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C21                                                  | JPMBB COML MTG SECS TR 2014-C21 3.4927% 08/15/2047                                                      | CUSIP: 46642EAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1451598 | PA      | $1407046.03    | 0.00%             | 2047-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2052#                                                                              | CUSIP: 31418ELU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8343001 | PA      | $7647238.10    | 0.02%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                           | PUGET SOUND ENERGY INC 5.764% 07/15/2040                                                                | CUSIP: 745332CC8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |     285000 | PA      | $283368.38     | 0.00%             | 2040-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARCOSA INC                                                                       | ARCOSA INC 4.375% 04/15/2029 144A                                                                       | CUSIP: 039653AA8<br>LEI: 549300WFHLTCZV7D6V29 | Long             | DBT              | CORP              | US        |      65000 | PA      | $56527.91      | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 03/01/2033#BM4614                                                                          | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271850 | PA      | $259940.68     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                                        | EQM MIDSTREAM PARTNERS LP 7.5% 06/01/2027 144A                                                          | CUSIP: 26885BAM2<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     290000 | PA      | $293076.90     | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 6/41 #768770                                                                                 | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31147 | PA      | $30081.75      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                     | NOVELIS CORP 3.875% 08/15/2031 144A                                                                     | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     115000 | PA      | $94300.00      | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 5% 12/01/2052 #TBA                                                                            | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  137000000 | PA      | $136400556.50  | 0.29%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                     | ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP 5.75% 03/01/2027 144A                          | CUSIP: 03690AAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1193635.49    | 0.00%             | 2027-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 12/20/2051#MA7768                                                                            | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1204432 | PA      | $1091319.43    | 0.00%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                   | EXTENDED STAY AMER TR 2021-ESH A 1ML+108 07/15/2038 144A                                                | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4751128 | PA      | $4569472.93    | 0.01%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING 3.205% 03/08/2027 144A                                                            | CUSIP: 04685A3L3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    1485000 | PA      | $1332216.15    | 0.00%             | 2027-03-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 01/01/2044#AV4104                                                                        | CUSIP: 3138XFR23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310035 | PA      | $310376.09     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 07/01/2036#310015                                                                          | CUSIP: 31374CK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9007 | PA      | $9077.26       | 0.00%             | 2036-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/37 #942981                                                                                 | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4019 | PA      | $4226.44       | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 07/01/2043#AS0038                                                                        | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353048 | PA      | $323334.25     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3% 2/43 #Q15438                                                                                    | CUSIP: 3132J6PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     465894 | PA      | $427661.54     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                                     | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   37757000 | PA      | $34041711.20   | 0.07%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                       | DCP MIDSTREAM LLC 5.85%/VAR 05/21/2043 144A                                                             | CUSIP: 23311RAH9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   16392000 | PA      | $16036330.15   | 0.03%             | 2043-05-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 4/41 #A97942                                                                                 | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     281331 | PA      | $280163.45     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT LP 3.375% 07/15/2051                                                              | CUSIP: 02666TAD9<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    1089000 | PA      | $696114.64     | 0.00%             | 2051-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 07/01/2043#AT9528                                                                        | CUSIP: 3138WXSS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635478 | PA      | $581994.13     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                    | SOUTHERN CALIFORNIA EDISON CO 3.6% 02/01/2045                                                           | CUSIP: 842400GE7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $1747404.46    | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 11/01/2029#AS3743                                                                        | CUSIP: 3138WDER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     688949 | PA      | $658506.83     | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRA HEALTH SCIENCES INC                                                          | ICON TERM B 1LN 07/03/2028                                                                              | CUSIP: N/A<br>LEI: 549300R1HR1VWWHIAK47       | Long             | LON              | CORP              | US        |      75299 | PA      | $74879.73      | 0.00%             | 2028-07-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 12/40 #004882                                                                             | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14561 | PA      | $14100.03      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHNSON and JOHNSON                                                              | JOHNSON and JOHNSON 3.625% 03/03/2037                                                                   | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |     695000 | PA      | $626116.82     | 0.00%             | 2037-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 10/01/2042#C04272                                                                        | CUSIP: 31292LW92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     324543 | PA      | $294345.40     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 04/01/2046#Q39717                                                                          | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13525 | PA      | $12309.70      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                          | JANE STREET GRP/JSG FIN 4.5% 11/15/2029 144A                                                            | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      65000 | PA      | $57065.45      | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWR and LIGHT CO                                                 | JERSEY CENTRAL POWR and LIGHT CO 2.75% 03/01/2032 144A                                                  | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    3560000 | PA      | $2895014.82    | 0.01%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COX ENTERPRISES INC                                                              | COX ENTERPRISES INC 7.375% 07/15/2027 144A                                                              | CUSIP: 224050AE4<br>LEI: TVRMNZKRGA8LPW6XPG60 | Long             | DBT              | CORP              | US        |    3445000 | PA      | $3660364.62    | 0.01%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2051#FM9633                                                                          | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3594811 | PA      | $3202948.89    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GUATEMALA, REP OF                                                                | GUATEMALA REP OF 3.7% 10/07/2033 REGS                                                                   | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |    1447000 | PA      | $1180028.50    | 0.00%             | 2033-10-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 02/20/2050#MA6474                                                                            | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     931905 | PA      | $850283.66     | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 07/20/2045#MA2960                                                                          | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98720 | PA      | $90822.04      | 0.00%             | 2045-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2006-1                                                 | NELNET STUDENT LOAN TRUST 2006-1 3ML+ 08/23/2036 144A                                                   | CUSIP: 64033HAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6524587 | PA      | $6243842.04    | 0.01%             | 2036-08-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 06/01/2031#J34584                                                                          | CUSIP: 31307RCV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29365 | PA      | $28175.96      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/43#AS0080                                                                             | CUSIP: 3138W9CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29529 | PA      | $27866.50      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2047#MA3184                                                                        | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388485 | PA      | $384784.41     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM LLC                                                             | ENLINK MIDSTREAM LLC 5.625% 01/15/2028 144A                                                             | CUSIP: 29336TAC4<br>LEI: 54930000GY1H533OBE23 | Long             | DBT              | CORP              | US        |     220000 | PA      | $214500.00     | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 4.95% 03/31/2030                                                                      | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1855000 | PA      | $1777793.79    | 0.00%             | 2030-03-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORTIVE CORP                                                                     | FORTIVE CORP 3.15% 06/15/2026                                                                           | CUSIP: 34959JAG3<br>LEI: 549300MU9YQJYHDQEF63 | Long             | DBT              | CORP              | US        |     275000 | PA      | $259013.75     | 0.00%             | 2026-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                                                   | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1716342 | PA      | $1675670.41    | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 1/1/43 #AB7568                                                                           | CUSIP: 31417EMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70761 | PA      | $64893.74      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 4.836% 05/09/2028                                                                  | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    6667000 | PA      | $6112584.61    | 0.01%             | 2028-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 04/01/2041#                                                                                | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42279 | PA      | $36127.37      | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                                      | TCW IRS 2YR/2YR IRS 1.0335% 07/24/25                                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   43930000 | NC      | $-2494364.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AASET 2019-1 TRUST                                                               | AASET 2019-1 TRUST 3.844% 05/15/2039 144A                                                               | CUSIP: 00256DAA0<br>LEI: 549300TXM3PCKZJKD061 | Long             | ABS-CBDO         | CORP              | US        |    2823664 | PA      | $1875591.47    | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE CO                                                       | NEW YORK LIFE INSURANCE CO 3.75% 05/15/2050 144A                                                        | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    2630000 | PA      | $2017628.09    | 0.00%             | 2050-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2046#AS8453                                                                          | CUSIP: 3138WJMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169737 | PA      | $154125.29     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FGLMC 3871 KB 5.5% 06/41                                                                                | CUSIP: 3137AC7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     413352 | PA      | $429970.03     | 0.00%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                                                    | SEMPRA ENERGY 4.125%/VAR 04/01/2052                                                                     | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    3845000 | PA      | $2989859.08    | 0.01%             | 2052-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2020                                                              | TOWD PT MTG TR 2020 1.75% 10/25/2060 144A                                                               | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2039663 | PA      | $1793038.47    | 0.00%             | 2060-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2.5% 12/01/2037 #TBA                                                                          | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   27400000 | PA      | $25306470.12   | 0.05%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 02/01/2043#AB7936                                                                        | CUSIP: 31417EZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1191283 | PA      | $1091392.52    | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT CAPITAL CORP 3.557% 08/15/2027                                                                      | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    3260000 | PA      | $2973570.17    | 0.01%             | 2027-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR ENERGY INC 5.75% 02/15/2028 144A                                                                    | CUSIP: 12662PAD0<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |      40000 | PA      | $35985.60      | 0.00%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 3/42 #AB4684                                                                                 | CUSIP: 31417BF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538103 | PA      | $504749.19     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                                        | EQM MIDSTREAM PARTNERS LP 7.5% 06/01/2030 144A                                                          | CUSIP: 26885BAN0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100873.50     | 0.00%             | 2030-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.75% 03/15/2025                                                                              | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26460000 | PA      | $25031414.02   | 0.05%             | 2025-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2022-CSMO                                                         | BX COML MTG TR 2022-CSMO TSFR1M+314.07 06/15/2027                                                       | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3795000 | PA      | $3749822.04    | 0.01%             | 2027-06-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2020-1 LTD / TCW CLO 2020-1 LLC                                          | TCW CLO 2020-1 LTD / TCW CLO 2020-1 LLC 3ML+116 04/20/2034 144A                                         | CUSIP: 87190CAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5500000 | PA      | $5361823.50    | 0.01%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT and WHITE HLDGS                                                     | BAYLOR SCOTT and WHITE HLDGS 2.839% 11/15/2050                                                          | CUSIP: 072863AJ2<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |     120000 | PA      | $79143.13      | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                     | CHARLES RIVER LABS INTL INC 4.25% 05/01/2028 144A                                                       | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     330000 | PA      | $301125.00     | 0.00%             | 2028-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                              | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    2180000 | NC      | $29823.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 5% 12/01/2052 #TBA                                                                            | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -13850000 | PA      | $-13789399.33  | -0.03%            | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.45% 10/29/2026                                     | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3749000 | PA      | $3296478.45    | 0.01%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 5.375% 09/01/2026                                                                               | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     875000 | PA      | $869980.07     | 0.00%             | 2026-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 2.625% 08/01/2031                                                                          | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    2980000 | PA      | $2342935.60    | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                         | COOPERATIEVE RABOBANK UA 4.375% 08/04/2025                                                              | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    7713000 | PA      | $7495441.49    | 0.02%             | 2025-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                     | ROCKIES EXPRESS PIPELINE LLC 4.95% 07/15/2029 144A                                                      | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    2375000 | PA      | $2135631.07    | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SPIN HOLDCO INC                                                                  | CSC SERVICEWORKS TERM B 1LN 03/04/2028                                                                  | CUSIP: 84850XAK8<br>LEI: 549300QAS44U2GUXGK45 | Long             | LON              | CORP              | US        |     973045 | PA      | $868033.98     | 0.00%             | 2028-03-04      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 11/35 #A80290                                                                                | CUSIP: 312926KB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1113752 | PA      | $1126295.35    | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 3.882%/VAR 07/24/2038                                                             | CUSIP: 46647PAJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4490000 | PA      | $3774151.53    | 0.01%             | 2038-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                                        | HEALTHPEAK PROPERTIES 3% 01/15/2030                                                                     | CUSIP: 42250PAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    1625000 | PA      | $1403625.54    | 0.00%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | VIATRIS INC 2.7% 06/22/2030                                                                             | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    5898000 | PA      | $4704529.91    | 0.01%             | 2030-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                           | EQUITABLE HOLDINGS INC 3.9% 04/20/2023                                                                  | CUSIP: 054561AC9<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     827000 | PA      | $823531.88     | 0.00%             | 2023-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HLDGS INC                                                             | ZAYO TERM 1LN 03/09/2027                                                                                | CUSIP: 98919XAB7<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | LON              | CORP              | US        |    1000000 | PA      | $751480.00     | 0.00%             | 2027-03-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                      | SUNOCO LP / SUNOCO FIN CORP 5.875% 03/15/2028                                                           | CUSIP: 86765LAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      55000 | PA      | $52384.50      | 0.00%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2044#AS3179                                                                        | CUSIP: 3138WCQ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8941 | PA      | $8936.68       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2047#BC7535                                                                        | CUSIP: 3140F3LR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26618 | PA      | $26406.13      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 4/42 #AK6572                                                                                 | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     631739 | PA      | $592883.82     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 10/41 #Q03643                                                                                | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294881 | PA      | $296030.61     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                                      | TCW 2YR/2YR IRS R 1.0255% 07/24/25                                                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   59390000 | NC      | $-3378586.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/42#AB6934                                                                             | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183682 | PA      | $172325.46     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 2.525%/VAR 11/19/2041                                                             | CUSIP: 46647PBV7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   22775000 | PA      | $15554595.52   | 0.03%             | 2041-11-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                                                      | TEXTRON INC 2.45% 03/15/2031                                                                            | CUSIP: 883203CC3<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |    2695000 | PA      | $2171775.13    | 0.00%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RECETTE CLO LTD                                                                  | RCTTE 1A 3ML+108 04/20/2034 144A                                                                        | CUSIP: 75620TAW8<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4526537.10    | 0.01%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | VIATRIS INC 1.65% 06/22/2025                                                                            | CUSIP: 92556VAB2<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1050080.16    | 0.00%             | 2025-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                     | DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049                                                            | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    7695000 | PA      | $6042469.51    | 0.01%             | 2049-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2042#AB7124                                                                        | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     793930 | PA      | $749243.70     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 07/01/2046#Q41359                                                                        | CUSIP: 3132WEQM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9316 | PA      | $8770.52       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APTIV PLC / APTIV CORP                                                           | APTIV PLC / APTIV CORP 3.25% 03/01/2032                                                                 | CUSIP: 00217GAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    1115000 | PA      | $937937.98     | 0.00%             | 2032-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                                                   | BANK 2021-BN35 2.285% 06/15/2064                                                                        | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39000 | PA      | $31318.61      | 0.00%             | 2064-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 04/01/2043#AT2998                                                                        | CUSIP: 3138WQKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     663823 | PA      | $581946.03     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                 | BERRY GLOBAL TERM Z 1LN 07/01/2026                                                                      | CUSIP: 08579JBG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | LON              | CORP              | US        |     536162 | PA      | $529192.23     | 0.00%             | 2026-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2045#G61796                                                                        | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     225525 | PA      | $224292.19     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/01/2048#BM4676                                                                          | CUSIP: 3140J9FS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     950205 | PA      | $922251.80     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                                         | DIAMOND SPORTS GROUP TERM 2LN 08/24/2026                                                                | CUSIP: 25277BAG3<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |    3784180 | PA      | $598392.38     | 0.00%             | 2026-08-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1110000 | NC      | $15185.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST                                                                        | CIM TRUST 1.951% 06/25/2057 144A                                                                        | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7771241 | PA      | $6948509.59    | 0.01%             | 2057-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 4.3% 02/15/2030                                                                            | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3709000 | PA      | $3523907.70    | 0.01%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 06/01/2042#G07032                                                                        | CUSIP: 3128M9ED0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275767 | PA      | $250707.40     | 0.00%             | 2042-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 09/01/2050#MA4119                                                                          | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6695298 | PA      | $5539037.39    | 0.01%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                             | KRAFT HEINZ FOODS CO 7.125% 08/01/2039 144A                                                             | CUSIP: 42307TAH1<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    9093000 | PA      | $10153087.31   | 0.02%             | 2039-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 3.7% 10/23/2024                                                                          | CUSIP: 61761JVL0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   21259000 | PA      | $20791840.28   | 0.04%             | 2024-10-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWR and LIGHT CO                                                 | JERSEY CENTRAL POWR and LIGHT CO 4.3% 01/15/2026 144A                                                   | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1933284.72    | 0.00%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B19 MTG TR                                                        | BENCHMARK 2020-B19 A5 1.787% 09/15/2053                                                                 | CUSIP: 08162WBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $5055088.60    | 0.01%             | 2053-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 3.5% 06/01/2032#C91456                                                                        | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2859802 | PA      | $2767405.93    | 0.01%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                                               | CUSIP: 31394FGT6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     182640 | PA      | $185332.90     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US LONG BOND(CBT) FUT MAR23 USH3                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -795 | NC      | $-1077049.01   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                                                     | CREDIT SUISSE MORTGAGE TRUST 2021-RPL11 PT 3.77782% 10/25/2061 144A                                     | CUSIP: 12659AAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8284315 | PA      | $6283078.23    | 0.01%             | 2061-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                           | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+112.02 11/15/2036 144A                                       | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     975000 | PA      | $926130.37     | 0.00%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 07/01/2030#V60869                                                                        | CUSIP: 3132KE6E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360974 | PA      | $344192.57     | 0.00%             | 2030-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                      | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                                   | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    3419000 | PA      | $2808109.42    | 0.01%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIONAL EXPRESS GROUP PLC                                                       | NATIONAL EXPRESS GROUP 4.25%/VAR PERP REGS                                                              | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | EP               | CORP              | GB        |     320000 | PA      | $312516.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC               | FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC 6.75% 01/15/2030 144A                | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     325000 | PA      | $273747.50     | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DOUBLELINE FDS TR                                                                | DoubleLine Total Return Bond N                                                                          | CUSIP: 258620202<br>LEI: 54930080M2JY1L0IFX13 | Long             | EC               | RF                | US        |  201206608 | NS      | $1778666414.33 | 3.78%             |  |  |  | No            |                  1 | On Loan: No      |
| AMEREN ILL CO                                                                    | AMEREN ILL CO 4.5% 03/15/2049                                                                           | CUSIP: 02361DAT7<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |     420000 | PA      | $378258.02     | 0.00%             | 2049-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 4% 12/01/2052 #TBA                                                                            | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  105825000 | PA      | $100136906.25  | 0.21%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 09/01/2046#G08729                                                                        | CUSIP: 3128MJY38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     223038 | PA      | $222025.87     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                                                           | VMED O2 UK FINANCING I 4.25% 01/31/2031 144A                                                            | CUSIP: 92858RAA8<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     495000 | PA      | $397361.25     | 0.00%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO II LTD                                                               | ELMWOOD CLO II LTD 3ML+115 04/20/2034 144A                                                              | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   35000000 | PA      | $34028400.00   | 0.07%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 2.5% 04/01/2025                                                                             | CUSIP: 68389XBT1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6499000 | PA      | $6147184.82    | 0.01%             | 2025-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 07/01/2050#SD7521                                                                        | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6330879 | PA      | $5500554.82    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 07/01/2051#RA5574                                                                        | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3297042 | PA      | $2839891.88    | 0.01%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 11/01/2052 #TBA                                                                            | CUSIP: 21H0426B0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -4000000 | PA      | $-3920468.40   | -0.01%            | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE GRO CO (THE)                                                      | SCOTTS MIRACLE GRO CO (THE) 4% 04/01/2031                                                               | CUSIP: 810186AX4<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1197000.00    | 0.00%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 07/01/2036#889583                                                                          | CUSIP: 31410KJ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82457 | PA      | $83103.09      | 0.00%             | 2036-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2044#MA1749                                                                        | CUSIP: 31418A5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8003 | PA      | $7324.46       | 0.00%             | 2044-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                       | CORPORATE OFFICE PPTYS LP 2% 01/15/2029                                                                 | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     600000 | PA      | $464348.92     | 0.00%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                               | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                       | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6596000 | PA      | $6348023.38    | 0.01%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 10/01/2044#G60319                                                                        | CUSIP: 31335AK80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     991274 | PA      | $994208.42     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                               | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                       | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14520000 | PA      | $14083277.60   | 0.03%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 7.875% 10/01/2029                                                                             | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    5583000 | PA      | $6250335.43    | 0.01%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/45#AZ9583                                                                               | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118176 | PA      | $114551.98     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 05/15/2042#AA1859                                                                          | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25540 | PA      | $24659.12      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 4.875% 05/01/2029                                                                         | CUSIP: 893647BQ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     220000 | PA      | $191984.40     | 0.00%             | 2029-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2044#AX6493                                                                        | CUSIP: 3138Y8GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65339 | PA      | $65309.12      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAMB COMMERCIAL MORTGAGE TRUST 2021-CX2                                          | CAMB COMMERCIAL MORTGAGE TRUST 2021-CX2 2.7% 11/10/2046 144A                                            | CUSIP: 12477BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7800000 | PA      | $6272145.36    | 0.01%             | 2046-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 10/40 #AE3832                                                                                | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10604 | PA      | $10547.02      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                     | ENTEGRIS INC 4.375% 04/15/2028 144A                                                                     | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |     325000 | PA      | $287199.39     | 0.00%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2052#SD8273                                                                        | CUSIP: 3132DWFN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2819339 | PA      | $2584220.79    | 0.01%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #719232                                                                                 | CUSIP: 3620A5A90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36635 | PA      | $36287.28      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/47#V84700                                                                             | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169145 | PA      | $159031.09     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                   | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                                | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7974192 | PA      | $6025539.00    | 0.01%             | 2038-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 08/01/2043#AS0305                                                                        | CUSIP: 3138W9KT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353202 | PA      | $323475.29     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 2.496/VAR 02/13/2031                                                        | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   13380000 | PA      | $11007756.77   | 0.02%             | 2031-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                         | ARES CLO 2019-54A A 3ML+132 10/15/2032 144A                                                             | CUSIP: 04017WAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7102000 | PA      | $6943739.03    | 0.01%             | 2032-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PINE STR TR I                                                                    | PINE STR TR I 4.572% 02/15/2029 144A                                                                    | CUSIP: 722844AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7798000 | PA      | $7248032.79    | 0.02%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                   | SERVICE CORP INTERNATIONAL INC 5.125% 06/01/2029                                                        | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     270000 | PA      | $255739.95     | 0.00%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 1ML+595 02/16/2040                                                       | CUSIP: 38376WKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     304591 | PA      | $20199.41      | 0.00%             | 2040-02-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FIRSTENERGY CORP 3.4% 03/01/2050                                                                        | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    3431000 | PA      | $2284462.73    | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                            | ENTERGY LA LLC 2.4% 10/01/2026                                                                          | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $974043.05     | 0.00%             | 2026-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 08/01/2052#CB4306                                                                          | CUSIP: 3140QPYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16796732 | PA      | $16956062.22   | 0.04%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE BV                                                     | LYB INTL FIN BV 4.875% 03/15/2044                                                                       | CUSIP: 50247VAC3<br>LEI: 549300J6QSW38QNOJK61 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $840642.06     | 0.00%             | 2044-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 9/36 #938577                                                                                 | CUSIP: 31412YFS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93085 | PA      | $96900.21      | 0.00%             | 2036-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.0% 03/15/2045#AL9337                                                                        | CUSIP: 36184HLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     184240 | PA      | $170363.13     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                                        | AADVANTAGE TERM B 1LN 04/20/2028                                                                        | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |     203156 | PA      | $201742.02     | 0.00%             | 2028-04-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 01/01/2052#                                                                                | CUSIP: 3140KSZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33189285 | PA      | $27353865.64   | 0.06%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 06/01/2051#QC3131                                                                        | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191828 | PA      | $149340.26     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3% 09/42 #AP8070                                                                                   | CUSIP: 3138MB6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281757 | PA      | $255915.02     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LTD                                                                | VALE OVERSEAS LTD 6.25% 08/10/2026                                                                      | CUSIP: 91911TAP8<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     700000 | PA      | $718725.00     | 0.00%             | 2026-08-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 01/01/2052#FS0286                                                                          | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6018478 | PA      | $4979102.57    | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT CSTR 06/25/2029                                                          | CUSIP: 3137FNAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13916556 | PA      | $685235.89     | 0.00%             | 2029-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 05/20/2049#BN2615                                                                            | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     968282 | PA      | $932356.06     | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP                           | USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP 6.875% 04/01/2026                                | CUSIP: 91740PAC2<br>LEI: 549300ZWL4J1LYMOWK56 | Long             | DBT              | CORP              | US        |     551000 | PA      | $527582.50     | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                              | ASHFORD HOSPITALITY TRUST 2018-ASHF A 1ML+90 04/15/2035 144A                                            | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3546916 | PA      | $3439052.62    | 0.01%             | 2035-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                       | EATON 2019-1A AR 3ML+108 04/15/2031 144A                                                                | CUSIP: 27830XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2460000 | PA      | $2406472.86    | 0.01%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| QUEBEC PROVINCE CDA                                                              | QUEBEC PROVINCE CDA 7.125% 02/09/2024                                                                   | CUSIP: 748148PD9<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     645000 | PA      | $661524.90     | 0.00%             | 2024-02-09      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2.5% 12/01/2052 #TBA                                                                          | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  281200000 | PA      | $240294173.44  | 0.51%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2045#Q37070                                                                        | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34392 | PA      | $32400.48      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 8/37 #AE0265                                                                                 | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359486 | PA      | $373029.60     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WOLVERINE WORLD WIDE INC                                                         | WOLVERINE WORLD WIDE INC 4% 08/15/2029 144A                                                             | CUSIP: 978097AG8<br>LEI: 549300OVC7PK14LQ8D87 | Long             | DBT              | CORP              | US        |     170000 | PA      | $125800.00     | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC / AXALTA COATING SYSTEMS DUTCH HOLDING B BV           | AXALTA COAT/DUTCH HLD BV 4.75% 06/15/2027 144A                                                          | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     240000 | PA      | $220096.74     | 0.00%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 04/01/2051#FM6944                                                                          | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5635126 | PA      | $4674281.43    | 0.01%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ELECTRIC CO.                                                        | PENNSYLVANIA ELECTRIC CO. 4.15% 04/15/2025 144A                                                         | CUSIP: 708696BX6<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     330000 | PA      | $316934.46     | 0.00%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                        | BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061                                                     | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22718676 | PA      | $734846.92     | 0.00%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 10/01/2049#CA4406                                                                          | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6538140 | PA      | $5894899.75    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2041#AJ0998                                                                        | CUSIP: 3138ASDC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69672 | PA      | $69879.30      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 02/01/2047#BE5696                                                                        | CUSIP: 3140FRKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84577 | PA      | $79340.39      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 09/01/2047#BH5155                                                                        | CUSIP: 3140GTWR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568237 | PA      | $530926.57     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                                                                       | TWILIO INC 3.625% 03/15/2029                                                                            | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |      80000 | PA      | $66000.00      | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2040#AE9547                                                                        | CUSIP: 31419LTD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72053 | PA      | $71583.72      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#CB2349                                                                          | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4802809 | PA      | $3973376.22    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 0.875% 09/30/2026                                                                             | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4300000 | PA      | $3830527.33    | 0.01%             | 2026-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES                                                        | PRIME HEALTHCARE SERVICES 7.25% 11/01/2025 144A                                                         | CUSIP: 74165HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1325000 | PA      | $1131603.00    | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                     | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                            | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    4027000 | PA      | $3133234.57    | 0.01%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 5.5% 02/22/2029 144A                                                                 | CUSIP: 25714PEP9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    2505000 | PA      | $2303504.06    | 0.00%             | 2029-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                           | COX COMMUNICATIONS INC 3.15% 08/15/2024 144A                                                            | CUSIP: 224044CH8<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1491156.47    | 0.00%             | 2024-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 07/01/2047#AS9968                                                                          | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338589 | PA      | $327675.93     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | 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        |    4245000 | PA      | $3466046.53    | 0.01%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 07/47#MA4587                                                                                 | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91318 | PA      | $88471.82      | 0.00%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 10/01/2051#QD0109                                                                          | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286563 | PA      | $237164.15     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                         | AES CORP 3.3% 07/15/2025 144A                                                                           | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   10697000 | PA      | $10011593.68   | 0.02%             | 2025-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 1.25% 11/30/2026                                                                              | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  207200000 | PA      | $186755186.46  | 0.40%             | 2026-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 04/01/2034#G16829                                                                          | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     890331 | PA      | $849004.96     | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2050#                                                                                | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8013440 | PA      | $6619522.97    | 0.01%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 07/01/2032#J37270                                                                          | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81829 | PA      | $78311.93      | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/01/2045#Q33791                                                                        | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101078 | PA      | $95286.97      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5% 1/35 #003664                                                                                 | CUSIP: 36202EB99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     334529 | PA      | $337119.33     | 0.00%             | 2035-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3% 2/1/43 #Q15788                                                                                  | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54036 | PA      | $49602.04      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 04/01/2052#MA4580                                                                        | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12651305 | PA      | $11617996.83   | 0.02%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 6/39 #AA7681                                                                                 | CUSIP: 31416RRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165873 | PA      | $164754.40     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FIN II LLC 4.375% 12/15/2028 144A                                                              | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1547290.83    | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NISOURCE INC 2.95% 09/01/2029                                                                           | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   11346000 | PA      | $9947711.02    | 0.02%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS HEALTH CORP 4.3% 03/25/2028                                                                         | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     653000 | PA      | $634791.75     | 0.00%             | 2028-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                                               | KAISER FNDTN HOSPS 4.15% 05/01/2047                                                                     | CUSIP: 48305QAD5<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |     200000 | PA      | $173792.12     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032 144A                                                           | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    6708000 | PA      | $5915156.06    | 0.01%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 4.5% 04/15/2024                                                                      | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1723000 | PA      | $1701371.85    | 0.00%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                    | UNITED RENTALS NORTH AMER INC 4.875% 01/15/2028                                                         | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1918120.00    | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 01/01/2046#AS6515                                                                          | CUSIP: 3138WGGZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420377 | PA      | $407485.09     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                        | CAESARS ENTERTAINMENT INC 4.625% 10/15/2029 144A                                                        | CUSIP: 12769GAA8<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1340000.00    | 0.00%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 04/01/2037#QO0091                                                                          | CUSIP: 3133WJC49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     884669 | PA      | $834025.75     | 0.00%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033                                                         | CUSIP: 3136ADB57<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    6029632 | PA      | $5468549.57    | 0.01%             | 2033-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 10/41 #AJ1224                                                                                | CUSIP: 3138ASLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67087 | PA      | $67286.46      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                      | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                            | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $12259585.26   | 0.03%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FREDDIE MAC 0.375% 04/20/2023                                                                           | CUSIP: 3137EAEQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |     885000 | PA      | $870550.10     | 0.00%             | 2023-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2038#AV1874                                                                          | CUSIP: 3138XDCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     537272 | PA      | $522810.08     | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UNITEDHEALTH GROUP INC 4.25% 06/15/2048                                                                 | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     575000 | PA      | $504477.68     | 0.00%             | 2048-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.5% 05/01/2032                                                                  | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3822000 | PA      | $3154162.83    | 0.01%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 03/01/2052#SD8201                                                                          | CUSIP: 3132DWDE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8823045 | PA      | $7828178.92    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA ASAHAN ALUMINIUM TBK PT                                                | INDONESIA ASAHAN ALUMINIUM TBK PT 6.53% 11/15/2028 144A                                                 | CUSIP: 74445PAC6<br>LEI: 2549008P48EB9SN2OI80 | Long             | DBT              | CORP              | ID        |    1950000 | PA      | $1952193.75    | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 2017-PANW D 1ML+1000 12/20/2040                                          | CUSIP: 38377RBW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     495593 | PA      | $429448.60     | 0.00%             | 2040-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                                          | ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS                                                      | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |    3225000 | PA      | $2910627.00    | 0.01%             | 2052-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OWENS and MINOR INC                                                              | OWENS and MINOR INC 4.5% 03/31/2029 144A                                                                | CUSIP: 690732AF9<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |      65000 | PA      | $53338.35      | 0.00%             | 2029-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.50% 11/42 #MA0534                                                                             | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233229 | PA      | $219860.91     | 0.00%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4.5% 08/20/2052#MA8201                                                                          | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1508773 | PA      | $1478513.50    | 0.00%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                           | OREILLY AUTOMOTIVE INC 3.9% 06/01/2029                                                                  | CUSIP: 67103HAH0<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     500000 | PA      | $467765.53     | 0.00%             | 2029-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 08/01/2041#AI5189                                                                        | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9506 | PA      | $9765.94       | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                   | BRAZIL FEDERATIVE REPUBLIC OF 2.875% 06/06/2025                                                         | CUSIP: 105756CD0<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    1200000 | PA      | $1135800.00    | 0.00%             | 2025-06-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 06/01/2052#SD8232                                                                          | CUSIP: 3132DWED1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3437174 | PA      | $3424665.29    | 0.01%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLMC 6.75 3/15/2031                                                                                    | CUSIP: 3134A4AA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    2810000 | PA      | $3334626.55    | 0.01%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PEPSICO INC 2.625% 03/19/2027                                                                           | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     839000 | PA      | $781636.36     | 0.00%             | 2027-03-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADT SECURITY CORP/THE                                                            | ADT SECURITY CORP/THE 4.875% 07/15/2032 144A                                                            | CUSIP: 74166NAA2<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |     615000 | PA      | $532104.15     | 0.00%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2044 #AL5713                                                                       | CUSIP: 3138ENK32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1259477 | PA      | $1252402.66    | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                 | PUGET ENERGY INC 4.224% 03/15/2032                                                                      | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    5488000 | PA      | $4896444.91    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/01/2045#AZ3743                                                                        | CUSIP: 3138YVER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1143536 | PA      | $1075598.07    | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INEOS QUATTRO FINANCE 2                                                          | INEOS QUATTRO FINANCE 2 3.375% 01/15/2026 144A                                                          | CUSIP: 45674GAA2<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |     275000 | PA      | $244497.00     | 0.00%             | 2026-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                          | NEW FORTRESS ENERGY INC 6.75% 09/15/2025 144A                                                           | CUSIP: 644393AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     540000 | PA      | $527434.20     | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                             | ENEL FINANCE INTL NV 2.25% 07/12/2031 144A                                                              | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    5660000 | PA      | $4220343.34    | 0.01%             | 2031-07-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 10/01/2049#QA3907                                                                          | CUSIP: 31339UKU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1094699 | PA      | $983236.60     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA BRISTOL LLC                                                         | VIRGIN MEDIA TERM N 01/31/2028                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    2000000 | PA      | $1947180.00    | 0.00%             | 2028-01-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/01/2045#AZ9524                                                                        | CUSIP: 3140E2SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31990 | PA      | $30089.16      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 03/01/2041#A97520                                                                        | CUSIP: 312946K96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64816 | PA      | $66084.37      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 01/20/2044#MA1599                                                                          | CUSIP: 36179NX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     984901 | PA      | $907332.59     | 0.00%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                              | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624/VAR PERP REGS                                                 | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | EP               | CORP              | SE        |     770000 | PA      | $317500.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORTIS INC                                                                       | FORTIS INC 3.055% 10/04/2026                                                                            | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |     301000 | PA      | $280297.33     | 0.00%             | 2026-10-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 04/01/2046#Q40165                                                                          | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18197 | PA      | $16561.55      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.8% 03/01/2050         | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4815000 | PA      | $3612686.80    | 0.01%             | 2050-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                             | CLEVELAND-CLIFFS INC 4.875% 03/01/2031 144A                                                             | CUSIP: 185899AL5<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     110000 | PA      | $95425.00      | 0.00%             | 2031-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 08/01/2051#CB1384                                                                        | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4944743 | PA      | $4257586.33    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                 | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A                                             | CUSIP: 05530SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     789000 | PA      | $751849.94     | 0.00%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2021-CIP                                                          | BX COML MTG TR 2021-CIP 1ML+282 12/15/2028 144A                                                         | CUSIP: 12434FAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10350000 | PA      | $9468302.13    | 0.02%             | 2038-12-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 7/40 #A92914                                                                                 | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18827 | PA      | $19159.62      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 10/01/2041#                                                                                | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45012 | PA      | $38222.81      | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 07/01/2035#843431                                                                        | CUSIP: 31407XA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1140039 | PA      | $1150715.21    | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | ILLINOIS ST TXBL                                                                                        | CUSIP: 452151LF8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   22850000 | PA      | $22026639.10   | 0.05%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MOUNT SINAI HOSP NEW YORK                                                        | MOUNT SINAI HOSP NEW YORK 3.737% 07/01/2049                                                             | CUSIP: 623115AE2<br>LEI: 549300IJEDK5LH7YPT15 | Long             | DBT              | CORP              | US        |     460000 | PA      | $345344.20     | 0.00%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELEC and GAS CO                                                   | PUBLIC SERVICE ELEC and GAS CO 3.95% 05/01/2042                                                         | CUSIP: 74456QAZ9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     505000 | PA      | $424599.91     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                         | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    5977000 | PA      | $4382581.82    | 0.01%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 01/01/2044#Q24255                                                                        | CUSIP: 3132M4MC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8430 | PA      | $8213.56       | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 05/46#AS7125                                                                             | CUSIP: 3138WG4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130168 | PA      | $113868.41     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                         | PRESIDENT AND FELLOWS OF HARVARD COLLEGE 3.745% 11/15/2052                                              | CUSIP: 740816AQ6<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |     720000 | PA      | $607600.40     | 0.00%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 09/45#MA3106                                                                               | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7846 | PA      | $7665.69       | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRASS NO 10 PLC                                                                  | BRASS NO 10 PLC VAR 04/16/2069 144A                                                                     | CUSIP: 10554PAA1<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-CBDO         | CORP              | GB        |    2317731 | PA      | $2201918.19    | 0.00%             | 2069-04-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | HUMANA INC 3.7% 03/23/2029                                                                              | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    2425000 | PA      | $2233114.09    | 0.00%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                     | ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP 7.875% 05/15/2026 144A                         | CUSIP: 03690EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1225000 | PA      | $1249771.08    | 0.00%             | 2026-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2045#BM4643                                                                        | CUSIP: 3140J9ER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213485 | PA      | $211320.44     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | UNION PACIFIC CORP 3.6% 09/15/2037                                                                      | CUSIP: 907818EQ7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    1015000 | PA      | $877827.10     | 0.00%             | 2037-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 04/01/2052#CB5204                                                                        | CUSIP: 3140QQYA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3161640 | PA      | $2903409.89    | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                                                  | BANK 2021-BNK33 VAR 05/15/2064                                                                          | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8971141 | PA      | $519403.05     | 0.00%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                              | GSCOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    1920000 | NC      | $26266.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 11/01/2049#CA4557                                                                        | CUSIP: 3140QCB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1264491 | PA      | $1179587.25    | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                  | WEYERHAEUSER CO 4% 04/15/2030                                                                           | CUSIP: 962166BY9<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $1952314.36    | 0.00%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 3.5% 06/01/2030                                                          | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    8175000 | PA      | $7549708.80    | 0.02%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 5/39 #AA7165                                                                                 | CUSIP: 31416Q6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10200 | PA      | $10130.96      | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3% 03/20/2043#AD8812                                                                            | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141590 | PA      | $129907.60     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                      | APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A                                      | CUSIP: 00255UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     345680 | PA      | $148891.66     | 0.00%             | 2040-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 08/01/2050#SD0499                                                                          | CUSIP: 3132DMRU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     991882 | PA      | $893367.92     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 12/01/2045#G61242                                                                        | CUSIP: 31335BLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350694 | PA      | $352060.93     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 1.512%/VAR 07/20/2027                                                                    | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   10390000 | PA      | $9040521.97    | 0.02%             | 2027-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                                     | PERATON TERM B 1LN 02/01/2028                                                                           | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    1491189 | PA      | $1453908.86    | 0.00%             | 2028-02-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.00% 10/40 #A94605                                                                                | CUSIP: 312943DJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221616 | PA      | $214582.82     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CBOE GLOBAL MARKETS INC                                                          | CBOE GLOBAL MARKETS INC 3% 03/16/2032                                                                   | CUSIP: 12503MAD0<br>LEI: 529900RLNSGA90UPEH54 | Long             | DBT              | CORP              | US        |    3560000 | PA      | $2988672.30    | 0.01%             | 2032-03-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/01/2045#AZ4750                                                                        | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225013 | PA      | $211645.21     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/41 #AJ3402                                                                                | CUSIP: 3138AUX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148006 | PA      | $148446.58     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/2045#AS6328                                                                        | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159967 | PA      | $148943.19     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2045#AS6350                                                                          | CUSIP: 3138WGBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305600 | PA      | $297755.60     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/42#AP9654                                                                             | CUSIP: 3138MDWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75234 | PA      | $70671.40      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | POST HLDGS INC 5.5% 12/15/2029 144A                                                                     | CUSIP: 737446AP9<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1166450.55    | 0.00%             | 2029-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                   | FAIRFAX FINANCIAL HLDGS LTD 5.625% 08/16/2032 144A                                                      | CUSIP: 303901BK7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    5200000 | PA      | $4886961.46    | 0.01%             | 2032-08-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 07/01/2051#                                                                              | CUSIP: 3132DWB93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7228147 | PA      | $6663192.33    | 0.01%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 11/32#BJ6650                                                                               | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108674 | PA      | $103811.58     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                      | Fidelity Sai Long-Term Treasury Bond Index Fund                                                         | CUSIP: 31635V851<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   58938125 | NS      | $460896133.94  | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | COMMONSPIRIT HEALTH 3.347% 10/01/2029                                                                   | CUSIP: 20268JAB9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1304702.28    | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 4.4% 06/10/2025                                                                           | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   17376000 | PA      | $17088837.62   | 0.04%             | 2025-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 03/01/2052#BU6885                                                                        | CUSIP: 3140M8UK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2655639 | PA      | $2273729.30    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EVEREST REINSURANCE HOLDINGS INC                                                 | EVEREST REINSURANCE HOLDINGS INC 3.5% 10/15/2050                                                        | CUSIP: 299808AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1242821.29    | 0.00%             | 2050-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2049#CA3726                                                                        | CUSIP: 3140QBD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1477322 | PA      | $1379050.78    | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 7/40 #719228                                                                                 | CUSIP: 3620A5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42332 | PA      | $41924.16      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 10/01/2042#AB6685                                                                        | CUSIP: 31417DNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291027 | PA      | $263916.98     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2021-1                                                      | CARMAX AUTO OWNER TR 2021-1 1.28% 07/15/2027                                                            | CUSIP: 14316NAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     200000 | PA      | $177699.70     | 0.00%             | 2027-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ISHARES CORE TOTAL USD BOND MARKET ETF                                           | iShares Core US Aggregate Bond ETF                                                                      | CUSIP: 464287226<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |    1055966 | NS      | $103790898.14  | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHA TRAINS FINANCE SA                                                          | ALPHA TRAINS FINANCE SA 2.064% 06/30/2030 REGS                                                          | CUSIP: N/A<br>LEI: 529900FR0E130P05IY43       | Long             | DBT              | CORP              | LU        |     950000 | PA      | $936857.90     | 0.00%             | 2030-06-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC                                  | ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC 5.25% 08/15/2027 144A                                   | CUSIP: 03969AAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1960000 | PA      | $1482348.00    | 0.00%             | 2027-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                        | MILLICOM INTL CELLULAR SA 5.125% 01/15/2028 144A                                                        | CUSIP: 600814AN7<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     346500 | PA      | $312716.25     | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2048#FM5661                                                                        | CUSIP: 3140X9JF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1299033 | PA      | $1225916.52    | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                | QBE INS GROUP LTD 5.25%/VAR PERP REGS                                                                   | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | EP               | CORP              | AU        |    2650000 | PA      | $2305499.18    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                                   | US BANCORP DEL 3.7%/VAR PERP                                                                            | CUSIP: 902973BC9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EP               | CORP              | US        |    4850000 | PA      | $3868942.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AB7458                                                                        | CUSIP: 31417EJC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335892 | PA      | $308042.00     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 6/46#V82414                                                                                | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256026 | PA      | $233015.89     | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 11/20/2047#784391                                                                          | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6910175 | PA      | $6495223.21    | 0.01%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | ELEVANCE HEALTH INC 4.101% 03/01/2028                                                                   | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1514774.57    | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                         | INTERNATIONAL FLAVS and FRAG INC 1.23% 10/01/2025 144A                                                  | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    3285000 | PA      | $2903538.24    | 0.01%             | 2025-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT CAPITAL CORP 4.54% 08/15/2047                                                                       | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   11635000 | PA      | $8441592.63    | 0.02%             | 2047-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | ABBVIE INC 4.7% 05/14/2045                                                                              | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    5425000 | PA      | $4999753.56    | 0.01%             | 2045-05-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 9/40 #004800                                                                              | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76517 | PA      | $74099.03      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                        | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     471557 | PA      | $444540.20     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2.5% 01/01/2038 #TBA                                                                          | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    8400000 | PA      | $7764750.00    | 0.02%             | 2038-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GROUP                                                      | PEACEHEALTH OBLIGATED GROUP 1.375% 11/15/2025                                                           | CUSIP: 70462GAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     165000 | PA      | $147525.42     | 0.00%             | 2025-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/01/2047#BJ2421                                                                        | CUSIP: 3140H3VP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46680 | PA      | $43658.38      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 07/20/2045#MA2962                                                                          | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     378999 | PA      | $370266.36     | 0.00%             | 2045-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                     | Fidelity Securities Lending Cash Central Fund                                                           | CUSIP: 31635A303<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   40394994 | NS      | $40399033.30   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 10/01/2051#MA4437                                                                          | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2985126 | PA      | $2461207.24    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 11/01/2051#                                                                              | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7941026 | PA      | $6813908.26    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 01/01/2053 #TBA                                                                              | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   91750000 | PA      | $77977306.58   | 0.17%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 04/20/2050#MA6600                                                                          | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4488527 | PA      | $4211980.74    | 0.01%             | 2050-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/01/2052#FS1782                                                                          | CUSIP: 3140XG6U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     961966 | PA      | $861914.31     | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 01/01/2044#Q24165                                                                        | CUSIP: 3132M4JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248495 | PA      | $242027.00     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 2.5% 12/01/2052 #TBA                                                                          | CUSIP: 01F0226C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -104000000 | PA      | $-88871244.80  | -0.19%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS and ELECTRIC CO                                                    | SAN DIEGO GAS and ELECTRIC CO 1.7% 10/01/2030                                                           | CUSIP: 797440BZ6<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $2886540.91    | 0.01%             | 2030-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                        | EGYPT (ARAB) REPUBLIC OF 7.6003% 03/01/2029 144A                                                        | CUSIP: 03846JW71<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     632000 | PA      | $516660.00     | 0.00%             | 2029-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES LP / VICI NOTE CO INC 5.75% 02/01/2027 144A                                             | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1115000 | PA      | $1080454.01    | 0.00%             | 2027-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                                                    | TOPBUILD CORP 4.125% 02/15/2032 144A                                                                    | CUSIP: 89055FAC7<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |     815000 | PA      | $652243.33     | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NISOURCE INC 5.95% 06/15/2041                                                                           | CUSIP: 65473QAX1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     640000 | PA      | $646540.61     | 0.00%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                                             | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                                              | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1489375 | PA      | $1219941.84    | 0.00%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | FX Forward: USD/GBP settle 2022-12-08                                                                   | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |          1 | NC      | $-585148.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| M and T BANK CORP                                                                | M and T BANK CORP 4% 07/15/2024                                                                         | CUSIP: 71270QEB8<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |      40000 | PA      | $39387.67      | 0.00%             | 2024-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                           | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A                                           | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4662570 | PA      | $4044038.13    | 0.01%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 2.545%/VAR 11/08/2032                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4835000 | PA      | $3869675.76    | 0.01%             | 2032-11-08      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SFAVE COML MTG SECS TR 2015-5AVE                                                 | SFAVE COML MTG SECS TR 15-5AVE VAR 01/05/2035 144A                                                      | CUSIP: 78413MAC2<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |    9930000 | PA      | $6961885.27    | 0.01%             | 2043-01-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 2% 12/01/2037 #TBA                                                                            | CUSIP: 01F0204C0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -34600000 | PA      | $-31081615.96  | -0.07%            | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP                                    | RETAIL OPPTY INVTS PRTNRSHP LP 4% 12/15/2024                                                            | CUSIP: 76132FAB3<br>LEI: 549300KH0PNTJK9NTE57 | Long             | DBT              | CORP              | US        |     877000 | PA      | $837041.13     | 0.00%             | 2024-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 12/01/2052#SD1924                                                                          | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1749660 | PA      | $1763523.08    | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2048#BM4426                                                                        | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1602050 | PA      | $1502365.34    | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 12/01/2049#QA5521                                                                          | CUSIP: 3133A0D27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1768541 | PA      | $1588468.02    | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                         | IHEART TERM 1LN 05/01/2026                                                                              | CUSIP: 45174UAF5<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |     538996 | PA      | $504252.15     | 0.00%             | 2026-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 06/01/2031#J34653                                                                          | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215165 | PA      | $206455.56     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 2.5% 04/01/2031#AS7051                                                                        | CUSIP: 3138WGZR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146250 | PA      | $138599.22     | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 04/01/2050#CA5538                                                                          | CUSIP: 3140QDEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9388397 | PA      | $8458872.99    | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 2.804/VAR 05/24/2032                                                                  | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1665000 | PA      | $1293333.90    | 0.00%             | 2032-05-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | ELEVANCE HEALTH INC 3.3% 01/15/2023                                                                     | CUSIP: 94973VBA4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3395000 | PA      | $3388274.40    | 0.01%             | 2023-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 4/41 #AH9861                                                                                 | CUSIP: 3138AB5X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1153 | PA      | $1145.98       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA6                                          | FREDDIE MAC STACR REMIC TRUST 2020-DNA6 SOFR30A+300 12/25/2050 144A                                     | CUSIP: 35566CBD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3910000 | PA      | $3780097.29    | 0.01%             | 2050-12-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 02/20/2043#MA0783                                                                          | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256980 | PA      | $244198.47     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                        | NATWEST GRP PLC(UNGTD) 7.416%/VAR 06/06/2033 REGS                                                       | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |     450000 | PA      | $543485.19     | 0.00%             | 2033-06-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 09/44#AW7446                                                                               | CUSIP: 3138XXHY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211839 | PA      | $205872.17     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 0.5% 02/28/2026                                                                               | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22520000 | PA      | $20107017.13   | 0.04%             | 2026-02-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| THE BERKELEY GROUP PLC                                                           | THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS                                                             | CUSIP: N/A<br>LEI: 2138001V85JLYR7AUB61       | Long             | DBT              | CORP              | GB        |    1015000 | PA      | $815659.34     | 0.00%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.875% PERP REGS                                                                   | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |     650000 | PA      | $713375.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                                     | BX 2021-MFM1 A 1ML+0 01/15/2034 144A                                                                    | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3562000 | PA      | $3439608.97    | 0.01%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                          | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     853578 | PA      | $806780.16     | 0.00%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BAIRD FDS INC                                                                    | Baird Core Plus Bond Inst                                                                               | CUSIP: 057071870<br>LEI: 5493001CJOVRFMYFIJ62 | Long             | EC               | RF                | US        |   90535884 | NS      | $898115968.50  | 1.91%             |  |  |  | No            |                  1 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.75% 07/31/2027                                                                              | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   74080000 | PA      | $70584350.00   | 0.15%             | 2027-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 4.625% 12/15/2029                                                                          | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    7750000 | PA      | $7206221.25    | 0.02%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 09/01/2042#AB6212                                                                          | CUSIP: 31417C3W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     506888 | PA      | $459641.20     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RALI SER 2006 QS4 TR                                                             | RALI SER 2006 QS4 TR 6% 04/25/2036                                                                      | CUSIP: 749228AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1512705 | PA      | $1163427.28    | 0.00%             | 2036-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2041#AK4260                                                                        | CUSIP: 3138E8WW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31699 | PA      | $31497.89      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    3020000 | NC      | $41315.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS BARCLAYS COML MTG TR 2013-C6                                                 | UBS BARCLAYS COML MTG TR 2013-C6 A3FL 1ML+79 04/10/2046 144A                                            | CUSIP: 90349GAC9<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    1138917 | PA      | $1137314.49    | 0.00%             | 2046-04-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2045#AS5645                                                                        | CUSIP: 3138WFHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306027 | PA      | $288037.50     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 5.25% 05/15/2024 144A                                                       | CUSIP: 05401AAD3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    4140000 | PA      | $4038702.11    | 0.01%             | 2024-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                                                      | EQUIFAX INC 2.6% 12/01/2024                                                                             | CUSIP: 294429AQ8<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    2095000 | PA      | $1996448.04    | 0.00%             | 2024-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                      | PACIFIC GAS and ELECTRIC CO 4.5% 07/01/2040                                                             | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1345000 | PA      | $1072778.67    | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | ARES CAPITAL CORP 3.875% 01/15/2026                                                                     | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   13816000 | PA      | $12704567.32   | 0.03%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 08/20/2051#MA7535                                                                            | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12327268 | PA      | $11194607.91   | 0.02%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                                   | CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A                                                  | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3332512 | PA      | $3138770.98    | 0.01%             | 2036-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.5% 05/01/2037#969230                                                                        | CUSIP: 31414LHF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68338 | PA      | $70777.06      | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS LTD                                                      | PARK AEROSPACE HOLDINGS LTD 5.5% 02/15/2024 144A                                                        | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    8593000 | PA      | $8466606.34    | 0.02%             | 2024-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 8/39 #710776                                                                                 | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38855 | PA      | $39172.70      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2046#AS8269                                                                          | CUSIP: 3138WJFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1972238 | PA      | $1790838.42    | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                    | DISH DBS CORP 5.875% 11/15/2024                                                                         | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $187750.00     | 0.00%             | 2024-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC 2.8% 08/15/2041                                                                               | CUSIP: 031162DA5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    2130000 | PA      | $1527159.26    | 0.00%             | 2041-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                         | ELANCO ANIMAL HEALTH INC STEP 08/28/2023                                                                | CUSIP: 28414HAE3<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    4020000 | PA      | $4003631.32    | 0.01%             | 2023-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 02/01/2052#                                                                              | CUSIP: 3132DWC92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6391999 | PA      | $5869176.73    | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WAMU MTG PASS THROUGH CTFS                                                       | WAMU MTG PASS THROUGH CTFS STEP 01/25/2045                                                              | CUSIP: 92922FD39<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1197090 | PA      | $1131564.70    | 0.00%             | 2045-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                          | ALABAMA POWER CO 3.85% 12/01/2042                                                                       | CUSIP: 010392FJ2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     700000 | PA      | $569888.01     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 09/01/2052#MA4731                                                                        | CUSIP: 31418EHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3575866 | PA      | $3278774.84    | 0.01%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                           | OREILLY AUTOMOTIVE INC 4.7% 06/15/2032                                                                  | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    1065000 | PA      | $1040051.64    | 0.00%             | 2032-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 07/01/2051#                                                                                | CUSIP: 3132DWBY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2721273 | PA      | $2246213.88    | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN KETTERING CANCER CTR                                              | MEMORIAL SLOAN KTTRNG CNCR CTR 2.955% 01/01/2050                                                        | CUSIP: 586054AD0<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |     290000 | PA      | $194652.43     | 0.00%             | 2050-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                    | CLEARWAY ENERGY OPER LLC 4.75% 03/15/2028 144A                                                          | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |      60000 | PA      | $55425.84      | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                     | WP CAREY INC 2.4% 02/01/2031                                                                            | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $1645913.37    | 0.00%             | 2031-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 11/01/2046#G08737                                                                          | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422179 | PA      | $383707.60     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4% 11/20/2042#AB9917                                                                            | CUSIP: 36178XAS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44172 | PA      | $42618.61      | 0.00%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 04/01/2027#AB4924                                                                          | CUSIP: 31417BPJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598268 | PA      | $577855.01     | 0.00%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 11/01/2045#Q38812                                                                          | CUSIP: 3132QVYJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63012 | PA      | $61135.31      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                                | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                      | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11579430 | PA      | $11108210.07   | 0.02%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC 5.25% 06/15/2049                                                                                | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    5250000 | PA      | $4591262.66    | 0.01%             | 2049-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 08/01/2045#Q35722                                                                        | CUSIP: 3132QSLC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     431864 | PA      | $419409.57     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP                      | ALLIED UNVL HOLDCO LLC / ALLIED UNVL FIN CORP 6% 06/01/2029 144A                                        | CUSIP: 019576AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1175000 | PA      | $842258.51     | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                                          | SBA COMMUNICATIONS CORP 3.125% 02/01/2029                                                               | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     220000 | PA      | $183668.50     | 0.00%             | 2029-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 02/20/2043#AD1755                                                                          | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1184457 | PA      | $1116291.94    | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 7.5% 04/01/2028 144A                                                                   | CUSIP: 126307AY3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     350000 | PA      | $272618.50     | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 4.5% 01/28/2026                                                                    | CUSIP: 195325CX1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1400000 | PA      | $1302000.00    | 0.00%             | 2026-01-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/48#CA1545                                                                               | CUSIP: 3140Q8WF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137101 | PA      | $132468.38     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 5/15/41                                                                                         | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41450000 | PA      | $19631314.39   | 0.04%             | 2041-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 11/01/2049#                                                                                | CUSIP: 3132DV4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     919663 | PA      | $825160.66     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 03/15/2042#733816                                                                          | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180437 | PA      | $174233.22     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | SYNCHRONY FINANCIAL 4.25% 08/15/2024                                                                    | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    6050000 | PA      | $5901142.78    | 0.01%             | 2024-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                               | SERBIA REPUBLIC OF 1.5% 06/26/2029 REGS                                                                 | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |    2722000 | PA      | $2118719.87    | 0.00%             | 2029-06-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                           | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 4.25% 10/15/2027 144A                            | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     340000 | PA      | $306000.00     | 0.00%             | 2027-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 0.125% 09/15/2023                                                                             | CUSIP: 91282CAK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13180000 | PA      | $12714066.44   | 0.03%             | 2023-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 2.676%/VAR 06/19/2041                                                       | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3550000 | PA      | $2476456.36    | 0.01%             | 2041-06-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | ONEMAIN FINANCE CORP 6.875% 03/15/2025                                                                  | CUSIP: 85172FAM1<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1131558.68    | 0.00%             | 2025-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                                                          | SSE PLC 4%/VAR PERP REGS                                                                                | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |     900000 | PA      | $852251.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AHS HOSPITAL CORP                                                                | AHS HOSPITAL CORP 2.78% 07/01/2051                                                                      | CUSIP: 001306AC3<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |     315000 | PA      | $203112.63     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | COMMONWEALTH EDISON CO 3.7% 03/01/2045                                                                  | CUSIP: 202795JF8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    1065000 | PA      | $836672.57     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 12/01/2051#BT9503                                                                          | CUSIP: 3140LYRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1519123 | PA      | $1348779.70    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                         | CHC COML MTG TR 2019-CHC B 1ML+140 06/15/2034 144A                                                      | CUSIP: 162665AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2103119 | PA      | $2034078.11    | 0.00%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 4.45% 03/03/2026                                                            | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2065000 | PA      | $2031042.52    | 0.00%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TR 2019-DNA4                                                   | FREDDIE MAC STACR TR 2019-DNA4 1ML+270 10/25/2049 144A                                                  | CUSIP: 35565ABD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9700000 | PA      | $9315471.63    | 0.02%             | 2049-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 06/01/2043#AT5890                                                                        | CUSIP: 3138WTRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15581 | PA      | $13659.32      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 02/01/43#AB8499                                                                            | CUSIP: 31417FNR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55556 | PA      | $50949.47      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 03/20/2043#AA6141                                                                          | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     563551 | PA      | $531999.65     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                            | LCH OIS SOFRV2.5% MAC 12/21/52                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |     628000 | NC      | $-18896.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 4.375% 02/02/2052 144A                               | CUSIP: 46590XAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1620000 | PA      | $1177675.20    | 0.00%             | 2052-02-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC OKLA                                                   | CONTINENTAL RESOURCES INC OKLA 5.75% 01/15/2031 144A                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     770000 | PA      | $720956.47     | 0.00%             | 2031-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GNR 2010-160 DY 4% 12/20/2040                                                                           | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1018777 | PA      | $993471.31     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2042#Q06998                                                                        | CUSIP: 3132GSDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     424373 | PA      | $398820.87     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 4.5% 12/01/2052 #TBA                                                                          | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -7700000 | PA      | $-7495472.60   | -0.02%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CINTAS CORP NO 2                                                                 | CINTAS CORP NO 2 3.7% 04/01/2027                                                                        | CUSIP: 17252MAN0<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |    1035000 | PA      | $1002248.92    | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                            | OPEN TEXT CORPORATION 6.9% 12/01/2027 144A                                                              | CUSIP: 683715AF3<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $500625.00     | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ASGN INC                                                                         | ASGN INC 4.625% 05/15/2028 144A                                                                         | CUSIP: 00191UAA0<br>LEI: LZBNYYCBUKY537072438 | Long             | DBT              | CORP              | US        |     110000 | PA      | $98175.00      | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 6.50% 9/39 #G06670                                                                                 | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274970 | PA      | $295844.20     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                   | BOMBARDIER INC 7.125% 06/15/2026 144A                                                                   | CUSIP: 097751BV2<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    2780000 | PA      | $2717450.00    | 0.01%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 2/42 #793122                                                                                 | CUSIP: 36177MPG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46537 | PA      | $43885.22      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.7% 04/01/2051         | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2995000 | PA      | $1913047.62    | 0.00%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2052#RA6986                                                                        | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4361245 | PA      | $4018664.85    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.0% 09/20/2042 #MA0391                                                                         | CUSIP: 36179MNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     403593 | PA      | $370496.04     | 0.00%             | 2042-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2032#C91403                                                                        | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3139694 | PA      | $3038255.66    | 0.01%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                       | MARSH and MCLENNAN COS INC 3.5% 06/03/2024                                                              | CUSIP: 571748AV4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $1115972.08    | 0.00%             | 2024-06-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                        | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10243367 | PA      | $8880694.61    | 0.02%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                      | FIDELITY SHORT TERM TREASURY BOND INDEX FUND                                                            | CUSIP: 31635V216<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   36936908 | NS      | $364936655.59  | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2049#FM1338                                                                        | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396742 | PA      | $393985.65     | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TREEHOUSE FOODS INC                                                              | TREEHOUSE FOODS INC 4% 09/01/2028                                                                       | CUSIP: 89469AAD6<br>LEI: 5493007M7EVHE470Q576 | Long             | DBT              | CORP              | US        |     505000 | PA      | $430244.85     | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 1.5% 11/01/2040#MA4175                                                                        | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     669035 | PA      | $548450.04     | 0.00%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JOBSOHIO BEVERAGE SYS OHIO STATEWIDE LIQUOR PROFITS REV                          | JOBSOHIO BEVERA 2.833% 1/1/2038                                                                         | CUSIP: 47770VBQ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     325000 | PA      | $254220.23     | 0.00%             | 2038-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 10/01/2050#SD7525                                                                        | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7554327 | PA      | $6563541.62    | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 08/01/2043#AS9172                                                                          | CUSIP: 3138WKFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31809 | PA      | $30702.77      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TPK AUTH TPK REV                                                   | NJ TPK 1.963% 1/1/2032                                                                                  | CUSIP: 646140DV2<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |    1000000 | PA      | $780670.30     | 0.00%             | 2032-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3.5% 02/01/2029#J27464                                                                        | CUSIP: 31307GJH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     220196 | PA      | $215779.15     | 0.00%             | 2029-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 07/01/2032#MA3060                                                                          | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     899199 | PA      | $858963.61     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US LONG BOND(CBT) FUT MAR23 USH3                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        133 | NC      | $219993.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 10/20/2044#MA2303                                                                          | CUSIP: 36179QRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1242396 | PA      | $1180215.04    | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                    | LOWES COS INC 4.45% 04/01/2062                                                                          | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    6910000 | PA      | $5585495.97    | 0.01%             | 2062-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE7 MTG TR                                                           | COMM MTG TR 2013-CC7 AM 3.314% 03/10/2046                                                               | CUSIP: 12625FAS5<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1684190.34    | 0.00%             | 2046-03-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                 | HILTON DOMESTIC OPERATING CO INC 3.625% 02/15/2032 144A                                                 | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     325000 | PA      | $267575.75     | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.50% 3/37 #256636                                                                                 | CUSIP: 31371NBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137190 | PA      | $142420.31     | 0.00%             | 2037-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                | EURO-BUND FUTURE DEC22 RXZ2                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         28 | NC      | $-32004.14     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NGG FINANCE PLC                                                                  | NGG FINANCE PLC 2.125/VAR 09/05/2082 REGS                                                               | CUSIP: N/A<br>LEI: 549300MLDJ2T68G21W86       | Long             | DBT              | CORP              | GB        |    1150000 | PA      | $990500.31     | 0.00%             | 2082-09-05      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                    | LOWES COS INC 4.25% 04/01/2052                                                                          | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    6910000 | PA      | $5640326.27    | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2040#                                                                                | CUSIP: 312943B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271148 | PA      | $262445.91     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                         | HAT HOLDINGS I LLC / II LLC 3.375% 06/15/2026 144A                                                      | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     145000 | PA      | $126122.45     | 0.00%             | 2026-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                       | DCP MIDSTREAM OPER LP 5.375% 07/15/2025                                                                 | CUSIP: 23311VAG2<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     345000 | PA      | $340714.30     | 0.00%             | 2025-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                      | OVINTIV INC 5.15% 11/15/2041                                                                            | CUSIP: 292505AK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2713898.34    | 0.01%             | 2041-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RP ESCROW ISSUER LLC                                                             | RP ESCROW ISSUER LLC 5.25% 12/15/2025 144A                                                              | CUSIP: 74969PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     325000 | PA      | $272133.88     | 0.00%             | 2025-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 01/01/2052#BU7427                                                                        | CUSIP: 3140M9HD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     903593 | PA      | $831202.70     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | PARAMOUNT GLOBAL 4.6% 01/15/2045                                                                        | CUSIP: 124857AN3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    5565000 | PA      | $4001358.60    | 0.01%             | 2045-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 2.904%/VAR 11/03/2042                                                                     | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     470000 | PA      | $329919.78     | 0.00%             | 2042-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                | HYATT HOTELS CORP 1.8% 10/01/2024                                                                       | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    3020000 | PA      | $2829772.92    | 0.01%             | 2024-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 04/01/2043#Q17518                                                                        | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49352 | PA      | $48098.61      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 12/01/45#MA2495                                                                          | CUSIP: 31418BXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635609 | PA      | $597449.85     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO                             | DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO 5.375% 08/15/2026 144A                             | CUSIP: 25277LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7375000 | PA      | $1198688.03    | 0.00%             | 2026-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                            | MINERAL RES LTD 8% 11/01/2027 144A                                                                      | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |     150000 | PA      | $154110.00     | 0.00%             | 2027-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 02/01/2042#MA4540                                                                          | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2042445 | PA      | $1729930.53    | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 6/40 #AD7859                                                                                 | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123918 | PA      | $126149.37     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 06/01/2045#AY8494                                                                        | CUSIP: 3138YNNL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95581 | PA      | $92739.06      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | 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        |    2980000 | PA      | $3178140.17    | 0.01%             | 2036-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 02/01/2035#AB0067                                                                          | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1014604 | PA      | $1021545.79    | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2041#AI3533                                                                        | CUSIP: 3138AG4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65543 | PA      | $65075.22      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 02/01/2042#AK2415                                                                        | CUSIP: 3138E6VH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357525 | PA      | $345339.03     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                       | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                            | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    9574000 | PA      | $7155417.17    | 0.02%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT CORP 3.9% 10/01/2027                                                                                | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     180000 | PA      | $166628.10     | 0.00%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.7% 04/15/2048                                                                                 | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    2335000 | PA      | $1886738.40    | 0.00%             | 2048-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5% 12/01/2034#745318                                                                          | CUSIP: 31403DAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     749494 | PA      | $746568.61     | 0.00%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2052#CB3768                                                                        | CUSIP: 3140QPFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5999998 | PA      | $5505254.34    | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5% 3/36 #003829                                                                                 | CUSIP: 36202EHE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22391 | PA      | $22609.49      | 0.00%             | 2036-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 15YR 1.5% 12/01/2037 #TBA                                                                          | CUSIP: 01F0124C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   31700000 | PA      | $27705413.26   | 0.06%             | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 09/44#G07828                                                                             | CUSIP: 3128MAA58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170808 | PA      | $170993.45     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                                                             | ARAMARK SERVICES INC 5% 02/01/2028 144A                                                                 | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |    1990000 | PA      | $1860988.30    | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/44#AV8070                                                                             | CUSIP: 3138XK6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11117 | PA      | $10484.50      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UNITEDHEALTH GROUP INC 3.05% 05/15/2041                                                                 | CUSIP: 91324PEE8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1530000 | PA      | $1170153.87    | 0.00%             | 2041-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 12/01/2051#MA4493                                                                        | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     487820 | PA      | $418123.68     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 03/01/2050#FM2870                                                                          | CUSIP: 3140X6FL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1452546 | PA      | $1309640.40    | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                      | NUTRIEN LTD 4.9% 06/01/2043                                                                             | CUSIP: 67077MAR9<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    1225000 | PA      | $1091065.34    | 0.00%             | 2043-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                      | PACIFIC GAS and ELECTRIC CO 4.55% 07/01/2030                                                            | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3080000 | PA      | $2809629.41    | 0.01%             | 2030-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 03/01/2052#SD8199                                                                          | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19151209 | PA      | $15772027.62   | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                             | HOWMET AEROSPACE INC 6.75% 01/15/2028                                                                   | CUSIP: 022249AU0<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     345000 | PA      | $348450.00     | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 06/01/2051#QC2540                                                                        | CUSIP: 3133ALZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     474331 | PA      | $410489.73     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOME RE 2021-2 LTD                                                               | HOME RE 2021-2 M1C LTD SOFR30A+280 01/25/2034 144A                                                      | CUSIP: 43730VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     990000 | PA      | $912777.43     | 0.00%             | 2034-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2052#MA4600                                                                        | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13004373 | PA      | $11942227.59   | 0.03%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                      | LENNAR CORP 4.75% 11/29/2027                                                                            | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    9350000 | PA      | $8950173.34    | 0.02%             | 2027-11-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/01/2045#BC0532                                                                          | CUSIP: 3140EUSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63188 | PA      | $61249.76      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3% 11/01/2052 #TBA                                                                            | CUSIP: 01F0306B9<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -23000000 | PA      | $-20365782.40  | -0.04%            | 2052-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3% 12/34#FM0045                                                                               | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341505 | PA      | $325157.20     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 2/41 #004945                                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14451 | PA      | $13992.60      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                              | GSCOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    2440000 | NC      | $33380.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                            | FIRST CITIZENS BANK and TRUST CO 3.929/VAR 06/19/2024                                                   | CUSIP: 125581HA9<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    1375000 | PA      | $1357059.00    | 0.00%             | 2024-06-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908% 07/23/2025       | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7565000 | PA      | $7446165.80    | 0.02%             | 2025-07-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                    | SOUTHERN CALIFORNIA EDISON CO 5.55% 01/15/2037                                                          | CUSIP: 842400FF5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     430000 | PA      | $423584.00     | 0.00%             | 2037-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PWR and LT CO                                                          | WISCONSIN PWR and LT CO 4.1% 10/15/2044                                                                 | CUSIP: 976826BK2<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |     240000 | PA      | $188643.91     | 0.00%             | 2044-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                              | NATWEST MARKETS PLC 2.375% 05/21/2023 144A                                                              | CUSIP: 63906YAA6<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   10828000 | PA      | $10646271.19   | 0.02%             | 2023-05-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS 6.5% 01/23/2029                                                                     | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1190000 | PA      | $997815.00     | 0.00%             | 2029-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2022-B                                                            | AJAX MTG LN TR 2022-B A1 3.5% 03/27/2062 144A                                                           | CUSIP: 00971BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13060800 | PA      | $11976174.92   | 0.03%             | 2062-03-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 4.65% 11/04/2044                                                                 | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1335000 | PA      | $1156962.57    | 0.00%             | 2044-11-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 03/01/2052#RA6988                                                                          | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8965069 | PA      | $7945783.50    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                 | CCO HLDGS LLC/CAP CORP 4.5% 06/01/2033 144A                                                             | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2110000 | PA      | $1674517.10    | 0.00%             | 2033-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/45#AZ7723                                                                          | CUSIP: 3140E0SM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3557 | PA      | $3526.74       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3.5% 07/01/2032#G16459                                                                        | CUSIP: 3128MFMG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     268042 | PA      | $261157.64     | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 12/20/2041#005258                                                                          | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1651460 | PA      | $1558563.10    | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                                                   | BLOX 2021-BLOX A 1ML+80 09/15/2026 144A                                                                 | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8921000 | PA      | $8396620.05    | 0.02%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 03/20/2047#MA4323                                                                          | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141433 | PA      | $141855.60     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 05/46#MA3664                                                                                 | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96165 | PA      | $93738.63      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERU, REPUBLIC OF                                                                | PERU REPUBLIC OF 2.844% 06/20/2030                                                                      | CUSIP: 715638DA7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1630000 | PA      | $1405875.00    | 0.00%             | 2030-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2047#RA7313                                                                        | CUSIP: 3133KPDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     765584 | PA      | $704250.20     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.00% 1/30 #MA0295                                                                                 | CUSIP: 31417YKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4724 | PA      | $4832.04       | 0.00%             | 2030-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 12/01/2051#CB2347                                                                          | CUSIP: 3140QMTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4725116 | PA      | $3913530.87    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3.5% 01/01/2053 #TBA                                                                          | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -4000000 | PA      | $-3666875.20   | -0.01%            | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 12/01/2041#MA4501                                                                          | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1094369 | PA      | $929314.01     | 0.00%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 4.25% 04/14/2025 144A                                                           | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   21901000 | PA      | $20923980.84   | 0.04%             | 2025-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 11/20/2042#MA0535                                                                            | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18053 | PA      | $17464.00      | 0.00%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 10/45#AL7623                                                                               | CUSIP: 3138EQPH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     833673 | PA      | $815140.00     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOYA 2020                                                                        | VOYA 2020 3ML+115 07/16/2034 144A                                                                       | CUSIP: 92918EAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3924000 | PA      | $3798098.46    | 0.01%             | 2034-07-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                              | SCHWAB CHARLES CORP 2.9% 03/03/2032                                                                     | CUSIP: 808513CA1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    3115000 | PA      | $2670730.60    | 0.01%             | 2032-03-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINANCIAL 4.7/VAR INC PERP                                                                         | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EP               | CORP              | US        |     350000 | PA      | $253531.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2% 07/01/2041#                                                                                | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43417 | PA      | $37099.01      | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                              | INTESA SANPAOLO SPA 5.71% 01/15/2026 144A                                                               | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   10048000 | PA      | $9707848.37    | 0.02%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 12/01/2052 #TBA                                                                              | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -39650000 | PA      | $-35761746.54  | -0.08%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2049#BN6593                                                                        | CUSIP: 3140JPKF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48341 | PA      | $45050.22      | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 11/01/2045#MA2490                                                                        | CUSIP: 31418BXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125086 | PA      | $124558.50     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | EVERSOURCE ENERGY 1.65% 08/15/2030                                                                      | CUSIP: 30040WAK4<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     895000 | PA      | $701323.45     | 0.00%             | 2030-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 10/01/2051#QC9114                                                                          | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     855880 | PA      | $708339.37     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                | EURO-BUXL 30Y BND FUT DEC22 UBZ2                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          7 | NC      | $70568.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2047#BH0967                                                                        | CUSIP: 3140GPCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130023 | PA      | $128906.02     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | JPSW SWAP CDS 12/20/27 ISPIM B                                                                          | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |    1500000 | NC      | $2274.85       | 0.00%             |  |  |  | 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        |     400000 | PA      | $372916.00     | 0.00%             | 2029-05-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                          | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.5% 08/01/2026                                                 | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    2311000 | PA      | $2163468.00    | 0.00%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELEMENT MATLS TECHNOLOGY GROUP US HLDGS INC                                      | ELEMENT MATERIALS TERM DD 1LN 06/24/2029                                                                | CUSIP: N/A<br>LEI: 213800EGOJGGUKUGEZ30       | Long             | LON              | CORP              | US        |      89519 | PA      | $87654.13      | 0.00%             | 2029-06-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DISTRICT COLUMBIA INCOME TAX REV                                                 | DISTRICT COLUMBIA INCOME TAX R BUILD AMERICA BONDS                                                      | CUSIP: 25477GEU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      75000 | PA      | $78555.54      | 0.00%             | 2035-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                       | MARSH and MCLENNAN COS INC 2.25% 11/15/2030                                                             | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    1940000 | PA      | $1595895.88    | 0.00%             | 2030-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 4% 05/01/2040#FS0198                                                                          | CUSIP: 3140XFGG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2315941 | PA      | $2260837.87    | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                       | CAPITAL ONE FINANCIAL CORP 3.65% 05/11/2027                                                             | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   15820000 | PA      | $14899989.96   | 0.03%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-13                                                 | JP MORGAN MORTGAGE TRUST 2021-13 A3 2.5% 04/25/2052 144A                                                | CUSIP: 46592XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12946086 | PA      | $10428679.71   | 0.02%             | 2052-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                          | BATH and BODY WORKS INC 6.625% 10/01/2030 144A                                                          | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     345000 | PA      | $322982.10     | 0.00%             | 2030-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 06/45#Q34074                                                                             | CUSIP: 3132QQQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8329 | PA      | $7846.94       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 3/42 #783550                                                                                 | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2012402 | PA      | $1897119.71    | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                             | LXP INDUSTRIAL TRUST 4.4% 06/15/2024                                                                    | CUSIP: 529043AD3<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    1319000 | PA      | $1282084.50    | 0.00%             | 2024-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 3% 07/15/2025                                                                                 | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15015000 | PA      | $14580972.66   | 0.03%             | 2025-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                        | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     698340 | PA      | $572473.17     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LCPR SENIOR SECURED FINANCING DAC                                                | LCPR SENIOR SECURED FINANCING DAC 5.125% 07/15/2029 144A                                                | CUSIP: 50201DAD5<br>LEI: 549300LE5FM8IKMXSP90 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $165147.13     | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                                                     | PIONEER NATURAL RESOURCES CO 2.15% 01/15/2031                                                           | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     325000 | PA      | $262413.13     | 0.00%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 6.0% 07/37#AD0688                                                                             | CUSIP: 31418MXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85201 | PA      | $88237.35      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                      | WORKDAY INC 3.7% 04/01/2029                                                                             | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    1110000 | PA      | $1022262.58    | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 03/20/2043 #MA1090                                                                         | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150448 | PA      | $142965.56     | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5.3% 04/15/2047                                                                      | CUSIP: 29273RBL2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     225000 | PA      | $191219.67     | 0.00%             | 2047-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US FOODS INC 6.25% 04/15/2025 144A                                                                      | CUSIP: 90290MAC5<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     185000 | PA      | $186727.90     | 0.00%             | 2025-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 8/35 #357953                                                                                 | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15135 | PA      | $15779.06      | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                     | BAYC 2007-3 M3 1ML+37 7/37                                                                              | CUSIP: 07325YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20645 | PA      | $17148.01      | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 3.6% 04/01/2040                                                                             | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $1802359.30    | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2016-UBS12                                               | MORGAN STANLEY TR 2016-UBS12 A3 3.337% 12/15/2049                                                       | CUSIP: 61691EAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1966999 | PA      | $1818656.59    | 0.00%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.125% 03/01/2027                                                                               | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     505000 | PA      | $482001.87     | 0.00%             | 2027-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 08/01/2044#Q27808                                                                        | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26603 | PA      | $25910.58      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2044#AW5723                                                                        | CUSIP: 3138XVLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118290 | PA      | $117628.65     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 4.6%/VAR PERP                                                                     | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EP               | CORP              | US        |    7120000 | PA      | $6319000.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PENTAIR FINANCE SA                                                               | PENTAIR FINANCE SA 4.5% 07/01/2029                                                                      | CUSIP: 709629AR0<br>LEI: 549300H2U8U8TZPV3T89 | Long             | DBT              | CORP              | LU        |    8070000 | PA      | $7397014.86    | 0.02%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE ED REFI LN TR 2021-A                                             | NAVIENT PRIVATE ED REFI LN TR 2021-A 2.24% 05/15/2069 144A                                              | CUSIP: 63942BAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     100000 | PA      | $69998.78      | 0.00%             | 2069-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 12/01/2046#G08741                                                                          | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5237133 | PA      | $4754984.81    | 0.01%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2021-MF2                             | ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2021-MF2 2.2515% 06/15/2054 144A                            | CUSIP: 03881VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9500000 | PA      | $7556630.60    | 0.02%             | 2054-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.875% 05/15/2032                                                                             | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  425239000 | PA      | $398595118.91  | 0.85%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 5.50% 5/37 #190379                                                                                 | CUSIP: 31368HM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123415 | PA      | $128159.81     | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 09/01/2048#ZS4788                                                                          | CUSIP: 3132A5J97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     633744 | PA      | $570305.09     | 0.00%             | 2048-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 3.75% 06/14/2028 REGS                                                             | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |    2000000 | PA      | $2019154.22    | 0.00%             | 2028-06-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                                                     | PIONEER NATURAL RESOURCES CO 1.9% 08/15/2030                                                            | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1254523.04    | 0.00%             | 2030-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5% 12/01/2047#G61657                                                                          | CUSIP: 31335BZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169604 | PA      | $172135.72     | 0.00%             | 2047-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.5% 12/01/2030#BM4716                                                                        | CUSIP: 3140J9G21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     589251 | PA      | $575469.28     | 0.00%             | 2030-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA1                                          | FREDDIE MAC STACR REMIC TRUST 2021-DNA2 B1 SOFR30A+340 08/25/2033 144A                                  | CUSIP: 35564KDX4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4380000 | PA      | $3929167.91    | 0.01%             | 2033-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                             | DUKE ENERGY CORP NEW 3.85% 06/15/2034                                                                   | CUSIP: N/A<br>LEI: I1BZKREC126H0VB1BL91       | Long             | DBT              | CORP              | US        |     800000 | PA      | $798797.86     | 0.00%             | 2034-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                               | STORE CAP CORP 4.625% 03/15/2029                                                                        | CUSIP: 862121AB6<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |    2475000 | PA      | $2266542.51    | 0.00%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                 | PUGET ENERGY INC 4.1% 06/15/2030                                                                        | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    6189000 | PA      | $5560249.34    | 0.01%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MTG TR                                                            | COMM 2014-UBS6 MTG TR 3.644% 12/10/2047                                                                 | CUSIP: 12592PBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $3737658.21    | 0.01%             | 2047-12-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 8/42#AP4263                                                                                | CUSIP: 3138M7WZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36175 | PA      | $32987.94      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 12/45#BA6404                                                                               | CUSIP: 3140EBDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210953 | PA      | $204483.07     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAFE FLEET HOLDINGS LLC                                                          | SAFE FLEET TERM 1LN 02/23/2029                                                                          | CUSIP: N/A<br>LEI: 549300ZCMGQ2DH2RZB13       | Long             | LON              | CORP              | US        |     123992 | PA      | $119652.23     | 0.00%             | 2029-02-23      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                                      | NAKILAT INC 6.067% 12/31/2033 144A                                                                      | CUSIP: 62983PAA3<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |     612773 | PA      | $627250.05     | 0.00%             | 2033-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 02/01/2052#QD8449                                                                        | CUSIP: 3133B6L65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     937998 | PA      | $863730.88     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-MOBILE USA INC 2.25% 02/15/2026                                                                       | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3450000 | PA      | $3138710.64    | 0.01%             | 2026-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC 1.627%/VAR 05/11/2027                                                          | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $1723409.88    | 0.00%             | 2027-05-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| DTI HOLDCO INC                                                                   | EPIQ TERM 1LN 04/26/2029                                                                                | CUSIP: 23358EAF6<br>LEI: 549300QQVMUL3P8XVJ27 | Long             | LON              | CORP              | US        |      95603 | PA      | $88134.90      | 0.00%             | 2029-04-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 1/37 #661586                                                                                 | CUSIP: 36294V6X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3118 | PA      | $3208.07       | 0.00%             | 2037-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 04/46#BC3920                                                                               | CUSIP: 3140EYLA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130476 | PA      | $126352.14     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 06/01/2045#AZ1709                                                                        | CUSIP: 3138YS3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383600 | PA      | $382583.69     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON UNIVERSITY                                                                | TRUSTEES BOSTON UNIV 4.061% 10/01/2048                                                                  | CUSIP: 89838QAA1<br>LEI: 549300M1CR2B2GU2ZU17 | Long             | DBT              | CORP              | US        |     450000 | PA      | $373327.20     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 3.625% 08/15/2043                                                           | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32563100 | PA      | $30691993.66   | 0.07%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 7/42 #AO9368                                                                                 | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48730 | PA      | $45716.07      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ISHARES CORE TOTAL USD BOND MARKET ETF                                           | iShares 20+ Year Treasury Bond ETF                                                                      | CUSIP: 464287432<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |    2571830 | NS      | $264204095.90  | 0.56%             |  |  |  | No            |                  1 | On Loan: —       |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 01/01/2045#G61419                                                                        | CUSIP: 31335BSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1093125 | PA      | $1026594.17    | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS                    | GOVERNMENT NATL MTG ASN MLFY R 1.25% 01/16/2061                                                         | CUSIP: 38380RVK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3080185 | PA      | $2382791.44    | 0.01%             | 2061-01-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| INDIAN RAILWAY FINANCE CORP LTD                                                  | INDIAN RAILWAY FIN CORP LTD 3.57% 01/21/2032 144A                                                       | CUSIP: 45434L2H6<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | CORP              | IN        |    1010000 | PA      | $877311.25     | 0.00%             | 2032-01-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 10/20/2051#MA7651                                                                          | CUSIP: 36179WQC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     889331 | PA      | $829396.51     | 0.00%             | 2051-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                      | SEVERN TRENT WATER UTIL FIN 4.625% 11/30/2034 REGS                                                      | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |     210000 | PA      | $247524.12     | 0.00%             | 2034-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 2.8% 06/23/2030 REGS                                                              | CUSIP: 71567RAP1<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |     400000 | PA      | $351000.00     | 0.00%             | 2030-06-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 02/01/2048#CA1218                                                                        | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1307093 | PA      | $1293825.56    | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2045#Q32008                                                                        | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     657241 | PA      | $619585.35     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                    | METHANEX CORP 5.65% 12/01/2044                                                                          | CUSIP: 59151KAJ7<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |     105000 | PA      | $78750.00      | 0.00%             | 2044-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 09/46#BC2843                                                                               | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2050485 | PA      | $1999775.69    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                         | ALTICE FRANCE HOLDING SA 4% 02/15/2028 REGS                                                             | CUSIP: N/A<br>LEI: 5299000JVHXKJPOE6H40       | Long             | DBT              | CORP              | LU        |    4800000 | PA      | $3353862.12    | 0.01%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 8/41 #AI7910                                                                                 | CUSIP: 3138AMYG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46262 | PA      | $46011.00      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                     | WP CAREY INC 4.6% 04/01/2024                                                                            | CUSIP: 92936UAA7<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    7436000 | PA      | $7391100.17    | 0.02%             | 2024-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                        | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                             | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    4448000 | PA      | $3797114.20    | 0.01%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                            | EG GLOBAL FINANCE PLC 4.375% 02/07/2025 REGS                                                            | CUSIP: N/A<br>LEI: 549300TL8Q5207VYET27       | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $3632026.98    | 0.01%             | 2025-02-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 05/01/2042#AO3037                                                                        | CUSIP: 3138LTLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10049 | PA      | $10079.32      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERBIA REPUBLIC OF                                                               | SERBIA REPUBLIC OF 1.65% 03/03/2033 144A                                                                | CUSIP: N/A<br>LEI: 254900W94OCY91V32O78       | Long             | DBT              | NUSS              | RS        |    1200000 | PA      | $809560.78     | 0.00%             | 2033-03-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 01/01/2051#SD8120                                                                        | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1856205 | PA      | $1446819.63    | 0.00%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | APPLE INC 3.25% 02/23/2026                                                                              | CUSIP: 037833BY5<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    7285000 | PA      | $7049680.29    | 0.01%             | 2026-02-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 01/46#MA3377                                                                               | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164132 | PA      | $159991.34     | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3.75% 12/01/2031 144A                                | CUSIP: 46590XAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1040000 | PA      | $860620.53     | 0.00%             | 2031-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 8/41 #005140                                                                              | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101124 | PA      | $100522.25     | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.5% 8/44#AS3037                                                                                   | CUSIP: 3138WCLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53475 | PA      | $50398.47      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    3670000 | NC      | $50207.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POWER FINANCE CORP LTD                                                           | POWER FINANCE CORP LTD 6.15% 12/06/2028 144A                                                            | CUSIP: 73928QAA6<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | CORP              | IN        |    3050000 | PA      | $3086569.50    | 0.01%             | 2028-12-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                                  | TAYLOR MORRISON COMMUNITIES INC 5.125% 08/01/2030 144A                                                  | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2182450.00    | 0.00%             | 2030-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2045#BA4471                                                                        | CUSIP: 3140E86H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7789 | PA      | $7755.76       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                               | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 4.125% 04/30/2028 144A                               | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      65000 | PA      | $58498.70      | 0.00%             | 2028-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 3/41 #A97528                                                                                 | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64469 | PA      | $64200.30      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 2.561%/VAR 05/01/2032                                                                     | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5075000 | PA      | $4058773.78    | 0.01%             | 2032-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4.125% 09/30/2027                                                                             | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72760000 | PA      | $73646762.50   | 0.16%             | 2027-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                                                 | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                                                   | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2030688 | PA      | $1843661.49    | 0.00%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP 2.5% 08/16/2031                                                        | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    2170000 | PA      | $1644581.02    | 0.00%             | 2031-08-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 4.5% 06/20/2052#MA8101                                                                          | CUSIP: 36179XAA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6440248 | PA      | $6311588.84    | 0.01%             | 2052-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.5% 07/01/2034#BO1835                                                                        | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277429 | PA      | $268685.88     | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 1.764%/VAR 11/19/2031                                                             | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7517000 | PA      | $5786050.64    | 0.01%             | 2031-11-19      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| EGYPT, (ARAB) REPUBLIC OF                                                        | EGYPT (ARAB) REPUBLIC OF 5.25% 10/06/2025 REGS                                                          | CUSIP: N/A<br>LEI: 529900GFIVH4086NMH82       | Long             | DBT              | NUSS              | EG        |     200000 | PA      | $178000.00     | 0.00%             | 2025-10-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL1 TR                                                                | CSMC 2022-RPL1 TR VAR 04/25/2061 144A                                                                   | CUSIP: 12661QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7743131 | PA      | $6909195.82    | 0.01%             | 2061-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 06/01/2051#                                                                              | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4035671 | PA      | $3467278.19    | 0.01%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMERICA HOLDINGS                                              | LABORATORY CORP OF AMER HLDGS 3.6% 02/01/2025                                                           | CUSIP: 50540RAQ5<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1270892.50    | 0.00%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FHR 4683 LM 3% 05/15/2047                                                                               | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     697836 | PA      | $661025.91     | 0.00%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                         | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                      | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2927377 | PA      | $2166317.23    | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                                            | CUSIP: 3136ANY68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     567117 | PA      | $100350.72     | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 05/01/2052#BV8515                                                                          | CUSIP: 3140MNN93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15327071 | PA      | $13578469.99   | 0.03%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2042#AL2266                                                                        | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241407 | PA      | $226566.84     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST 2021-SFR8                                             | PROGRESS RESIDENTIAL TRUST 2021-SFR8 3.181% 10/17/2038 144A                                             | CUSIP: 74333TAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4000000 | PA      | $3287746.00    | 0.01%             | 2038-10-17      | Fixed         | 0.03%                 | 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        |    5970000 | PA      | $4063168.99    | 0.01%             | 2041-02-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 08/01/2051#MA4398                                                                          | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2503795 | PA      | $2065136.59    | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AON CORP2                                                                        | AON CORP 2.8% 05/15/2030                                                                                | CUSIP: 037389BE2<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |    3670000 | PA      | $3138489.42    | 0.01%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 2/34 #725162                                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62358 | PA      | $64687.14      | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARKET BIDCO FINCO PLC                                                           | MARKET BIDCO FINCO PLC 5.5% 11/04/2027 144A                                                             | CUSIP: N/A<br>LEI: 549300UGYX6EBVHRVG53       | Long             | DBT              | CORP              | GB        |    5300000 | PA      | $4852639.02    | 0.01%             | 2027-11-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROWE T PRICE INTL FUNDS INC                                                      | T. Rowe Price Emerging Markets Bond                                                                     | CUSIP: 77956H872<br>LEI: C339HPVTHLLM709WSU55 | Long             | EC               | RF                | US        |   16023104 | NS      | $135555462.60  | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| LEVI STRAUSS and CO                                                              | LEVI STRAUSS and CO 3.5% 03/01/2031 144A                                                                | CUSIP: 52736RBJ0<br>LEI: MB0UERO0RDFKU8258G77 | Long             | DBT              | CORP              | US        |     170000 | PA      | $139470.01     | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                     | ANHEUSER-BUSCH INBEV FIN INC 4.9% 02/01/2046                                                            | CUSIP: 035242AN6<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   12306000 | PA      | $11512057.00   | 0.02%             | 2046-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 11/42#G60488                                                                               | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2309481 | PA      | $2234711.63    | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSMONTAIGNE PARTNERS LP / TLP FINANCE CORP                                    | TRANSMONTAIGNE PARTNERS LP / TLP FINANCE CORP 6.125% 02/15/2026                                         | CUSIP: 89376VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1158000 | PA      | $1003392.68    | 0.00%             | 2026-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                     | BAYVIEW COML ASSET TR 2007 3 1ML+50 07/25/2037 144A                                                     | CUSIP: 07325YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32591 | PA      | $27039.23      | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC 4.663% 06/15/2051                                                                             | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     120000 | PA      | $108297.79     | 0.00%             | 2051-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | VIATRIS INC 2.3% 06/22/2027                                                                             | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     120000 | PA      | $103206.52     | 0.00%             | 2027-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                       | J P MORGAN CHASE COML MTG SECS TR 2018-WPT EFX 5.5422% 07/05/2033 144A                                  | CUSIP: 46645WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1934000 | PA      | $1649222.17    | 0.00%             | 2033-07-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                   | BRANDYWINE OPER PARTNERSHIP LP 3.95% 02/15/2023                                                         | CUSIP: 105340AM5<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    4006000 | PA      | $3983602.41    | 0.01%             | 2023-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CRPT 2021                                                                        | CRPT 2021-RETL D 1ML+295 07/15/2034 144A                                                                | CUSIP: 12566BAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1070250 | PA      | $982471.20     | 0.00%             | 2036-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.5% 04/30/2024                                                                               | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12240000 | PA      | $11887143.81   | 0.03%             | 2024-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 2.625% 07/31/2029                                                                             | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3371000 | PA      | $3145037.66    | 0.01%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 11/01/2040#AB1801                                                                        | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2065884 | PA      | $1997507.07    | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2047#Q51234                                                                          | CUSIP: 3132XTLQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12106 | PA      | $11714.98      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 12/01/2040#A95561                                                                        | CUSIP: 312944FA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212257 | PA      | $205485.33     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 08/01/2048#CA2190                                                                          | CUSIP: 3140Q9NG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95389 | PA      | $91718.12      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 10/42 #Q11886                                                                                | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187490 | PA      | $176148.57     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 06/01/2039#AW0113                                                                          | CUSIP: 3138XPDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620626 | PA      | $603532.37     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 2% 10/01/2041#                                                                                | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45422 | PA      | $38571.65      | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                      | ROYAL CARIBBEAN CRUISES LTD 5.375% 07/15/2027 144A                                                      | CUSIP: 780153BK7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     100000 | PA      | $82860.13      | 0.00%             | 2027-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 09/01/2042#AB6181                                                                        | CUSIP: 31417C2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127075 | PA      | $115206.11     | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2040#890310                                                                        | CUSIP: 31410LDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280437 | PA      | $278880.75     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METHODIST HOSPITAL/THE                                                           | METHODIST HOSPITAL 2.705% 12/01/2050                                                                    | CUSIP: 591539AA9<br>LEI: 549300Y1E42JLBRENF23 | Long             | DBT              | CORP              | US        |     820000 | PA      | $529511.88     | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | REALTY INCOME CORP 3.1% 12/15/2029                                                                      | CUSIP: 756109BK9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    6235000 | PA      | $5445111.73    | 0.01%             | 2029-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 5.746%/VAR 08/09/2033                                                              | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     326000 | PA      | $312259.67     | 0.00%             | 2033-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | SIMON PROPERTY GROUP LP 3.375% 10/01/2024                                                               | CUSIP: 828807CS4<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    2945000 | PA      | $2854985.49    | 0.01%             | 2024-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                            | DIRECTV TERM 1LN 08/02/2027                                                                             | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     455000 | PA      | $435143.80     | 0.00%             | 2027-08-02      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/40 #737532                                                                                | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12100 | PA      | $11694.84      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 2.5% 07/01/2031#J34888                                                                        | CUSIP: 31307RND3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1519615 | PA      | $1441372.28    | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 2.125%/VAR 11/15/2029 REGS                                                         | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |     700000 | PA      | $601766.38     | 0.00%             | 2029-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC                                                           | SPRINT SPECTRUM CO LLC 4.738% 09/20/2029 144A                                                           | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     856250 | PA      | $845290.33     | 0.00%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEERFIELD DAKOTA HOLDING LLC                                                     | DUFF and PHELPS TERM B 1LN 04/09/2027                                                                   | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |     563510 | PA      | $531711.54     | 0.00%             | 2027-04-09      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/41#G06620                                                                             | CUSIP: 3128M8VM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101727 | PA      | $101306.43     | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHERWIN WILLIAMS CO                                                              | SHERWIN WILLIAMS CO 4.5% 06/01/2047                                                                     | CUSIP: 824348AX4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     210000 | PA      | $181909.55     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                          | DUKE ENERGY FLORIDA LLC 6.35% 09/15/2037                                                                | CUSIP: 341099CH0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     675000 | PA      | $731838.96     | 0.00%             | 2037-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2044#G08578                                                                        | CUSIP: 3128MJUC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59779 | PA      | $59843.85      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2022-1                                                 | UPSTART SECURITIZATION TR 2022-1 3.12% 03/20/2032 144A                                                  | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3582832 | PA      | $3443452.60    | 0.01%             | 2032-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 5/40 #004695                                                                              | CUSIP: 36202FGC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89509 | PA      | $86713.70      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 3.25% 05/15/2042                                                            | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5820000 | PA      | $5227996.88    | 0.01%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| US TREASURY C0UPON STRIPS                                                        | USTCOUP 0.0% 11/15/42                                                                                   | CUSIP: 912834LX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1280000 | PA      | $556350.72     | 0.00%             | 2042-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 2/43 #AB8500                                                                               | CUSIP: 31417FNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388645 | PA      | $356420.67     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON and CO                                                          | BECTON DICKINSON and CO 1.957% 02/11/2031                                                               | CUSIP: 075887CL1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2404235.13    | 0.01%             | 2031-02-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/46#Q38879                                                                               | CUSIP: 3132QV2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17840 | PA      | $17347.74      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC           | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 3.5% 03/15/2029 144A             | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     645000 | PA      | $537299.51     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                   | MAGALLANES INC 3.755% 03/15/2027 144A                                                                   | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    3520000 | PA      | $3207715.53    | 0.01%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 06/46#AS7009                                                                               | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56825 | PA      | $53412.84      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                         | UTAH ACQUISITION SUB INC 5.25% 06/15/2046                                                               | CUSIP: 62854AAP9<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     190000 | PA      | $146564.48     | 0.00%             | 2046-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2015-UBS8                                                | MSC TR 2015-UBS8 3.54% 12/15/2048                                                                       | CUSIP: 61691ABK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2869119 | PA      | $2693759.68    | 0.01%             | 2048-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 01/01/2042#AJ5572                                                                        | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18458 | PA      | $17839.64      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN AND HAMILTON INC                                                      | BOOZ ALLEN AND HAMILTON INC 4% 07/01/2029 144A                                                          | CUSIP: 09951LAB9<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |      45000 | PA      | $39898.35      | 0.00%             | 2029-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CROWNROCK L P / CROWNROCK FIN INC                                                | CROWNROCK LP / CROWNROCK FIN INC 5% 05/01/2029 144A                                                     | CUSIP: 228701AG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      40000 | PA      | $36826.00      | 0.00%             | 2029-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5.15% 03/15/2045                                                                     | CUSIP: 29273RBF5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2260000 | PA      | $1930438.01    | 0.00%             | 2045-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/41#AH7932                                                                             | CUSIP: 3138A9Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130115 | PA      | $130501.66     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 12/20/2045#MA3311                                                                            | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     626490 | PA      | $612055.26     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 07/01/2050#FM3611                                                                        | CUSIP: 3140X7AM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3071555 | PA      | $2660067.08    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 08/01/2032#J37452                                                                          | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76824 | PA      | $73522.59      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO 1.953%/VAR 02/04/2032                                                             | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     503000 | PA      | $391250.49     | 0.00%             | 2032-02-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                                | ILIAD HOLDING SAS 7% 10/15/2028 144A                                                                    | CUSIP: 449691AC8<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |     450000 | PA      | $424804.50     | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 10/01/2050#CA7229                                                                        | CUSIP: 3140QFA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14190617 | PA      | $12298408.79   | 0.03%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 5.0% 08/01/41#890603                                                                          | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21194 | PA      | $21524.93      | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HOLDINGS LLC 4.125% 12/01/2030 144A                                                                 | CUSIP: 126307BB2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     215000 | PA      | $165012.50     | 0.00%             | 2030-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 4/42 #G06993                                                                                 | CUSIP: 3128M9C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70140 | PA      | $65943.90      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 04/01/2046#V82292                                                                          | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188280 | PA      | $182967.29     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTURE 43 CLO LTD                                                               | VENTURE 43 CLO LTD 21-43A A1 3ML+124 04/15/2034 144A                                                    | CUSIP: 92290CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15200000 | PA      | $14699661.60   | 0.03%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                                      | TCW IRS 2 YR 30 YR 1.785 07/24/53                                                                       | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    3675000 | NC      | $1051038.29    | 0.00%             |  |  |  | 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        |   13325000 | PA      | $12917121.75   | 0.03%             | 2026-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                       | TOLL BROS FIN CORP 4.875% 11/15/2025                                                                    | CUSIP: 88947EAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      35000 | PA      | $33609.17      | 0.00%             | 2025-11-15      | 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        |    3030000 | PA      | $2676707.76    | 0.01%             | 2029-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                                      | TCW 2YR/2YR IRS R 1.39% 09/28/25                                                                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   99195000 | NC      | $-4615145.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ADVANTAGE SALES and MARKETING INC DEL                                            | ADVANTAGE SALES and MARKETING INC DEL 6.5% 11/15/2028 144A                                              | CUSIP: 00775PAA5<br>LEI: 549300T4O24KQDED1182 | Long             | DBT              | CORP              | US        |     555000 | PA      | $434465.10     | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AQ5065                                                                        | CUSIP: 3138MLTX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195958 | PA      | $179526.98     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 4.25% 10/15/2025                                                                              | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18000000 | PA      | $18066093.84   | 0.04%             | 2025-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                               | LUMEN TECHNOLOGIES 4.5% 01/15/2029 144A                                                                 | CUSIP: 156700BD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |     235000 | PA      | $159130.25     | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3.5% 07/20/2052#MA8149                                                                          | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2005470 | PA      | $1862950.85    | 0.00%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5% 07/15/2025                                      | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    4320000 | PA      | $4364323.50    | 0.01%             | 2025-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 2.5% 10/01/2043#AL6851                                                                             | CUSIP: 3138EPTH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339565 | PA      | $297682.08     | 0.00%             | 2043-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 01/20/2045#MA2523                                                                          | CUSIP: 36179QYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     226922 | PA      | $228167.67     | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | ARES CAPITAL CORP 4.2% 06/10/2024                                                                       | CUSIP: 04010LAX1<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   12032000 | PA      | $11663986.12   | 0.02%             | 2024-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.00% 5/40 #782949                                                                                 | CUSIP: 36241LH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44955 | PA      | $45317.62      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                   | BLACKSTONE PRIVATE CREDIT FUND 7.05% 09/29/2025 144A                                                    | CUSIP: 09261HAY3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    8015000 | PA      | $8030972.77    | 0.02%             | 2025-09-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN and PET CO                                                        | CENTRAL GARDEN and PET CO 4.125% 04/30/2031 144A                                                        | CUSIP: 153527AP1<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |     600000 | PA      | $495390.00     | 0.00%             | 2031-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                                | DRYDEN 98 CLO LTD TSFR3M+130 04/20/2035 144A                                                            | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4007000 | PA      | $3861754.26    | 0.01%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 01/01/2053 #TBA                                                                            | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25700000 | PA      | $23854315.95   | 0.05%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 10/01/2042#AP8745                                                                        | CUSIP: 3138MCWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92159 | PA      | $92433.32      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                           | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 6.75% 10/15/2027 144A                            | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     325000 | PA      | $299355.88     | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 2.572/VAR 02/11/2031                                                             | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2285000 | PA      | $1911836.28    | 0.00%             | 2031-02-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2041#AH4123                                                                        | CUSIP: 3138A5SM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20200 | PA      | $20061.03      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.5% 03/33#BJ0669                                                                             | CUSIP: 3140H1W71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344934 | PA      | $335357.31     | 0.00%             | 2033-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 02/01/2052#SD8194                                                                        | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15928505 | PA      | $13637810.86   | 0.03%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 10/01/2042#AP3667                                                                        | CUSIP: 3138M7CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     576798 | PA      | $542642.17     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FIN II LLC 4.625% 06/25/2038 144A                                                              | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     570000 | PA      | $493615.32     | 0.00%             | 2038-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE GROUP INC                                                      | COLUMBIA PIPELINE GROUP INC 4.5% 06/01/2025                                                             | CUSIP: 198280AF6<br>LEI: 549300SRP1TQM9JJBG80 | Long             | DBT              | CORP              | US        |    1418000 | PA      | $1396481.03    | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 11/01/2044#Q29975                                                                        | CUSIP: 3132MAXC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     944717 | PA      | $891181.25     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYCARE HEALTH SYSTEM INC                                                        | BAYCARE HEALTH SYSTEM INC 3.831% 11/15/2050                                                             | CUSIP: 072722AE1<br>LEI: 1H90SRZU22X0SF1UZR52 | Long             | DBT              | CORP              | US        |    2320000 | PA      | $1865213.88    | 0.00%             | 2050-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS                    | GOVERNMENT NATL MTG ASN MLFY R 1.4% 06/16/2063                                                          | CUSIP: 38380RTP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2835559 | PA      | $2228190.34    | 0.00%             | 2063-06-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                        | FLATIRON CLO 20 LTD / LLC 3ML+130 11/20/2033 144A                                                       | CUSIP: 33883MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7413000 | PA      | $7214435.38    | 0.02%             | 2033-11-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 2/41 #738002                                                                                 | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46794 | PA      | $45225.54      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                    | INTERCONTINENTAL EXCHANGE INC 1.85% 09/15/2032                                                          | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    3475000 | PA      | $2661554.63    | 0.01%             | 2032-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 01/15/2047#AX5855                                                                          | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7437 | PA      | $7172.35       | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 2.879%/VAR 10/30/2030                                                            | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   24150000 | PA      | $20768300.37   | 0.04%             | 2030-10-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.0% 07/45#Q34946                                                                             | CUSIP: 3132QRP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     861856 | PA      | $786281.76     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                     | DISCOVERY COMMUNICATIONS LLC 3.625% 05/15/2030                                                          | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    4338000 | PA      | $3654582.07    | 0.01%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMERGENT BIOSOLUTIONS INC                                                        | EMERGENT BIOSOLUTIONS INC 3.875% 08/15/2028 144A                                                        | CUSIP: 29089QAC9<br>LEI: 549300YW6TUOX8BE5103 | Long             | DBT              | CORP              | US        |     494000 | PA      | $222300.00     | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                                        | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72337 | PA      | $56383.32      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 4% 07/15/2046#AT7623                                                                          | CUSIP: 36194GPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11568 | PA      | $11166.92      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2% 07/01/2050#CA6275                                                                          | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2624313 | PA      | $2174381.36    | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 2/42 #005305                                                                              | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103345 | PA      | $100010.70     | 0.00%             | 2042-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2.5% 02/15/2046                                                             | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   94828000 | PA      | $72654547.04   | 0.15%             | 2046-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24                                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049                                       | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    2922710 | PA      | $2658854.86    | 0.01%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                               | ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059                                                          | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    6509000 | PA      | $6899086.71    | 0.01%             | 2059-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 4.55% 04/17/2026                                                                   | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    7159000 | PA      | $6221840.51    | 0.01%             | 2026-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELEMENT MATLS TECHNOLOGY GROUP US HLDGS INC                                      | ELEMENT MATERIALS TERM B 1LN 06/24/2029                                                                 | CUSIP: N/A<br>LEI: 213800EGOJGGUKUGEZ30       | Long             | LON              | CORP              | US        |     193957 | PA      | $189917.29     | 0.00%             | 2029-06-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 11/20/2047#MA4837                                                                          | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     335628 | PA      | $316207.50     | 0.00%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | PARAMOUNT GLOBAL 4.2% 05/19/2032                                                                        | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     650000 | PA      | $539307.89     | 0.00%             | 2032-05-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 1.5% 03/01/2036#SB8092                                                                        | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     964849 | PA      | $848551.86     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                | GOVERNMENT NAT MTG AS REMIC PT 1ML+45 02/20/2049                                                        | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1201807 | PA      | $1188797.33    | 0.00%             | 2049-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                            | JPMORGAN CHASE and CO SOFR 1.47%/VAR 09/22/2027                                                         | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4565000 | PA      | $3962470.76    | 0.01%             | 2027-09-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2044#AX2369                                                                        | CUSIP: 3138Y3T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39011 | PA      | $38992.68      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE FRANCE 2.889%/VAR 06/09/2032 144A                                                      | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     210000 | PA      | $161532.06     | 0.00%             | 2032-06-09      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                     | GLP CAP LP / GLP FING II INC 5.25% 06/01/2025                                                           | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1085000 | PA      | $1062594.02    | 0.00%             | 2025-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.125% 02/01/2028 144A                               | CUSIP: 46590XAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8005000 | PA      | $7633430.31    | 0.02%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 3% 03/20/2043#AA6146                                                                            | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     326520 | PA      | $299580.00     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CLEARWATER PAPER CORP                                                            | CLEARWATER PAPER CORP 4.75% 08/15/2028 144A                                                             | CUSIP: 18538RAJ2<br>LEI: 549300HCVV19GXN4P292 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1314327.69    | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 MTG TR                                                               | CD MTG TR 2017-CD6 A3 3.104% 11/13/2050                                                                 | CUSIP: 125039AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2378395.00    | 0.01%             | 2050-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                 | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    2000000 | NC      | $27361.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5.00% 12/35 #003795                                                                             | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42017 | PA      | $42404.98      | 0.00%             | 2035-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 3.50% 5/42 #AO3760                                                                                 | CUSIP: 3138LUFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426888 | PA      | $400902.61     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2042#AJ9982                                                                        | CUSIP: 3138E3CU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1080192 | PA      | $1013327.72    | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES                                                               | LUMEN TECHNOLOGIES 7.6% 09/15/2039                                                                      | CUSIP: 156700AM8<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |     939000 | PA      | $643215.00     | 0.00%             | 2039-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CIM TR 2021-R4                                                                   | CIM TR 2021-R4 A1A 2% 05/01/2061 144A                                                                   | CUSIP: 12598HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8013764 | PA      | $7042006.49    | 0.01%             | 2061-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LTD                                                               | TECK RESOURCES LTD 6% 08/15/2040                                                                        | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |    1193000 | PA      | $1135560.83    | 0.00%             | 2040-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                    | CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA                                                            | CUSIP: 13063A5E0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     205000 | PA      | $252413.90     | 0.00%             | 2034-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 06/01/2047#G08768                                                                        | CUSIP: 3128MJ2A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232744 | PA      | $230960.50     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | BOEING CO 3.625% 02/01/2031                                                                             | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12650000 | PA      | $11148684.97   | 0.02%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 1.462%/VAR 06/09/2027                                                                     | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6780000 | PA      | $5901874.13    | 0.01%             | 2027-06-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                            | INDONESIA REPUBLIC OF 1.1% 03/12/2033                                                                   | CUSIP: N/A<br>LEI: 254900G208H6Q0L5B953       | Long             | DBT              | NUSS              | ID        |    3500000 | PA      | $2635514.61    | 0.01%             | 2033-03-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SPCM SA                                                                          | SPCM SA 3.125% 03/15/2027 144A                                                                          | CUSIP: 7846ELAD9<br>LEI: 969500F7036FEDYPRV54 | Long             | DBT              | CORP              | FR        |     115000 | PA      | $98612.50      | 0.00%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2046#G60824                                                                          | CUSIP: 31335A4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     957672 | PA      | $931549.50     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                             | LIFE 2021-BMR MTG TR 1ML+110 03/15/2036 144A                                                            | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1034085 | PA      | $974430.95     | 0.00%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                            | REYNOLDS AMERICAN INC 5.7% 08/15/2035                                                                   | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     635000 | PA      | $586223.15     | 0.00%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.0% 01/01/2041#AH1582                                                                        | CUSIP: 3138A2XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5871 | PA      | $5674.79       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 09/01/2042#Q11218                                                                        | CUSIP: 3132HMK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2571454 | PA      | $2415530.49    | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                      | UNITED STATES TREASURY BOND 2.375% 02/15/2042                                                           | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  104806000 | PA      | $81686309.95   | 0.17%             | 2042-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                      | PACIFIC GAS and ELECTRIC CO 3.95% 12/01/2047                                                            | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1185476.22    | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 12/20/2042#MA0626                                                                          | CUSIP: 36179MVT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1086265 | PA      | $1050830.76    | 0.00%             | 2042-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY PA TRUSTEES                                                           | UNIVERSITY PA TRUSTEES 2.396% 10/01/2050                                                                | CUSIP: 91481CAD2<br>LEI: 549300FG60YK9HZ7DS75 | Long             | DBT              | CORP              | US        |     495000 | PA      | $316512.11     | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                           | MPT OPER PARTNERSHIP LP/CORP 5% 10/15/2027                                                              | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2262570.00    | 0.00%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                        | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446485 | PA      | $444102.13     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 3.622/VAR 04/01/2031                                                                     | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   13084000 | PA      | $11659910.88   | 0.02%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | GEORGIA POWER CO 4.3% 03/15/2042                                                                        | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     400000 | PA      | $347455.98     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2042#AP0495                                                                        | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2000898 | PA      | $1877099.91    | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                               | DOMINICAN REPUBLIC 5.5% 02/22/2029 REGS                                                                 | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |     161000 | PA      | $148049.56     | 0.00%             | 2029-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 01/01/2046#Q38296                                                                          | CUSIP: 3132QVGE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422186 | PA      | $409614.42     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UNITEDHEALTH GROUP INC 4.95% 05/15/2062                                                                 | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     275000 | PA      | $263765.62     | 0.00%             | 2062-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ESKOM HLDGS LTD                                                                  | ESKOM HLDGS LTD 6.75% 08/06/2023 144A                                                                   | CUSIP: 29646AAA4<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |    1000000 | PA      | $975000.00     | 0.00%             | 2023-08-06      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OHIO ST UNIV GEN RCPTS                                                           | OHIO ST UNIV GEN RCPTS BUILD AMERICA BONDS                                                              | CUSIP: 677632MV0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     140000 | PA      | $142740.42     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                                                                | ONEOK PARTNERS LP 6.65% 10/01/2036                                                                      | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     400000 | PA      | $398315.54     | 0.00%             | 2036-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                                   | PROTECTIVE LIFE GLOBAL FUNDING 1.9% 07/06/2028 144A                                                     | CUSIP: 74368CBG8<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    2595000 | PA      | $2161085.59    | 0.00%             | 2028-07-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                   | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                                            | CUSIP: 3136A8PY0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     244577 | PA      | $11338.68      | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 5.50% 6/36 #651860                                                                                 | CUSIP: 36292LE91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6775 | PA      | $6966.38       | 0.00%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                 | WILLIAMS COS INC 3.75% 06/15/2027                                                                       | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1635000 | PA      | $1546562.62    | 0.00%             | 2027-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 04/20/2045#MA2754                                                                          | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1400099 | PA      | $1329587.76    | 0.00%             | 2045-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 30YR 3.5% 5/15/43 #AD2413                                                                          | CUSIP: 36180DVE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89009 | PA      | $84354.00      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC 2.6% 08/19/2026                                                                               | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    3835000 | PA      | $3579007.46    | 0.01%             | 2026-08-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                       | VOLKSWAGEN INTL FINANCE NV 3.5%/VAR PERP REGS                                                           | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    5100000 | PA      | $4913806.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XVII LTD                                                    | MADISON PARK FUNDING XVII LTD 17A 3ML+100 07/21/2030 144A                                               | CUSIP: 55818YBN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6938795 | PA      | $6829557.12    | 0.01%             | 2030-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA II 5.00% 10/38 #782431                                                                             | CUSIP: 36241KVY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14366 | PA      | $14546.75      | 0.00%             | 2038-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | FX Forward: USD/EUR settle 2023-01-12                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-505872.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ZEP INC                                                                          | ZEP INC TERM B 1L 08/11/2024                                                                            | CUSIP: 98944EAN2<br>LEI: NU75S1Y8UH3706J5CS61 | Long             | LON              | CORP              | US        |     540248 | PA      | $467990.19     | 0.00%             | 2024-08-11      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP 4.95% 03/14/2052                                                                                | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     545000 | PA      | $453402.60     | 0.00%             | 2052-03-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 4.50% 2/41 #A96876                                                                                 | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64603 | PA      | $64333.18      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 01/01/2043#AB7457                                                                        | CUSIP: 31417EJB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300920 | PA      | $275969.43     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 08/01/2041#AI8715                                                                        | CUSIP: 3138ANVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178274 | PA      | $177333.45     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERGEN NV                                                                      | INTERGEN NV 7% 06/30/2023 144A                                                                          | CUSIP: 45867XAG9<br>LEI: 549300E3XRGX2JMPEC79 | Long             | DBT              | CORP              | NL        |     230000 | PA      | $225000.52     | 0.00%             | 2023-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 5% 8/35 #003747                                                                                 | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32626 | PA      | $32917.23      | 0.00%             | 2035-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2051#FM9632                                                                          | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2779644 | PA      | $2481852.90    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 3.50% 9/42 #Q11420                                                                                 | CUSIP: 3132HMSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17906 | PA      | $16799.63      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 4.25% 03/14/2024                                                                      | CUSIP: 404280AP4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1872000 | PA      | $1840991.16    | 0.00%             | 2024-03-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                                     | BX 2021-SOAR 2.45% 06/15/2023 144A                                                                      | CUSIP: 05608WAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3969927 | PA      | $3681295.83    | 0.01%             | 2038-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST_B                                                   | GSMS 2015-GS1 A3 3.734% 11/48                                                                           | CUSIP: 36252AAC0<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   11384000 | PA      | $10749166.69   | 0.02%             | 2048-11-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY PARTNERS LP                                                       | SPECTRA ENERGY PARTNERS LP 4.75% 03/15/2024                                                             | CUSIP: 84756NAD1<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5966948.34    | 0.01%             | 2024-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OHIO ST UNIV GEN RCPTS                                                           | OHIO ST UNIV TXBL-SER A                                                                                 | CUSIP: 677632PA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1503000 | PA      | $1279983.21    | 0.00%             | 2111-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARRICK NORTH AMERICA FINANCE LLC                                                | BARRICK NORTH AMER FIN LLC 5.7% 05/30/2041                                                              | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2330000 | PA      | $2351067.04    | 0.00%             | 2041-05-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 10/01/2051#RA6076                                                                          | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5741683 | PA      | $4742932.27    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.5% 07/20/2046#MA3805                                                                          | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     320203 | PA      | $321961.25     | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 08/01/2051#FM9973                                                                          | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1652087 | PA      | $1478450.24    | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                      | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    3477000 | PA      | $3160629.40    | 0.01%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                            | BAYVIEW COML ASSET TR 1ML+67.5 01/25/2036 144A                                                          | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12706 | PA      | $11398.13      | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2042#C03901                                                                        | CUSIP: 31292LKN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294229 | PA      | $276932.64     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 6.625% 10/15/2036                                                                    | CUSIP: 29273RAF6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     900000 | PA      | $901282.04     | 0.00%             | 2036-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                               | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.65% 10/29/2024                                     | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   10272000 | PA      | $9451942.17    | 0.02%             | 2024-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2044#AV2400                                                                        | CUSIP: 3138XDU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6407 | PA      | $6407.84       | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2021-4                                              | UPSTART SECURITIZATION TRUST 2021-4 0.84% 09/20/2031 144A                                               | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4760349 | PA      | $4593845.02    | 0.01%             | 2031-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MICHIGAN ST UNIV REVS                                                            | MI ST UNIV 4.165% 8/15/2122                                                                             | CUSIP: 594712WY3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2810000 | PA      | $2058213.72    | 0.00%             | 2122-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 6% 06/15/2048                                                                        | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2369000 | PA      | $2175883.79    | 0.00%             | 2048-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                             | FREEPORT-MCMORAN INC 5.25% 09/01/2029                                                                   | CUSIP: 35671DCD5<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    3190000 | PA      | $3047566.50    | 0.01%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 01/01/2048#V83906                                                                          | CUSIP: 3132L9KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     576389 | PA      | $555442.99     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA INSTITUTE OF TECHNOLOGY                                               | CALIFORNIA INST TECHNOLOGY 3.65% 09/01/2119                                                             | CUSIP: 13034VAD6<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |     535000 | PA      | $351252.14     | 0.00%             | 2119-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                             | CREDIT SUISSE GRP AG 7.375%/VAR 09/07/2033 REGS                                                         | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |     350000 | PA      | $391301.53     | 0.00%             | 2033-09-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.0% 11/01/2041#Q04673                                                                        | CUSIP: 3132GK2E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208759 | PA      | $201961.93     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                                      | TCW 2YR/30YR IRS 1.87% 09/28/53                                                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    8465000 | NC      | $2185476.68    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2019-C4                                                             | BBCMS MTG TR 2019-C4 2.661% 08/15/2052                                                                  | CUSIP: 07335CAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3478163.60    | 0.01%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 5.25% 01/15/2026                                                         | CUSIP: 681936BH2<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    5841000 | PA      | $5701763.99    | 0.01%             | 2026-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 6% 0741#AL8558                                                                                | CUSIP: 3138ETQL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1011523 | PA      | $1060724.82    | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.00% 10/41 #479430                                                                                | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142509 | PA      | $137664.36     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                             | COLOMBIA REPUBLIC OF 3% 01/30/2030                                                                      | CUSIP: 195325DR3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     800000 | PA      | $602000.00     | 0.00%             | 2030-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                    | METHANEX CORP 5.25% 12/15/2029                                                                          | CUSIP: 59151KAL2<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |     155000 | PA      | $138436.70     | 0.00%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2039#AS2011                                                                          | CUSIP: 3138WBGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1058218 | PA      | $1029071.43    | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC 2.608% 07/14/2031                                                                   | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1155000 | PA      | $890778.20     | 0.00%             | 2031-07-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | ESSENTIAL UTILITIES INC 4.276% 05/01/2049                                                               | CUSIP: 03836WAC7<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2418524.04    | 0.01%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                          | FHLM 30YR 4.0% 09/01/2040#A93824                                                                        | CUSIP: 312942G90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     499575 | PA      | $483529.57     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                                                   | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120384 | PA      | $116128.22     | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                   | PLAINS ALL AM PIPELN/PAA FIN C 3.6% 11/01/2024                                                          | CUSIP: 72650RBF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1877000 | PA      | $1810640.84    | 0.00%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                      | ASBURY AUTOMOTIVE GROUP INC 5% 02/15/2032 144A                                                          | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      80000 | PA      | $67590.95      | 0.00%             | 2032-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 2.943%/VAR 01/21/2033                                                                    | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2860000 | PA      | $2342053.31    | 0.00%             | 2033-01-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 20YR 1.5% 04/01/2041#RB5107                                                                        | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     722284 | PA      | $590295.51     | 0.00%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 05/01/2051#FM7401                                                                        | CUSIP: 3140XBGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7739927 | PA      | $6683681.23    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                     | SBA TOWER TR 2.328% 07/15/2052 144A                                                                     | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2105000 | PA      | $1756215.81    | 0.00%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 07/01/2050#CA6312                                                                          | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2685053 | PA      | $2413338.72    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.0% 08/20/2044#MA2149                                                                          | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1939863 | PA      | $1896985.97    | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF                                                             | PARAGUAY REPUBLIC OF 4.95% 04/28/2031 144A                                                              | CUSIP: 699149AJ9<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     500000 | PA      | $480875.00     | 0.00%             | 2031-04-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                             | BARCLAYS PLC (UNGTD) 8.875%/VAR PERP REGS                                                               | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |     300000 | PA      | $357542.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST                                            | PRESTON RIDGE PARTNERS MORTGAGE TRUST 2021-1 A1 2.115% 01/25/2026 144A                                  | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13158358 | PA      | $11971865.24   | 0.03%             | 2026-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ATLAS LUXCO 4 SARL / ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP | ATLAS LUXCO 4 SARL / ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP 4.625% 06/01/2028 144A | CUSIP: 019579AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     830000 | PA      | $703935.45     | 0.00%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                                     | CHS/CMNTY HEALTH SYSTEMS INC 4.75% 02/15/2031 144A                                                      | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     560000 | PA      | $410306.40     | 0.00%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 06/01/2031#J34598                                                                          | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49396 | PA      | $47396.83      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 4.50% 3/41 #783276                                                                                 | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11649 | PA      | $11538.51      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 9/41 #AJ1131                                                                                 | CUSIP: 3138ASHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18252 | PA      | $18306.77      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORPORATION 3.95% 04/21/2025                                                            | CUSIP: 06051GFP9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   12493000 | PA      | $12209616.91   | 0.03%             | 2025-04-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 06/01/2047#Q48754                                                                          | CUSIP: 3132WNWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2653806 | PA      | $2572295.88    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.00% 4/42 #AK8237                                                                                 | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152794 | PA      | $147630.69     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/01/2046#Q39899                                                                          | CUSIP: 3132QW7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31591 | PA      | $30650.58      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027 REGS                                                     | CUSIP: 681936BF6<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1398165.03    | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 03/01/2044#Q25336                                                                        | CUSIP: 3132M5SZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25566 | PA      | $25594.17      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 06/01/2047#BE3671                                                                          | CUSIP: 3140FPCH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2262498 | PA      | $2183920.48    | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                          | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 2.05% 03/15/2031                                                | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     265000 | PA      | $191586.00     | 0.00%             | 2031-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                      | GARTNER INC 3.625% 06/15/2029 144A                                                                      | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      65000 | PA      | $56932.60      | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                    | DISCOVER BANK 4.65% 09/13/2028                                                                          | CUSIP: 25466AAP6<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |     500000 | PA      | $466557.32     | 0.00%             | 2028-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC TR 2014-USA                                                                 | CSMC TR 2014-USA 3.953% 09/15/2037 144A                                                                 | CUSIP: 12649AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2001000 | PA      | $1805181.74    | 0.00%             | 2037-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 3/42 #794581                                                                                 | CUSIP: 36177PCT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41501 | PA      | $39181.00      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.50% 4/41 #005017                                                                              | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     483100 | PA      | $480208.01     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                               | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 2.5% 01/15/2027 144A                                 | CUSIP: 46590XAR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6705000 | PA      | $5844212.10    | 0.01%             | 2027-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                                                                   | SERVICENOW INC 1.4% 09/01/2030                                                                          | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |    1005000 | PA      | $782882.94     | 0.00%             | 2030-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LCM XXIV LTD / LCM XXIV LLC                                                      | LCM XXIV LTD / LCM XXIV LLC 3ML+98 03/20/2030 144A                                                      | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7295971 | PA      | $7165526.09    | 0.02%             | 2030-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                                               | CNA FINANCIAL CORP 3.95% 05/15/2024                                                                     | CUSIP: 126117AS9<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1374058.31    | 0.00%             | 2024-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                    | BX TRUST 2019 1ML+185 10/15/2036 144A                                                                   | CUSIP: 056054AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8530600 | PA      | $8224670.49    | 0.02%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 09/01/2046#AS7877                                                                        | CUSIP: 3138WHXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     642341 | PA      | $559701.04     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                               | FX Forward: USD/GBP settle 2023-01-12                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-185197.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                  | BANK 2019-BNK20 2.6% 10/17/2052                                                                         | CUSIP: 06540BBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4400000 | PA      | $3785866.04    | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 11/01/2052 #TBA                                                                            | CUSIP: 21H0326B1<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -4000000 | PA      | $-3711484.00   | -0.01%            | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4% 03/01/2046#AL8321                                                                          | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     873352 | PA      | $850935.23     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                 | CENTENE CORP 4.25% 12/15/2027                                                                           | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    8825000 | PA      | $8282086.00    | 0.02%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                        | UST NOTES 3.125% 11/15/2028                                                                             | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14283500 | PA      | $13751774.43   | 0.03%             | 2028-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DBJPM 2017-C6 MTG TR                                                             | DBJPM 2017-C6 MTG TR 3.269% 06/10/2050                                                                  | CUSIP: 23312JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1129787 | PA      | $1085317.69    | 0.00%             | 2050-06-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF                                                   | BRAZIL FEDERATIVE REPUBLIC OF 3.875% 06/12/2030                                                         | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     990000 | PA      | $863341.88     | 0.00%             | 2030-06-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                     | AT and T INC 4.75% 05/15/2046                                                                           | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   14210000 | PA      | $12358618.46   | 0.03%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 06/01/2043#AB9671                                                                        | CUSIP: 31417GW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305175 | PA      | $287997.76     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                | CBRE SERVICES INC 4.875% 03/01/2026                                                                     | CUSIP: 12505BAD2<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   12670000 | PA      | $12673789.22   | 0.03%             | 2026-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 11/20/2050#MA6996                                                                            | CUSIP: 36179VXZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3238890 | PA      | $2945593.90    | 0.01%             | 2050-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                      | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   10546000 | PA      | $9094632.80    | 0.02%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHOENIX NEWCO INC                                                                | PAREXEL TERM B 1LN 11/15/2028                                                                           | CUSIP: 71911KAC8<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |     995000 | PA      | $955578.10     | 0.00%             | 2028-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 6.5/VAR PERP                                                                         | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |    3770000 | PA      | $3244763.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                                                 | ISRAEL STATE OF 3.875% 07/03/2050                                                                       | CUSIP: 46513JB42<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1750000 | PA      | $1458380.00    | 0.00%             | 2050-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 20YR 2% 11/01/2040#                                                                                | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6920523 | PA      | $5937307.42    | 0.01%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 09/01/2047#Q50433                                                                          | CUSIP: 3132XSPT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30203 | PA      | $29238.00      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARKEL CORP                                                                      | MARKEL CORP 4.15% 09/17/2050                                                                            | CUSIP: 570535AV6<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |     445000 | PA      | $340022.03     | 0.00%             | 2050-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA1                                          | FREDDIE MAC STACR REMIC TRUST 2021-DNA1 SOFR30A+225 08/25/2033 144A                                     | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3900000 | PA      | $3581754.54    | 0.01%             | 2033-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 09/01/2044#AW8329                                                                        | CUSIP: 3138XYHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8459 | PA      | $8433.76       | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 4.897%/VAR 07/25/2033                                                            | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2645000 | PA      | $2548625.80    | 0.01%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 8/40 #G08417                                                                                 | CUSIP: 3128MJPB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156888 | PA      | $159904.14     | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                               | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                                | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3760000 | PA      | $2922469.40    | 0.01%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                      | GSMS 2021-IP B 1ML+170 10/15/2036 144A                                                                  | CUSIP: 36262MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     601000 | PA      | $550793.30     | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | 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        |    6790000 | PA      | $6418947.28    | 0.01%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3% 01/01/2053 #TBA                                                                              | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39650000 | PA      | $35786527.79   | 0.08%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4.00% 11/41 #005233                                                                             | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187774 | PA      | $181739.26     | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2021-1 LTD                                                         | BELLEMEADE RE 2021-1 LTD SOFR30A+175 03/25/2031 144A                                                    | CUSIP: 07876MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2531904 | PA      | $2514576.11    | 0.01%             | 2031-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 02/01/2045#AY2848                                                                        | CUSIP: 3138YGEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335315 | PA      | $305940.88     | 0.00%             | 2045-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                             | KRAFT HEINZ FOODS CO 4.875% 10/01/2049                                                                  | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     250000 | PA      | $224081.83     | 0.00%             | 2049-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | HOME DEPOT INC 5.875% 12/16/2036                                                                        | CUSIP: 437076AS1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     300000 | PA      | $325999.14     | 0.00%             | 2036-12-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING 1.608% 06/29/2026 144A                                                            | CUSIP: 04685A2Z3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    3350000 | PA      | $2905580.56    | 0.01%             | 2026-06-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EUROPE BV                                                             | TELEFONICA EUROPE BV 3.875%/VAR PERP REGS                                                               | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | EP               | CORP              | NL        |     600000 | PA      | $572069.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                           | COX COMMUNICATIONS INC 1.8% 10/01/2030 144A                                                             | CUSIP: 224044CL9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     975000 | PA      | $744427.32     | 0.00%             | 2030-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC 5.402%/VAR 08/11/2033                                                                 | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2388000 | PA      | $2235829.43    | 0.00%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV                                      | NYC TFA (PIT) 2.69% 5/1/2033                                                                            | CUSIP: 64971XLY2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2015000 | PA      | $1602860.97    | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 10/01/2042#AB6390                                                                        | CUSIP: 31417DC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120295 | PA      | $109014.36     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3.0% 8/29#J29007                                                                              | CUSIP: 31307JAG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187687 | PA      | $180969.06     | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 03/01/2046#ZS9618                                                                        | CUSIP: 3132AAVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     640367 | PA      | $603923.16     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | UNION PACIFIC CORP 3.799% 04/06/2071                                                                    | CUSIP: 907818FS2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     315000 | PA      | $237872.40     | 0.00%             | 2071-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                                                    | SEMPRA ENERGY 4% 02/01/2048                                                                             | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     965000 | PA      | $743043.29     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 2.5% 12/01/2051#CB2289                                                                        | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5117906 | PA      | $4393089.94    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 12/01/2046#Q45023                                                                        | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252923 | PA      | $237562.75     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZURICH FINANCE (IRELAND) DAC                                                     | ZURICH FINANCE (IRELAND) DAC 3.5%/VAR 05/02/2052 REGS                                                   | CUSIP: N/A<br>LEI: 549300E0FVHYR37EGX65       | Long             | DBT              | CORP              | IE        |     900000 | PA      | $688500.00     | 0.00%             | 2052-05-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | ORACLE CORP 3.95% 03/25/2051                                                                            | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3199000 | PA      | $2340933.89    | 0.00%             | 2051-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 15YR 3.5% 07/01/2034#CA3925                                                                        | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813987 | PA      | $789607.19     | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP 5.35% 05/15/2045                                                                     | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2895000 | PA      | $2490330.10    | 0.01%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC HLDGS LLC TERM B 07/17/25                                                                           | CUSIP: 64072UAE2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |     587565 | PA      | $561711.94     | 0.00%             | 2025-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                     | SBA TOWER TR 1.884% 07/15/2050 144A                                                                     | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2753000 | PA      | $2421141.54    | 0.01%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 07/20/2051#MA7471                                                                            | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3214775 | PA      | $2742364.82    | 0.01%             | 2051-07-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 05/01/2049#MA3663                                                                        | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3065840 | PA      | $2851361.84    | 0.01%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                     | BAYC 2007-3 M1 1ML+31 7/37                                                                              | CUSIP: 07325YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12051 | PA      | $11473.09      | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC 3.5% 02/15/2041 144A                                                                       | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   19586000 | PA      | $14167286.90   | 0.03%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                                | WASTE PRO USA INC 5.5% 02/15/2026 144A                                                                  | CUSIP: 94107JAA1<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |    2086000 | PA      | $1925148.54    | 0.00%             | 2026-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING 2.717% 01/07/2029 144A                                                            | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    4805000 | PA      | $4002799.34    | 0.01%             | 2029-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                            | EDF SA 5.625/VAR PERP REGS                                                                              | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | EP               | CORP              | FR        |    3500000 | PA      | $3290000.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                             | HEIMSTADEN BOSTAD AB 3.248%/VAR PERP REGS                                                               | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | DBT              | CORP              | SE        |    2085000 | PA      | $1672366.99    | 0.00%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                               | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                                 | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3893000 | PA      | $3736888.75    | 0.01%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 12/01/2045#G60397                                                                          | CUSIP: 31335ANN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19747 | PA      | $19159.00      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                          | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.625% 01/15/2028                                               | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    1367000 | PA      | $1217575.46    | 0.00%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 4.5% 03/01/2045#AY5719                                                                        | CUSIP: 3138YKK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     485016 | PA      | $484033.16     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                        | DUKE ENERGY CAROLINAS LLC 2.95% 12/01/2026                                                              | CUSIP: 26442CAS3<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     370000 | PA      | $352271.08     | 0.00%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE 2.5% 02/05/2024                                                                              | CUSIP: 3135G0V34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |     440000 | PA      | $429072.87     | 0.00%             | 2024-02-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 3.5% 11/20/2050#MA6997                                                                          | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6451604 | PA      | $6045035.36    | 0.01%             | 2050-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FMC CORP                                                                         | FMC CORP 4.5% 10/01/2049                                                                                | CUSIP: 302491AV7<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |    1395000 | PA      | $1140500.93    | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 4.50% 11/40 #AE3874                                                                                | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22176 | PA      | $22055.51      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                    | AIB GROUP PLC 2.875%/VAR 05/30/2031 REGS                                                                | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |     400000 | PA      | $371677.34     | 0.00%             | 2031-05-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| COLGATE ENERGY PARTNERS III LLC                                                  | COLGATE ENERGY PARTNERS III LLC 5.875% 07/01/2029 144A                                                  | CUSIP: 19416MAB5<br>LEI: 549300QRLZK0B17DH791 | Long             | DBT              | CORP              | US        |      60000 | PA      | $55200.00      | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                             | DUKE ENERGY CORP NEW 3.75% 04/15/2024                                                                   | CUSIP: 26441CAN5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    3190000 | PA      | $3140791.54    | 0.01%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 05/01/2046#G60553                                                                        | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7308235 | PA      | $6896371.86    | 0.01%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 09/01/2042#AP6425                                                                        | CUSIP: 3138MAD70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77498 | PA      | $70057.52      | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                      | IMPERIAL BRANDS FINANCE PLC 4.25% 07/21/2025 144A                                                       | CUSIP: 453140AF2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    1500000 | PA      | $1431816.35    | 0.00%             | 2025-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                            | TENET HEALTHCARE CORP 4.625% 07/15/2024                                                                 | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      99000 | PA      | $96871.01      | 0.00%             | 2024-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVE SECS TR 2019-R07                                                 | CONNECTICUT AVE SECS TR 2019-R07 1B1 1ML+340 10/25/2039 144A                                            | CUSIP: 20753WAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3500000 | PA      | $3296313.65    | 0.01%             | 2039-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.0% 12/01/2042#AB7271                                                                        | CUSIP: 31417ECH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130444 | PA      | $119628.82     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                        | MGM RESORTS INTERNATIONAL 4.625% 09/01/2026                                                             | CUSIP: 552953CD1<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     500000 | PA      | $461278.55     | 0.00%             | 2026-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 5.0% 04/01/2041#Q00409                                                                        | CUSIP: 3132GDN24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25654 | PA      | $26182.73      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REALPAGE INC                                                                     | REALPAGE TERM B 1LN 04/22/2028                                                                          | CUSIP: 75605VAD4<br>LEI: 5493001RSFZX4122A604 | Long             | LON              | CORP              | US        |     147627 | PA      | $141076.98     | 0.00%             | 2028-04-22      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033                                                            | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     231284 | PA      | $19241.57      | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-2                                                   | BAIN CAPITAL CREDIT CLO 2019-2 3ML+110 10/17/2032 144A                                                  | CUSIP: 05682LAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7500000 | PA      | $7293562.50    | 0.02%             | 2032-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FIN II LLC 4.875% 06/25/2048 144A                                                              | CUSIP: 07274NAQ6<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $3863974.91    | 0.01%             | 2048-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HOLDINGS PLC 1.089%/VAR 03/15/2025                                                   | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    6685000 | PA      | $6202679.39    | 0.01%             | 2025-03-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2043#Q16893                                                                        | CUSIP: 3132J8C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1851543 | PA      | $1748932.79    | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                               | WELLS FARGO and CO NEW 2.188/VAR 04/30/2026                                                             | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4250000 | PA      | $3958426.97    | 0.01%             | 2026-04-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 01/01/2047#MA2863                                                                          | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2515667 | PA      | $2281926.96    | 0.00%             | 2047-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4.5% 07/01/2047#Q49494                                                                        | CUSIP: 3132WPRQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195371 | PA      | $193812.71     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                   | GNMA 3.50% 11/41 #489787                                                                                | CUSIP: 36210ECY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95032 | PA      | $89741.48      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3.5% 08/01/2043#AU3742                                                                        | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14160 | PA      | $13363.10      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 2% 10/20/2051#MA7648                                                                            | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     469815 | PA      | $400408.53     | 0.00%             | 2051-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC 1.985%/VAR 12/15/2031                                                          | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |     665000 | PA      | $668639.22     | 0.00%             | 2031-12-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 10/01/2047#Q51189                                                                          | CUSIP: 3132XTKB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62528 | PA      | $60529.74      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 04/01/2037#QO0016                                                                          | CUSIP: 3133WJAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     409508 | PA      | $386449.08     | 0.00%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2% 12/01/2051#QD3434                                                                          | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275186 | PA      | $227231.88     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                                                    | NORTHERN STATES POWER CO (MN) 6.25% 06/01/2036                                                          | CUSIP: 665772CB3<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     370000 | PA      | $403933.57     | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                             | ROMANIA REPUBLIC OF 3.875% 10/29/2035 144A                                                              | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     289000 | PA      | $226922.14     | 0.00%             | 2035-10-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 6/41 #G06596                                                                                 | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369900 | PA      | $377152.03     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                            | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                                                 | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     490665 | PA      | $446547.30     | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC 6.27/VAR 11/17/2033                                                                       | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5720000 | PA      | $6028261.38    | 0.01%             | 2033-11-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                      | PACIFIC GAS and ELECTRIC CO 4% 12/01/2046                                                               | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     645000 | PA      | $441022.83     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP 2.687%/VAR 04/22/2032                                                              | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4930000 | PA      | $3993987.44    | 0.01%             | 2032-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 15YR 3% 06/01/2031#J34571                                                                          | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72811 | PA      | $69863.37      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 4% 02/46#Q38783                                                                               | CUSIP: 3132QVXM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173796 | PA      | $168620.99     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US 10YR NOTE FUT (CBT)MAR23 TYH3                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       1926 | NC      | $1476051.25    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                           | US 10YR ULTRA FUT MAR23 UXYH3                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -226 | NC      | $-237433.94    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3% 04/01/2052#SD1215                                                                          | CUSIP: 3132DNK44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1862730 | PA      | $1675685.85    | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                           | COMSTOCK RESOURCES INC 6.75% 03/01/2029 144A                                                            | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     130000 | PA      | $126964.50     | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 5% 01/01/2053 #TBA                                                                            | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    9500000 | PA      | $9455464.00    | 0.02%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 1.5% 09/01/2050#MA4138                                                                        | CUSIP: 31418DS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7552317 | PA      | $5886655.84    | 0.01%             | 2050-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                   | BLACKSTONE PRIVATE CREDIT FUND 4.875% 04/14/2026 REGS                                                   | CUSIP: N/A<br>LEI: 549300ORP3TTCNXSYO43       | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1304377.48    | 0.00%             | 2026-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | FORD MTR CR CO LLC 4.271% 01/09/2027                                                                    | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      85000 | PA      | $78649.65      | 0.00%             | 2027-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                        | HESS CORP 4.3% 04/01/2027                                                                               | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    1117000 | PA      | $1073676.74    | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRECISION DRILLING CORP                                                          | PRECISION DRILLING CORP 7.125% 01/15/2026 144A                                                          | CUSIP: 740212AL9<br>LEI: 549300WF2OE8T5BP4B84 | Long             | DBT              | CORP              | CA        |     115000 | PA      | $112601.10     | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 30YR 3% 11/01/2049#BO4757                                                                          | CUSIP: 3140K0JB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2542219 | PA      | $2288931.20    | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARRICK NORTH AMERICA FINANCE LLC                                                | BARRICK NORTH AMER FIN LLC 5.75% 05/01/2043                                                             | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     475000 | PA      | $479687.68     | 0.00%             | 2043-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                 | DEUTSCHE BANK AG 4%/VAR 06/24/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |    1300000 | PA      | $1221425.06    | 0.00%             | 2032-06-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                        | GNII II 4% 04/43#MA0935                                                                                 | CUSIP: 36179NBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136211 | PA      | $131783.96     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                             | UMBS 30YR 3.5% 01/01/2053 #TBA                                                                          | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    6600000 | PA      | $6050344.08    | 0.01%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2019                                                         | GS MTG SECS CORP TR 2019-GC40 A3 2.904% 07/10/2052                                                      | CUSIP: 36257HBN5<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1734396.20    | 0.00%             | 2052-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                       | FNMA 6.00% 10/34 #AL2130                                                                                | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17602 | PA      | $18282.40      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                                                     | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1269329 | PA      | $1285298.63    | 0.00%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 2.5% 11/01/2046#G08731                                                                        | CUSIP: 3128MJY53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     515444 | PA      | $449568.40     | 0.00%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 5.00% 1/40 #A90893                                                                                 | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20839 | PA      | $21212.74      | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                         | SENSATA TECHNOLOGIES INC 3.75% 02/15/2031 144A                                                          | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |     590000 | PA      | $490735.45     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP DEL                                                         | SOUTHERN COPPER CORP DEL 5.875% 04/23/2045                                                              | CUSIP: 84265VAJ4<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |     455000 | PA      | $453094.69     | 0.00%             | 2045-04-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP 5.625% 05/15/2052                                                                    | CUSIP: 925650AE3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1498000 | PA      | $1352379.42    | 0.00%             | 2052-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                    | FHLG 30YR 3.5% 04/01/2043#Q17578                                                                        | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62153 | PA      | $58708.95      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                                       | TENNESSEE VALLEY AUTHORITY 2.875% 02/01/2027                                                            | CUSIP: 880591EU2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    1060000 | PA      | $1009731.64    | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** Stacie M. Smith

**Signature:** Stacie M. Smith

**Name of Signer:** Stacie M. Smith

**Title:** President and Treasurer