# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0001752724-23-044308
**Filing Date:** 2023-2
**Character Count:** 278635
**Document Hash:** 5cc37f94e14ee18befdfb478ac8ae408
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-044308.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-044308

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MAINSTAY VP FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000887340
- **IRS NUMBER:** 133186036
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 23679267

**BUSINESS ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 2125767000

**MAIL ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010518

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEW YORK LIFE MFA SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### MainStay VP Indexed Bond Portfolio (Series ID: S000057212)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000182232 | Initial Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MAINSTAY VP FUNDS TRUST

- **b. Investment Company Act file number:** 811-03833-01

- **c. CIK number of Registrant:** 0000887340

- **d. LEI of Registrant:** 549300AG6K4RXYNOVN04

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

  - **Street Address 1:** 51 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 212-576-7000

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

- **a. Name of Series:** MainStay VP Indexed Bond Portfolio

- **b. EDGAR series identifier (if any):** S000057212

- **c. LEI of Series:** 549300R9H825LXJSNU29

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $287240920.52

**Total Liabilities:** $13826941.02

**Net Assets:** $273413979.50

**Delayed Delivery Securities:** $2811060.86

**Cash Not Reported:** $10091866.97

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -387.12000000 | **1-Year:** -10458.35000000 | **5-Year:** -23561.30000000 | **10-Year:** -32901.26000000 | **30-Year:** -68642.87000000

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

- **3-Month:** -97.68000000 | **1-Year:** -834.37000000 | **5-Year:** -2036.61000000 | **10-Year:** -748.13000000 | **30-Year:** -327.10000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000182232 | -1.36%               | 3.70%                | -0.73%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1781193.73             | $-997134.20                                |
| Month 2  | $-500918.38              | $9301474.01                                |
| Month 3  | $815747.83               | $-3157367.92                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **Index Identifier:** LHMN0001

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1130000 | PA      | $931014.06    | 0.34%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179RS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    270587 | PA      | $246162.67    | 0.09%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7046 | PA      | $6731.15      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138W7GF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397821 | PA      | $1270931.20   | 0.46%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                    | Boeing Co. (The)                                                               | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    585000 | PA      | $522897.77    | 0.19%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CDD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1446503.91   | 0.53%             | 2023-10-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    352247 | PA      | $316876.26    | 0.12%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                     | AEP Texas, Inc.                                                                | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     95000 | PA      | $90845.99     | 0.03%             | 2052-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418DCY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3220 | PA      | $2961.77      | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                      | QUALCOMM, Inc.                                                                 | CUSIP: 747525AJ2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    115000 | PA      | $111665.12    | 0.04%             | 2035-05-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SA                             | Telefonica Emisiones SA                                                        | CUSIP: 87938WAW3<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    150000 | PA      | $115280.25    | 0.04%             | 2048-03-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMYA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28382 | PA      | $26288.12     | 0.01%             | 2033-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98467 | PA      | $94316.90     | 0.03%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 3617G1UT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18694 | PA      | $18698.09     | 0.01%             | 2047-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Procter & Gamble Co. (The)                          | Procter & Gamble Co. (The)                                                     | CUSIP: 742718EP0<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    275000 | PA      | $260530.96    | 0.10%             | 2026-02-02      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Mylan, Inc.                                         | Mylan, Inc.                                                                    | CUSIP: 628530BJ5<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     95000 | PA      | $70744.61     | 0.03%             | 2048-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -4200000 | PA      | $-3416533.09  | -1.25%            | 2053-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                      | Enbridge, Inc.                                                                 | CUSIP: 29250NAJ4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    275000 | PA      | $228644.59    | 0.08%             | 2044-06-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 31307T7M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23057 | PA      | $21932.27     | 0.01%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1275000 | PA      | $1220115.23   | 0.45%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WHYT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261830 | PA      | $243088.79    | 0.09%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2765000 | PA      | $2768888.28   | 1.01%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1250000 | PA      | $1167773.44   | 0.43%             | 2024-08-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                         | Equinor ASA                                                                    | CUSIP: 85771PAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | NUSS              | NO        |    405000 | PA      | $397705.84    | 0.15%             | 2040-08-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ3H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146248 | PA      | $130214.11    | 0.05%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    575000 | PA      | $470376.96    | 0.17%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52503 | PA      | $50234.37     | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38699 | PA      | $35437.24     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EOG Resources, Inc.                                 | EOG Resources, Inc.                                                            | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    215000 | PA      | $191785.91    | 0.07%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133KH4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2138200 | PA      | $1830437.46   | 0.67%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                         | Raytheon Technologies Corp.                                                    | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    105000 | PA      | $73503.29     | 0.03%             | 2050-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CAD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    975000 | PA      | $827150.40    | 0.30%             | 2027-07-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                     | Eli Lilly & Co.                                                                | CUSIP: 532457BT4<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    155000 | PA      | $137514.25    | 0.05%             | 2049-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2325000 | PA      | $2308561.53   | 0.84%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132M9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82815 | PA      | $77384.17     | 0.03%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $234011.72    | 0.09%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fox Corp.                                           | Fox Corp.                                                                      | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     86000 | PA      | $76728.43     | 0.03%             | 2049-01-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ4V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100088 | PA      | $92630.64     | 0.03%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183316 | PA      | $165073.24    | 0.06%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132XUSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86735 | PA      | $80462.23     | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1850000 | PA      | $1679453.13   | 0.61%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.           | Consolidated Edison Co. of New York, Inc., Series 06-A                         | CUSIP: 209111EL3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    410000 | PA      | $414400.33    | 0.15%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Co. (The)                                 | Coca-Cola Co. (The)                                                            | CUSIP: 191216CX6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    260000 | PA      | $172215.82    | 0.06%             | 2050-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                          | Prudential Financial, Inc.                                                     | CUSIP: 74432QCF0<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    135000 | PA      | $103014.45    | 0.04%             | 2051-03-13      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132Y1W95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122059 | PA      | $113192.17    | 0.04%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLB                                                | FHLB                                                                           | CUSIP: 3130ATRH2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1500000 | PA      | $1500000.00   | 0.55%             | 2024-11-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                           | Williams Cos., Inc. (The)                                                      | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     65000 | PA      | $44235.91     | 0.02%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140XBYB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1873028 | PA      | $1622636.91   | 0.59%             | 2036-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ3L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35299 | PA      | $34670.62     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3138AFJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15420 | PA      | $15037.88     | 0.01%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140H7DV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103945 | PA      | $98906.78     | 0.04%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 36186NLA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13964 | PA      | $12730.95     | 0.00%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CBP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $346328.12    | 0.13%             | 2028-02-29      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 36197JAZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21279 | PA      | $21472.66     | 0.01%             | 2047-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101445 | PA      | $99665.23     | 0.04%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                               | Elevance Health, Inc.                                                          | CUSIP: 036752AD5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    320000 | PA      | $273371.94    | 0.10%             | 2047-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CZ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146742 | PA      | $135719.48    | 0.05%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CER8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $194039.06    | 0.07%             | 2024-05-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $481210.94    | 0.18%             | 2025-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128M9R95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105555 | PA      | $98838.04     | 0.04%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ4M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87485 | PA      | $85748.81     | 0.03%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                          | Prudential Financial, Inc.                                                     | CUSIP: 744320BA9<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    155000 | PA      | $120710.26    | 0.04%             | 2049-12-07      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $966914.06    | 0.35%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                              | Credit Suisse Group AG                                                         | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $442030.22    | 0.16%             | 2025-09-11      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3138ER2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48528 | PA      | $47361.31     | 0.02%             | 2029-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140FVCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256620 | PA      | $250567.74    | 0.09%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                           | CSX Corp.                                                                      | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    155000 | PA      | $111516.53    | 0.04%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                  | General Motors Co.                                                             | CUSIP: 37045VAQ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     81000 | PA      | $66203.25     | 0.02%             | 2048-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CBM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $380046.88    | 0.14%             | 2024-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ3U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42100 | PA      | $41337.49     | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20904 | PA      | $20064.17     | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                               | Bank of America Corp.                                                          | CUSIP: 06051GKB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    525000 | PA      | $327922.31    | 0.12%             | 2052-07-21      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 912828XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1348867.18   | 0.49%             | 2024-05-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140JACX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279214 | PA      | $257894.41    | 0.09%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Molson Coors Beverage Co.                           | Molson Coors Beverage Co.                                                      | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |     95000 | PA      | $73659.86     | 0.03%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140Q7GT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357019 | PA      | $333775.13    | 0.12%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1463085.93   | 0.54%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5053676 | PA      | $4393803.58   | 1.61%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MSNX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1747211 | PA      | $1533981.30   | 0.56%             | 2052-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132Y0KF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58239 | PA      | $54014.72     | 0.02%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184448 | PA      | $172703.72    | 0.06%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $5295859.38   | 1.94%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                           | KLA Corp.                                                                      | CUSIP: 482480AM2<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    105000 | PA      | $97519.18     | 0.04%             | 2052-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CBV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $946250.00    | 0.35%             | 2024-04-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138YUGJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19428 | PA      | $18608.84     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 9128284D9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $99531.02     | 0.04%             | 2023-03-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 912828Y87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $2008699.22   | 0.73%             | 2024-07-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                          | Warnermedia Holdings, Inc.                                                     | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    218000 | PA      | $158478.68    | 0.06%             | 2052-03-15      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 31294UAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68344 | PA      | $65989.21     | 0.02%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                    | Kroger Co. (The)                                                               | CUSIP: 501044DP3<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    230000 | PA      | $186637.13    | 0.07%             | 2030-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ3M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132136 | PA      | $117691.51    | 0.04%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMWB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89179 | PA      | $84961.21     | 0.03%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sysco Corp.                                         | Sysco Corp.                                                                    | CUSIP: 871829BF3<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    320000 | PA      | $295767.04    | 0.11%             | 2027-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fibria Overseas Finance Ltd.                        | Fibria Overseas Finance Ltd.                                                   | CUSIP: 31572UAF3<br>LEI: 549300WABWKSHESAMG92 | Long             | DBT              | CORP              | KY        |    505000 | PA      | $506701.77    | 0.19%             | 2027-01-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3138EJWY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81083 | PA      | $76063.49     | 0.03%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140H22H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39630 | PA      | $37687.71     | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                 | Union Pacific Corp.                                                            | CUSIP: 907818FX1<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    180000 | PA      | $155391.78    | 0.06%             | 2032-02-14      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132Y2GD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146157 | PA      | $145121.07    | 0.05%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140HMJK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21929 | PA      | $20595.37     | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128M7CZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34379 | PA      | $35085.10     | 0.01%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1525000 | PA      | $1281655.28   | 0.47%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| LYB International Finance III LLC                   | LYB International Finance III LLC                                              | CUSIP: 50249AAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $33453.95     | 0.01%             | 2051-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 9128285D8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2875000 | PA      | $2839287.10   | 1.04%             | 2023-09-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1965000 | PA      | $2005221.09   | 0.73%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CAP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6250000 | PA      | $6029541.00   | 2.21%             | 2023-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 9128285U0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $146919.58    | 0.05%             | 2023-12-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust               | Wells Fargo Commercial Mortgage Trust, Series 2015-SG1, Class A4               | CUSIP: 94989QAV2<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |    291173 | PA      | $277930.45    | 0.10%             | 2048-09-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | U.S. Treasury 2 Year Notes                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -39 | NC      | $-8899.17     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23579 | PA      | $22537.46     | 0.01%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QKW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2301735 | PA      | $1983035.63   | 0.73%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd.                     | Canadian Natural Resources Ltd.                                                | CUSIP: 136385AL5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    130000 | PA      | $128611.43    | 0.05%             | 2038-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $173828.12    | 0.06%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                | JPMorgan Chase & Co.                                                           | CUSIP: 46647PAA4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    605000 | PA      | $494736.45    | 0.18%             | 2048-02-22      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50475 | PA      | $44817.88     | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMXS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61099 | PA      | $57455.57     | 0.02%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128M9Z62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46623 | PA      | $47265.11     | 0.02%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $724892.58    | 0.27%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $374625.00    | 0.14%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                    | Amazon.com, Inc.                                                               | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    535000 | PA      | $473967.09    | 0.17%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 31418CYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31550 | PA      | $30340.16     | 0.01%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184625 | PA      | $177257.97    | 0.06%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133KH2K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1645965 | PA      | $1411685.75   | 0.52%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                   | HSBC Holdings plc                                                              | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    305000 | PA      | $320539.87    | 0.12%             | 2028-11-03      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| Ohio Power Co.                                      | Ohio Power Co., Series G                                                       | CUSIP: 677415CF6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $210570.72    | 0.08%             | 2033-02-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Mosaic Co. (The)                                    | Mosaic Co. (The)                                                               | CUSIP: 61945CAG8<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | DBT              | CORP              | US        |    505000 | PA      | $475498.38    | 0.17%             | 2027-11-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3138WKLS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89770 | PA      | $85422.57     | 0.03%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11220 | PA      | $10689.83     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XGJQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052109 | PA      | $936280.95    | 0.34%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18557 | PA      | $17305.58     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                 | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    375000 | PA      | $392926.74    | 0.14%             | 2033-10-18      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Allergan Funding SCS                                | Allergan Funding SCS                                                           | CUSIP: 00507UAU5<br>LEI: 222100FLFVOSKCBCAR54 | Long             | DBT              | CORP              | LU        |     25000 | PA      | $19159.22     | 0.01%             | 2045-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC, Multifamily Structured Pass-Through Certificates, Series K094, Class A2 | CUSIP: 3137FMTY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1822970.40   | 0.67%             | 2029-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $381216.80    | 0.14%             | 2027-12-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140J7V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109868 | PA      | $102732.47    | 0.04%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp.                                        | NVIDIA Corp.                                                                   | CUSIP: 67066GAM6<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    460000 | PA      | $392778.51    | 0.14%             | 2028-06-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418C3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24352 | PA      | $23851.17     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJZT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14435 | PA      | $14194.49     | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                | American Tower Corp.                                                           | CUSIP: 03027XBS8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    145000 | PA      | $112718.30    | 0.04%             | 2031-09-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140GUMA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219365 | PA      | $202958.54    | 0.07%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47052 | PA      | $45109.53     | 0.02%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                | JPMorgan Chase & Co.                                                           | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    870000 | PA      | $764436.34    | 0.28%             | 2027-04-22      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CBR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1327210.93   | 0.49%             | 2024-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                    | Paramount Global                                                               | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    352000 | PA      | $312829.18    | 0.11%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 20 Year                                                                  | CUSIP: 31418CGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19840 | PA      | $19102.96     | 0.01%             | 2037-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    525000 | PA      | $446270.51    | 0.16%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AvalonBay Communities, Inc.                         | AvalonBay Communities, Inc.                                                    | CUSIP: 05348EAY5<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |    215000 | PA      | $196959.86    | 0.07%             | 2026-10-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                  | Southern Co. (The)                                                             | CUSIP: 842587CX3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    350000 | PA      | $291896.32    | 0.11%             | 2046-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Newmont Corp.                                       | Newmont Corp.                                                                  | CUSIP: 651639AY2<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    125000 | PA      | $100467.47    | 0.04%             | 2030-10-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                   | Tyson Foods, Inc.                                                              | CUSIP: 902494BH5<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    155000 | PA      | $142997.80    | 0.05%             | 2048-09-28      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140HFGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33339 | PA      | $32697.42     | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36178WQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109625 | PA      | $101452.12    | 0.04%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                               | Walt Disney Co. (The)                                                          | CUSIP: 254687FZ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    204000 | PA      | $155332.93    | 0.06%             | 2051-01-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| HP, Inc.                                            | HP, Inc.                                                                       | CUSIP: 428236BR3<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38378.40     | 0.01%             | 2041-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    325000 | PA      | $293426.76    | 0.11%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 31418CV92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115075 | PA      | $108094.42    | 0.04%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 31307SAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33731 | PA      | $31574.18     | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    675000 | PA      | $627117.19    | 0.23%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179T4N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90044 | PA      | $83859.00     | 0.03%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 3617A6P31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8595 | PA      | $7867.33      | 0.00%             | 2045-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp.                                        | NVIDIA Corp.                                                                   | CUSIP: 67066GAN4<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    220000 | PA      | $176203.43    | 0.06%             | 2031-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                   | Wells Fargo & Co.                                                              | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    605000 | PA      | $506655.16    | 0.19%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                        | Discovery Communications LLC                                                   | CUSIP: 25470DAR0<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    121000 | PA      | $107397.94    | 0.04%             | 2028-03-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93925 | PA      | $87519.17     | 0.03%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                        | Verizon Communications, Inc.                                                   | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    128000 | PA      | $101465.87    | 0.04%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90347 | PA      | $81683.28     | 0.03%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                             | Boston Scientific Corp.                                                        | CUSIP: 101137AU1<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     80000 | PA      | $71568.00     | 0.03%             | 2049-03-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17431 | PA      | $16256.78     | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164652 | PA      | $153555.24    | 0.06%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                     | Goldman Sachs Group, Inc. (The)                                                | CUSIP: 38141EC31<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    420000 | PA      | $371329.99    | 0.14%             | 2044-07-08      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6950000 | PA      | $5653548.81   | 2.07%             | 2053-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3132ADXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113463 | PA      | $111047.11    | 0.04%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 9128282U3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    650000 | PA      | $621714.85    | 0.23%             | 2024-08-31      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 3617ANBZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124965 | PA      | $124486.18    | 0.05%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                       | Comcast Corp.                                                                  | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    795000 | PA      | $582250.05    | 0.21%             | 2046-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44802 | PA      | $42988.51     | 0.02%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140J5LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19519 | PA      | $19069.51     | 0.01%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93038 | PA      | $88791.47     | 0.03%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253849 | PA      | $234957.07    | 0.09%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $291468.75    | 0.11%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMXT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50735 | PA      | $48844.85     | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1037578.13   | 0.38%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140H7D38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41987 | PA      | $40376.87     | 0.01%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 3M Co.                                              | 3M Co.                                                                         | CUSIP: 88579YBD2<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    135000 | PA      | $106122.81    | 0.04%             | 2048-09-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15599 | PA      | $14995.85     | 0.01%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CAK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2250000 | PA      | $2179423.82   | 0.80%             | 2023-09-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179RLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67005 | PA      | $68078.24     | 0.02%             | 2045-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 36196THR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22493 | PA      | $22416.85     | 0.01%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                  | T-Mobile USA, Inc.                                                             | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    113000 | PA      | $75930.23     | 0.03%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140FUJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27389 | PA      | $27417.45     | 0.01%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1600000 | PA      | $1566624.99   | 0.57%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WKQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17676 | PA      | $16930.44     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                        | Oracle Corp.                                                                   | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    210000 | PA      | $192705.19    | 0.07%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179S5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61855 | PA      | $55768.08     | 0.02%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25568 | PA      | $24420.10     | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4935078 | PA      | $4153836.45   | 1.52%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJYN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169396 | PA      | $158518.75    | 0.06%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Laboratory Corp. of America Holdings                | Laboratory Corp. of America Holdings                                           | CUSIP: 50540RAQ5<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    320000 | PA      | $309893.06    | 0.11%             | 2025-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    960000 | PA      | $963525.00    | 0.35%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co.                              | MidAmerican Energy Co.                                                         | CUSIP: 595620AR6<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $325627.13    | 0.12%             | 2047-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $281554.69    | 0.10%             | 2024-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39039 | PA      | $39305.61     | 0.01%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140HFGB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9694 | PA      | $9496.28      | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                         | Intel Corp.                                                                    | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    112000 | PA      | $97203.97     | 0.04%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137552 | PA      | $132031.37    | 0.05%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                               | Mexico Government Bond                                                         | CUSIP: 91086QBG2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2585000 | PA      | $2520437.79   | 0.92%             | 2026-01-21      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                | Charter Communications Operating LLC                                           | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    445000 | PA      | $436144.94    | 0.16%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                         | ONEOK, Inc.                                                                    | CUSIP: 682680AV5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     85000 | PA      | $70802.85     | 0.03%             | 2048-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJZ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38395 | PA      | $34294.98     | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ2G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15693 | PA      | $14554.11     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ5G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35903 | PA      | $33198.80     | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140L5B47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3353988 | PA      | $2739096.76   | 1.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Caterpillar, Inc.                                   | Caterpillar, Inc.                                                              | CUSIP: 149123BL4<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |    325000 | PA      | $331862.76    | 0.12%             | 2035-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168141 | PA      | $160163.85    | 0.06%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                               | Kraft Heinz Foods Co.                                                          | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    230000 | PA      | $186898.68    | 0.07%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | U.S. Treasury 10 Year Notes                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        48 | NC      | $-26767.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PayPal Holdings, Inc.                               | PayPal Holdings, Inc.                                                          | CUSIP: 70450YAM5<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |     95000 | PA      | $86020.81     | 0.03%             | 2052-06-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140HJL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64682 | PA      | $63371.01     | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                        | Oracle Corp.                                                                   | CUSIP: 68389XBC8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1992391.44   | 0.73%             | 2025-05-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132WLUH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102602 | PA      | $102768.79    | 0.04%             | 2047-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 20 Year                                                      | CUSIP: 3128P8E80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41321 | PA      | $38373.44     | 0.01%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    845000 | PA      | $695870.70    | 0.25%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                   | Merck & Co., Inc.                                                              | CUSIP: 58933YAT2<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    275000 | PA      | $226176.12    | 0.08%             | 2045-02-10      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                              | Dell International LLC                                                         | CUSIP: 24703DBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $58140.34     | 0.02%             | 2051-12-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114245 | PA      | $111650.11    | 0.04%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                 | Citigroup Commercial Mortgage Trust, Series 2015-GC35, Class A4                | CUSIP: 17324KAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $285576.75    | 0.10%             | 2048-11-10      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140FUP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6964 | PA      | $6837.03      | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 20 Year                                                      | CUSIP: 3132J4DY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8462 | PA      | $8493.25      | 0.00%             | 2029-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53676 | PA      | $53968.28     | 0.02%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Newmont Corp.                                       | Newmont Corp.                                                                  | CUSIP: 651639AZ9<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    105000 | PA      | $83591.71     | 0.03%             | 2032-07-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                  | General Motors Financial Co., Inc.                                             | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    130000 | PA      | $123524.51    | 0.05%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1575000 | PA      | $1543500.00   | 0.56%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                         | Cigna Corp.                                                                    | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    185000 | PA      | $166687.18    | 0.06%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Allergan Funding SCS                                | Allergan Funding SCS                                                           | CUSIP: 00507UAS0<br>LEI: 222100FLFVOSKCBCAR54 | Long             | DBT              | CORP              | LU        |     50000 | PA      | $47459.22     | 0.02%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                 | Abbott Laboratories                                                            | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    290000 | PA      | $282731.27    | 0.10%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 20 Year                                                      | CUSIP: 3128P8GQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39472 | PA      | $38915.97     | 0.01%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BHP Billiton Finance USA Ltd.                       | BHP Billiton Finance USA Ltd.                                                  | CUSIP: 055451AU2<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |      5000 | PA      | $4958.64      | 0.00%             | 2023-09-30      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140HNVR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29341 | PA      | $29444.81     | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMXE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139006 | PA      | $130125.68    | 0.05%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140J6GL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17540 | PA      | $16764.60     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 20 Year                                                      | CUSIP: 3128P8FK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73306 | PA      | $70152.62     | 0.03%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                          | Constellation Brands, Inc.                                                     | CUSIP: 21036PAY4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    130000 | PA      | $120472.90    | 0.04%             | 2028-02-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co. (The)                          | Sherwin-Williams Co. (The)                                                     | CUSIP: 824348BF2<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    320000 | PA      | $310883.59    | 0.11%             | 2026-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                 | Union Pacific Corp.                                                            | CUSIP: 907818GA0<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     40000 | PA      | $29409.77     | 0.01%             | 2072-02-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ4K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244073 | PA      | $217214.92    | 0.08%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140J6GQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95449 | PA      | $91128.98     | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ5M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98428 | PA      | $91258.14     | 0.03%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $374703.12    | 0.14%             | 2024-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                          | TransCanada PipeLines Ltd.                                                     | CUSIP: 89352HAY5<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $130984.45    | 0.05%             | 2048-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CAJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $134882.81    | 0.05%             | 2025-08-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SQZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42807 | PA      | $43537.29     | 0.02%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Province of Quebec Canada                           | Province of Quebec Canada                                                      | CUSIP: 748149AJ0<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    820000 | PA      | $770731.21    | 0.28%             | 2026-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203967 | PA      | $188912.33    | 0.07%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1470994 | PA      | $1316017.00   | 0.48%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| iShares iBoxx $ Investment Grade Corporate Bond ETF | iShares iBoxx $ Investment Grade Corporate Bond ETF                            | CUSIP: 464287242<br>LEI: 549300FYCXFXG8POR355 | Long             |  | RF                | US        |     59881 | NS      | $6313253.83   | 2.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Deere & Co.                                         | Deere & Co.                                                                    | CUSIP: 244199BF1<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    180000 | PA      | $159200.32    | 0.06%             | 2042-06-09      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14874 | PA      | $14280.17     | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138ERTF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33869 | PA      | $32441.46     | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31417DAJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478596 | PA      | $435470.72    | 0.16%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Salesforce, Inc.                                    | Salesforce, Inc.                                                               | CUSIP: 79466LAM6<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |     65000 | PA      | $41273.39     | 0.02%             | 2061-07-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2153720 | PA      | $1762251.02   | 0.64%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1650000 | PA      | $1590445.31   | 0.58%             | 2024-02-29      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $3394316.42   | 1.24%             | 2023-08-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                  | Crown Castle, Inc.                                                             | CUSIP: 22822VAU5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     95000 | PA      | $61766.45     | 0.02%             | 2051-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                            | UnitedHealth Group, Inc.                                                       | CUSIP: 91324PCZ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    315000 | PA      | $270768.93    | 0.10%             | 2047-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                        | GS Mortgage Securities Trust, Series 2014-GC22, Class A5                       | CUSIP: 36253BAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $290929.71    | 0.11%             | 2047-06-10      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1710000 | PA      | $1514351.96   | 0.55%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                    | Burlington Northern Santa Fe LLC                                               | CUSIP: 12189LBA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    751000 | PA      | $709835.54    | 0.26%             | 2027-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                     | Citigroup, Inc.                                                                | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    180000 | PA      | $154373.49    | 0.06%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NIKE, Inc.                                          | NIKE, Inc.                                                                     | CUSIP: 654106AD5<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |     95000 | PA      | $78705.99     | 0.03%             | 2043-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140F2BJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25690 | PA      | $22148.85     | 0.01%             | 2046-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WHZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40680 | PA      | $38893.98     | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303498 | PA      | $274525.54    | 0.10%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38463 | PA      | $37874.51     | 0.01%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                   | Wells Fargo & Co.                                                              | CUSIP: 949746RW3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    525000 | PA      | $491038.05    | 0.18%             | 2026-04-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140JJGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43927 | PA      | $41816.24     | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Parcel Service, Inc.                         | United Parcel Service, Inc.                                                    | CUSIP: 911312AZ9<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    505000 | PA      | $390050.69    | 0.14%             | 2046-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMWZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49748 | PA      | $47394.02     | 0.02%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ2Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18284 | PA      | $17967.13     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barrick North America Finance LLC                   | Barrick North America Finance LLC                                              | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $130564.42    | 0.05%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140JGSV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39561 | PA      | $38043.19     | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                               | Bank of America Corp.                                                          | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    230000 | PA      | $190453.93    | 0.07%             | 2037-03-08      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                           | Duke Energy Carolinas LLC                                                      | CUSIP: 26442CAR5<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    365000 | PA      | $287019.58    | 0.10%             | 2046-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Canadian National Railway Co.                       | Canadian National Railway Co.                                                  | CUSIP: 136375BL5<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |    275000 | PA      | $299458.04    | 0.11%             | 2034-08-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FFCB                                                | FFCB                                                                           | CUSIP: 3133EMMT6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   1125000 | PA      | $973459.92    | 0.36%             | 2027-01-13      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39171 | PA      | $38578.11     | 0.01%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     75000 | PA      | $74589.84     | 0.03%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140FPFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18976 | PA      | $17598.13     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom International Finance BV           | Deutsche Telekom International Finance BV                                      | CUSIP: 25156PAC7<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |    275000 | PA      | $324295.80    | 0.12%             | 2030-06-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $482148.44    | 0.18%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 20 Year                                                      | CUSIP: 3128P8DT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74772 | PA      | $71556.58     | 0.03%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140GSDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28804 | PA      | $28287.24     | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                 | Kinder Morgan, Inc.                                                            | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    590000 | PA      | $578604.09    | 0.21%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140GWNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2092 | PA      | $2045.30      | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 20 Year                                                                  | CUSIP: 31418CZF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121643 | PA      | $116222.55    | 0.04%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18172 | PA      | $16806.98     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    485000 | PA      | $416531.64    | 0.15%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                     | Microsoft Corp.                                                                | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    240000 | PA      | $231284.40    | 0.08%             | 2027-02-06      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QERV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1815860 | PA      | $1490794.86   | 0.55%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WHBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82939 | PA      | $79408.55     | 0.03%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJY46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69219 | PA      | $68075.10     | 0.02%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                     | Citigroup, Inc.                                                                | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1034448.07   | 0.38%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3018046.86   | 1.10%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3132DVLF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1470504 | PA      | $1264432.23   | 0.46%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dow Chemical Co. (The)                              | Dow Chemical Co. (The)                                                         | CUSIP: 260543DC4<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    145000 | PA      | $116519.20    | 0.04%             | 2030-11-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                        | Verizon Communications, Inc.                                                   | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    470000 | PA      | $453929.09    | 0.17%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140FPFY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35976 | PA      | $35915.01     | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Clorox Co. (The)                                    | Clorox Co. (The)                                                               | CUSIP: 189054AW9<br>LEI: 54930044KVSC06Z79I06 | Long             | DBT              | CORP              | US        |    275000 | PA      | $262084.06    | 0.10%             | 2028-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173499 | PA      | $166267.77    | 0.06%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140HJ4N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40589 | PA      | $38661.41     | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WGC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76238 | PA      | $70836.40     | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                 | CUSIP: 61747YEX9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5106.68      | 0.00%             | 2026-10-16      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140FLUD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113517 | PA      | $97867.57     | 0.04%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                 | Fifth Third Bancorp                                                            | CUSIP: 316773DF4<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182731.65    | 0.07%             | 2033-04-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                          | AT&T, Inc.                                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    507000 | PA      | $389634.44    | 0.14%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140FCRM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42517 | PA      | $39424.41     | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 20 Year                                                                  | CUSIP: 3133KYUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2206004 | PA      | $1873231.98   | 0.69%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2980781.25   | 1.09%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                               | Nomura Holdings, Inc.                                                          | CUSIP: 65535HBA6<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $156911.14    | 0.06%             | 2032-01-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CFE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89050 | PA      | $82954.99     | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XH4P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    941455 | PA      | $815037.66    | 0.30%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                     | Virginia Electric and Power Co.                                                | CUSIP: 927804FL3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    410000 | PA      | $331526.68    | 0.12%             | 2043-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                 | Abbott Laboratories                                                            | CUSIP: 002824BF6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    185000 | PA      | $180102.62    | 0.07%             | 2026-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226595 | PA      | $210894.54    | 0.08%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                               | Bank of America Corp.                                                          | CUSIP: 06051GGA1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    505000 | PA      | $466276.39    | 0.17%             | 2027-10-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3138WJVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120639 | PA      | $112804.36    | 0.04%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133KPQV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1173302 | PA      | $1100964.35   | 0.40%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Electric Co.                                | General Electric Co.                                                           | CUSIP: 369604BF9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |     99000 | PA      | $78419.93     | 0.03%             | 2042-10-09      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                               | Parker-Hannifin Corp.                                                          | CUSIP: 70109HAM7<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |     95000 | PA      | $85584.13     | 0.03%             | 2034-11-21      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                 | Citigroup Commercial Mortgage Trust, Series 2017-P8, Class A4                  | CUSIP: 17326DAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $276362.28    | 0.10%             | 2050-09-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                     | Phillips 66 Co.                                                                | CUSIP: 718547AL6<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    260000 | PA      | $225333.84    | 0.08%             | 2045-02-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Target Corp.                                        | Target Corp.                                                                   | CUSIP: 87612EBJ4<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |    185000 | PA      | $157035.37    | 0.06%             | 2030-02-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140F0JC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115850 | PA      | $107484.15    | 0.04%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic of the Philippines                         | Philippine Government Bond                                                     | CUSIP: 718286BW6<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    600000 | PA      | $580598.45    | 0.21%             | 2037-01-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                     | CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A3                      | CUSIP: 12532AAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $274567.89    | 0.10%             | 2049-11-10      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28257 | PA      | $27099.98     | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185745 | PA      | $173734.40    | 0.06%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 3617GFX93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26371 | PA      | $24252.44     | 0.01%             | 2048-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $1223574.22   | 0.45%             | 2024-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 36189MSK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27731 | PA      | $26854.40     | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                             | Commonwealth Edison Co.                                                        | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    195000 | PA      | $148108.05    | 0.05%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                | Anheuser-Busch InBev Worldwide, Inc.                                           | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    525000 | PA      | $519013.87    | 0.19%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140J7T47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69142 | PA      | $65849.08     | 0.02%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149162 | PA      | $142972.09    | 0.05%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                    | CVS Health Corp.                                                               | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    340000 | PA      | $305165.26    | 0.11%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| General Mills, Inc.                                 | General Mills, Inc.                                                            | CUSIP: 370334CG7<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |     95000 | PA      | $91801.44     | 0.03%             | 2028-04-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                   | HSBC Holdings plc                                                              | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    575000 | PA      | $598041.30    | 0.22%             | 2026-11-03      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                    | BP Capital Markets America, Inc.                                               | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    115000 | PA      | $75805.31     | 0.03%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                              | Home Depot, Inc. (The)                                                         | CUSIP: 437076CG5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    365000 | PA      | $217746.71    | 0.08%             | 2051-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                  | Vodafone Group plc                                                             | CUSIP: 92857WBU3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    190000 | PA      | $144889.12    | 0.05%             | 2050-09-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 9128282N9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $144275.39    | 0.05%             | 2024-07-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Systems Corp.                      | Northrop Grumman Systems Corp.                                                 | CUSIP: 666807AW2<br>LEI: 549300KYOZYCZII5OX23 | Long             | DBT              | CORP              | US        |    275000 | PA      | $313043.48    | 0.11%             | 2031-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86226 | PA      | $82470.12     | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132WGTZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28031 | PA      | $27512.76     | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132XSE22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168797 | PA      | $160085.47    | 0.06%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                               | Lockheed Martin Corp.                                                          | CUSIP: 539830BT5<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    135000 | PA      | $113402.28    | 0.04%             | 2062-06-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 9128286Z8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2875000 | PA      | $2755058.59   | 1.01%             | 2024-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31410LRG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365971 | PA      | $333025.65    | 0.12%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350000 | PA      | $1272533.21   | 0.47%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140Q87H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39355 | PA      | $39217.77     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CBE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $667440.35    | 0.24%             | 2024-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1520000 | PA      | $1520475.00   | 0.56%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                        | Nutrien Ltd.                                                                   | CUSIP: 67077MAF5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    275000 | PA      | $279814.55    | 0.10%             | 2036-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Medtronic, Inc.                                     | Medtronic, Inc.                                                                | CUSIP: 585055BU9<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |    209000 | PA      | $194640.87    | 0.07%             | 2045-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41010 | PA      | $38893.09     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Corning, Inc.                                       | Corning, Inc.                                                                  | CUSIP: 219350BQ7<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25891.85     | 0.01%             | 2079-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 912828X70<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4035000 | PA      | $3893144.53   | 1.42%             | 2024-04-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Stryker Corp.                                       | Stryker Corp.                                                                  | CUSIP: 863667AQ4<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    275000 | PA      | $261239.81    | 0.10%             | 2028-03-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 3617KDG92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58395 | PA      | $55663.60     | 0.02%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TQR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91387 | PA      | $89974.48     | 0.03%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                              | Dell International LLC                                                         | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    395000 | PA      | $402961.56    | 0.15%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 912828Y61<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    275000 | PA      | $272013.67    | 0.10%             | 2023-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138ESAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54329 | PA      | $56136.40     | 0.02%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128LDNF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58175 | PA      | $59795.04     | 0.02%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 36194W4J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49756 | PA      | $49205.61     | 0.02%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140HMPL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78852 | PA      | $79896.53     | 0.03%             | 2048-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    475000 | PA      | $412155.27    | 0.15%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                              | Waste Management, Inc.                                                         | CUSIP: 94106LBE8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    320000 | PA      | $298498.83    | 0.11%             | 2027-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2098254 | PA      | $1712885.89   | 0.63%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179S2M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27737 | PA      | $24448.65     | 0.01%             | 2047-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Allstate Corp. (The)                                | Allstate Corp. (The)                                                           | CUSIP: 020002AQ4<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    275000 | PA      | $274039.80    | 0.10%             | 2033-06-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31496 | PA      | $29949.40     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                     | CFCRE Commercial Mortgage Trust, Series 2017-C8, Class A3                      | CUSIP: 12532CAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163342 | PA      | $149398.76    | 0.05%             | 2050-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XFRA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1791521 | PA      | $1524089.65   | 0.56%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135940 | PA      | $121591.75    | 0.04%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47886 | PA      | $47781.65     | 0.02%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    460000 | PA      | $291345.31    | 0.11%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ3F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33512 | PA      | $32141.45     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                  | General Motors Financial Co., Inc.                                             | CUSIP: 37045XDP8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    250000 | PA      | $207301.50    | 0.08%             | 2028-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                    | Boeing Co. (The)                                                               | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    250000 | PA      | $243909.82    | 0.09%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                      | Southern California Edison Co., Series C                                       | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    275000 | PA      | $219442.80    | 0.08%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1915000 | PA      | $1817978.33   | 0.66%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                   | Enterprise Products Operating LLC                                              | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    260000 | PA      | $221550.32    | 0.08%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201497 | PA      | $181456.89    | 0.07%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108061 | PA      | $103202.38    | 0.04%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140XGPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2641881 | PA      | $2356739.00   | 0.86%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                       | MetLife, Inc.                                                                  | CUSIP: 59156RBQ0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    815000 | PA      | $791890.45    | 0.29%             | 2025-11-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WJQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27353 | PA      | $26870.31     | 0.01%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 20 Year                                                      | CUSIP: 3128P8FG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71309 | PA      | $66222.94     | 0.02%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    715000 | PA      | $587137.89    | 0.21%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 31418CX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96751 | PA      | $90464.28     | 0.03%             | 2033-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                           | HCA, Inc.                                                                      | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    170000 | PA      | $132310.25    | 0.05%             | 2052-03-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                    | CVS Health Corp.                                                               | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7844.03      | 0.00%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14878 | PA      | $14323.20     | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 31307TD57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150631 | PA      | $140722.25    | 0.05%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                    | DTE Electric Co.                                                               | CUSIP: 23338VAC0<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    215000 | PA      | $208467.95    | 0.08%             | 2025-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                        | Pfizer, Inc.                                                                   | CUSIP: 717081EC3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    395000 | PA      | $360226.78    | 0.13%             | 2036-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331773 | PA      | $309192.41    | 0.11%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17617 | PA      | $16259.55     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.        | Fidelity National Information Services, Inc.                                   | CUSIP: 31620MBZ8<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     75000 | PA      | $68806.36     | 0.03%             | 2052-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608816 | PA      | $546791.14    | 0.20%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253451 | PA      | $235066.26    | 0.09%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FedEx Corp.                                         | FedEx Corp.                                                                    | CUSIP: 31428XCD6<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |     75000 | PA      | $60655.01     | 0.02%             | 2031-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125090 | PA      | $119272.75    | 0.04%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 31418CXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65195 | PA      | $62696.33     | 0.02%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LYB International Finance II BV                     | LYB International Finance II BV                                                | CUSIP: 50247WAB3<br>LEI: 549300ZSNDBYN4Z4VZ93 | Long             | DBT              | CORP              | NL        |    275000 | PA      | $254516.34    | 0.09%             | 2027-03-02      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | U.S. Treasury Ultra Bonds                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         2 | NC      | $-7878.74     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                | UMBS, 10 Year                                                                  | CUSIP: 31418BPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13443 | PA      | $13156.54     | 0.00%             | 2025-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140J8GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506318 | PA      | $453505.68    | 0.17%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $970234.38    | 0.35%             | 2024-03-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMX65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57344 | PA      | $53671.79     | 0.02%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mylan, Inc.                                         | Mylan, Inc.                                                                    | CUSIP: 628530BD8<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79178.01     | 0.03%             | 2023-11-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                   | Exxon Mobil Corp.                                                              | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    215000 | PA      | $182903.33    | 0.07%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 31335CC28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56967 | PA      | $57161.19     | 0.02%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                        | AbbVie, Inc.                                                                   | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    185000 | PA      | $180302.76    | 0.07%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17956 | PA      | $17128.99     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                         | Apple, Inc.                                                                    | CUSIP: 037833BW9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    660000 | PA      | $654737.34    | 0.24%             | 2036-02-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                      | Broadcom, Inc.                                                                 | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    410000 | PA      | $357669.76    | 0.13%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132WMNN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35152 | PA      | $33627.63     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31568 | PA      | $31060.32     | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2336318 | PA      | $1909979.09   | 0.70%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WENC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435457 | PA      | $406044.46    | 0.15%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    235000 | PA      | $183345.90    | 0.07%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                            | Lloyds Banking Group plc                                                       | CUSIP: 53944YAD5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1265000 | PA      | $1176712.27   | 0.43%             | 2027-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                | Mitsubishi UFJ Financial Group, Inc.                                           | CUSIP: 606822AT1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     10000 | PA      | $9978.69      | 0.00%             | 2023-03-02      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31409GGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26362 | PA      | $27137.26     | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                            | Bristol-Myers Squibb Co.                                                       | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     75000 | PA      | $58339.11     | 0.02%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                              | Keurig Dr Pepper, Inc.                                                         | CUSIP: 49271VAC4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     95000 | PA      | $88705.51     | 0.03%             | 2038-05-25      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48321 | PA      | $43736.54     | 0.02%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 912828XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    275000 | PA      | $264923.83    | 0.10%             | 2025-06-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Dow Chemical Co. (The)                              | Dow Chemical Co. (The)                                                         | CUSIP: 260543DD2<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |     65000 | PA      | $46442.65     | 0.02%             | 2050-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                     | Microsoft Corp.                                                                | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    290000 | PA      | $205175.21    | 0.08%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168714 | PA      | $157007.85    | 0.06%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51103 | PA      | $48411.01     | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                | Charter Communications Operating LLC                                           | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $343849.86    | 0.13%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                  | Energy Transfer LP                                                             | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $159786.17    | 0.06%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                      | NiSource, Inc.                                                                 | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    275000 | PA      | $259023.35    | 0.09%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140EXSG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51824 | PA      | $48125.26     | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                       | Sempra Energy                                                                  | CUSIP: 816851BH1<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    275000 | PA      | $225512.01    | 0.08%             | 2038-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Walmart, Inc.                                       | Walmart, Inc.                                                                  | CUSIP: 931142DQ3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    340000 | PA      | $309505.73    | 0.11%             | 2044-04-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| United Mexican States                               | Mexico Government Bond                                                         | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    360000 | PA      | $330459.07    | 0.12%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3125000 | PA      | $3109008.78   | 1.14%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ4S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86040 | PA      | $84281.18     | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                  | T-Mobile USA, Inc.                                                             | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    430000 | PA      | $389500.34    | 0.14%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PulteGroup, Inc.                                    | PulteGroup, Inc.                                                               | CUSIP: 745867AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    220000 | PA      | $220782.14    | 0.08%             | 2026-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 3617AUEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55621 | PA      | $53097.33     | 0.02%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                     | AstraZeneca plc                                                                | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $281816.71    | 0.10%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                           | HCA, Inc.                                                                      | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     85000 | PA      | $71923.05     | 0.03%             | 2032-03-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Hess Corp.                                          | Hess Corp.                                                                     | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    130000 | PA      | $140017.06    | 0.05%             | 2033-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                           | Florida Power & Light Co.                                                      | CUSIP: 341081FH5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    175000 | PA      | $144547.93    | 0.05%             | 2042-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140HHEZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165428 | PA      | $157412.55    | 0.06%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                   | Duke Energy Corp.                                                              | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     95000 | PA      | $88986.58     | 0.03%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42591 | PA      | $42192.99     | 0.02%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 9128284R8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $290027.34    | 0.11%             | 2025-05-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                   | Lowe's Cos., Inc.                                                              | CUSIP: 548661DQ7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    185000 | PA      | $144693.29    | 0.05%             | 2047-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                 | Kinder Morgan, Inc.                                                            | CUSIP: 49456BAV3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    240000 | PA      | $222507.72    | 0.08%             | 2033-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GlaxoSmithKline Capital, Inc.                       | GlaxoSmithKline Capital, Inc.                                                  | CUSIP: 377372AN7<br>LEI: 5493007Q8VD7Q3ZYZS59 | Long             | DBT              | CORP              | US        |    320000 | PA      | $306820.11    | 0.11%             | 2028-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $201162.11    | 0.07%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418C3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21382 | PA      | $20387.85     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                 | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1311026.75   | 0.48%             | 2028-10-18      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | U.S. Treasury Long Bonds                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       106 | NC      | $-119442.92   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Japan Bank for International Cooperation            | Japan Bank for International Cooperation                                       | CUSIP: 471048BE7<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | NUSS              | JP        |    576000 | PA      | $535965.13    | 0.20%             | 2027-06-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140Q9SE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122048 | PA      | $116372.25    | 0.04%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                        | Fiserv, Inc.                                                                   | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    105000 | PA      | $85185.82     | 0.03%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17106 | PA      | $16354.50     | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                             | DuPont de Nemours, Inc.                                                        | CUSIP: 26078JAC4<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    470000 | PA      | $462175.39    | 0.17%             | 2025-11-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 9128285K2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $2265589.84   | 0.83%             | 2023-10-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Visa, Inc.                                          | Visa, Inc.                                                                     | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    210000 | PA      | $191700.56    | 0.07%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40444 | PA      | $38830.49     | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140HJRJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215975 | PA      | $205929.58    | 0.08%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Unilever Capital Corp.                              | Unilever Capital Corp.                                                         | CUSIP: 904764AS6<br>LEI: MYF1DAS6G5WY7PRWCU78 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95977.10     | 0.04%             | 2025-07-30      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                 | Public Service Electric and Gas Co.                                            | CUSIP: 74456QCD6<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    235000 | PA      | $151790.98    | 0.06%             | 2050-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140GYKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127071 | PA      | $119315.82    | 0.04%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 3128MMYC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46264 | PA      | $43507.68     | 0.02%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                          | AT&T, Inc.                                                                     | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    261000 | PA      | $174150.60    | 0.06%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                               | Entergy Louisiana LLC                                                          | CUSIP: 29364WBC1<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    365000 | PA      | $296414.76    | 0.11%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140Q8KD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93042 | PA      | $85866.84     | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                   | Duke Energy Corp.                                                              | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     95000 | PA      | $84299.79     | 0.03%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 912828ZW3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $181179.69    | 0.07%             | 2025-06-30      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                            | Cooperatieve Rabobank UA                                                       | CUSIP: 21685WCJ4<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    215000 | PA      | $215139.98    | 0.08%             | 2041-05-24      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140JG6L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54386 | PA      | $51857.14     | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39219 | PA      | $38460.57     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CDM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $481054.69    | 0.18%             | 2023-11-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                     | Citigroup, Inc.                                                                | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    260000 | PA      | $205260.79    | 0.08%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                               | Bank of America Corp.                                                          | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1403570.52   | 0.51%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    550000 | PA      | $485160.16    | 0.18%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                             | Republic Services, Inc.                                                        | CUSIP: 760759AQ3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    320000 | PA      | $306837.07    | 0.11%             | 2025-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140H6BR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103799 | PA      | $98784.08     | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                   | Enterprise Products Operating LLC                                              | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    500000 | PA      | $481892.55    | 0.18%             | 2026-02-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162916 | PA      | $156217.52    | 0.06%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    815000 | PA      | $667122.07    | 0.24%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                        | PPL Electric Utilities Corp.                                                   | CUSIP: 69351UAU7<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    130000 | PA      | $105188.81    | 0.04%             | 2047-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                          | AerCap Ireland Capital DAC                                                     | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $106046.21    | 0.04%             | 2041-10-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                   | Johnson & Johnson                                                              | CUSIP: 478160AL8<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    315000 | PA      | $327844.13    | 0.12%             | 2033-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | U.S. Treasury 5 Year Notes                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        42 | NC      | $-7858.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1330000 | PA      | $1135591.40   | 0.42%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115446 | PA      | $112445.97    | 0.04%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Johnson Controls International plc                  | Johnson Controls International plc                                             | CUSIP: 478375AH1<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | IE        |     80000 | PA      | $83034.82     | 0.03%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418EJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644251 | PA      | $585486.27    | 0.21%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 20 Year                                                                  | CUSIP: 3138ESC63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118870 | PA      | $110274.73    | 0.04%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                         | Capital One Financial Corp.                                                    | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    155000 | PA      | $143982.76    | 0.05%             | 2033-05-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140HEAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201018 | PA      | $191548.05    | 0.07%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138EQZK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145128 | PA      | $135331.79    | 0.05%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ3Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45959 | PA      | $43985.80     | 0.02%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                     | CSAIL Commercial Mortgage Trust, Series 2017-CX9, Class A5                     | CUSIP: 12595FAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $276388.14    | 0.10%             | 2050-09-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                     | Starbucks Corp.                                                                | CUSIP: 855244BC2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    260000 | PA      | $221679.33    | 0.08%             | 2032-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140H9B44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55601 | PA      | $55592.96     | 0.02%             | 2048-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    475000 | PA      | $435033.21    | 0.16%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                | JPMorgan Chase & Co.                                                           | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    305000 | PA      | $290398.68    | 0.11%             | 2033-07-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WJXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96728 | PA      | $86428.72     | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Province of Ontario Canada                          | Province of Ontario Canada                                                     | CUSIP: 68323ADP6<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |   1205000 | PA      | $1129230.23   | 0.41%             | 2026-04-27      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WHMS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18617 | PA      | $18288.78     | 0.01%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 31418CLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61609 | PA      | $58630.81     | 0.02%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22765 | PA      | $22978.65     | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                 | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    145000 | PA      | $132582.03    | 0.05%             | 2037-04-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                    | BP Capital Markets America, Inc.                                               | CUSIP: 10373QAZ3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    315000 | PA      | $300039.11    | 0.11%             | 2027-04-14      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3900000 | PA      | $3376546.88   | 1.23%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3175000 | PA      | $3082478.53   | 1.13%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1950000 | PA      | $1598314.46   | 0.58%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 20 Year                                                                  | CUSIP: 3140J7XC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229796 | PA      | $213180.09    | 0.08%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418DFT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326426 | PA      | $318833.04    | 0.12%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                             | MPLX LP                                                                        | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    145000 | PA      | $118442.37    | 0.04%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 20 Year                                                                  | CUSIP: 31371NH81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28811 | PA      | $28888.17     | 0.01%             | 2027-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eaton Corp.                                         | Eaton Corp.                                                                    | CUSIP: 278062AD6<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    275000 | PA      | $253221.59    | 0.09%             | 2032-11-02      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                  | Panama Government Bond                                                         | CUSIP: 698299BE3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    750000 | PA      | $724800.85    | 0.27%             | 2025-03-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FFCB                                                | FFCB                                                                           | CUSIP: 3133ENT42<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    800000 | PA      | $797427.73    | 0.29%             | 2030-10-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1825000 | PA      | $1751073.25   | 0.64%             | 2024-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| American International Group, Inc.                  | American International Group, Inc.                                             | CUSIP: 026874AZ0<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    350000 | PA      | $368862.15    | 0.13%             | 2036-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                         | Aetna, Inc.                                                                    | CUSIP: 00817YAF5<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    275000 | PA      | $292129.10    | 0.11%             | 2036-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FFCB                                                | FFCB                                                                           | CUSIP: 3133ENT26<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   1500000 | PA      | $1497728.88   | 0.55%             | 2026-10-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31416CKH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81498 | PA      | $83162.50     | 0.03%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 36197CRP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2872 | PA      | $2831.31      | 0.00%             | 2047-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ecolab, Inc.                                        | Ecolab, Inc.                                                                   | CUSIP: 278865AV2<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |    275000 | PA      | $255198.89    | 0.09%             | 2026-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                  | ConocoPhillips Co.                                                             | CUSIP: 20826FAR7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $213396.20    | 0.08%             | 2046-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3138WJW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130463 | PA      | $121985.33    | 0.04%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                               | Gilead Sciences, Inc.                                                          | CUSIP: 375558BG7<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    215000 | PA      | $204213.99    | 0.07%             | 2035-09-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                 | Union Pacific Corp.                                                            | CUSIP: 907818FZ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     75000 | PA      | $56314.64     | 0.02%             | 2053-02-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237816 | PA      | $214173.68    | 0.08%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $492610.71    | 0.18%             | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                          | TransCanada PipeLines Ltd.                                                     | CUSIP: 89352HAT6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     10000 | PA      | $9936.91      | 0.00%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180366 | PA      | $167339.57    | 0.06%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $644574.22    | 0.24%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                         | Amgen, Inc.                                                                    | CUSIP: 031162CS7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    205000 | PA      | $142505.74    | 0.05%             | 2050-02-21      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 20 Year                                                      | CUSIP: 3132J4HV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80044 | PA      | $74339.29     | 0.03%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1106594.73   | 0.40%             | 2053-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $112180.47    | 0.04%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                        | Oracle Corp.                                                                   | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     70000 | PA      | $51011.68     | 0.02%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                      | Shell International Finance BV                                                 | CUSIP: 822582BY7<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    325000 | PA      | $254510.88    | 0.09%             | 2046-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PepsiCo, Inc.                                       | PepsiCo, Inc.                                                                  | CUSIP: 713448EU8<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24497.41     | 0.01%             | 2050-03-19      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66648 | PA      | $61780.52     | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140QHPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290324 | PA      | $1123843.64   | 0.41%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247322 | PA      | $220370.10    | 0.08%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140HFG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17142 | PA      | $16794.74     | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31417YPL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19180 | PA      | $19422.00     | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126225 | PA      | $117474.73    | 0.04%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138ERRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117701 | PA      | $108393.54    | 0.04%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    825000 | PA      | $749976.56    | 0.27%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132WKQ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23556 | PA      | $21035.00     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                        | AbbVie, Inc.                                                                   | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    345000 | PA      | $306429.44    | 0.11%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                     | Halliburton Co.                                                                | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11671.87     | 0.00%             | 2025-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                 | Kinder Morgan, Inc.                                                            | CUSIP: 49456BAW1<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    115000 | PA      | $103221.55    | 0.04%             | 2052-08-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140J7NN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207574 | PA      | $194308.82    | 0.07%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CAW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2884687.50   | 1.06%             | 2023-11-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 36184NEP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14486 | PA      | $13622.56     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 15 Year                                                      | CUSIP: 31294MCQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12745 | PA      | $12465.03     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QEJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1651560 | PA      | $1350193.52   | 0.49%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140FEYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104764 | PA      | $97966.42     | 0.04%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37759 | PA      | $36250.36     | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                         | Intel Corp.                                                                    | CUSIP: 458140BU3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    338000 | PA      | $267694.84    | 0.10%             | 2031-08-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347218 | PA      | $311225.45    | 0.11%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| European Investment Bank                            | European Investment Bank                                                       | CUSIP: 298785HM1<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | US        |    545000 | PA      | $506054.59    | 0.19%             | 2027-05-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                    | Berkshire Hathaway Finance Corp.                                               | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    425000 | PA      | $380990.33    | 0.14%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                             | Simon Property Group LP                                                        | CUSIP: 828807CZ8<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    260000 | PA      | $207628.25    | 0.08%             | 2046-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                     | Goldman Sachs Group, Inc. (The)                                                | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    715000 | PA      | $636625.53    | 0.23%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30291 | PA      | $27103.20     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| International Business Machines Corp.               | International Business Machines Corp.                                          | CUSIP: 459200KA8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    465000 | PA      | $427446.93    | 0.16%             | 2029-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                          | AT&T, Inc.                                                                     | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    217000 | PA      | $146461.15    | 0.05%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                   | Xcel Energy, Inc.                                                              | CUSIP: 98389BAR1<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    885000 | PA      | $849428.45    | 0.31%             | 2025-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NXP BV                                              | NXP BV                                                                         | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $70829.27     | 0.03%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ5N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91968 | PA      | $87790.80     | 0.03%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117413 | PA      | $112781.07    | 0.04%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                 | Realty Income Corp.                                                            | CUSIP: 756109AT1<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    155000 | PA      | $136397.30    | 0.05%             | 2047-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 9128285P1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $590203.13    | 0.22%             | 2023-11-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51583 | PA      | $50722.84     | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                  | General Motors Financial Co., Inc.                                             | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    167000 | PA      | $130851.47    | 0.05%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70436 | PA      | $68772.93     | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 20 Year                                                                  | CUSIP: 3140J8KT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34061 | PA      | $33865.76     | 0.01%             | 2031-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255895 | PA      | $238941.09    | 0.09%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ERP Operating LP                                    | ERP Operating LP                                                               | CUSIP: 26884ABG7<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |    275000 | PA      | $251830.79    | 0.09%             | 2027-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $2000078.12   | 0.73%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJY38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9323 | PA      | $9168.71      | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 3617H2CP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60726 | PA      | $54175.02     | 0.02%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $680843.75    | 0.25%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 36196PSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90644 | PA      | $90619.24     | 0.03%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 31412PRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12945 | PA      | $12637.87     | 0.00%             | 2024-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3132Y0M80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    478459 | PA      | $424495.65    | 0.16%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    775000 | PA      | $733252.93    | 0.27%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138EM4D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560916 | PA      | $509462.44    | 0.19%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA I, 30 Year                                                                | CUSIP: 36184CR49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6708 | PA      | $6308.31      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140FEHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52147 | PA      | $46578.04     | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61431 | PA      | $58872.82     | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                              | Norfolk Southern Corp.                                                         | CUSIP: 655844BX5<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    156000 | PA      | $124851.53    | 0.05%             | 2047-11-01      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                        | Barclays plc                                                                   | CUSIP: 06738EAJ4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    270000 | PA      | $241251.24    | 0.09%             | 2045-08-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XADW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1889096 | PA      | $1558626.27   | 0.57%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140KP7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1718382 | PA      | $1403363.32   | 0.51%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, 30 Year                                                               | CUSIP: 36179QPG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151449 | PA      | $141564.09    | 0.05%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1196578.13   | 0.44%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Alibaba Group Holding Ltd.                          | Alibaba Group Holding Ltd.                                                     | CUSIP: 01609WAY8<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $127528.01    | 0.05%             | 2041-02-09      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | U.S. Treasury 10 Year Ultra Bonds                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        27 | NC      | $-21756.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Raytheon Technologies Corp.                         | Raytheon Technologies Corp.                                                    | CUSIP: 75513ECH2<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    275000 | PA      | $261887.01    | 0.10%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3140Q8SL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152006 | PA      | $140606.96    | 0.05%             | 2033-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140GXBY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83008 | PA      | $73946.00     | 0.03%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 15 Year                                                                  | CUSIP: 3138WJKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82888 | PA      | $79291.50     | 0.03%             | 2031-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                    | McDonald's Corp.                                                               | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     85000 | PA      | $70719.14     | 0.03%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CZG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116653 | PA      | $107753.73    | 0.04%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kimberly-Clark Corp.                                | Kimberly-Clark Corp.                                                           | CUSIP: 494368BU6<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    275000 | PA      | $259113.97    | 0.09%             | 2026-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC             | CenterPoint Energy Houston Electric LLC, Series AC                             | CUSIP: 15189XAT5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    315000 | PA      | $273855.22    | 0.10%             | 2049-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                        | Verizon Communications, Inc.                                                   | CUSIP: 92343VFV1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    104000 | PA      | $61923.95     | 0.02%             | 2060-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $281519.53    | 0.10%             | 2027-03-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3425000 | PA      | $3401988.28   | 1.24%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 3128MJ4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23087 | PA      | $22672.50     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3138WKRH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41957 | PA      | $40101.37     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, 30 Year                                                      | CUSIP: 31335BQZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79862 | PA      | $74068.86     | 0.03%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140J55X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123853 | PA      | $118757.00    | 0.04%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1550000 | PA      | $1409410.16   | 0.52%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Applied Materials, Inc.                             | Applied Materials, Inc.                                                        | CUSIP: 038222AK1<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |    275000 | PA      | $278260.75    | 0.10%             | 2035-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PepsiCo, Inc.                                       | PepsiCo, Inc.                                                                  | CUSIP: 713448CG1<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4987.79      | 0.00%             | 2023-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Salesforce, Inc.                                    | Salesforce, Inc.                                                               | CUSIP: 79466LAJ3<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $199316.43    | 0.07%             | 2031-07-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                  | State Street Corp.                                                             | CUSIP: 857477BY8<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    810000 | PA      | $836466.77    | 0.31%             | 2028-11-04      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                        | GS Mortgage Securities Trust, Series 2016-GS3, Class A4                        | CUSIP: 36251PAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $273683.91    | 0.10%             | 2049-10-10      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140E2F55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29302 | PA      | $27237.45     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3434087 | PA      | $2909304.20   | 1.06%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FedEx Corp.                                         | FedEx Corp.                                                                    | CUSIP: 31428XCA2<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |     75000 | PA      | $68286.87     | 0.02%             | 2050-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30456 | PA      | $29018.02     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-31

**Name of Applicant:** MAINSTAY VP FUNDS TRUST

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer