# EDGAR Filing Document

**Accession Number:** 0001364924
**File Stem:** 0000035402-25-001486
**Filing Date:** 2025-10
**Character Count:** 3791532
**Document Hash:** 90d87478daa26e1a3966c4a2714d0527
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-25-001486.hdr.sgml**: 20251028

**ACCESSION NUMBER**: 0000035402-25-001486

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251028

**DATE AS OF CHANGE**: 20251028

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Rutland Square Trust II
- **CENTRAL INDEX KEY:** 0001364924

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21991
- **FILM NUMBER:** 251424554

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

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

## Series and Classes Contracts Data

### Strategic Advisers Fidelity Core Income Fund (Series ID: S000062265)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000201710 | Strategic Advisers Fidelity Core Income Fund | FIWGX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Strategic Advisers® Fidelity® Core Income Fund**

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

**August 31, 2025**

COI-NPRT1-1025

1.9887942.106 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 4.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.1%  |  |  |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.682% 7/20/2037 (b)(c)(d) | 14150000 | 14201633 |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.8255% 4/19/2037 (b)(c)(d) | 23550000 | 23627126 |
| Bain Cap Cr Clo Ltd / Bain Cap Cr Clo LLC Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.5543% 7/18/2038 (b)(c)(d) | 13075000 | 13121272 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6755% 10/20/2037 (b)(c)(d) | 12672000 | 12703680 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.6476% 1/15/2038 (b)(c)(d) | 11218000 | 11259237 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.6655% 10/20/2037 (b)(c)(d) | 11370000 | 11401893 |
| Hartwick Park Clo Ltd Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.16%, 5.4855% 1/20/2037 (b)(c)(d) | 5740000 | 5740046 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.8355% 7/20/2037 (b)(c)(d) | 12220000 | 12264921 |
| Neuberger Berman Ln Advisers Nbla Clo 50 Ltd / Neuberger Berman Ln Series 2024-50A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.569% 7/23/2036 (b)(c)(d) | 6704000 | 6713942 |
| OCP Aegis CLO Ltd Series 2024-39A Class D1, CME Term SOFR 3 month Index + 2.8%, 7.1178% 1/16/2037 (b)(c)(d) | 250000 | 250135 |
| Valley Stream Pk Clo Ltd / Vy Stream Pk Clo LLC Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.19%, 5.5155% 1/20/2037 (b)(c)(d) | 8500000 | 8491067 |
| TOTAL BAILIWICK OF JERSEY |  | 119774952 |
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (d) | 3533110 | 3580054 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (d) | 11224120 | 11362751 |
| Evergreen Cr Card Tr Series 2025-CRT5 Class B, 5.24% 5/15/2029 (d) | 980000 | 991401 |
| TOTAL CANADA |  | 15934206 |
| GRAND CAYMAN (UK OVERSEAS TER) - 1.3%  |  |  |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.6624% 7/17/2037 (b)(c)(d) | 25100000 | 25198292 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.8178% 4/16/2037 (b)(c)(d) | 18732000 | 18792748 |
| Allegro Clo Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.34%, 5.6577% 7/20/2038 (b)(c)(d) | 8250000 | 8278487 |
| Ammc Clo 24 Ltd Series 2024-24A Class ER, CME Term SOFR 3 month Index + 6.5%, 10.8255% 1/20/2035 (b)(c)(d) | 150000 | 149987 |
| Ares Lii Clo Ltd Series 2025-52A Class A1RR, CME Term SOFR 3 month Index + 0.88%, 5.212% 4/22/2031 (b)(c)(d) | 3386460 | 3382227 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 5.6215% 7/15/2038 (b)(c)(d) | 21989000 | 22091095 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.6876% 10/15/2037 (b)(c)(d) | 7566000 | 7592095 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 5.5576% 4/15/2038 (b)(c)(d) | 11529000 | 11583843 |
| Ares XLI Clo Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.6492% 4/15/2034 (b)(c)(d) | 24780000 | 24804359 |
| Ares XXXIV CLO Ltd Series 2024-2A Class AR3, CME Term SOFR 3 month Index + 1.32%, 5.6424% 4/17/2033 (b)(c)(d) | 12294734 | 12294734 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 5.5776% 1/15/2038 (b)(c)(d) | 7970000 | 7983429 |
| Bain Capital Credit Clo Ltd Series 2025-5A Class ARR, CME Term SOFR 3 month Index + 1.15%, 5.3352% 4/20/2034 (b)(c)(d) | 10140000 | 10139899 |
| Barings Clo Ltd Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.75%, 6.0755% 1/20/2037 (b)(c)(d) | 21860000 | 21929668 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.6955% 10/20/2037 (b)(c)(d) | 11089000 | 11141251 |
| Bbam US Clo I Ltd Series 2025-1A Class D1R, CME Term SOFR 3 month Index + 3%, 7.3176% 3/30/2038 (b)(c)(d) | 125000 | 124117 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5413% 7/24/2035 (b)(c)(d) | 11631000 | 11609192 |
| Beechwood Park Clo Ltd Series 2022-1A Class A1R, CME Term SOFR 3 month Index + 1.3%, 5.6224% 1/17/2035 (b)(c)(d) | 16732000 | 16771839 |
| Benefit Street Partners CLO Ltd Series 2025-43A Class A, CME Term SOFR 3 month Index + 1.27%, 0% 10/20/2038 (b)(c)(d)(e) | 12249000 | 12249000 |
| Benefit Street Partners Clo Xxii Ltd Series 2025-22A Class ARR, CME Term SOFR 3 month Index + 1.15%, 5.4755% 4/20/2035 (b)(c)(d) | 10670000 | 10687019 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.7092% 1/15/2035 (b)(c)(d) | 9332000 | 9349124 |
| Buckhorn Park Clo Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.07%, 5.399% 7/18/2034 (b)(c)(d) | 6900000 | 6899952 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 5.6355% 1/20/2038 (b)(c)(d) | 16231000 | 16274223 |
| Carlyle US Clo Ltd Series 2024-6A Class E, CME Term SOFR 3 month Index + 5.75%, 10.0685% 10/25/2037 (b)(c)(d) | 150000 | 151568 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 5.5185% 1/25/2038 (b)(c)(d) | 10548000 | 10556438 |
| Cedar Fdg Xvii Clo Ltd Series 2025-17A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6755% 7/20/2038 (b)(c)(d) | 21114000 | 21191003 |
| Cedar Funding Ltd Series 2022-15A Class A, CME Term SOFR 3 month Index + 1.32%, 5.6455% 4/20/2035 (b)(c)(d) | 14430000 | 14429856 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.6855% 10/20/2037 (b)(c)(d) | 9231000 | 9259395 |
| CIFC Funding Ltd Series 2025-4A Class D2R, CME Term SOFR 3 month Index + 3.75%, 8.0724% 1/17/2038 (b)(c)(d) | 100000 | 100689 |
| CIFC Funding Ltd Series 2025-5A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 0% 10/15/2038 (b)(c)(d) | 11640000 | 11640000 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 5.2695% 4/18/2035 (b)(c)(d) | 13065000 | 13064386 |
| Dryden 104 Clo Ltd / Dryden 104 Clo LLC Series 2024-104A Class A1R, CME Term SOFR 3 month Index + 1.29%, 5.4935% 8/20/2034 (b)(c)(d) | 6800000 | 6812077 |
| Dryden 68 Clo Ltd Series 2024-68A Class ARR, CME Term SOFR 3 month Index + 1.1%, 5.4176% 7/15/2035 (b)(c)(d) | 5800000 | 5804251 |
| Dryden 70 Clo Ltd Series 2018-70A Class A1, CME Term SOFR 3 month Index + 1.4316%, 5.7494% 1/16/2032 (b)(c)(d) | 1737799 | 1739780 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 5.6255% 4/20/2035 (b)(c)(d) | 9710000 | 9711437 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.859% 4/18/2037 (b)(c)(d) | 12450000 | 12487325 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.6976% 7/15/2037 (b)(c)(d) | 17132000 | 17197530 |
| Dryden Senior Loan Fund Series 2021-90A Class A1A, CME Term SOFR 3 month Index + 1.3916%, 5.5952% 2/20/2035 (b)(c)(d) | 6930000 | 6934227 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.7076% 10/15/2037 (b)(c)(d) | 11494000 | 11524390 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.6976% 10/15/2037 (b)(c)(d) | 11970000 | 11999841 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 5.4434% 4/15/2038 (b)(c)(d) | 11507000 | 11499935 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.38%, 5.5835% 5/20/2036 (b)(c)(d) | 31066000 | 31118812 |
| Flatiron Clo 28 Ltd / Flatiron Clo LLC Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.32%, 5.6376% 7/15/2036 (b)(c)(d) | 9000000 | 9000000 |
| Flatiron Clo 28 Ltd / Flatiron Clo LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.08%, 5.3326% 7/15/2036 (b)(c)(d) | 13800000 | 13800000 |
| Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 5.6063% 10/22/2038 (b)(c)(d) | 11629000 | 11684563 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.6855% 10/19/2037 (b)(c)(d) | 15193000 | 15235434 |
| Flatiron Rr Clo 30 Ltd Series 2025-30A Class E, CME Term SOFR 3 month Index + 5.25%, 9.5334% 4/15/2038 (b)(c)(d) | 200000 | 201926 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (d) | 7638103 | 7427749 |
| Invesco Clo Ltd Series 2021-3A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.7236% 10/22/2034 (b)(c)(d) | 9130000 | 9136528 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.8676% 4/15/2037 (b)(c)(d) | 10990000 | 11021212 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 5.4061% 4/15/2038 (b)(c)(d) | 8302000 | 8301469 |
| Madison Park Funding 2015 Series 2024-19A Class AR3, CME Term SOFR 3 month Index + 1.6%, 5.932% 1/22/2037 (b)(c)(d) | 1913000 | 1917804 |
| Madison Park Funding Xxiii Ltd Series 2021-23A Class AR, CME Term SOFR 3 month Index + 1.2316%, 5.5454% 7/27/2031 (b)(c)(d) | 1338087 | 1340079 |
| Madison Pk Fdg L Ltd / Madison Pk Fdg L LLC Series 2021-50A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.7271% 4/19/2034 (b)(c)(d) | 9810000 | 9820713 |
| Madison Pk Fdg Lii Ltd / Madison Pk Fdg Lii LLC Series 2021-52A Class A, CME Term SOFR 3 month Index + 1.3616%, 5.6936% 1/22/2035 (b)(c)(d) | 13837000 | 13836973 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.8285% 4/25/2037 (b)(c)(d) | 21830000 | 21900205 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 5.3976% 7/15/2034 (b)(c)(d) | 13160000 | 13172318 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 5.6385% 7/25/2038 (b)(c)(d) | 11611000 | 11646762 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 5.435% 4/15/2038 (b)(c)(d) | 8033000 | 8035410 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 5.6085% 1/25/2038 (b)(c)(d) | 9690000 | 9713275 |
| Magnetite Xxiii Ltd Series 2021-23A Class AR, CME Term SOFR 3 month Index + 1.3916%, 5.7101% 1/25/2035 (b)(c)(d) | 9420000 | 9448062 |
| Magnetite Xxix Ltd / Magnetite Xxix LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6676% 7/15/2037 (b)(c)(d) | 13105000 | 13143502 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 5.4685% 1/25/2038 (b)(c)(d) | 10650000 | 10654611 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 5.5576% 1/15/2038 (b)(c)(d) | 17202000 | 17217430 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 5.2849% 4/15/2038 (b)(c)(d) | 13700000 | 13725372 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.729% 7/18/2038 (b)(c)(d) | 14150000 | 14188573 |
| OCP Clo Ltd Series 2025-44A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5622% 10/24/2038 (b)(c)(d) | 12276000 | 12303007 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 5.622% 1/22/2038 (b)(c)(d) | 16000000 | 16052096 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 5.5555% 4/20/2038 (b)(c)(d) | 7584000 | 7595376 |
| Oha Credit Funding 22 Ltd Series 2025-22A Class A1, CME Term SOFR 3 month Index + 1.33%, 5.614% 7/20/2038 (b)(c)(d) | 6319000 | 6336605 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 5.6555% 10/20/2037 (b)(c)(d) | 16110000 | 16148616 |
| OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.8255% 4/20/2037 (b)(c)(d) | 18840000 | 18893600 |
| OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.9755% 4/20/2037 (b)(c)(d) | 1300000 | 1303349 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.3435% 2/20/2038 (b)(c)(d) | 10336000 | 10332899 |
| Oha Credit Partners VII Ltd Series 2025-7A Class D1R4, CME Term SOFR 3 month Index + 2.5%, 6.7035% 2/20/2038 (b)(c)(d) | 150000 | 148934 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 5.649% 1/18/2038 (b)(c)(d) | 9640000 | 9663666 |
| Palmer Square Clo Ltd Series 2025-2A Class DR2, CME Term SOFR 3 month Index + 4.14%, 8.4576% 2/15/2038 (b)(c)(d) | 100000 | 100958 |
| Palmer Square CLO Series 2025-1A Class A1A5, CME Term SOFR 3 month Index + 1.05%, 5.265% 5/21/2034 (b)(c)(d) | 6949000 | 6954948 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 5.2277% 7/15/2033 (b)(c)(d) | 24840000 | 24845614 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 5.3176% 1/15/2033 (b)(c)(d) | 11702469 | 11716512 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class D, CME Term SOFR 3 month Index + 4.7%, 9.0176% 1/15/2033 (b)(c)(d) | 250000 | 247693 |
| Palmer Square Loan Funding Ltd Series 2024-3A Class A1, CME Term SOFR 3 month Index + 1.08%, 5.3143% 8/8/2032 (b)(c)(d) | 7373413 | 7377852 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 5.0114% 2/15/2033 (b)(c)(d) | 12212515 | 12174070 |
| Peace Park Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.7171% 10/20/2034 (b)(c)(d) | 14148000 | 14148000 |
| Peace Park Clo Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 0% 10/20/2038 (b)(c)(d) | 14148000 | 14148000 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (d) | 4511827 | 4367313 |
| Rr 16 Ltd Series 2021-16A Class A1, CME Term SOFR 3 month Index + 1.3716%, 5.6892% 7/15/2036 (b)(c)(d) | 10300000 | 10323093 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.6676% 10/15/2039 (b)(c)(d) | 13007000 | 13052525 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.6576% 1/15/2037 (b)(c)(d) | 15740000 | 15760777 |
| Sixth Street Clo Xix Ltd Series 2025-19A Class A1R, CME Term SOFR 3 month Index + 1.28%, 5.5639% 7/17/2038 (b)(c)(d) | 7550000 | 7557580 |
| Sixth Street Clo Xviii Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.25%, 0% 10/17/2038 (b)(c)(d) | 11630000 | 11630000 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.5829% 7/17/2038 (b)(c)(d) | 9562000 | 9594339 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.8376% 4/15/2037 (b)(c)(d) | 14100000 | 14151691 |
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC Series 2021-26A Class AR, CME Term SOFR 3 month Index + 1.3416%, 5.6671% 4/20/2033 (b)(c)(d) | 10781718 | 10785405 |
| TCI-Symphony CLO Ltd Series 2021-1A Class AR, CME Term SOFR 3 month Index + 1.1916%, 5.5092% 7/15/2030 (b)(c)(d) | 1330669 | 1331298 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 5.96% 9/15/2038 (b)(d) | 3381763 | 3374222 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (d) | 15842618 | 15377954 |
| Trapeza Cdo Xii Ltd Series 2007-12A Class B, CME Term SOFR 3 month Index + 0.8216%, 5.1074% 4/6/2042 (b)(c)(d) | 1380000 | 1085069 |
| Voya Clo 2022-1 Ltd / Voya Clo 2022-1 LLC Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.25%, 5.5755% 4/20/2035 (b)(c)(d) | 8170000 | 8180163 |
| Voya CLO Ltd Series 2023-1A Class A1, CME Term SOFR 3 month Index + 1.8%, 6.1255% 1/20/2037 (b)(c)(d) | 14610000 | 14651186 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.8376% 4/15/2037 (b)(c)(d) | 6280000 | 6304649 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 5.6355% 1/20/2038 (b)(c)(d) | 3951000 | 3958831 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 1074097380 |
| IRELAND - 0.0%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (d) | 10778339 | 10940812 |
| MULTI-NATIONAL - 0.0%  |  |  |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 5.5055% 4/20/2038 (b)(c)(d) | 12690000 | 12691713 |
| Ocp Clo 2018-15 Ltd Series 2025-15A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5755% 1/20/2038 (b)(c)(d) | 7637000 | 7648784 |
| TOTAL MULTI-NATIONAL |  | 20340497 |
| UNITED STATES - 2.6%  |  |  |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (d) | 17901736 | 18552395 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (d) | 16310720 | 16903551 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (d) | 11616463 | 11905143 |
| AASET Trust Series 2019-2 Class A, 3.376% 10/16/2039 (d) | 1083931 | 1073092 |
| AASET Trust Series 2019-2 Class B, 4.458% 10/16/2039 (d) | 313956 | 306142 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (d) | 6520243 | 6237424 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (d) | 15465597 | 14562511 |
| AASET Trust Series 2022-1A Class A, 6% 5/16/2047 (d) | 4901687 | 4998882 |
| Achv Abs Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (d) | 2260644 | 2277623 |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (d) | 25000000 | 25127588 |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (d) | 15756592 | 15776236 |
| Affirm Master Trust Series 2025-2A Class A, 4.67% 7/15/2033 (d) | 21900000 | 22018503 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  | 15572866 | 15666139 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (d) | 12645646 | 12962124 |
| American Express Credit Account Master Trust Series 2024-2 Class A, 5.24% 4/15/2031  | 7800000 | 8139982 |
| American Tower Trust #1 Series 2023, 5.49% 3/15/2053 (d) | 5029000 | 5120498 |
| Americredit Automobile Receivables Trust Series 2022-1 Class B, 2.77% 4/19/2027  | 3209251 | 3201990 |
| Amur Equip Fin Receivables Xv LLC Series 2025-1A Class A2, 4.7% 9/22/2031 (d) | 12695000 | 12815628 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (d) | 1035056 | 1018433 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class B, 4.335% 1/16/2040 (d) | 193906 | 186866 |
| ARI Fleet Lease Trust Series 2023-A Class A3, 5.33% 2/17/2032 (d) | 5000000 | 5043167 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (d) | 4803154 | 4838940 |
| ARI Fleet Lease Trust Series 2024-B Class A3, 5.26% 4/15/2033 (d) | 7820000 | 7978170 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (d) | 5935000 | 5945228 |
| ARI Fleet Lease Trust Series 2025-A Class B, 4.7% 1/17/2034 (d) | 1250000 | 1261259 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (d) | 9250000 | 9273683 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (d) | 4510000 | 4568582 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-2A Class A, 5.12% 8/20/2031 (d) | 9745000 | 9981529 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (d) | 2413151 | 2436459 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (d) | 9133000 | 9206102 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (d) | 22610296 | 21310907 |
| Blackbird Capital Aircraft Lease Securitization Ltd Series 2016-1A Class A, 4.213% 12/16/2041 (d)(g) | 2028920 | 2029570 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (d) | 6012000 | 6066480 |
| BofA Auto Trust Series 2025-1A Class A2A, 4.52% 11/22/2027 (d) | 17620000 | 17645228 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (d) | 10700000 | 10769748 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 14158758 | 14343368 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  | 11479000 | 11638842 |
| CarMax Auto Owner Trust Series 2024-4 Class A2A, 4.67% 12/15/2027  | 6937164 | 6949300 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 5440000 | 5486306 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 5160000 | 5179397 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 2018878 | 2025344 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 4084000 | 4127809 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (d) | 784925 | 764038 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (d) | 5654190 | 5443232 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (d) | 3098041 | 2718531 |
| Castlelake Aircraft Securitization Trust Series 2021-1R Class A, 2.741% 8/15/2041 (d) | 1934694 | 1915355 |
| Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/2046 (d) | 663736 | 659789 |
| Ccg Receivables Trust. Series 2025-1 Class A2, 4.48% 10/14/2032 (d) | 5510000 | 5532820 |
| CFMT LLC Series 2023-HB12 Class A, 4.25% 4/25/2033 (d) | 371036 | 370592 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/2029 (d) | 15195000 | 15333762 |
| Chase Issuance Trust Series 2023-A2 Class A, 5.08% 9/15/2030  | 11940000 | 12330422 |
| Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/2030  | 9000000 | 9003218 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (d) | 14161000 | 14274476 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (d) | 33162175 | 32680020 |
| DB Master Finance LLC Series 2019-1A Class A23, 4.352% 5/20/2049 (d) | 7994700 | 7910517 |
| DB Master Finance LLC Series 2019-1A Class A2II, 4.021% 5/20/2049 (d) | 7243640 | 7204721 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (d) | 28617050 | 25304658 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (d) | 9419025 | 9126259 |
| DB Master Finance LLC Series 2021-1A Class A2II, 2.493% 11/20/2051 (d) | 16661838 | 15582132 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (d) | 9720000 | 9757041 |
| Dell Equip Fin Trust Series 2025-1 Class A3, 4.61% 2/24/2031 (d) | 1600000 | 1615528 |
| DLLAA Series 2023-1A Class A2, 5.93% 7/20/2026 (d) | 1497 | 1498 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (d) | 6112000 | 6182839 |
| Dllad LLC Series 2025-1A Class A3, 4.42% 9/20/2030 (d) | 10300000 | 10386871 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (d) | 8434922 | 8466102 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (d) | 4988000 | 5106486 |
| DLLMT LLC Series 2024-1A Class A3, 4.84% 8/21/2028 (d) | 5572000 | 5626355 |
| Domino's Pizza Master Issuer LLC Series 2015-1A Class A2II, 4.474% 10/25/2045 (d) | 7146388 | 7141057 |
| Domino's Pizza Master Issuer LLC Series 2017-1A Class A23, 4.118% 7/25/2047 (d) | 28168980 | 27933634 |
| Domino's Pizza Master Issuer LLC Series 2018-1A Class A2I, 4.116% 7/25/2048 (d) | 11594558 | 11580150 |
| Domino's Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/2049 (d) | 34443840 | 33117497 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2I, 2.662% 4/25/2051 (d) | 14110975 | 13329875 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2II, 3.151% 4/25/2051 (d) | 6660653 | 6090358 |
| Domino's Pizza Master Issuer LLC Series 2025-1A Class A2I, 4.93% 7/25/2055 (d) | 10440000 | 10482413 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.8276% 7/15/2037 (b)(c)(d) | 12310000 | 12347767 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (d) | 13271489 | 13469412 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A3, 4.98% 8/21/2028 (d) | 8040000 | 8153530 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (d) | 17233000 | 17379584 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (d) | 8882361 | 8926448 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (d) | 10461000 | 10656423 |
| Exeter Automobile Receivables Trust Series 2025-4A Class A2, 4.53% 3/15/2028  | 5000000 | 5001873 |
| Exeter Automobile Receivables Trust Series 2025-4A Class B, 4.4% 5/15/2030  | 5315000 | 5330992 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 2852512 | 2860940 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 2235000 | 2253696 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 2255000 | 2267129 |
| Flatiron Clo 23 LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.24%, 5.5624% 4/17/2036 (b)(c)(d) | 8102000 | 8110013 |
| Flatiron Rr Clo 22 LLC Series 2025-2A Class AR, CME Term SOFR 3 month Index + 0.91%, 5.2276% 10/15/2034 (b)(c)(d) | 4400000 | 4394804 |
| Ford Cr Floorplan Mast Own Tr Series 2018-4 Class A, 4.06% 11/15/2030  | 5400000 | 5396671 |
| Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/2033 (d) | 5000000 | 4979552 |
| Ford Credit Auto Owner Trust Series 2021-1 Class A, 1.37% 10/17/2033 (d) | 5000000 | 4908343 |
| Ford Credit Auto Owner Trust Series 2022-D Class A3, 5.27% 5/17/2027  | 316731 | 317919 |
| Ford Credit Auto Owner Trust Series 2023-1 Class A, 4.85% 8/15/2035 (d) | 2600000 | 2646101 |
| Ford Credit Auto Owner Trust Series 2023-2 Class A, 5.28% 2/15/2036 (d) | 10800000 | 11175957 |
| Ford Credit Auto Owner Trust Series 2024-1 Class A, 4.87% 8/15/2036 (d) | 7820000 | 8008427 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (d) | 39470000 | 39652209 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class A1, 5.29% 4/15/2029 (d) | 28100000 | 28612274 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class B, 5.48% 4/15/2029 (d) | 6500000 | 6594327 |
| Fordf Series 2025-1 Class A1, 4.63% 4/15/2030  | 4985000 | 5058027 |
| Fordf Series 2025-1 Class B, 4.84% 4/15/2030  | 2515000 | 2536401 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (d) | 21463952 | 21935228 |
| GM Financial Consumer Automobile Receivables Trust Series 2022-2 Class A3, 3.1% 2/16/2027  | 6757632 | 6744464 |
| GM Financial Consumer Automobile Receivables Trust Series 2023-3 Class A3, 5.45% 6/16/2028  | 1648402 | 1660446 |
| GM Financial Leasing Trust Series 2023-3 Class A3, 5.38% 11/20/2026  | 1997057 | 1999554 |
| GM Financial Revolving Receivables Trust Series 2021-1 Class A, 1.17% 6/12/2034 (d) | 5000000 | 4848505 |
| GM Financial Revolving Receivables Trust Series 2023-1 Class A, 5.12% 4/11/2035 (d) | 6600000 | 6770050 |
| GM Financial Revolving Receivables Trust Series 2023-2 Class A, 5.77% 8/11/2036 (d) | 9800000 | 10295592 |
| GM Financial Revolving Receivables Trust Series 2024-1 Class A, 4.98% 12/11/2036 (d) | 3961000 | 4072587 |
| GM Financial Revolving Receivables Trust Series 2025-1 Class B, 4.8% 12/11/2037 (d) | 750000 | 760715 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/2028 (d) | 18500000 | 18657491 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class B, 5.73% 6/15/2028 (d) | 5700000 | 5748040 |
| GMF Floorplan Owner Revolving Trust Series 2024-1A Class A1, 5.13% 3/15/2029 (d) | 7800000 | 7908924 |
| GMF Floorplan Owner Revolving Trust Series 2024-1A Class B, 5.33% 3/15/2029 (d) | 3650000 | 3690874 |
| GMF Floorplan Owner Revolving Trust Series 2024-2A Class A, 5.06% 3/15/2031 (d) | 9100000 | 9378211 |
| GMF Floorplan Owner Revolving Trust Series 2024-2A Class B, 5.35% 3/15/2031 (d) | 2600000 | 2665912 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (d) | 20800000 | 21081048 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A2, 4.52% 10/15/2027 (d) | 10550000 | 10573598 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A3, 4.49% 4/16/2029 (d) | 8800000 | 8851151 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 5.4985% 1/25/2038 (b)(c)(d) | 23950000 | 23938025 |
| Greensky Home Improvement Trust Series 2024-2 Class A2, 5.25% 10/27/2059 (d) | 2472328 | 2479313 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (d) | 7647321 | 7427308 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (d) | 9600000 | 9669014 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A3, 5.41% 5/17/2027 (d) | 7243000 | 7297274 |
| Hyundai Auto Lease Securitization Trust Series 2024-C Class A3, 4.62% 4/17/2028 (d) | 36200000 | 36394358 |
| Hyundai Auto Lease Securitization Trust Series 2025-B Class A2A, 4.58% 9/15/2027 (d) | 23500000 | 23583352 |
| Hyundai Auto Receivables Trust Series 2023-B Class A3, 5.48% 4/17/2028  | 1594059 | 1605720 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  | 1845000 | 1862409 |
| Jersey Mike's Funding Series 2019-1A Class A2, 4.433% 2/15/2050 (d) | 3181550 | 3167069 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (d) | 22054175 | 22478875 |
| Jersey Mike's Funding Series 2025-1A Class A2, 5.61% 8/16/2055 (d) | 8630000 | 8778541 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 16550000 | 16561242 |
| Kubota Credit Owner Trust Series 2024-2A Class A3, 5.26% 11/15/2028 (d) | 2483000 | 2525397 |
| MAPS Trust Series 2021-1A Class A, 2.521% 6/15/2046 (d) | 9204860 | 8726524 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class A, 4.75% 7/16/2035 (d) | 3723470 | 3727233 |
| Marlette Funding Trust Series 2024-1A Class A, 5.95% 7/17/2034 (d) | 306563 | 306730 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A2A, 5.44% 2/16/2027  | 589959 | 591379 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  | 17761000 | 17970041 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A4, 5.32% 2/15/2030  | 7800000 | 7936996 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  | 33100000 | 33133610 |
| Mercedes-Benz Auto Receivables Series 2023-1 Class A4, 4.31% 4/16/2029  | 4500000 | 4509148 |
| Mercedes-Benz Auto Receivables Trust Series 2023-2 Class A3, 5.95% 11/15/2028  | 6373000 | 6461934 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (d) | 9840315 | 9907410 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (d) | 13419812 | 13522979 |
| MetLife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/2058 (d) | 62511 | 61620 |
| Morgan Stanley ABS Capital I Inc Series 2004-HE7 Class B3, CME Term SOFR 1 month Index + 5.3645%, 9.5224% 8/25/2034 (b)(c)(f) | 50054 | 72445 |
| Nissan Auto Receivables Owner Trust Series 2023-B Class A3, 5.93% 3/15/2028  | 6228813 | 6277615 |
| Nissan Master Owner Tr Receivable Series 2024-B Class A, 5.05% 2/15/2029 (d) | 22189000 | 22440275 |
| OCCU Auto Receivables Trust Series 2025-1A Class A3, 4.81% 11/15/2029 (d) | 5700000 | 5737508 |
| OneMain Financial Issuance Trust Series 2020-2A Class A, 1.75% 9/14/2035 (d) | 3000000 | 2944746 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (d) | 2983470 | 2985312 |
| Oportun Funding Trust Series 2025-1 Class A, 4.96% 8/16/2032 (d) | 2324139 | 2323458 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (d) | 12300000 | 12373451 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (d) | 8200000 | 8209802 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (d) | 27087078 | 27542428 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (d) | 7420000 | 7465644 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (d) | 4459002 | 4567189 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (d) | 38342430 | 36851040 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/2051 (d) | 9404100 | 9206355 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (d) | 9404100 | 8760931 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (d) | 6010000 | 6050806 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.7953% 7/25/2054 (b)(c)(d) | 1409797 | 1406911 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (d) | 9224958 | 9082058 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (d) | 5988282 | 5993671 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (b)(d) | 7640355 | 7657425 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (d) | 20575435 | 20631837 |
| Santander Drive Auto Receivables Trust Series 2025-1 Class A3, 4.74% 1/16/2029  | 11300000 | 11342018 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A3, 4.67% 8/15/2029  | 14300000 | 14392751 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class A, 3.228% 3/15/2040 (d) | 12884704 | 12307341 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class B, 4.335% 3/15/2040 (d) | 464719 | 426640 |
| SBA Tower Trust Series 2020, 1.884% 7/15/2050 (d) | 4645000 | 4592071 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (d) | 3269000 | 3109635 |
| SBA Tower Trust Series 2021, 1.631% 5/15/2051 (d) | 5173000 | 5003291 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (d) | 15775000 | 15893383 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (d) | 13950000 | 13979331 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (d) | 26622644 | 26687827 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (d) | 8985000 | 9083940 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (d) | 10923114 | 11221309 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (d) | 15575000 | 15584837 |
| Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-AA Class A2, 4.63% 7/20/2027 (d) | 25652765 | 25736793 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (d) | 10770833 | 10046967 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (d) | 17454105 | 17958717 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (d) | 40357035 | 40987033 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (d) | 21146205 | 21645274 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (d) | 18341400 | 18216062 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (d) | 18341400 | 18328928 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (d) | 9170700 | 9180978 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 5.297% 9/25/2034 (b)(c) | 43049 | 44843 |
| Toyota Auto Loan Extended Note Trust 2025-1a Series 2025-1A Class A, 4.65% 5/25/2038 (d) | 12400000 | 12654403 |
| Toyota Auto Loan Extended Note Trust Series 2021-1A Class A, 1.07% 2/27/2034 (d) | 57735000 | 56845107 |
| Toyota Auto Receivables Owner Trust Series 2023-A Class A4, 4.42% 8/15/2028  | 4000000 | 4015728 |
| Toyota Auto Receivables Owner Trust Series 2025-B Class A3, 4.34% 11/15/2029  | 7800000 | 7866855 |
| Toyota Lease Owner Trust Series 2024-A Class A3, 5.25% 4/20/2027 (d) | 1148627 | 1154267 |
| Upgrade Receivables Trust Series 2024-1A Class A, 5.37% 2/18/2031 (d) | 2720005 | 2721758 |
| USAA Auto Owner Trust Series 2024-A Class A3, 5.03% 3/15/2029 (d) | 17100000 | 17248257 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (d) | 3825000 | 3840302 |
| Verizon Master Trust Series 2023-4 Class A1A, 5.16% 6/20/2029  | 10390000 | 10469073 |
| Verizon Master Trust Series 2024-2 Class A, 4.83% 12/22/2031 (d) | 7800000 | 7986149 |
| Volkswagen Auto Loan Enhanced Trust 2023-2 Series 2023-2 Class A3, 5.48% 12/20/2028  | 7500000 | 7606186 |
| Volkswagen Auto Loan Enhanced Trust Series 2023-1 Class A3, 5.02% 6/20/2028  | 4603894 | 4629529 |
| Volvo Financial Equipment LLC Series 2024-1A Class A3, 4.29% 10/16/2028 (d) | 1236000 | 1239376 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (d) | 1500000 | 1501823 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (d) | 18383535 | 18662083 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-2A Class A, 6.46% 8/18/2038 (d) | 9150618 | 9271169 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (d) | 15848654 | 16028915 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (d) | 21492043 | 21659925 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-3A Class A1, 4.8% 9/19/2039 (d) | 8600000 | 8670868 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-1A Class A1, 4.57% 1/18/2040 (d) | 9640000 | 9713494 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (d) | 11040610 | 11451352 |
| World Omni Auto Receivables Trust 2023-B Series 2023-B Class A3, 4.66% 5/15/2028  | 9535193 | 9553474 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 6306065 | 6342053 |
| World Omni Automobile Lease Securitization Trust Series 2024-A Class A3, 5.26% 10/15/2027  | 7800000 | 7873363 |
| TOTAL UNITED STATES |  | 2106589509 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $3,316,081,347) |  | <br> **3347677356** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 0.0%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.0%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| SWITZERLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.816% 11/15/2030 (b)(c)(h) | 1182008 | 1117659 |
| UNITED KINGDOM - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| EG America LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.6989% 2/7/2028 (b)(c)(h) | 14888 | 14944 |
| UNITED STATES - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Level 3 Financing Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.566% 3/29/2032 (b)(c)(h) | 145000 | 145574 |
| Consumer Discretionary - 0.0% |  |  |
| Automobile Components - 0.0% |  |  |
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 7.066% 1/28/2032 (b)(c)(h) | 145000 | 145000 |
| Broadline Retail - 0.0% |  |  |
| Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.566% 1/23/2032 (b)(c)(h) | 1685503 | 1688874 |
| Distributors - 0.0% |  |  |
| Solenis Holdings Ltd Tranche B6 1LN, term loan CME Term SOFR 3 month Index + 3%, 7.2956% 6/20/2031 (b)(c)(h) | 989651 | 985119 |
| Diversified Consumer Services - 0.0% |  |  |
| Spin Holdco Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5774% 3/4/2028 (b)(c)(h) | 1116628 | 942858 |
| TKC Holdings Inc 1LN, term loan 13.5% 2/15/2027 (b)(h) | 610425 | 610425 |
|  |  | 1553283 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Fertitta Entertainment LLC/NV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.566% 1/29/2029 (b)(c)(h) | 1231817 | 1230438 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5572% 6/1/2028 (b)(c)(h) | 626819 | 606842 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5695% 12/30/2026 (b)(c)(h) | 635608 | 610712 |
|  |  | 2447992 |
| Household Durables - 0.0% |  |  |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.6805% 10/30/2027 (b)(c)(h) | 415995 | 414584 |
| Specialty Retail - 0.0% |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 8.2099% 6/6/2031 (b)(c)(h) | 458841 | 444993 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 9.3599% 6/6/2031 (b)(c)(h) | 843349 | 833441 |
| Wand NewCo 3 Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.816% 1/30/2031 (b)(c)(h) | 164573 | 164182 |
|  |  | 1442616 |
| TOTAL CONSUMER DISCRETIONARY |  | 8677468 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| C&S Wholesale Grocers Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 0% 8/6/2030 (b)(c)(h)(i) | 510000 | 497571 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| CVR CHC LP Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.2956% 12/30/2027 (b)(c)(h) | 1072472 | 1072473 |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 9.5699% 10/30/2028 (b)(c)(h) | 1082288 | 515439 |
|  |  | 1587912 |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 7.0712% 2/3/2032 (b)(c)(h) | 125000 | 124766 |
| Financial Services - 0.0% |  |  |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.816% 7/31/2031 (b)(c)(h) | 656704 | 655200 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.316% 7/31/2031 (b)(c)(h) | 225000 | 224438 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.9535% 2/20/2032 (b)(c)(h) | 1360000 | 1362978 |
|  |  | 2242616 |
| Insurance - 0.0% |  |  |
| Acrisure LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 3%, 7.316% 11/6/2030 (b)(c)(h) | 4975 | 4967 |
| Asurion LLC Tranche B10 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.416% 8/19/2028 (b)(c)(h) | 1030311 | 1025963 |
|  |  | 1030930 |
| TOTAL FINANCIALS |  | 3398312 |
| Health Care - 0.0% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Bausch + Lomb Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.566% 1/15/2031 (b)(c)(h) | 1440000 | 1440259 |
| QuidelOrtho Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 0% 8/16/2032 (b)(c)(h)(i) | 635000 | 627063 |
|  |  | 2067322 |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC 1LN, term loan CME Term SOFR 3 month Index + 8%, 13.7956% 6/28/2029 (b)(c)(h) | 141695 | 115126 |
| Pharmaceuticals - 0.0% |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 10.566% 10/8/2030 (b)(c)(h) | 770000 | 758666 |
| TOTAL HEALTH CARE |  | 2941114 |
| Industrials - 0.0% |  |  |
| Air Freight & Logistics - 0.0% |  |  |
| Rand Parent LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 7.2956% 3/18/2030 (b)(c)(h) | 210000 | 209026 |
| Ground Transportation - 0.0% |  |  |
| Genesee & Wyoming Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 6.0456% 4/10/2031 (b)(c)(h) | 794000 | 790117 |
| Machinery - 0.0% |  |  |
| Beach Acquisition Bidco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 0% 6/28/2032 (b)(c)(h)(i) | 60000 | 60350 |
| Passenger Airlines - 0.0% |  |  |
| Vista Management Holding Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 8.0406% 4/1/2031 (b)(c)(h) | 25000 | 25117 |
| TOTAL INDUSTRIALS |  | 1084610 |
| Information Technology - 0.0% |  |  |
| IT Services - 0.0% |  |  |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.5792% 2/10/2028 (b)(c)(h) | 654965 | 624790 |
| X Corp 1LN, term loan 9.5% 10/26/2029 (h) | 815000 | 800591 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.9579% 10/26/2029 (b)(c)(h) | 1167647 | 1140546 |
|  |  | 2565927 |
| Software - 0.0% |  |  |
| Ascend Learning LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 7.316% 12/11/2028 (b)(c)(h) | 822938 | 822164 |
| Ellucian Holdings Inc 2LN, term loan CME Term SOFR 1 month Index + 4.75%, 9.066% 11/22/2032 (b)(c)(h) | 200000 | 205500 |
| Ellucian Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 7.066% 10/9/2029 (b)(c)(h) | 10000 | 10006 |
| Polaris Newco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.3195% 6/2/2028 (b)(c)(h) | 952798 | 903424 |
| Proofpoint Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 0% 8/31/2028 (b)(c)(h)(i) | 505000 | 507278 |
| Proofpoint Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 7.316% 8/31/2028 (b)(c)(h) | 1226894 | 1232427 |
|  |  | 3680799 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |
| Sandisk Corp/DE Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 7.3407% 2/20/2032 (b)(c)(h) | 540000 | 537975 |
| TOTAL INFORMATION TECHNOLOGY |  | 6784701 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.3206% 7/3/2028 (b)(c)(h) | 641370 | 564008 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 8.3599% 3/15/2029 (b)(c)(h) | 1026489 | 1024139 |
| INEOS US Petrochem LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.666% 4/2/2029 (b)(c)(h) | 264773 | 237634 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 9.0579% 8/25/2031 (b)(c)(h) | 883735 | 869648 |
|  |  | 2695429 |
| Containers & Packaging - 0.0% |  |  |
| Clydesdale Acquisition Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 3.175%, 7.491% 4/13/2029 (b)(c)(h) | 1207576 | 1205910 |
| TOTAL MATERIALS |  | 3901339 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| NRG Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 6.0643% 4/16/2031 (b)(c)(h) | 60000 | 60048 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.816% 3/29/2030 (b)(c)(h) | 535527 | 539099 |
| Win Waste Innovations Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 7.1805% 3/24/2028 (b)(c)(h) | 368126 | 367732 |
|  |  | 906831 |
| TOTAL UTILITIES |  | 966879 |
| TOTAL UNITED STATES |  | 29985480 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $31,576,310) |  | <br> **31118083** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Capital One NA ICE IBA - USD SOFR SPREAD-ADJ ICE SWAP RATE 5Y + 1.73%, 5.974% 8/9/2028 (b)(c) | 2954000 | 3021455 |
| KeyBank NA/Cleveland OH 6.95% 2/1/2028  | 619000 | 653171 |
| Regions Bank/Birmingham AL 6.45% 6/26/2037  | 5877000 | 6352059 |
| <br> **TOTAL BANK NOTES**<br> (Cost $10,002,054) |  | <br> **10026685** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 2.1%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 5.115% 1/25/2061 (d) | 1898919 | 1900530 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (d) | 11432176 | 10108721 |
| Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/2066 (d) | 1524803 | 1355990 |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (d) | 11246276 | 10503173 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (d)(g) | 11562612 | 11628619 |
| Bravo Residential Funding Trust Series 2020-RPL2 Class A1, 2% 5/25/2059 (d) | 624773 | 583262 |
| Bravo Residential Funding Trust Series 2022-RPL1 Class A1, 2.75% 9/25/2061 (d) | 14413839 | 13271212 |
| CFMT LLC Series 2022-HB10 Class A, 3.25% 11/25/2035 (d) | 4956516 | 4939076 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (b)(d) | 8106468 | 7973972 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(d) | 4208604 | 4186186 |
| CFMT Series 2025-HB16 Class A, 3% 3/25/2035 (b)(d) | 2306191 | 2266458 |
| Cim Trust Series 2021-R3 Class A1A, 1.951% 6/25/2057 (d) | 3056725 | 2813305 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (b)(d) | 14590196 | 14708458 |
| CSMC Trust Series 2014-3R Class 2A1, CME Term SOFR 1 month Index + 0.8145%, 0% 5/27/2037 (b)(c)(d)(f) | 556406 | 56 |
| CSMC Trust Series 2014-3R Class 4A1, CME Term SOFR 1 month Index + 0.3945%, 4.3477% 5/27/2037 (b)(c)(d) | 402150 | 389311 |
| CSMC Trust Series 2015-1R Class 6A1, CME Term SOFR 1 month Index + 0.3945%, 4.3477% 5/27/2037 (b)(c)(d) | 9809 | 9747 |
| CSMC Trust Series 2020-RPL4 Class A1, 2% 1/25/2060 (d) | 201628 | 181025 |
| CSMC Trust Series 2021-RPL9 Class A1, 3.858% 2/25/2061 (b)(d) | 2679395 | 2819025 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 10360 | 10519 |
| Fannie Mae Guaranteed REMIC Series 1999-25 Class Z, 6% 6/25/2029  | 9325 | 9392 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 15896 | 16199 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 11272 | 11476 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 15718 | 16013 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 6122 | 6213 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 2467 | 2560 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 7129 | 7396 |
| Fannie Mae Guaranteed REMIC Series 2002-18 Class FD, U.S. 30-Day Avg. SOFR Index + 0.9145%, 5.2629% 2/25/2032 (b)(c) | 1292 | 1296 |
| Fannie Mae Guaranteed REMIC Series 2002-39 Class FD, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4572% 3/18/2032 (b)(c) | 2303 | 2322 |
| Fannie Mae Guaranteed REMIC Series 2002-60 Class FV, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4629% 4/25/2032 (b)(c) | 2479 | 2497 |
| Fannie Mae Guaranteed REMIC Series 2002-63 Class FN, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4629% 10/25/2032 (b)(c) | 2886 | 2907 |
| Fannie Mae Guaranteed REMIC Series 2002-7 Class FC, U.S. 30-Day Avg. SOFR Index + 0.8645%, 5.2129% 1/25/2032 (b)(c) | 1180 | 1182 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.0871% 11/25/2032 (b)(j) | 2564 | 70 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6371% 12/25/2033 (b)(j) | 53749 | 6818 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6371% 3/25/2033 (b)(j) | 3482 | 387 |
| Fannie Mae Guaranteed REMIC Series 2005-102 Class CO, 0% 11/25/2035 (l) | 6643 | 5777 |
| Fannie Mae Guaranteed REMIC Series 2005-39 Class TE, 5% 5/25/2035  | 9192 | 9361 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.2571% 6/25/2035 (b)(j) | 67912 | 4846 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class ZC, 5.5% 8/25/2035  | 192115 | 199555 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index x 17.2524%, 5.9465% 8/25/2035 (b)(c) | 1412 | 1492 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 131288 | 133129 |
| Fannie Mae Guaranteed REMIC Series 2005-81 Class PC, 5.5% 9/25/2035  | 24540 | 25253 |
| Fannie Mae Guaranteed REMIC Series 2006-104 Class GI, 6.5655% - U.S. 30-Day Avg. SOFR Index 2.2171% 11/25/2036 (b)(j) | 36826 | 3208 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.1771% 12/25/2036 (b)(j) | 24068 | 2424 |
| Fannie Mae Guaranteed REMIC Series 2006-12 Class BO, 0% 10/25/2035 (l) | 29047 | 26086 |
| Fannie Mae Guaranteed REMIC Series 2006-15 Class OP, 0% 3/25/2036 (l) | 48224 | 41505 |
| Fannie Mae Guaranteed REMIC Series 2006-37 Class OW, 0% 5/25/2036 (l) | 5344 | 4425 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 1.9771% 5/25/2037 (b)(j) | 14293 | 1350 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index x 39.9331%, 13.8428% 6/25/2037 (b)(c) | 14374 | 19660 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SA, U.S. 30-Day Avg. SOFR Index x 38.9131%, 12.8228% 7/25/2037 (b)(c) | 14867 | 20083 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index x 38.9131%, 12.8228% 7/25/2037 (b)(c) | 2675 | 3074 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 66501 | 64018 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 564704 | 559271 |
| Fannie Mae Guaranteed REMIC Series 2011-39 Class ZA, 6% 11/25/2032  | 55277 | 57085 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 219889 | 219020 |
| Fannie Mae Guaranteed REMIC Series 2011-67 Class AI, 4% 7/25/2026 (j) | 85 | 0 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (j) | 84776 | 1679 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 57352 | 53593 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 74770 | 69959 |
| Fannie Mae Guaranteed REMIC Series 2012-154 Class F, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.7629% 1/25/2043 (b)(c) | 384867 | 376483 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (j) | 345 | 3 |
| Fannie Mae Guaranteed REMIC Series 2013-100 Class PJ, 3% 3/25/2043  | 6636518 | 6389620 |
| Fannie Mae Guaranteed REMIC Series 2013-123 Class PZ, 2.7% 3/25/2043  | 7388516 | 6739564 |
| Fannie Mae Guaranteed REMIC Series 2013-133 Class IB, 3% 4/25/2032 (j) | 1193 | 5 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 1.5871% 1/25/2044 (b)(j) | 63694 | 7392 |
| Fannie Mae Guaranteed REMIC Series 2013-16 Class GP, 3% 3/25/2033  | 164834 | 162318 |
| Fannie Mae Guaranteed REMIC Series 2013-44 Class DJ, 1.85% 5/25/2033  | 4603486 | 4274961 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (j) | 351439 | 50406 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 415301 | 397108 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 9789542 | 8499305 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (j) | 186505 | 26496 |
| Fannie Mae Guaranteed REMIC Series 2017-32 Class PA, 2.7% 5/25/2047  | 7283871 | 6669176 |
| Fannie Mae Guaranteed REMIC Series 2017-36 Class FB, U.S. 30-Day Avg. SOFR Index + 0.4645%, 4.8129% 5/25/2047 (b)(c) | 831877 | 808124 |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  | 1416660 | 1309093 |
| Fannie Mae Guaranteed REMIC Series 2018-32 Class FB, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.7629% 5/25/2048 (b)(c) | 444076 | 429732 |
| Fannie Mae Guaranteed REMIC Series 2018-38 Class FG, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.7629% 6/25/2048 (b)(c) | 1071090 | 1033150 |
| Fannie Mae Guaranteed REMIC Series 2019-23 Class FC, U.S. 30-Day Avg. SOFR Index + 0.5645%, 4.9129% 5/25/2049 (b)(c) | 6988067 | 6843485 |
| Fannie Mae Guaranteed REMIC Series 2020-39 Class MG, 1.5% 6/25/2040  | 20100154 | 16993095 |
| Fannie Mae Guaranteed REMIC Series 2020-45 Class JC, 1.5% 7/25/2040  | 20639877 | 17434580 |
| Fannie Mae Guaranteed REMIC Series 2021-21 Class HG, 2% 11/25/2047  | 4877161 | 4379513 |
| Fannie Mae Guaranteed REMIC Series 2021-45 Class DA, 3% 7/25/2051  | 8112454 | 7145654 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 5730992 | 4798501 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 6090402 | 5099432 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 4453881 | 3837481 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  | 1795019 | 1495551 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 5017486 | 4451540 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 14702806 | 12895868 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 9695832 | 8633041 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 20273076 | 17836428 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 7990843 | 6969159 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 5063572 | 4667450 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 5571106 | 5184369 |
| Fannie Mae Guaranteed REMIC Series 2022-12 Class EA, 2.25% 9/25/2046  | 5958180 | 5440985 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 7101822 | 6673689 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 3766096 | 3475709 |
| Fannie Mae Guaranteed REMIC Series 2022-15 Class GC, 3% 1/25/2047  | 6117365 | 5755503 |
| Fannie Mae Guaranteed REMIC Series 2022-17 Class BH, 3% 5/25/2047  | 6615192 | 6305703 |
| Fannie Mae Guaranteed REMIC Series 2022-18 Class DL, 3.25% 7/25/2046  | 11123433 | 10642317 |
| Fannie Mae Guaranteed REMIC Series 2022-2 Class TH, 2.5% 2/25/2052  | 2551201 | 2346079 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 14489185 | 12941779 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 60711779 | 53656179 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 5750454 | 5056044 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 4329254 | 4255239 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 16602662 | 14836799 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 8/25/2052 (b)(c) | 17926878 | 17642889 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 9/25/2052 (b)(c) | 38472602 | 37863139 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 10/25/2052 (b)(c) | 12594147 | 12429162 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.1484% 10/25/2052 (b)(c) | 44888775 | 44176611 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 7163020 | 6605056 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 14023206 | 12682434 |
| Fannie Mae Guaranteed REMIC Series 2022-9 Class DJ, 3.25% 3/25/2049  | 6300501 | 5910391 |
| Fannie Mae Guaranteed REMIC Series 2023-51 Class FB, U.S. 30-Day Avg. SOFR Index + 1.55%, 5.8984% 11/25/2053 (b)(c) | 32526335 | 32810342 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.8484% 11/25/2053 (b)(c) | 20354542 | 20520308 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FP, U.S. 30-Day Avg. SOFR Index + 1.55%, 5.8984% 11/25/2053 (b)(c) | 46238265 | 46639767 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.7984% 11/25/2053 (b)(c) | 5794727 | 5844310 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.8484% 11/25/2053 (b)(c) | 27932313 | 28161140 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.8784% 7/25/2054 (b)(c) | 7883073 | 7934492 |
| Fannie Mae Guaranteed REMIC Series 2024-70 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 10/25/2054 (b)(c) | 21857867 | 21785596 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 12/25/2054 (b)(c) | 45654845 | 45710554 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.4484% 12/25/2054 (b)(c) | 11281688 | 11288721 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-41 Class J, 7.5% 6/18/2027  | 994 | 1012 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-45 Class OP, 0% 6/25/2036 (l) | 15636 | 13230 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-62 Class KP, 0% 4/25/2036 (l) | 24444 | 20743 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (j) | 41172 | 1481 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-59 Class MC, 1.5% 8/25/2040  | 22726285 | 19184409 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 6/25/2054 (b)(c) | 22912783 | 22955243 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-33 Class FC, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.9484% 8/25/2054 (b)(c) | 23519989 | 23689201 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 9/25/2054 (b)(c) | 10244490 | 10255953 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.7484% 2/25/2055 (b)(c) | 16250362 | 16315903 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.7484% 9/25/2054 (b)(c) | 16497753 | 16557730 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 2/25/2055 (b)(c) | 21455865 | 21517703 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (b)(c) | 9128893 | 9139351 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 1176219 | 1160145 |
| Fannie Mae Series 2022-28 Class A, 2.5% 2/25/2052  | 12698059 | 12067995 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 14034045 | 13963564 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 5989805 | 5522504 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (j) | 12230 | 1722 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (j) | 11554 | 1669 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (b)(j) | 9762 | 1722 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (b)(j) | 5915 | 890 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (j) | 9261 | 1543 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (b)(j) | 5371 | 936 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (j) | 53295 | 8543 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class CJ, 6.5% 4/15/2028  | 1226 | 1240 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class ZH, 6% 4/15/2028  | 2477 | 2516 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2056 Class Z, 6% 5/15/2028  | 8921 | 9074 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 626375 | 617246 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2018-4795 Class FA, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.7572% 5/15/2048 (b)(c) | 736186 | 710671 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5148 Class D, 1.75% 10/25/2051  | 10979718 | 8609161 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 4278037 | 3798283 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 4579086 | 4032354 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 4365812 | 3880159 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 5583336 | 4805463 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 5740 | 5861 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2131 Class BG, 6% 3/15/2029  | 33551 | 34288 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 3150 | 3223 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2137 Class PG, 6% 3/15/2029  | 4671 | 4763 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 12288 | 12557 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 6241 | 6375 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 4104 | 4164 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2303 Class ZV, 6% 4/15/2031  | 3290 | 3377 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 37960 | 39087 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2380 Class SY, 8.0855% - U.S. 30-Day Avg. SOFR Index 3.7428% 11/15/2031 (b)(j) | 1499 | 73 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2412 Class FK, U.S. 30-Day Avg. SOFR Index + 0.9145%, 5.2572% 1/15/2032 (b)(c) | 970 | 972 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2423 Class FA, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3572% 3/15/2032 (b)(c) | 1337 | 1343 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2424 Class FM, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4572% 3/15/2032 (b)(c) | 1261 | 1270 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FE, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3572% 6/15/2031 (b)(c) | 2041 | 2049 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3572% 3/15/2032 (b)(c) | 692 | 695 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 12048 | 12430 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2519 Class ZD, 5.5% 11/15/2032  | 12825 | 13057 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 28738 | 29716 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2587 Class IM, 6.5% 3/15/2033 (j) | 1517 | 221 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 114592 | 117150 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 17165 | 17605 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 287741 | 293437 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 113474 | 117384 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 181661 | 184248 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 58897 | 60524 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3110 Class OP, 0% 9/15/2035 (l) | 1139 | 1132 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.1428% 2/15/2036 (b)(j) | 18306 | 1704 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3119 Class PO, 0% 2/15/2036 (l) | 58876 | 48755 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3121 Class KO, 0% 3/15/2036 (l) | 8527 | 7504 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3123 Class LO, 0% 3/15/2036 (l) | 32308 | 27142 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3145 Class GO, 0% 4/15/2036 (l) | 36096 | 30442 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 60249 | 63006 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 239788 | 246403 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.2028% 11/15/2036 (b)(j) | 81163 | 7538 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3258 Class PM, 5.5% 12/15/2036  | 16316 | 16829 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.1228% 6/15/2037 (b)(j) | 59891 | 6016 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3366 Class FD, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.7072% 5/15/2037 (b)(c) | 62591 | 61821 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 27988 | 28407 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2010-3720 Class EB, 4% 9/15/2025  | 8452 | 8436 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 282416 | 287396 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 106506 | 106156 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4116 Class AP, 1.35% 8/15/2042  | 9910257 | 8804566 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 58272 | 54773 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (j) | 25099 | 1625 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4281 Class AI, 4% 12/15/2028 (j) | 4 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (j) | 39 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (j) | 130917 | 4197 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 118171 | 117435 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 492801 | 475306 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4709 Class FE, U.S. 30-Day Avg. SOFR Index + 0.4645%, 4.8072% 8/15/2047 (b)(c) | 409218 | 397955 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-4954 Class KE, 1.5% 2/25/2050  | 2513729 | 2046491 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5000 Class BA, 2% 4/25/2045  | 12389988 | 11493097 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 7522052 | 7075715 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  | 6219497 | 5246705 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 2495021 | 2260422 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5041 Class LA, 1.5% 11/25/2040  | 3083041 | 2585784 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5046 Class PT, 1.5% 11/25/2040  | 2333764 | 1973880 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5059 Class GA, 1% 1/25/2051  | 1545893 | 1193785 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5066 Class A, 1.5% 11/25/2044  | 3259892 | 2840889 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5077 Class ME, 2% 8/15/2048  | 4088786 | 3511589 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 4517371 | 3836200 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 4426719 | 3801420 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 4386631 | 3727607 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 4336730 | 3794408 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 29106576 | 25533168 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 5720590 | 5152678 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 38540248 | 34279200 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 4030908 | 3535506 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 3922036 | 3439713 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 3798965 | 3419289 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 3289104 | 2883777 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 6721101 | 5802208 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  | 21529824 | 19235959 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 3289119 | 2883780 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 2881883 | 2596378 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 13628309 | 12353931 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5201 Class EB, 3% 2/25/2048  | 7497285 | 6947422 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 3142640 | 2883213 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 3093316 | 2791066 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 5399976 | 4858765 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5207 Class PA, 3% 6/25/2051  | 9816393 | 8660334 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EA, 3% 8/25/2050  | 9043323 | 8368368 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EJ, 3% 8/25/2050  | 9043323 | 8368368 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class AB, 3% 1/25/2042  | 7227411 | 6795986 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class TA, 3.5% 11/25/2046  | 4115597 | 3923311 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CB, 3.25% 4/25/2052  | 17082770 | 16199523 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 5420561 | 5464813 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 9818886 | 9781936 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 8/25/2053 (b)(c) | 9376486 | 9367247 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.7984% 10/25/2053 (b)(c) | 15998784 | 16161689 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5357 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.7984% 11/25/2053 (b)(c) | 51795177 | 52177421 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 6/25/2054 (b)(c) | 6809802 | 6827466 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 5.3484% 10/25/2054 (b)(c) | 8066682 | 8059166 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (b)(c) | 32564606 | 32601205 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.5484% 2/25/2055 (b)(c) | 8645513 | 8624030 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.5984% 10/25/2054 (b)(c) | 15825408 | 15861941 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.4984% 2/25/2055 (b)(c) | 13215339 | 13230783 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5517 Class HF, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.6984% 3/25/2055 (b)(c) | 12517302 | 12536789 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.3984% 4/25/2055 (b)(c) | 7960275 | 7942618 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 13796 | 14067 |
| Freddie Mac Non Gold Pool Series 1998-2101 Class PD, 6% 11/15/2028  | 1027 | 1045 |
| Freddie Mac Non Gold Pool Series 1998-2104 Class PG, 6% 12/15/2028  | 1109 | 1132 |
| Freddie Mac Non Gold Pool Series 1999-2114 Class ZM, 6% 1/15/2029  | 464 | 473 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 1927 | 1960 |
| Freddie Mac Non Gold Pool Series 2006-3225 Class EO, 0% 10/15/2036 (l) | 18301 | 15186 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/2057  | 260674 | 243346 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class MA, 3.5% 8/25/2057  | 4289249 | 4120587 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4 Class MA, 3.5% 3/25/2058  | 1722142 | 1662808 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1 Class MA, 3.5% 7/25/2058  | 2973957 | 2844273 |
| Gcat 2021-Nqm7 Tr Series 2021-NQM7 Class A1, 1.915% 8/25/2066 (d) | 756297 | 699988 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.7993% 5/20/2060 (b)(c)(k) | 83867 | 83773 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.7417% 8/20/2060 (b)(c)(k) | 20168 | 20111 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.8217% 12/20/2060 (b)(c)(k) | 64312 | 64211 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9417% 12/20/2060 (b)(c)(k) | 48529 | 48539 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9417% 2/20/2061 (b)(c)(k) | 53585 | 53595 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.9317% 2/20/2061 (b)(c)(k) | 57482 | 57482 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9417% 4/20/2061 (b)(c)(k) | 53632 | 53645 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.9417% 5/20/2061 (b)(c)(k) | 57839 | 57845 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.9417% 5/20/2061 (b)(c)(k) | 54170 | 54180 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.9717% 6/20/2061 (b)(c)(k) | 52795 | 52827 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.9917% 9/20/2061 (b)(c)(k) | 146794 | 146923 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 5.0417% 10/20/2061 (b)(c)(k) | 62667 | 62768 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 5.1417% 11/20/2061 (b)(c)(k) | 66269 | 66442 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 5.1417% 1/20/2062 (b)(c)(k) | 38146 | 38249 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 5.0717% 1/20/2062 (b)(c)(k) | 68942 | 69093 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 5.0717% 3/20/2062 (b)(c)(k) | 39162 | 39214 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 5.0917% 5/20/2061 (b)(c)(k) | 260 | 259 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H03 Class FA, CME Term SOFR 1 month Index + 0.7145%, 5.0417% 1/20/2064 (b)(c)(k) | 30953 | 31008 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H05 Class FB, CME Term SOFR 1 month Index + 0.7145%, 5.0417% 12/20/2063 (b)(c)(k) | 66752 | 66864 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H11 Class BA, CME Term SOFR 1 month Index + 0.6145%, 4.9417% 6/20/2064 (b)(c)(k) | 48682 | 48695 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class FL, CME Term SOFR 1 month Index + 0.3945%, 4.7217% 5/20/2063 (b)(c)(k) | 2618 | 2607 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (k) | 2215 | 2084 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H19 Class FA, CME Term SOFR 1 month Index + 0.3145%, 4.6417% 4/20/2063 (b)(c)(k) | 2484 | 2440 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H13 Class FB, 1 year U.S. Treasury Index + 0.5%, 4.48% 5/20/2066 (b)(c)(k) | 131864 | 131548 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H20 Class FM, CME Term SOFR 1 month Index + 0.5145%, 4.8417% 12/20/2062 (b)(c)(k) | 9496 | 9451 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 87141 | 79790 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 4.33% 8/20/2066 (b)(c)(k) | 178827 | 178077 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 93174 | 93218 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.0256% 5/16/2034 (b)(j) | 21997 | 1286 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 2.7256% 8/17/2034 (b)(j) | 16731 | 1624 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.2156% 6/16/2037 (b)(j) | 34845 | 3070 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  | 56039 | 53819 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 809543 | 794512 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 178785 | 175297 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 5.0193% 3/20/2060 (b)(c)(k) | 105269 | 105375 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (j) | 6716 | 241 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-52 Class HI, 7% 4/16/2041 (j) | 15927 | 1872 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 1.6451% 7/20/2041 (b)(j) | 69304 | 7113 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 288706 | 284402 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 1454736 | 1322936 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 557802 | 520866 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 948239 | 869211 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 756672 | 689497 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 239173 | 221376 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 2436323 | 2174097 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-153 Class GA, 3% 9/20/2047  | 795620 | 720999 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-182 Class KA, 3% 10/20/2047  | 641012 | 583322 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 808372 | 754180 |
| Ginnie Mae REMIC pass-thru certificates Series 2018-13 Class Q, 3% 4/20/2047  | 729837 | 685465 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.9049% 2/20/2049 (b)(c) | 1665572 | 1639477 |
| Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.2647% 5/20/2065 (b)(k) | 21235 | 20833 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (d) | 7144860 | 6982134 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (d)(g) | 2857799 | 2799660 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (b)(d) | 11150354 | 11235016 |
| Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 5.25% 7/25/2067 (b)(d) | 1825539 | 1825127 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (d) | 38610092 | 36496251 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (b)(d) | 708588 | 670294 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (b)(d) | 18611178 | 18737020 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-Nqm4 Series 2025-NQM4 Class A1, 5.588% 6/25/2070 (d) | 6538925 | 6591083 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (d) | 2841445 | 2679152 |
| New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/2059 (d) | 280927 | 262963 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (d) | 11833255 | 11070192 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (d) | 7978142 | 7519928 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (d) | 4849494 | 4650869 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (d)(g) | 6822650 | 6836585 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (d)(g) | 21175369 | 21321697 |
| Oceanview Mortgage Loan Trust Series 2020-1 Class A1A, 1.7329% 5/28/2050 (d) | 28674 | 26992 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (d) | 963679 | 955944 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (d) | 1212202 | 1192627 |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (b)(d) | 8472411 | 8233489 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (d) | 4477110 | 4481123 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (d)(g) | 14478755 | 14064322 |
| PRET LLC Series 2022-RN1 Class A1, 6.721% 7/25/2051 (d)(g) | 1269102 | 1272312 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (d) | 1446084 | 1382669 |
| Prpm 2023-Rcf1 LLC Series 2023-RCF1 Class A1, 4% 6/25/2053 (d) | 4797705 | 4732260 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (b)(d) | 8885917 | 8916247 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (d) | 3851733 | 3786978 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (b)(d) | 7578140 | 7429511 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (b)(d) | 5827552 | 5730050 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (b)(d) | 19524580 | 19000104 |
| PRPM LLC Series 2024-RPL4 Class A1, 4% 12/25/2054 (d)(g) | 1108362 | 1086238 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (d) | 1874548 | 1761100 |
| Santander Mtg Asset Receivables Tr 2025-Nqm3 Series 2025-NQM3 Class A1, 5.599% 5/25/2065 (d) | 16160755 | 16271631 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 5.5468% 7/20/2034 (b)(c) | 1400 | 1303 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 5.077% 9/25/2043 (b)(c) | 36101 | 34951 |
| TOWD Point Mortgage Trust Series 2018-1 Class A2, 3.25% 1/25/2058 (d) | 4549920 | 4432035 |
| Towd Point Mortgage Trust Series 2020-1 Class A1, 2.71% 1/25/2060 (d) | 565560 | 542615 |
| Towd Point Mortgage Trust Series 2021-1 Class A1, 2.25% 11/25/2061 (b)(d) | 21849456 | 20637331 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (d) | 37929210 | 36024837 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (b)(d) | 19187386 | 19287013 |
| Verus Securitization Trust Series 2025-6 Class A1, 5.417% 7/25/2070 (d)(g) | 13560750 | 13665709 |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 6.399% 9/25/2033 (b) | 3720 | 3687 |
| TOTAL UNITED STATES |  | 1759528779 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $1,748,550,986) |  | <br> **1759528779** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 3.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 3.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 3.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 3.1%  |  |  |
| 3650r Commercial Mortgage Trust Series 2021-PF1 Class A1, 1.122% 11/15/2054  | 3563905 | 3490576 |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.1066% 6/15/2040 (b)(c)(d) | 41328000 | 41508810 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (d) | 4917815 | 4720910 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (d) | 858000 | 806486 |
| BANK Series 2017-BNK5 Class A4, 3.131% 6/15/2060  | 2699975 | 2658277 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 10059000 | 9907554 |
| BANK Series 2017-BNK6 Class ASB, 3.289% 7/15/2060  | 1104351 | 1097447 |
| BANK Series 2017-BNK8 Class A3, 3.229% 11/15/2050  | 3740736 | 3681617 |
| BANK Series 2018-BN10 Class A4, 3.428% 2/15/2061  | 7238339 | 7119703 |
| BANK Series 2018-BN13 Class A4, 3.953% 8/15/2061  | 6489939 | 6453828 |
| BANK Series 2018-BN14 Class ASB, 4.185% 9/15/2060  | 3481133 | 3473866 |
| BANK Series 2018-BN15 Class ASB, 4.285% 11/15/2061  | 775181 | 774326 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 1112000 | 1040478 |
| BANK Series 2019-BN21 Class ASB, 2.808% 10/17/2052  | 5377123 | 5234192 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 2855044 | 2774697 |
| BANK Series 2020-BN25 Class XB, 0.5289% 1/15/2063 (b)(j) | 30600000 | 555063 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 20445841 | 19684315 |
| BANK Series 2021-BN33 Class XA, 1.155% 5/15/2064 (b)(j) | 101973069 | 4110759 |
| BANK Series 2022-BNK44 Class A5, 5.9352% 11/15/2055 (b) | 5700000 | 6071791 |
| BANK Series 2023-BNK45 Class A5, 5.203% 2/15/2056 (b) | 8201000 | 8391677 |
| BANK Series 2024-BNK48 Class A5, 5.053% 10/15/2057  | 8774000 | 8899848 |
| BANK5 Series 2023-5YR1 Class A2, 5.779% 4/15/2056  | 14200000 | 14595453 |
| Bayview Commercial Asset Trust Series 2005-3A Class A2, CME Term SOFR 1 month Index + 0.7145%, 5.037% 11/25/2035 (b)(c)(d) | 18513 | 17991 |
| Bayview Commercial Asset Trust Series 2005-3A Class M1, CME Term SOFR 1 month Index + 0.7745%, 5.097% 11/25/2035 (b)(c)(d) | 5018 | 4698 |
| Bayview Commercial Asset Trust Series 2005-4A Class A2, CME Term SOFR 1 month Index + 0.6995%, 5.022% 1/25/2036 (b)(c)(d) | 44403 | 41958 |
| Bayview Commercial Asset Trust Series 2005-4A Class M1, CME Term SOFR 1 month Index + 0.7895%, 5.112% 1/25/2036 (b)(c)(d) | 14334 | 13562 |
| Bayview Commercial Asset Trust Series 2005-4A Class M2, CME Term SOFR 1 month Index + 0.8195%, 5.142% 1/25/2036 (b)(c)(d) | 5406 | 5056 |
| Bayview Commercial Asset Trust Series 2005-4A Class M3, CME Term SOFR 1 month Index + 0.8645%, 5.187% 1/25/2036 (b)(c)(d) | 7867 | 7301 |
| Bayview Commercial Asset Trust Series 2006-1A Class A2, CME Term SOFR 1 month Index + 0.6545%, 4.977% 4/25/2036 (b)(c)(d) | 7465 | 6990 |
| Bayview Commercial Asset Trust Series 2006-1A Class M1, CME Term SOFR 1 month Index + 0.6845%, 5.007% 4/25/2036 (b)(c)(d) | 4514 | 4197 |
| Bayview Commercial Asset Trust Series 2006-1A Class M2, CME Term SOFR 1 month Index + 0.7145%, 5.037% 4/25/2036 (b)(c)(d) | 4774 | 4305 |
| Bayview Commercial Asset Trust Series 2006-1A Class M6, CME Term SOFR 1 month Index + 1.0745%, 5.397% 4/25/2036 (b)(c)(d) | 4514 | 3923 |
| Bayview Commercial Asset Trust Series 2006-2A Class M1, CME Term SOFR 1 month Index + 0.5795%, 4.902% 7/25/2036 (b)(c)(d) | 6708 | 6406 |
| Bayview Commercial Asset Trust Series 2006-2A Class M2, CME Term SOFR 1 month Index + 0.6095%, 4.932% 7/25/2036 (b)(c)(d) | 4766 | 4452 |
| Bayview Commercial Asset Trust Series 2006-2A Class M4, CME Term SOFR 1 month Index + 0.7445%, 5.067% 7/25/2036 (b)(c)(d) | 4501 | 4261 |
| Bayview Commercial Asset Trust Series 2006-4A Class A2, CME Term SOFR 1 month Index + 0.5195%, 4.842% 12/25/2036 (b)(c)(d) | 96178 | 90918 |
| Bayview Commercial Asset Trust Series 2006-4A Class M1, CME Term SOFR 1 month Index + 0.5495%, 4.872% 12/25/2036 (b)(c)(d) | 7730 | 7445 |
| Bayview Commercial Asset Trust Series 2006-4A Class M3, CME Term SOFR 1 month Index + 0.6245%, 4.947% 12/25/2036 (b)(c)(d) | 5239 | 5227 |
| Bayview Commercial Asset Trust Series 2007-1 Class A2, CME Term SOFR 1 month Index + 0.5195%, 4.842% 3/25/2037 (b)(c)(d) | 24032 | 22749 |
| Bayview Commercial Asset Trust Series 2007-2A Class A1, CME Term SOFR 1 month Index + 0.3845%, 4.842% 7/25/2037 (b)(c)(d) | 80245 | 74085 |
| Bayview Commercial Asset Trust Series 2007-2A Class A2, CME Term SOFR 1 month Index + 0.4345%, 4.917% 7/25/2037 (b)(c)(d) | 75109 | 69197 |
| Bayview Commercial Asset Trust Series 2007-2A Class M1, CME Term SOFR 1 month Index + 0.4845%, 4.992% 7/25/2037 (b)(c)(d) | 25586 | 24904 |
| Bayview Commercial Asset Trust Series 2007-2A Class M2, CME Term SOFR 1 month Index + 0.5245%, 5.052% 7/25/2037 (b)(c)(d) | 16669 | 16191 |
| Bayview Commercial Asset Trust Series 2007-2A Class M3, CME Term SOFR 1 month Index + 0.6045%, 5.172% 7/25/2037 (b)(c)(d)(f) | 25116 | 21784 |
| Bayview Commercial Asset Trust Series 2007-3 Class A2, CME Term SOFR 1 month Index + 0.5495%, 4.872% 7/25/2037 (b)(c)(d) | 25628 | 24071 |
| Bayview Commercial Asset Trust Series 2007-3 Class M1, CME Term SOFR 1 month Index + 0.5795%, 4.902% 7/25/2037 (b)(c)(d) | 13595 | 12748 |
| Bayview Commercial Asset Trust Series 2007-3 Class M2, CME Term SOFR 1 month Index + 0.6245%, 4.947% 7/25/2037 (b)(c)(d) | 14505 | 13470 |
| Bayview Commercial Asset Trust Series 2007-3 Class M3, CME Term SOFR 1 month Index + 0.6695%, 4.992% 7/25/2037 (b)(c)(d) | 23416 | 21881 |
| Bayview Commercial Asset Trust Series 2007-3 Class M4, CME Term SOFR 1 month Index + 0.8645%, 5.187% 7/25/2037 (b)(c)(d) | 36816 | 34370 |
| Bayview Commercial Asset Trust Series 2007-3 Class M5, CME Term SOFR 1 month Index + 1.0145%, 5.337% 7/25/2037 (b)(c)(d) | 24546 | 26073 |
| BBCMS Mortgage Trust Series 2019-C3 Class ASB, 3.458% 5/15/2052  | 3148785 | 3108648 |
| BBCMS Mortgage Trust Series 2019-C5 Class ASB, 2.99% 11/15/2052  | 1526961 | 1497692 |
| BBCMS Mortgage Trust Series 2021-C11 Class ASB, 2.108% 9/15/2054  | 2000000 | 1879297 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.5057% 9/15/2056 (b) | 13794000 | 14873876 |
| Bbcms Mtg Tr Series 2025-5C34 Class A3, 5.659% 5/15/2058  | 4000000 | 4208604 |
| BCP Trust Series 2021-330N Class A, CME Term SOFR 1 month Index + 0.9135%, 5.2775% 6/15/2038 (b)(c)(d) | 4207067 | 3804309 |
| Benchmark Mortgage Trust Series 2018-B1 Class ASB, 3.602% 1/15/2051  | 1675224 | 1661602 |
| Benchmark Mortgage Trust Series 2018-B2 Class ASB, 3.7802% 2/15/2051  | 1556665 | 1544592 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  | 1260000 | 1247289 |
| Benchmark Mortgage Trust Series 2018-B6 Class A3, 3.995% 10/10/2051  | 4700000 | 4642014 |
| Benchmark Mortgage Trust Series 2018-B7 Class A2, 4.377% 5/15/2053  | 888240 | 885232 |
| Benchmark Mortgage Trust Series 2018-B7 Class A4, 4.51% 5/15/2053  | 3112512 | 3120443 |
| Benchmark Mortgage Trust Series 2018-B8 Class A5, 4.2317% 1/15/2052  | 15369000 | 15148567 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  | 2683000 | 2609621 |
| Benchmark Mortgage Trust Series 2019-B10 Class ASB, 3.615% 3/15/2062  | 6537768 | 6457993 |
| Benchmark Mortgage Trust Series 2019-B12 Class XA, 1.2011% 8/15/2052 (b)(j) | 76619271 | 2065165 |
| Benchmark Mortgage Trust Series 2019-B13 Class A4, 2.952% 8/15/2057  | 12263000 | 11571390 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.8756% 12/15/2062 (b)(j) | 118691978 | 2424794 |
| Benchmark Mortgage Trust Series 2020-B17 Class XA, 1.4938% 3/15/2053 (b)(j) | 25273544 | 1075748 |
| Benchmark Mortgage Trust Series 2020-B18 Class XA, 1.8531% 7/15/2053 (b)(j) | 16258359 | 867870 |
| Benchmark Mortgage Trust Series 2020-B19 Class XA, 1.7812% 9/15/2053 (b)(j) | 9770523 | 485368 |
| Benchmark Mortgage Trust Series 2020-B21 Class AAB, 1.7975% 12/17/2053  | 7966000 | 7546092 |
| Benchmark Mortgage Trust Series 2021-B23 Class AAB, 1.766% 2/15/2054  | 3513000 | 3300378 |
| Benchmark Mortgage Trust Series 2021-B27 Class XA, 1.3493% 7/15/2054 (b)(j) | 34472394 | 1761705 |
| Benchmark Mortgage Trust Series 2021-B31 Class A5, 2.669% 12/15/2054  | 3205000 | 2848724 |
| Benchmark Mortgage Trust Series 2024-V9 Class A3, 5.6019% 8/15/2057  | 15300000 | 15932360 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 5.4785% 9/15/2026 (b)(c)(d) | 21008136 | 20786551 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.7053% 3/15/2041 (b)(c)(d) | 17920503 | 17954104 |
| BMO Mortgage Trust Series 2023-C6 Class XA, 0.9854% 9/15/2056 (b)(j) | 221635566 | 11402330 |
| BMO Mortgage Trust Series 2024-5C5 Class A3, 5.8574% 2/15/2057  | 5100000 | 5346305 |
| BMO Mortgage Trust Series 2025-5C10 Class A3, 5.5784% 5/15/2058  | 13690000 | 14301677 |
| BMO Mortgage Trust Series 2025-5C9 Class A3, 5.7785% 4/15/2058 (b) | 36150000 | 37946456 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.735% 6/15/2041 (b)(c)(d) | 19211000 | 19247021 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 6.0047% 6/15/2041 (b)(c)(d) | 7175000 | 7195180 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 6.2044% 6/15/2041 (b)(c)(d) | 3540000 | 3549956 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.3919% 11/5/2039 (b)(d) | 13519000 | 13761574 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.7548% 3/15/2041 (b)(c)(d) | 75589123 | 75683526 |
| BX Commercial Mortgage Trust 21-SOAR Series 2021-SOAR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.8785% 6/15/2038 (b)(c)(d) | 1315107 | 1314696 |
| BX Commercial Mortgage Trust 21-SOAR Series 2021-SOAR Class E, CME Term SOFR 1 month Index + 1.9145%, 6.2785% 6/15/2038 (b)(c)(d) | 4945678 | 4944132 |
| BX Commercial Mortgage Trust 21-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.8541% 4/15/2037 (b)(c)(d) | 11915431 | 11919155 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 6.0044% 5/15/2041 (b)(d) | 34270391 | 34356067 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.4093% 4/15/2034 (b)(c)(d) | 6654469 | 6612878 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.7093% 4/15/2034 (b)(c)(d) | 4437000 | 4384311 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 6.0093% 4/15/2034 (b)(c)(d) | 2933000 | 2889004 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 6.3093% 4/15/2034 (b)(c)(d) | 3079000 | 3025118 |
| BX Commercial Mortgage Trust Series 2020-VIV2 Class C, 3.6605% 3/9/2044 (b)(d) | 5286000 | 4916059 |
| BX Commercial Mortgage Trust Series 2020-VIV4 Class A, 2.843% 3/9/2044 (d) | 8497000 | 7857018 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 5.1666% 10/15/2036 (b)(c)(d) | 33219512 | 33198836 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 5.3763% 10/15/2036 (b)(c)(d) | 9701000 | 9670755 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 5.5761% 10/15/2036 (b)(c)(d) | 10186000 | 10147892 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.7758% 10/15/2036 (b)(c)(d) | 3579000 | 3565610 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 6.425% 10/15/2036 (b)(c)(d) | 11390000 | 11347387 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 5.376% 2/15/2039 (b)(c)(d) | 6405645 | 6405645 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 5.6754% 2/15/2039 (b)(c)(d) | 7546700 | 7541984 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.9248% 2/15/2039 (b)(c)(d) | 5089000 | 5084229 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 6.3239% 2/15/2039 (b)(c)(d) | 5089000 | 5082645 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 6.1245% 12/9/2040 (b)(c)(d) | 18464435 | 18499056 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.5539% 12/9/2040 (b)(c)(d) | 3586488 | 3593213 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 7.0033% 12/9/2040 (b)(c)(d) | 1943248 | 1947499 |
| BX Commercial Mortgage Trust Series 2024-5C6 Class A3, 5.3161% 9/15/2057  | 22700000 | 23382407 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.6559% 12/15/2039 (b)(c)(d) | 17364437 | 17413241 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.8065% 4/15/2040 (b)(c)(d) | 35367883 | 35445250 |
| Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.7631% 6/15/2035 (b)(c)(d) | 8702000 | 8712878 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.805% 4/15/2041 (b)(c)(d) | 43944767 | 44054629 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 6.0546% 4/15/2041 (b)(c)(d) | 6423977 | 6438029 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 6.3043% 4/15/2041 (b)(c)(d) | 5364976 | 5376712 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.5069% 3/15/2030 (b)(c)(d) | 73811125 | 73718891 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.7566% 3/15/2030 (b)(c)(d) | 6556429 | 6528190 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.9064% 3/15/2030 (b)(c)(d) | 7832452 | 7795738 |
| BX Trust Series 2021-ACNT Class A, CME Term SOFR 1 month Index + 0.9645%, 5.3275% 11/15/2038 (b)(c)(d) | 1328867 | 1328451 |
| BX Trust Series 2021-ACNT Class B, CME Term SOFR 1 month Index + 1.3645%, 5.7275% 11/15/2038 (b)(c)(d) | 2451874 | 2450342 |
| BX Trust Series 2021-BXMF Class A, CME Term SOFR 1 month Index + 0.7504%, 5.1134% 10/15/2026 (b)(c)(d) | 4415129 | 4412370 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2785% 2/15/2036 (b)(c)(d) | 12055000 | 12051233 |
| BX Trust Series 2021-MFM1 Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1775% 1/15/2034 (b)(c)(d) | 1711367 | 1710832 |
| BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 5.1485% 6/15/2038 (b)(c)(d)(f) | 35148590 | 35137606 |
| BX Trust Series 2021-XL2 Class A, CME Term SOFR 1 month Index + 0.6885%, 5.166% 10/15/2038 (b)(c)(d) | 7731720 | 7729304 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 6.3031% 4/15/2037 (b)(c)(d) | 8004500 | 8009503 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 6.6531% 4/15/2037 (b)(c)(d) | 2241400 | 2244902 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 7.2021% 4/15/2037 (b)(c)(d) | 1512000 | 1514835 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.8051% 2/15/2039 (b)(c)(d) | 59025364 | 59117591 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 6.1546% 2/15/2039 (b)(c)(d) | 4093749 | 4105263 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 6.0543% 3/15/2041 (b)(c)(d) | 10427576 | 10443869 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 6.304% 3/15/2041 (b)(c)(d) | 13549101 | 13574506 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.5131% 2/15/2035 (b)(c)(d) | 29530000 | 29534607 |
| CCUBS Commercial Mortgage Trust Series 2017-C1 Class ASB, 3.462% 11/15/2050  | 580075 | 574130 |
| CD Mortgage Trust Series 2017-CD5 Class A3, 3.171% 8/15/2050  | 17950000 | 17554468 |
| CD Mortgage Trust Series 2017-CD5 Class AAB, 3.22% 8/15/2050  | 308814 | 306242 |
| CD Mortgage Trust Series 2017-CD6 Class ASB, 3.332% 11/13/2050  | 7381175 | 7308464 |
| Cent Trust Series 2025-CITY Class A, 5.0909% 7/10/2040 (b)(d) | 20956000 | 21225553 |
| Cent Trust Series 2025-CITY Class X, 0.2082% 7/10/2040 (d) | 258988000 | 1921095 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A1, 1.69% 7/15/2060 (d) | 28230948 | 24438693 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A2, 1.99% 7/15/2060 (d) | 10001142 | 8484672 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (d) | 15325394 | 12805098 |
| CFCRE Commercial Mortgage Trust Series 2016-C4 Class A4, 3.283% 5/10/2058  | 5376000 | 5342215 |
| CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2, 3.5853% 12/10/2054  | 8445777 | 8313095 |
| CFCRE Commercial Mortgage Trust Series 2017-C8 Class A3, 3.3048% 6/15/2050  | 19302898 | 18906104 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A3, 3.197% 8/15/2050  | 761274 | 745891 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A4, 3.458% 8/15/2050  | 2800000 | 2752733 |
| Citigroup Commercial Mortgage Trust Series 2015-GC33 Class XA, 0.8379% 9/10/2058 (b)(j) | 235480 | 7 |
| Citigroup Commercial Mortgage Trust Series 2016-GC37 Class AAB, 3.098% 4/10/2049  | 1246 | 1243 |
| Citigroup Commercial Mortgage Trust Series 2016-P6 Class XA, 0.6857% 12/10/2049 (b)(j) | 1134265 | 5209 |
| Citigroup Commercial Mortgage Trust Series 2017-P7 Class AAB, 3.509% 4/14/2050  | 2615121 | 2599927 |
| Citigroup Commercial Mortgage Trust Series 2019-C7 Class A4, 3.102% 12/15/2072  | 9335374 | 8846105 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.1594% 8/10/2056 (b)(j) | 18910628 | 568828 |
| Citigroup Commercial Mortgage Trust Series 2020-GC46 Class AAB, 2.614% 2/15/2053  | 992990 | 958879 |
| COMM Mortgage Trust Series 2017-CD4 Class A4, 3.514% 5/10/2050  | 4969000 | 4887823 |
| COMM Mortgage Trust Series 2017-COR2 Class ASB, 3.317% 9/10/2050  | 423804 | 420028 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 3836000 | 3836857 |
| Computershare Corporate Trust Series 2018-C48 Class ASB, 4.245% 1/15/2052  | 4500277 | 4497498 |
| CSAIL Commercial Mortgage Trust Series 2016-C6 Class A5, 3.0898% 1/15/2049  | 2625000 | 2598100 |
| CSAIL Commercial Mortgage Trust Series 2020-C19 Class ASB, 2.5501% 3/15/2053  | 6062148 | 5832126 |
| DBJPM Mortgage Trust Series 2017-C6 Class ASB, 3.121% 6/10/2050  | 1597469 | 1582729 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (b)(d) | 9373000 | 9635121 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 5.1795% 11/15/2038 (b)(c)(d) | 65589508 | 65548515 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class B, CME Term SOFR 1 month Index + 1.2347%, 5.5987% 11/15/2038 (b)(c)(d) | 29527965 | 29500282 |
| EQT Trust Series 2024-EXTR Class A, 5.3308% 7/5/2041 (b)(d) | 7260000 | 7432244 |
| Extended Stay America Trust Series 2021-ESH Class A, CME Term SOFR 1 month Index + 1.1945%, 5.5575% 7/15/2038 (b)(c)(d) | 8289426 | 8286838 |
| Extended Stay America Trust Series 2021-ESH Class B, CME Term SOFR 1 month Index + 1.4945%, 5.8575% 7/15/2038 (b)(c)(d) | 3590780 | 3589659 |
| Extended Stay America Trust Series 2021-ESH Class C, CME Term SOFR 1 month Index + 1.8145%, 6.1775% 7/15/2038 (b)(c)(d) | 4731831 | 4730353 |
| Extended Stay America Trust Series 2021-ESH Class D, CME Term SOFR 1 month Index + 2.3645%, 6.7275% 7/15/2038 (b)(c)(d) | 18706092 | 18700248 |
| Fannie Mae Guaranteed REMIC Series 2018-M10 Class A2, 3.4661% 7/25/2028 (b) | 968542 | 954965 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-M2 Class A2, 4.62% 4/25/2030  | 62600000 | 63565843 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K054 Class A2, 2.745% 1/25/2026  | 22791327 | 22621322 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K063 Class A2, 3.43% 1/25/2027  | 6124002 | 6065810 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K067 Class A2, 3.194% 7/25/2027  | 6723000 | 6625841 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 21500000 | 21212777 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 12196373 | 12011832 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 27454000 | 27079074 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  | 13265000 | 13074881 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  | 28327000 | 28007474 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  | 22090000 | 21798496 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 51490000 | 51069616 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  | 9900000 | 9883727 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K077 Class A2, 3.85% 5/25/2028  | 33650000 | 33549074 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  | 7532000 | 7523742 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  | 9405000 | 9431795 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K086 Class A2, 3.859% 11/25/2028  | 4600000 | 4587402 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K087 Class A2, 3.771% 12/25/2028  | 1125000 | 1118967 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  | 19600000 | 18655080 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K746 Class A2, 2.031% 9/25/2028  | 3140000 | 2970000 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K141 Class A2, 2.25% 2/25/2032  | 55000000 | 48952046 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K753 Class A2, 4.4% 10/25/2030  | 14050000 | 14233226 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class A2, 4.266% 7/25/2030 (b) | 9785000 | 9862431 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K545 Class A2, 4.29% 7/25/2030  | 7513000 | 7575261 |
| GS Mortgage Securities Trust Series 2011-GC5 Class AS, 5.209% 8/10/2044 (b)(d) | 4083621 | 3994382 |
| GS Mortgage Securities Trust Series 2013-GC13 Class AS, 4.0061% 7/10/2046 (b)(d) | 1181599 | 1163899 |
| GS Mortgage Securities Trust Series 2015-GC30 Class AS, 3.777% 5/10/2050  | 152320 | 148893 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 3972643 | 3923291 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A4, 3.89% 7/10/2051  | 15685681 | 15332766 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 5912000 | 5808759 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 1093062 | 1085622 |
| GS Mortgage Securities Trust Series 2019-GSA1 Class A4, 3.0479% 11/10/2052  | 1000000 | 948094 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 5624160 | 5455105 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.4285% 10/15/2036 (b)(c)(d) | 24827106 | 24811654 |
| GS Mortgage Securities Trust Series 2021-IP Class B, CME Term SOFR 1 month Index + 1.2645%, 5.6285% 10/15/2036 (b)(c)(d) | 1654000 | 1645749 |
| GS Mortgage Securities Trust Series 2021-IP Class C, CME Term SOFR 1 month Index + 1.6645%, 6.0285% 10/15/2036 (b)(c)(d) | 1363000 | 1356185 |
| Hilton USA Trust Series 2016-HHV Class B, 4.3333% 11/5/2038 (b)(d) | 1750000 | 1734641 |
| ILPT Trust Series 2019-SURF Class A, 4.145% 2/11/2041 (d) | 14619000 | 14351197 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class ASB, 2.9941% 12/15/2049  | 335524 | 332733 |
| JPMDB Commercial Mortgage Securities Trust Series 2017-C5 Class ASB, 3.4919% 3/15/2050  | 1754829 | 1743019 |
| JPMDB Commercial Mortgage Securities Trust Series 2018-C8 Class ASB, 4.145% 6/15/2051  | 4735501 | 4718441 |
| JPMDB Commercial Mortgage Securities Trust Series 2019-COR6 Class A4, 3.0565% 11/13/2052  | 2872000 | 2596605 |
| JPMDB Commercial Mortgage Securities Trust Series 2020-COR7 Class A5, 2.1798% 5/13/2053  | 1500000 | 1266018 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP2 Class A4, 2.8218% 8/15/2049  | 2950000 | 2906718 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-AON Class D, 4.767% 7/5/2031 (b)(d)(f) | 1846000 | 803675 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (d) | 1167147 | 1108790 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (d) | 767000 | 559910 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (d)(f) | 1370000 | 780900 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-BKWD Class A, CME Term SOFR 1 month Index + 1.6145%, 5.9785% 9/15/2029 (b)(c)(d) | 2806374 | 2750388 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-2NU Class A, 1.9739% 1/5/2040 (d) | 24200000 | 22047291 |
| LCCM Mortgage Trust Series 2017-LC26 Class A3, 3.289% 7/12/2050 (d) | 4874074 | 4775300 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 5.6583% 5/15/2039 (b)(c)(d) | 41080997 | 39951270 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 6.157% 5/15/2039 (b)(c)(d) | 22757000 | 21260748 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 6.4562% 5/15/2039 (b)(c)(d) | 8790000 | 8031863 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.905% 5/15/2039 (b)(c)(d) | 8790000 | 7991419 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 5.5775% 3/15/2038 (b)(c)(d) | 217658 | 216706 |
| LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.8775% 3/15/2038 (b)(c)(d) | 1983800 | 1971401 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 6.2275% 3/15/2038 (b)(c)(d) | 1733200 | 1718035 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class A, CME Term SOFR 1 month Index + 0.9154%, 5.2784% 4/15/2038 (b)(c)(d) | 2433064 | 2433064 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1785% 7/15/2038 (b)(c)(d) | 11210236 | 11210236 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.85% 9/15/2040 (b)(c)(d) | 6192000 | 6191998 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C28 Class A3, 3.272% 1/15/2049  | 4258553 | 4239212 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class A4, 3.259% 6/15/2050  | 15100000 | 14831714 |
| Morgan Stanley Capital I Trust Series 2017-HR2 Class A3, 3.33% 12/15/2050  | 6535495 | 6407191 |
| Morgan Stanley Capital I Trust Series 2018-BOP Class A, CME Term SOFR 1 month Index + 0.897%, 5.261% 8/15/2033 (b)(c)(d) | 134441 | 109837 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 4191000 | 4180191 |
| Morgan Stanley Capital I Trust Series 2019-H6 Class A4, 3.417% 6/15/2052  | 4961000 | 4795356 |
| Morgan Stanley Capital I Trust Series 2019-L2 Class A3, 3.806% 3/15/2052  | 17904493 | 17439913 |
| Morgan Stanley Capital I Trust Series 2019-NUGS Class A, CME Term SOFR 1 month Index + 1.0645%, 5.4285% 12/15/2036 (b)(c)(d) | 9700000 | 7348024 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.2876% 6/15/2054 (b)(j) | 26750152 | 1075650 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (b)(d) | 39451088 | 38897578 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class XD, 3.2523% 12/15/2056 (b)(d)(j) | 12148000 | 2312288 |
| Natixis Commercial Mortgage Securities Trust Series 2020-2PAC Class A, 2.966% 12/15/2038 (d) | 8244529 | 7910777 |
| NYT Mortgage Trust Series 2019-NYT Class A, CME Term SOFR 1 month Index + 1.497%, 5.861% 12/15/2035 (b)(c)(d) | 20822000 | 20566487 |
| OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.4522% 11/15/2040 (b)(c)(d) | 1308698 | 1309515 |
| OPEN Trust Series 2023-AIR Class B, CME Term SOFR 1 month Index + 3.838%, 8.2011% 11/15/2040 (b)(c)(d) | 9703200 | 9709258 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 5.6% 8/15/2042 (b)(c)(d) | 11700000 | 11714637 |
| SLG Office Trust Series 2021-OVA Class X, 0.258% 7/15/2041 (b)(d)(j) | 213942750 | 2570629 |
| SPGN Mortgage Trust Series 2022-TFLM Class B, CME Term SOFR 1 month Index + 2%, 6.3631% 2/15/2039 (b)(c)(d) | 4954000 | 4879938 |
| SPGN Mortgage Trust Series 2022-TFLM Class C, CME Term SOFR 1 month Index + 2.65%, 7.0131% 2/15/2039 (b)(c)(d) | 2576000 | 2524651 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.2084% 11/15/2038 (b)(c)(d) | 40908730 | 40895946 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.5574% 11/15/2038 (b)(c)(d) | 21261276 | 21254632 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.8066% 11/15/2038 (b)(c)(d) | 5225983 | 5224350 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 6.0558% 11/15/2038 (b)(c)(d) | 3607019 | 3605892 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.606% 12/15/2039 (b)(c)(d) | 33555000 | 33555000 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.9555% 12/15/2039 (b)(c)(d) | 8710000 | 8709985 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 6.355% 12/15/2039 (b)(c)(d) | 5436000 | 5449552 |
| UBS Commercial Mortgage Trust Series 2017-C1 Class A3, 3.196% 6/15/2050  | 988437 | 965773 |
| UBS Commercial Mortgage Trust Series 2017-C5 Class ASB, 3.345% 11/15/2050  | 962341 | 951271 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class ASB, 3.586% 12/15/2050  | 429593 | 425970 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.1229% 12/15/2050 (b)(j) | 25117560 | 470060 |
| UBS Commercial Mortgage Trust Series 2018-C12 Class ASB, 4.1945% 8/15/2051  | 673828 | 671780 |
| UBS Commercial Mortgage Trust Series 2018-C8 Class ASB, 3.903% 2/15/2051  | 1283953 | 1280333 |
| UBS Commercial Mortgage Trust Series 2018-C9 Class A4, 4.117% 3/15/2051  | 9714061 | 9520779 |
| UBS Commercial Mortgage Trust Series 2019-C17 Class ASB, 2.8655% 10/15/2052  | 9556228 | 9307230 |
| UBS Commercial Mortgage Trust Series 2019-C18 Class ASB, 2.9872% 12/15/2052  | 3417159 | 3342420 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (d) | 14678994 | 12559176 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (d) | 470000 | 383164 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.5162% 10/10/2042 (b)(d) | 58746457 | 1087650 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C32 Class A3, 3.294% 1/15/2059  | 1602196 | 1596053 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C32 Class A3FL, CME Term SOFR 1 month Index + 1.5345%, 5.8976% 1/15/2059 (b)(c) | 1986724 | 1989022 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4, 2.931% 7/15/2048  | 11005000 | 10834636 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4FL, CME Term SOFR 1 month Index + 1.1645%, 5.5276% 7/15/2048 (b)(c)(d) | 5200000 | 5202911 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C37 Class A4, 3.525% 12/15/2049  | 3091762 | 3057936 |
| Wells Fargo Commercial Mortgage Trust Series 2016-LC25 Class A3, 3.374% 12/15/2059  | 16050081 | 15870444 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C40 Class ASB, 3.395% 10/15/2050  | 389820 | 386533 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C41 Class ASB, 3.39% 11/15/2050  | 64897 | 64315 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class XA, 0.9783% 12/15/2050 (b)(j) | 1272752 | 19781 |
| Wells Fargo Commercial Mortgage Trust Series 2017-RC1 Class ASB, 3.453% 1/15/2060  | 120783 | 120334 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C44 Class A5, 4.212% 5/15/2051  | 4285000 | 4256082 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C44 Class ASB, 4.167% 5/15/2051  | 532908 | 531590 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 1.0657% 8/15/2051 (b)(j) | 27594691 | 491103 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C47 Class ASB, 4.365% 9/15/2061  | 5585235 | 5601550 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C49 Class ASB, 3.933% 3/15/2052  | 5792348 | 5768457 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C50 Class ASB, 3.635% 5/15/2052  | 3618400 | 3575689 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C52 Class A5, 2.892% 8/15/2052  | 3829000 | 3605059 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class A4, 3.146% 12/15/2052  | 2390000 | 2271496 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class ASB, 3.063% 12/15/2052  | 1580543 | 1547170 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class XA, 0.9595% 12/15/2052 (b)(j) | 57420255 | 1732662 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C55 Class ASB, 2.651% 2/15/2053  | 726222 | 704726 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C56 Class ASB, 2.422% 6/15/2053  | 2066178 | 1982816 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C61 Class ASB, 2.525% 11/15/2054  | 4475000 | 4225934 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.6785% 5/15/2031 (b)(c)(d) | 16435000 | 16392637 |
| Wells Fargo Commercial Mortgage Trust Series 2024-5C1 Class A3, 5.928% 7/15/2057  | 11703000 | 12287214 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 6.1544% 10/15/2041 (b)(c)(d) | 7200000 | 7211157 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class B, CME Term SOFR 1 month Index + 2.2906%, 6.6537% 10/15/2041 (b)(c)(d) | 3750000 | 3763352 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.3538% 8/15/2041 (b)(c)(d) | 8200000 | 8185361 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 6.0543% 8/15/2041 (b)(c)(d) | 20000000 | 19986174 |
| Wells Fargo Commercial Mortgage Trust Series 2025-5C4 Class XA, 1.3459% 5/15/2058 (b)(j) | 15993506 | 735852 |
| Wells Fargo Commercial Mortgage Trust Series 2025-5C4 Class XB, 0.7388% 5/15/2058 (b)(j) | 40000000 | 949836 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (b)(d) | 8466000 | 8502847 |
| TOTAL UNITED STATES |  | 2584149364 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $2,585,759,727) |  | <br> **2584149364** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| New Fortress Energy Inc  | 6213 | 15284 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC (f)(m) | 22175 | 268318 |
| Cano Health LLC warrants (f)(m) | 681 | 2335 |
|  |  | 270653 |
| TOTAL UNITED STATES |  | 285937 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $495,885) |  | <br> **285937** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 48.3%** | &nbsp;&nbsp;**Fixed-Income Funds - 48.3%** | &nbsp;&nbsp;**Fixed-Income Funds - 48.3%** |
|  | Shares | Value ($)<br>|
| Fidelity Advisor Floating Rate High Income Fund - Class Z (n) | 141846242 | 1296474653 |
| Fidelity Advisor New Markets Income Fund - Class Z (n) | 125233480 | 1665605285 |
| Fidelity Advisor Real Estate Income Fund - Class Z (n) | 131266398 | 1608013381 |
| Fidelity SAI Enhanced Core Bond Fund (n) | 134676086 | 1354841423 |
| Fidelity SAI High Income Fund (n) | 49896970 | 472025333 |
| Fidelity SAI Inflation-Protected Bond Index Fund (n) | 53937515 | 557713908 |
| Fidelity SAI Intermediate Treasury Bond Index Fund (n) | 382861689 | 3794159339 |
| Fidelity SAI International Credit Fund (n) | 160379084 | 1735301687 |
| Fidelity SAI Long-Term Treasury Bond Index Fund (n) | 343504809 | 2280871930 |
| Fidelity SAI Municipal Income Fund (n) | 15991275 | 154315805 |
| Fidelity SAI Short-Term Treasury Bond Index Fund (n) | 35861718 | 362203348 |
| Fidelity SAI Total Bond Fund (n) | 2016899234 | 18394121017 |
| Fidelity SAI U.S. Treasury Bond Index Fund (n) | 627712512 | 5567809977 |
| Fidelity Sustainability Bond Index Fund (n) | 2658508 | 24857049 |
| Fidelity U.S. Bond Index Fund (n) | 136610576 | 1430312734 |
| <br> **TOTAL FIXED-INCOME FUNDS**<br> (Cost $42,776,069,710) |  | **40698626869** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |  |
| Canadian Government 1.5% 12/1/2031  | CAD | 580000 | 384660 |
| Canadian Government 1.5% 6/1/2031  | CAD | 455000 | 304800 |
| Canadian Government 2.75% 6/1/2033  | CAD | 690000 | 486097 |
| Canadian Government 3% 6/1/2034  | CAD | 435000 | 309348 |
| Canadian Government 3.25% 12/1/2033  | CAD | 5700000 | 4145767 |
| TOTAL CANADA |  |  | 5630672 |
| COLOMBIA - 0.0%  |  |  |  |
| Colombian Republic 7.375% 4/25/2030  |  | 14080000 | 14896640 |
| Colombian Republic 8% 11/14/2035  |  | 4590000 | 4825238 |
| Colombian Republic 8.5% 4/25/2035  |  | 15780000 | 17152860 |
| Colombian Republic 8.75% 11/14/2053  |  | 6175000 | 6533150 |
| TOTAL COLOMBIA |  |  | 43407888 |
| GERMANY - 0.0%  |  |  |  |
| German Federal Republic 3.25% 7/4/2042 (o) | EUR | 95000 | 113197 |
| JAPAN - 0.0%  |  |  |  |
| Japan Government 0.9% 9/20/2034  | JPY | 170000000 | 1094823 |
| MEXICO - 0.0%  |  |  |  |
| United Mexican States 3.25% 4/16/2030  |  | 1247000 | 1165840 |
| United Mexican States 3.5% 2/12/2034  |  | 1035000 | 883113 |
| United Mexican States 4.5% 4/22/2029  |  | 3114000 | 3102323 |
| United Mexican States 6% 5/13/2030  |  | 3370000 | 3523335 |
| TOTAL MEXICO |  |  | 8674611 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| European Union 0.75% 4/4/2031 (o) | EUR | 561000 | 595923 |
| European Union 2.5% 12/4/2031 (o) | EUR | 480000 | 555242 |
| European Union 3.375% 12/12/2035 (o) | EUR | 340000 | 404092 |
| European Union 4% 4/4/2044 (o) | EUR | 1980000 | 2369448 |
| TOTAL MULTI-NATIONAL |  |  | 3924705 |
| ROMANIA - 0.0%  |  |  |  |
| Romanian Republic 2.124% 7/16/2031 (o) | EUR | 275000 | 272659 |
| Romanian Republic 5.875% 7/11/2032 (o) | EUR | 1125000 | 1344935 |
| Romanian Republic 6.375% 9/18/2033 (o) | EUR | 800000 | 983306 |
| TOTAL ROMANIA |  |  | 2600900 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $62,369,699) |  |  | <br> **65446796** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.0%** | &nbsp;&nbsp;**Municipal Securities - 0.0%** | &nbsp;&nbsp;**Municipal Securities - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| California - 0.0%  |  |  |
| General Obligations - 0.0% |  |  |
| State of California 7.625% 3/1/2040  | 190000 | 228059 |
| Illinois - 0.0%  |  |  |
| General Obligations - 0.0% |  |  |
| Chicago IL Brd Ed Series 2009G, 1.75% 12/15/2025  | 15640000 | 15474415 |
| Ohio - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| American Mun Pwr Rev 8.084% 2/15/2050  | 870000 | 1086659 |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $16,930,558) |  | <br> **16789133** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 12.0%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 12.0%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 12.0%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 12.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ANGOLA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Azule Energy Finance Plc 8.125% 1/23/2030 (d) |  | 285000 | 288679 |
| AUSTRALIA - 0.1%  |  |  |  |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Commonwealth Bank of Australia 2.688% 3/11/2031 (d) |  | 4532000 | 4100297 |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (b)(d) |  | 3723000 | 3578713 |
| Commonwealth Bank of Australia 3.784% 3/14/2032 (d) |  | 16472000 | 15471991 |
| Commonwealth Bank of Australia 3.788% 8/26/2037 (b)(o) | EUR | 1000000 | 1169233 |
| Westpac Banking Corp 4.11% 7/24/2034 (b) |  | 5791000 | 5668011 |
| Westpac Banking Corp 5.405% 8/10/2033 (b) |  | 12205000 | 12468469 |
|  |  |  | 42456714 |
| Financial Services - 0.0% |  |  |  |
| Cimic Finance Ltd 1.5% 5/28/2029 (o) | EUR | 1075000 | 1171767 |
| Insurance - 0.0% |  |  |  |
| QBE Insurance Group Ltd 2.5% 9/13/2038 (b)(o) | GBP | 1405000 | 1757664 |
| TOTAL FINANCIALS |  |  | 45386145 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Fortescue Treasury Pty Ltd 4.375% 4/1/2031 (d) |  | 350000 | 332805 |
| Fortescue Treasury Pty Ltd 4.5% 9/15/2027 (d) |  | 790000 | 782779 |
| Fortescue Treasury Pty Ltd 6.125% 4/15/2032 (d) |  | 160000 | 164213 |
| Glencore Funding LLC 5.186% 4/1/2030 (d) |  | 4520000 | 4645776 |
| Glencore Funding LLC 6.125% 10/6/2028 (d) |  | 2000000 | 2100346 |
| Glencore Funding LLC 6.375% 10/6/2030 (d) |  | 5000000 | 5390450 |
| Mineral Resources Ltd 8% 11/1/2027 (d) |  | 2075000 | 2111991 |
|  |  |  | 15528360 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| AusNet Services Holdings Pty Ltd 6.134% 5/31/2033  | AUD | 1430000 | 996919 |
| TOTAL AUSTRALIA |  |  | 61911424 |
| AUSTRIA - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Supernova Invest GmbH 5% 6/24/2030 (o) | EUR | 275000 | 326456 |
| BELGIUM - 0.1%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Barry Callebaut Services NV 4.25% 8/19/2031 (o) | EUR | 1500000 | 1768696 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Fluxys SA 4% 11/28/2030 (o) | EUR | 1400000 | 1677488 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| KBC Group NV 4.932% 10/16/2030 (b)(d) |  | 22400000 | 22800442 |
| KBC Group NV 5.796% 1/19/2029 (b)(d) |  | 6314000 | 6525662 |
| KBC Group NV 6.324% 9/21/2034 (b)(d) |  | 9860000 | 10677198 |
|  |  |  | 40003302 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Shurgard Luxembourg Sarl 4% 5/27/2035 (o) | EUR | 1300000 | 1520109 |
| TOTAL BELGIUM |  |  | 44969595 |
| BRAZIL - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| ERO Copper Corp 6.5% 2/15/2030 (d) |  | 1040000 | 1014000 |
| Vale Overseas Ltd 6.4% 6/28/2054  |  | 11975000 | 11921113 |
| TOTAL BRAZIL |  |  | 12935113 |
| CANADA - 0.3%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| TELUS Corp 6.625% 10/15/2055 (b) |  | 330000 | 335720 |
| TELUS Corp 7% 10/15/2055 (b) |  | 495000 | 507960 |
|  |  |  | 843680 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Rogers Communications Inc 3.2% 3/15/2027  |  | 2876000 | 2829780 |
| Rogers Communications Inc 3.8% 3/15/2032  |  | 7438000 | 6979908 |
| Rogers Communications Inc 4.55% 3/15/2052  |  | 9856000 | 7937577 |
|  |  |  | 17747265 |
| TOTAL COMMUNICATION SERVICES |  |  | 18590945 |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (d) |  | 1325000 | 1238900 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (d) |  | 2190000 | 2243129 |
| Ontario Gaming GTA LP/OTG Co-Issuer Inc 8% 8/1/2030 (d) |  | 400000 | 402900 |
|  |  |  | 3884929 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Alimentation Couche-Tard Inc 2.95% 1/25/2030 (d) |  | 3940000 | 3721660 |
| Household Products - 0.0% |  |  |  |
| Kronos Acquisition Holdings Inc 8.25% 6/30/2031 (d) |  | 465000 | 345262 |
| TOTAL CONSUMER STAPLES |  |  | 4066922 |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Canadian Natural Resources Ltd 2.95% 7/15/2030  |  | 8571000 | 7990370 |
| Canadian Natural Resources Ltd 5% 12/15/2029 (d) |  | 7200000 | 7339234 |
| Canadian Natural Resources Ltd 5.85% 2/1/2035  |  | 296000 | 303712 |
| Canadian Natural Resources Ltd 6.25% 3/15/2038  |  | 8834000 | 9248447 |
| Canadian Natural Resources Ltd 6.5% 2/15/2037  |  | 6400000 | 6820218 |
| Cenovus Energy Inc 2.65% 1/15/2032  |  | 768000 | 674134 |
| Cenovus Energy Inc 3.75% 2/15/2052  |  | 2379000 | 1616477 |
| Cenovus Energy Inc 4.25% 4/15/2027  |  | 5693000 | 5689106 |
| Cenovus Energy Inc 5.25% 6/15/2037  |  | 657000 | 625861 |
| Cenovus Energy Inc 5.4% 6/15/2047  |  | 1485000 | 1323385 |
| Cenovus Energy Inc 6.75% 11/15/2039  |  | 3025000 | 3277040 |
| Enbridge Inc 4.25% 12/1/2026  |  | 1500000 | 1500182 |
| Enbridge Inc 4.9% 6/20/2030  |  | 7571000 | 7729101 |
| Enbridge Inc 5.55% 6/20/2035  |  | 9900000 | 10082257 |
| Enbridge Inc 5.7% 3/8/2033  |  | 8000000 | 8345552 |
| Enbridge Inc 5.95% 4/5/2054  |  | 12809000 | 12635617 |
| Enbridge Inc 6% 11/15/2028  |  | 6027000 | 6350971 |
| Enbridge Inc 6.7% 11/15/2053  |  | 2200000 | 2369410 |
| Enbridge Inc 7.2% 6/27/2054 (b) |  | 5400000 | 5615201 |
| Parkland Corp 6.625% 8/15/2032 (d) |  | 1120000 | 1153518 |
| South Bow Canadian Infrastructure Holdings Ltd 7.5% 3/1/2055 (b) |  | 157000 | 164095 |
| South Bow USA Infrastructure Holdings LLC 4.911% 9/1/2027  |  | 8200000 | 8270301 |
|  |  |  | 109124189 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of Nova Scotia/The 3.375% 3/5/2033 (b)(o) | EUR | 3700000 | 4327334 |
| Bank of Nova Scotia/The 4.5% 12/16/2025  |  | 2207000 | 2207562 |
| Bank of Nova Scotia/The 5.13% 2/14/2031 (b) |  | 3300000 | 3394744 |
| Canadian Imperial Bank of Commerce 3.6% 4/7/2032  |  | 5114000 | 4815997 |
| Canadian Imperial Bank of Commerce 6.092% 10/3/2033  |  | 11192000 | 12081585 |
| Royal Bank of Canada 3.125% 9/27/2031 (b)(o) | EUR | 1440000 | 1685037 |
| Toronto Dominion Bank 2.8% 3/10/2027  |  | 2626000 | 2577119 |
|  |  |  | 31089378 |
| Insurance - 0.0% |  |  |  |
| Empower Finance 2020 LP 1.357% 9/17/2027 (d) |  | 1474000 | 1390014 |
| Empower Finance 2020 LP 3.075% 9/17/2051 (d) |  | 3522000 | 2208035 |
| Fairfax Financial Holdings Ltd 3.375% 3/3/2031  |  | 3434000 | 3226879 |
| Fairfax Financial Holdings Ltd 5.75% 5/20/2035 (d) |  | 7000000 | 7148999 |
| Fairfax Financial Holdings Ltd 6.5% 5/20/2055 (d) |  | 5000000 | 5145631 |
| Intact Financial Corp 5.459% 9/22/2032 (d) |  | 7368000 | 7532618 |
|  |  |  | 26652176 |
| TOTAL FINANCIALS |  |  | 57741554 |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Wrangler Holdco Corp 6.625% 4/1/2032 (d) |  | 1970000 | 2053632 |
| Machinery - 0.0% |  |  |  |
| New Flyer Holdings Inc 9.25% 7/1/2030 (d) |  | 215000 | 230630 |
| TOTAL INDUSTRIALS |  |  | 2284262 |
| Information Technology - 0.0% |  |  |  |
| Software - 0.0% |  |  |  |
| Open Text Corp 3.875% 12/1/2029 (d) |  | 1975000 | 1861710 |
| Open Text Corp 3.875% 2/15/2028 (d) |  | 420000 | 408240 |
|  |  |  | 2269950 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Methanex Corp 5.125% 10/15/2027  |  | 820000 | 816355 |
| Methanex Corp 5.25% 12/15/2029  |  | 90000 | 89415 |
| NOVA Chemicals Corp 5.25% 6/1/2027 (d) |  | 204000 | 204515 |
| NOVA Chemicals Corp 8.5% 11/15/2028 (d) |  | 970000 | 1016115 |
|  |  |  | 2126400 |
| Containers & Packaging - 0.0% |  |  |  |
| Toucan FinCo Ltd/Toucan FinCo Can Inc/Toucan FinCo US LLC 9.5% 5/15/2030 (d) |  | 410000 | 409713 |
| Metals & Mining - 0.0% |  |  |  |
| Capstone Copper Corp 6.75% 3/31/2033 (d) |  | 1020000 | 1047457 |
| Champion Iron Canada Inc 7.875% 7/15/2032 (d) |  | 410000 | 427891 |
| Hudbay Minerals Inc 4.5% 4/1/2026 (d) |  | 620000 | 615746 |
| New Gold Inc 6.875% 4/1/2032 (d) |  | 405000 | 422159 |
|  |  |  | 2513253 |
| TOTAL MATERIALS |  |  | 5049366 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Emera US Finance LP 2.639% 6/15/2031  |  | 7893000 | 7024410 |
| Emera US Finance LP 3.55% 6/15/2026  |  | 9123000 | 9046622 |
| Emera US Finance LP 4.75% 6/15/2046  |  | 5449000 | 4540746 |
| TransAlta Corp 6.5% 3/15/2040  |  | 515000 | 506451 |
|  |  |  | 21118229 |
| TOTAL CANADA |  |  | 224130346 |
| CHINA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| Alibaba Group Holding Ltd 2.125% 2/9/2031  |  | 2350000 | 2111193 |
| Alibaba Group Holding Ltd 2.7% 2/9/2041  |  | 12255000 | 8867841 |
| TOTAL CHINA |  |  | 10979034 |
| COLOMBIA - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| EnfraGen Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA 5.375% 12/30/2030 (d) |  | 1180000 | 1082650 |
| EnfraGen Energia Sur SAU/ EnfraGen Chile SpA/ EnfraGen Spain SAU 8.499% 6/30/2032 (d) |  | 205000 | 211228 |
| TOTAL COLOMBIA |  |  | 1293878 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Ivanhoe Mines Ltd 7.875% 1/23/2030 (d) |  | 495000 | 501278 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 1.5% 1/27/2031 (o) | EUR | 400000 | 386581 |
| DENMARK - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Carlsberg Breweries A/S 3.25% 2/28/2032 (o) | EUR | 925000 | 1079446 |
| Tobacco - 0.0% |  |  |  |
| Scandinavian Tobacco Group A/S 4.875% 9/12/2029 (o) | EUR | 425000 | 517331 |
| TOTAL CONSUMER STAPLES |  |  | 1596777 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Danske Bank A/S 3.875% 1/9/2032 (b)(o) | EUR | 2840000 | 3423738 |
| Jyske Bank A/S 5.125% 5/1/2035 (b)(o) | EUR | 665000 | 822525 |
|  |  |  | 4246263 |
| TOTAL DENMARK |  |  | 5843040 |
| FINLAND - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Leisure Products - 0.0% |  |  |  |
| Amer Sports Co 6.75% 2/16/2031 (d) |  | 435000 | 453432 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Treasury BV 5% 3/11/2030 (o) | EUR | 300000 | 358897 |
| Citycon Treasury BV 5.375% 7/8/2031 (o) | EUR | 300000 | 361579 |
|  |  |  | 720476 |
| TOTAL FINLAND |  |  | 1173908 |
| FRANCE - 0.2%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Altice France SA 5.125% 7/15/2029 (d) |  | 1325000 | 1132875 |
| Maya SAS/Paris France 7% 4/15/2032 (d) |  | 405000 | 416581 |
|  |  |  | 1549456 |
| Media - 0.0% |  |  |  |
| Publicis Groupe SA 3.375% 6/12/2032 (o) | EUR | 900000 | 1049257 |
| TOTAL COMMUNICATION SERVICES |  |  | 2598713 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| RCI Banque SA 4.75% 3/24/2037 (b)(o) | EUR | 400000 | 473680 |
| RCI Banque SA 5.5% 10/9/2034 (b)(o) | EUR | 600000 | 736892 |
|  |  |  | 1210572 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vallourec SACA 7.5% 4/15/2032 (d) |  | 975000 | 1035341 |
| Viridien 10% 10/15/2030 (d) |  | 460000 | 459692 |
|  |  |  | 1495033 |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| BNP Paribas SA 1.323% 1/13/2027 (b)(d) |  | 7967000 | 7873960 |
| BNP Paribas SA 1.904% 9/30/2028 (b)(d) |  | 7317000 | 6950087 |
| BNP Paribas SA 2.159% 9/15/2029 (b)(d) |  | 7271000 | 6804073 |
| BNP Paribas SA 2.591% 1/20/2028 (b)(d) |  | 2740000 | 2673767 |
| BNP Paribas SA 3.945% 2/18/2037 (b)(o) | EUR | 2600000 | 3016320 |
| BNP Paribas SA 5.786% 1/13/2033 (b)(d) |  | 28396000 | 29588117 |
| BPCE SA 2.277% 1/20/2032 (b)(d) |  | 7519000 | 6603698 |
| BPCE SA 3.116% 10/19/2032 (b)(d) |  | 6103000 | 5390941 |
| BPCE SA 4.875% 4/1/2026 (d) |  | 7383000 | 7389998 |
| BPCE SA 5.716% 1/18/2030 (b)(d) |  | 750000 | 774946 |
| BPCE SA 7.003% 10/19/2034 (b)(d) |  | 1150000 | 1269610 |
| Credit Agricole SA 6.251% 1/10/2035 (b)(d) |  | 8000000 | 8357862 |
| Societe Generale SA 1.488% 12/14/2026 (b)(d) |  | 18551000 | 18381794 |
| Societe Generale SA 1.792% 6/9/2027 (b)(d) |  | 2160000 | 2114260 |
| Societe Generale SA 4.677% 6/15/2027 (d) |  | 4831000 | 4871660 |
| Societe Generale SA 5.5% 4/13/2029 (b)(d) |  | 24956000 | 25508536 |
| Societe Generale SA 5.634% 1/19/2030 (b)(d) |  | 7780000 | 8009722 |
| Societe Generale SA 6.446% 1/10/2029 (b)(d) |  | 6850000 | 7123950 |
| Societe Generale SA 6.691% 1/10/2034 (b)(d) |  | 550000 | 591914 |
|  |  |  | 153295215 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Holding d'Infrastructures des Metiers de l'Environnement 0.625% 9/16/2028 (o) | EUR | 700000 | 750918 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Electricite de France SA 5.5% 1/25/2035 (o) | GBP | 1500000 | 1949990 |
| Multi-Utilities - 0.0% |  |  |  |
| Engie SA 3.875% 3/6/2036 (o) | EUR | 800000 | 943852 |
| Engie SA 4.25% 9/6/2034 (o) | EUR | 600000 | 730972 |
| Veolia Environnement SA 3.324% 6/17/2032 (o) | EUR | 2200000 | 2567481 |
|  |  |  | 4242305 |
| TOTAL UTILITIES |  |  | 6192295 |
| TOTAL FRANCE |  |  | 165542746 |
| GERMANY - 0.2%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Robert Bosch GmbH 4.375% 6/2/2043 (o) | EUR | 500000 | 578222 |
| Schaeffler AG 4.75% 8/14/2029 (o) | EUR | 800000 | 963975 |
| Schaeffler AG 5.375% 4/1/2031 (o) | EUR | 400000 | 487072 |
| ZF Europe Finance BV 4.75% 1/31/2029 (o) | EUR | 1500000 | 1703744 |
| ZF Europe Finance BV 7% 6/12/2030 (o) | EUR | 400000 | 477785 |
| ZF North America Capital Inc 6.75% 4/23/2030 (d) |  | 640000 | 623793 |
| ZF North America Capital Inc 6.875% 4/14/2028 (d) |  | 630000 | 638130 |
| ZF North America Capital Inc 6.875% 4/23/2032 (d) |  | 220000 | 210958 |
|  |  |  | 5683679 |
| Automobiles - 0.0% |  |  |  |
| Volkswagen Group of America Finance LLC 1.25% 11/24/2025 (d) |  | 4238000 | 4206302 |
| Volkswagen Group of America Finance LLC 4.35% 6/8/2027 (d) |  | 3394000 | 3384554 |
| Volkswagen Group of America Finance LLC 5.7% 9/12/2026 (d) |  | 8400000 | 8496402 |
| Volkswagen International Finance NV 4.125% 9/2/2035 (o) | EUR | 700000 | 820610 |
|  |  |  | 16907868 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 22591547 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| METRO AG 4% 3/5/2030 (o) | EUR | 675000 | 815813 |
| Financials - 0.1% |  |  |  |
| Banks - 0.0% |  |  |  |
| Commerzbank AG 3.625% 1/14/2032 (b)(o) | EUR | 800000 | 947102 |
| Commerzbank AG 4.875% 10/16/2034 (b)(o) | EUR | 900000 | 1101432 |
| Commerzbank AG 8.625% 2/28/2033 (b)(o) | GBP | 200000 | 290291 |
| Volkswagen Bank GmbH 3.5% 6/19/2031 (o) | EUR | 700000 | 818382 |
|  |  |  | 3157207 |
| Capital Markets - 0.1% |  |  |  |
| Deutsche Bank AG 6.125% 12/12/2030 (b)(o) | GBP | 1900000 | 2662092 |
| Deutsche Bank AG/New York NY 2.129% 11/24/2026 (b) |  | 3386000 | 3366765 |
| Deutsche Bank AG/New York NY 2.311% 11/16/2027 (b) |  | 27513000 | 26837358 |
| Deutsche Bank AG/New York NY 3.035% 5/28/2032 (b) |  | 4028000 | 3675704 |
| Deutsche Bank AG/New York NY 3.729% 1/14/2032 (b) |  | 10000000 | 9381710 |
| Deutsche Bank AG/New York NY 4.1% 1/13/2026  |  | 8332000 | 8314611 |
| Deutsche Bank AG/New York NY 4.95% 8/4/2031 (b) |  | 8600000 | 8670711 |
| Deutsche Bank AG/New York NY 5.373% 1/10/2029 (b) |  | 5700000 | 5828774 |
| Deutsche Bank AG/New York NY 5.706% 2/8/2028 (b) |  | 11000000 | 11204558 |
| Deutsche Bank AG/New York NY 7.146% 7/13/2027 (b) |  | 11860000 | 12128158 |
|  |  |  | 92070441 |
| Financial Services - 0.0% |  |  |  |
| KfW 0.125% 1/9/2032 (o) | EUR | 1205000 | 1209216 |
| KfW 0.75% 1/15/2029 (o) | EUR | 1485000 | 1655756 |
| KfW 1.375% 6/7/2032 (o) | EUR | 375000 | 404913 |
| KfW 3.25% 3/24/2031 (o) | EUR | 4460000 | 5426094 |
|  |  |  | 8695979 |
| Insurance - 0.0% |  |  |  |
| Allianz SE 5.6% 9/3/2054 (b)(d) |  | 7200000 | 7316647 |
| TOTAL FINANCIALS |  |  | 111240274 |
| Health Care - 0.1% |  |  |  |
| Pharmaceuticals - 0.1% |  |  |  |
| Bayer US Finance II LLC 4.375% 12/15/2028 (d) |  | 6803000 | 6776859 |
| Bayer US Finance II LLC 4.875% 6/25/2048 (d) |  | 5321000 | 4369633 |
| Bayer US Finance LLC 6.25% 1/21/2029 (d) |  | 5290000 | 5566530 |
| Bayer US Finance LLC 6.375% 11/21/2030 (d) |  | 1480000 | 1588246 |
| Bayer US Finance LLC 6.5% 11/21/2033 (d) |  | 11585000 | 12415856 |
| Bayer US Finance LLC 6.875% 11/21/2053 (d) |  | 16200000 | 17143634 |
|  |  |  | 47860758 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| ACCENTRO 2 Wohneigentum GmbH 20% 9/30/2025 (f) | EUR | 100000 | 116990 |
| ACCENTRO 2 Wohneigentum GmbH 20% 9/30/2025 (f) | EUR | 100000 | 116990 |
| ACCENTRO 2 Wohneigentum GmbH 20% 9/30/2025 (f) | EUR | 100000 | 116990 |
| ACCENTRO East Holding GMBH 6% 6/30/2027 pay-in-kind (f) | EUR | 100000 | 116990 |
| Accentro Real Estate AG 5.625% 2/13/2026 (g)(o) | EUR | 1314000 | 599527 |
| Deutsche EuroShop AG 4.5% 10/15/2030 (o) | EUR | 400000 | 467461 |
| LEG Immobilien SE 3.875% 1/20/2035 (o) | EUR | 500000 | 575396 |
| Sirius Real Estate Ltd 4% 1/22/2032 (o) | EUR | 800000 | 927488 |
|  |  |  | 3037832 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Amprion GmbH 3.125% 8/27/2030 (o) | EUR | 1400000 | 1647781 |
| Amprion GmbH 3.625% 5/21/2031 (o) | EUR | 300000 | 359630 |
| Amprion GmbH 3.875% 6/5/2036 (o) | EUR | 900000 | 1051732 |
| EnBW International Finance BV 3.5% 7/22/2031 (o) | EUR | 1198000 | 1438689 |
| EnBW International Finance BV 3.75% 11/20/2035 (o) | EUR | 1525000 | 1784657 |
|  |  |  | 6282489 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| RWE Finance US LLC 5.875% 4/16/2034 (d) |  | 1581000 | 1649714 |
| Multi-Utilities - 0.0% |  |  |  |
| E.ON SE 3.5% 4/16/2033 (o) | EUR | 543000 | 639913 |
| TOTAL UTILITIES |  |  | 8572116 |
| TOTAL GERMANY |  |  | 194118340 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (d) |  | 1210000 | 1244964 |
| GUATEMALA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Millicom International Cellular SA 4.5% 4/27/2031 (d) |  | 6466000 | 6016646 |
| Millicom International Cellular SA 5.125% 1/15/2028 (d) |  | 801000 | 794742 |
| TOTAL GUATEMALA |  |  | 6811388 |
| HONG KONG - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Insurance - 0.0% |  |  |  |
| AIA Group Ltd 0.88% 9/9/2033 (b)(o) | EUR | 705000 | 771578 |
| AIA Group Ltd 3.9% 4/6/2028 (d) |  | 2931000 | 2921681 |
| AIA Group Ltd 5.375% 4/5/2034 (d) |  | 4500000 | 4658749 |
| Prudential Funding Asia PLC 2.95% 11/3/2033 (b)(o) |  | 3700000 | 3513768 |
| TOTAL HONG KONG |  |  | 11865776 |
| IRELAND - 0.3%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Flutter Treasury DAC 5.875% 6/4/2031 (d) |  | 1460000 | 1486586 |
| Financials - 0.2% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank of Ireland Group PLC 5.601% 3/20/2030 (b)(d) |  | 6500000 | 6750936 |
| Consumer Finance - 0.2% |  |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.75% 1/30/2026  |  | 16619000 | 16428729 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  |  | 14854000 | 14549787 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  |  | 31806000 | 30601337 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  |  | 15939000 | 14592653 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.4% 10/29/2033  |  | 2691000 | 2391900 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.85% 10/29/2041  |  | 4396000 | 3539552 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45% 4/3/2026  |  | 4254000 | 4250317 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.95% 9/10/2034  |  | 8350000 | 8236396 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.1% 1/19/2029  |  | 5200000 | 5320421 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.75% 6/6/2028  |  | 16700000 | 17321167 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.1% 1/15/2027  |  | 4800000 | 4904973 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.15% 9/30/2030  |  | 10400000 | 11148923 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  |  | 1866000 | 1926252 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 1/31/2056 (b) |  | 1225000 | 1260168 |
|  |  |  | 136472575 |
| Financial Services - 0.0% |  |  |  |
| GGAM Finance Ltd 5.875% 3/15/2030 (d) |  | 1065000 | 1075610 |
| GGAM Finance Ltd 6.875% 4/15/2029 (d) |  | 545000 | 564077 |
| GGAM Finance Ltd 7.75% 5/15/2026 (d) |  | 1335000 | 1339582 |
| GGAM Finance Ltd 8% 2/15/2027 (d) |  | 390000 | 400022 |
|  |  |  | 3379291 |
| TOTAL FINANCIALS |  |  | 146602802 |
| Industrials - 0.1% |  |  |  |
| Passenger Airlines - 0.0% |  |  |  |
| SMBC Aviation Capital Finance DAC 5.7% 7/25/2033 (d) |  | 6000000 | 6210326 |
| Transportation Infrastructure - 0.1% |  |  |  |
| Avolon Holdings Funding Ltd 3.25% 2/15/2027 (d) |  | 11688000 | 11472726 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (d) |  | 7747000 | 7733818 |
| Avolon Holdings Funding Ltd 4.9% 10/10/2030 (d) |  | 10000000 | 10052432 |
| Avolon Holdings Funding Ltd 4.95% 1/15/2028 (d) |  | 10100000 | 10200759 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (d) |  | 14620000 | 14867424 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (d) |  | 15782000 | 16193437 |
| Avolon Holdings Funding Ltd 5.5% 1/15/2026 (d) |  | 1754000 | 1756840 |
| Avolon Holdings Funding Ltd 5.75% 11/15/2029 (d) |  | 6000000 | 6230832 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (d) |  | 14000000 | 14488036 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (d) |  | 28614000 | 29927319 |
|  |  |  | 122923623 |
| TOTAL INDUSTRIALS |  |  | 129133949 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Smurfit Kappa Treasury ULC 5.438% 4/3/2034  |  | 10500000 | 10777158 |
| Smurfit Westrock Financing DAC 5.418% 1/15/2035  |  | 6624000 | 6744420 |
|  |  |  | 17521578 |
| TOTAL IRELAND |  |  | 294744915 |
| ISRAEL - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Energean PLC 6.5% 4/30/2027 (d) |  | 1620000 | 1602059 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Teva Pharmaceutical Finance Netherlands III BV 6% 12/1/2032  |  | 200000 | 205664 |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  |  | 1050000 | 1073223 |
|  |  |  | 1278887 |
| TOTAL ISRAEL |  |  | 2880946 |
| ITALY - 0.2%  |  |  |  |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| Intesa Sanpaolo SpA 4.198% 6/1/2032 (b)(d) |  | 17320000 | 16209612 |
| Intesa Sanpaolo SpA 5.71% 1/15/2026 (d) |  | 94108000 | 94318409 |
| Intesa Sanpaolo SpA 6.625% 6/20/2033 (d) |  | 805000 | 879365 |
| UniCredit SpA 1.982% 6/3/2027 (b)(d) |  | 6165000 | 6052343 |
|  |  |  | 117459729 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Enel Finance International NV 5.125% 6/26/2029 (d) |  | 9300000 | 9532248 |
| Enel Finance International NV 5.5% 6/26/2034 (d) |  | 9385000 | 9628092 |
| Enel Finance International NV 7.5% 10/14/2032 (d) |  | 1105000 | 1267674 |
| Enel SpA 3.375% (b)(o)(p) | EUR | 671000 | 787102 |
|  |  |  | 21215116 |
| Gas Utilities - 0.0% |  |  |  |
| Snam SpA 5.75% 5/28/2035 (d) |  | 977000 | 1001240 |
| TOTAL UTILITIES |  |  | 22216356 |
| TOTAL ITALY |  |  | 139676085 |
| JAPAN - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| NTT Finance Corp 1.591% 4/3/2028 (d) |  | 3586000 | 3361699 |
| NTT Finance Corp 3.678% 7/16/2033 (o) | EUR | 600000 | 710626 |
| NTT Finance Corp 4.567% 7/16/2027 (d) |  | 3278000 | 3298791 |
| NTT Finance Corp 4.62% 7/16/2028 (d) |  | 3778000 | 3818312 |
| NTT Finance Corp 4.876% 7/16/2030 (d) |  | 9993000 | 10147269 |
| NTT Finance Corp 5.171% 7/16/2032 (d) |  | 16350000 | 16658390 |
| NTT Finance Corp 5.502% 7/16/2035 (d) |  | 6100000 | 6249865 |
|  |  |  | 44244952 |
| Consumer Staples - 0.0% |  |  |  |
| Tobacco - 0.0% |  |  |  |
| Japan Tobacco Inc 4.85% 5/15/2028 (d) |  | 4109000 | 4180532 |
| Japan Tobacco Inc 5.21% 6/15/2030 (d) |  | 10408000 | 10808781 |
| Japan Tobacco Inc 5.856% 6/15/2035 (d) |  | 8260000 | 8723392 |
|  |  |  | 23712705 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Mitsubishi UFJ Financial Group Inc 1.538% 7/20/2027 (b) |  | 3276000 | 3196112 |
| Mitsubishi UFJ Financial Group Inc 1.64% 10/13/2027 (b) |  | 4211000 | 4090349 |
| Mitsubishi UFJ Financial Group Inc 5.017% 7/20/2028 (b) |  | 4690000 | 4763009 |
| Mitsubishi UFJ Financial Group Inc 5.258% 4/17/2030 (b) |  | 6000000 | 6191474 |
| Mizuho Financial Group Inc 1.234% 5/22/2027 (b) |  | 5448000 | 5327815 |
| Mizuho Financial Group Inc 1.554% 7/9/2027 (b) |  | 2200000 | 2149264 |
| Mizuho Financial Group Inc 4.254% 9/11/2029 (b) |  | 1035000 | 1036197 |
| Mizuho Financial Group Inc 4.711% 7/8/2031 (b) |  | 20356000 | 20590218 |
| Mizuho Financial Group Inc 5.323% 7/8/2036 (b) |  | 10000000 | 10155353 |
|  |  |  | 57499791 |
| TOTAL JAPAN |  |  | 125457448 |
| LUXEMBOURG - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Titanium 2l Bondco Sarl 6.25% 1/14/2031 pay-in-kind  | EUR | 6558500 | 2071471 |
| Real Estate - 0.0% |  |  |  |
| Industrial REITs - 0.0% |  |  |  |
| Prologis International Funding II SA 4.375% 7/1/2036 (o) | EUR | 400000 | 484798 |
| Real Estate Management & Development - 0.0% |  |  |  |
| Blackstone Property Partners Europe Holdings Sarl 1% 5/4/2028 (o) | EUR | 2271000 | 2538444 |
| CBRE Open-Ended Funds SCA SICAV-SIF 4.75% 3/27/2034 (o) | EUR | 450000 | 555915 |
| Logicor Financing Sarl 0.875% 1/14/2031 (o) | EUR | 600000 | 609438 |
| Logicor Financing Sarl 3.75% 7/14/2032 (o) | EUR | 800000 | 927055 |
| Logicor Financing Sarl 4.25% 7/18/2029 (o) | EUR | 1200000 | 1451827 |
| P3 Group Sarl 4% 4/19/2032 (o) | EUR | 800000 | 942997 |
|  |  |  | 7025676 |
| TOTAL REAL ESTATE |  |  | 7510474 |
| TOTAL LUXEMBOURG |  |  | 9581945 |
| MEXICO - 0.2%  |  |  |  |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Petroleos Mexicanos 4.5% 1/23/2026  |  | 4359000 | 4326090 |
| Petroleos Mexicanos 5.95% 1/28/2031  |  | 17450000 | 16350650 |
| Petroleos Mexicanos 6.35% 2/12/2048  |  | 1560000 | 1168065 |
| Petroleos Mexicanos 6.49% 1/23/2027  |  | 4247000 | 4252733 |
| Petroleos Mexicanos 6.5% 3/13/2027  |  | 9594000 | 9637173 |
| Petroleos Mexicanos 6.625% 6/15/2035  |  | 17000000 | 15351000 |
| Petroleos Mexicanos 6.7% 2/16/2032  |  | 8760000 | 8400402 |
| Petroleos Mexicanos 6.75% 9/21/2047  |  | 22490000 | 17554570 |
| Petroleos Mexicanos 6.84% 1/23/2030  |  | 1434000 | 1425396 |
| Petroleos Mexicanos 6.95% 1/28/2060  |  | 32166000 | 24912567 |
| Petroleos Mexicanos 7.69% 1/23/2050  |  | 75606000 | 64476041 |
| TOTAL MEXICO |  |  | 167854687 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| European Investment Bank 0.625% 1/22/2029 (o) | EUR | 3250000 | 3605560 |
| European Investment Bank 2.375% 5/15/2030 (o) | EUR | 415000 | 484823 |
| TOTAL MULTI-NATIONAL |  |  | 4090383 |
| NETHERLANDS - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Koninklijke KPN NV 3.875% 2/16/2036 (o) | EUR | 300000 | 351065 |
| Media - 0.0% |  |  |  |
| Ziggo BV 4.875% 1/15/2030 (d) |  | 670000 | 628769 |
| TOTAL COMMUNICATION SERVICES |  |  | 979834 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| REWE International Finance BV 4.875% 9/13/2030 (o) | EUR | 300000 | 377972 |
| Food Products - 0.0% |  |  |  |
| JDE Peet's NV 1.375% 1/15/2027 (d) |  | 3516000 | 3370336 |
| JDE Peet's NV 2.25% 9/24/2031 (d) |  | 2660000 | 2314548 |
|  |  |  | 5684884 |
| TOTAL CONSUMER STAPLES |  |  | 6062856 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| ABN AMRO Bank NV 4.988% 12/3/2028 (b)(d) |  | 7500000 | 7601880 |
| ABN AMRO Bank NV 5.515% 12/3/2035 (b)(d) |  | 17600000 | 18012530 |
| Cooperatieve Rabobank UA 1.125% 5/7/2031 (o) | EUR | 1100000 | 1153101 |
| Cooperatieve Rabobank UA 1.98% 12/15/2027 (b)(d) |  | 3614000 | 3509092 |
| Cooperatieve Rabobank UA 3.649% 4/6/2028 (b)(d) |  | 6943000 | 6880347 |
| Cooperatieve Rabobank UA 3.75% 7/21/2026  |  | 4206000 | 4178906 |
| Cooperatieve Rabobank UA 5.71% 1/21/2033 (b)(d) |  | 1870000 | 1967177 |
| ING Groep NV 1.726% 4/1/2027 (b) |  | 1250000 | 1231395 |
| ING Groep NV 3% 8/17/2031 (b)(o) | EUR | 4700000 | 5442953 |
| ING Groep NV 5.335% 3/19/2030 (b) |  | 6500000 | 6709076 |
|  |  |  | 56686457 |
| Insurance - 0.0% |  |  |  |
| Argentum Netherlands BV 5.625% 8/15/2052 (b)(o) |  | 5775000 | 5811982 |
| TOTAL FINANCIALS |  |  | 62498439 |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 2.65% 2/15/2032  |  | 5300000 | 4664547 |
| NXP BV / NXP Funding LLC / NXP USA Inc 3.4% 5/1/2030  |  | 5200000 | 4977248 |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  |  | 8338000 | 8333451 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  |  | 21120000 | 20984889 |
|  |  |  | 38960135 |
| TOTAL NETHERLANDS |  |  | 108501264 |
| NIGERIA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| IHS Holding Ltd 7.875% 5/29/2030 (d) |  | 280000 | 285583 |
| IHS Holding Ltd 8.25% 11/29/2031 (d) |  | 280000 | 287997 |
| TOTAL NIGERIA |  |  | 573580 |
| NORWAY - 0.1%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Seadrill Finance Ltd 8.375% 8/1/2030 (d) |  | 1275000 | 1324111 |
| TGS ASA 8.5% 1/15/2030 (d) |  | 955000 | 974519 |
|  |  |  | 2298630 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Equinor ASA 1.75% 1/22/2026  |  | 380000 | 376154 |
| TOTAL ENERGY |  |  | 2674784 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| DNB Bank ASA 0.25% 2/23/2029 (b)(o) | EUR | 500000 | 551013 |
| DNB Bank ASA 1.535% 5/25/2027 (b)(d) |  | 51990000 | 50958228 |
| DNB Bank ASA 1.605% 3/30/2028 (b)(d) |  | 3208000 | 3080084 |
|  |  |  | 54589325 |
| TOTAL NORWAY |  |  | 57264109 |
| PANAMA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Sable International Finance Ltd 7.125% 10/15/2032 (d) |  | 1040000 | 1056900 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (d) |  | 1230000 | 1291336 |
| TOTAL PANAMA |  |  | 2348236 |
| POLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| GTC Aurora Luxembourg SA 2.25% 6/23/2026 (o) | EUR | 1390000 | 1483433 |
| PORTUGAL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Insurance - 0.0% |  |  |  |
| Fidelidade - Co De Seguros SA/Portugal 4.25% 9/4/2031 (b)(o) | EUR | 800000 | 944376 |
| QATAR - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| Nakilat Inc 6.067% 12/31/2033 (d) |  | 894127 | 946102 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Anglo American Capital PLC 3.875% 3/16/2029 (d) |  | 6227000 | 6118028 |
| SPAIN - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Bilbao Vizcaya Argentaria SA 6.033% 3/13/2035 (b) |  | 1400000 | 1470854 |
| Banco Santander SA 2.749% 12/3/2030  |  | 10800000 | 9735928 |
| CaixaBank SA 3.625% 9/19/2032 (b)(o) | EUR | 1700000 | 2011567 |
| CaixaBank SA 5.673% 3/15/2030 (b)(d) |  | 9690000 | 10073297 |
| CaixaBank SA 6.037% 6/15/2035 (b)(d) |  | 11757000 | 12381432 |
|  |  |  | 35673078 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Atlantica Sustainable Infrastructure Ltd 4.125% 6/15/2028 (d) |  | 6227000 | 6030677 |
| TOTAL SPAIN |  |  | 41703755 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Samhallsbyggnadsbolaget I Norden Holding AB 2.25% 7/12/2027 (o) | EUR | 650000 | 701551 |
| SWITZERLAND - 0.1%  |  |  |  |
| Financials - 0.1% |  |  |  |
| Capital Markets - 0.1% |  |  |  |
| UBS Group AG 1.305% 2/2/2027 (b)(d) |  | 3100000 | 3059993 |
| UBS Group AG 1.494% 8/10/2027 (b)(d) |  | 11792000 | 11477084 |
| UBS Group AG 2.095% 2/11/2032 (b)(d) |  | 7800000 | 6858089 |
| UBS Group AG 2.125% 11/15/2029 (b)(o) | GBP | 800000 | 1001430 |
| UBS Group AG 3.091% 5/14/2032 (b)(d) |  | 5293000 | 4871857 |
| UBS Group AG 3.126% 8/13/2030 (b)(d) |  | 5359000 | 5110044 |
| UBS Group AG 4.125% 6/9/2033 (b)(o) | EUR | 730000 | 887871 |
| UBS Group AG 4.194% 4/1/2031 (b)(d) |  | 43154000 | 42646345 |
| UBS Group AG 4.55% 4/17/2026  |  | 1724000 | 1726573 |
| UBS Group AG 4.75% 3/17/2032 (b)(o) | EUR | 3450000 | 4328879 |
| UBS Group AG 6.246% 9/22/2029 (b)(d) |  | 8000000 | 8445102 |
| UBS Group AG 6.537% 8/12/2033 (b)(d) |  | 11161000 | 12238998 |
| UBS Group AG 9.016% 11/15/2033 (b)(d) |  | 2086000 | 2598158 |
|  |  |  | 105250423 |
| Insurance - 0.0% |  |  |  |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (b)(d) |  | 1000000 | 1003131 |
| Zurich Finance Ireland Designated Activity Co 3.5% 5/2/2052 (b)(o) |  | 1650000 | 1479288 |
|  |  |  | 2482419 |
| TOTAL FINANCIALS |  |  | 107732842 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| SIG Combibloc PurchaseCo Sarl 3.75% 3/19/2030 (o) | EUR | 350000 | 416184 |
| TOTAL SWITZERLAND |  |  | 108149026 |
| TANZANIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (d) |  | 1200000 | 1242000 |
| UNITED KINGDOM - 0.7%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Virgin Media Finance PLC 5% 7/15/2030 (d) |  | 231000 | 211260 |
| Media - 0.0% |  |  |  |
| Virgin Media Secured Finance PLC 5.5% 5/15/2029 (d) |  | 415000 | 408620 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Vmed O2 UK Financing I PLC 4.25% 1/31/2031 (d) |  | 945000 | 872238 |
| Vodafone Group PLC 4.875% 10/3/2078 (b)(o) | GBP | 1100000 | 1485781 |
|  |  |  | 2358019 |
| TOTAL COMMUNICATION SERVICES |  |  | 2977899 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Macquarie Airfinance Holdings Ltd 8.125% 3/30/2029 (d) |  | 635000 | 661962 |
| Broadline Retail - 0.0% |  |  |  |
| John Lewis PLC 4.25% 12/18/2034 (o) | GBP | 600000 | 654619 |
| Marks & Spencer PLC 3.25% 7/10/2027 (g)(o) | GBP | 1800000 | 2374978 |
|  |  |  | 3029597 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| InterContinental Hotels Group PLC 3.375% 10/8/2028 (o) | GBP | 875000 | 1133414 |
| Whitbread Group PLC 2.375% 5/31/2027 (o) | GBP | 1260000 | 1629243 |
|  |  |  | 2762657 |
| Household Durables - 0.0% |  |  |  |
| Berkeley Group PLC/The 2.5% 8/11/2031 (o) | GBP | 1820000 | 2066107 |
| Specialty Retail - 0.0% |  |  |  |
| Belron UK Finance PLC 5.75% 10/15/2029 (d) |  | 690000 | 698682 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 9219005 |
| Consumer Staples - 0.2% |  |  |  |
| Tobacco - 0.2% |  |  |  |
| BAT Capital Corp 2.259% 3/25/2028  |  | 7192000 | 6851887 |
| BAT Capital Corp 2.726% 3/25/2031  |  | 9590000 | 8723183 |
| BAT Capital Corp 4.7% 4/2/2027  |  | 2181000 | 2192598 |
| BAT Capital Corp 5.834% 2/20/2031  |  | 11500000 | 12161522 |
| BAT Capital Corp 6.421% 8/2/2033  |  | 8000000 | 8721992 |
| BAT Capital Corp 7.75% 10/19/2032  |  | 5978000 | 6924647 |
| BAT International Finance PLC 1.668% 3/25/2026  |  | 4276000 | 4210138 |
| BAT International Finance PLC 4.125% 4/12/2032 (o) | EUR | 2615000 | 3157199 |
| BAT International Finance PLC 4.448% 3/16/2028  |  | 4764000 | 4781132 |
| BAT International Finance PLC 5.931% 2/2/2029  |  | 6000000 | 6305350 |
| Imperial Brands Finance Netherlands BV 5.25% 2/15/2031 (o) | EUR | 1845000 | 2339869 |
| Imperial Brands Finance PLC 3.875% 2/12/2034 (o) | EUR | 1000000 | 1157638 |
| Imperial Brands Finance PLC 4.5% 6/30/2028 (d) |  | 3100000 | 3119735 |
| Imperial Brands Finance PLC 5.5% 2/1/2030 (d) |  | 8000000 | 8286937 |
| Imperial Brands Finance PLC 6.125% 7/27/2027 (d) |  | 1197000 | 1235969 |
| Reynolds American Inc 5.7% 8/15/2035  |  | 171000 | 175988 |
|  |  |  | 80345784 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| EG Global Finance PLC 12% 11/30/2028 (d) |  | 1280000 | 1413252 |
| Financials - 0.5% |  |  |  |
| Banks - 0.5% |  |  |  |
| Barclays PLC 2.279% 11/24/2027 (b) |  | 31514000 | 30742009 |
| Barclays PLC 3.543% 8/14/2031 (b)(o) | EUR | 1503000 | 1773101 |
| Barclays PLC 3.811% 3/10/2042 (b) |  | 7473000 | 5828767 |
| Barclays PLC 4.375% 1/12/2026  |  | 4468000 | 4466705 |
| Barclays PLC 4.836% 5/9/2028  |  | 6102000 | 6132134 |
| Barclays PLC 5.088% 6/20/2030 (b) |  | 35939000 | 36450239 |
| Barclays PLC 5.2% 5/12/2026  |  | 1556000 | 1561965 |
| Barclays PLC 5.367% 2/25/2031 (b) |  | 17084000 | 17620637 |
| Barclays PLC 5.501% 8/9/2028 (b) |  | 3000000 | 3065658 |
| Barclays PLC 5.746% 8/9/2033 (b) |  | 2074000 | 2168577 |
| Barclays PLC 5.785% 2/25/2036 (b) |  | 9000000 | 9283418 |
| Barclays PLC 5.829% 5/9/2027 (b) |  | 4720000 | 4762787 |
| Barclays PLC 6.224% 5/9/2034 (b) |  | 5000000 | 5336790 |
| Barclays PLC 6.49% 9/13/2029 (b) |  | 8000000 | 8479951 |
| Barclays PLC 6.692% 9/13/2034 (b) |  | 12500000 | 13693905 |
| Barclays PLC 8.407% 11/14/2032 (b)(o) | GBP | 550000 | 793310 |
| HSBC Holdings PLC 2.357% 8/18/2031 (b) |  | 15444000 | 13934203 |
| HSBC Holdings PLC 2.848% 6/4/2031 (b) |  | 6103000 | 5663196 |
| HSBC Holdings PLC 4.292% 9/12/2026 (b) |  | 1724000 | 1723894 |
| HSBC Holdings PLC 4.787% 3/10/2032 (b)(o) | EUR | 1270000 | 1591136 |
| HSBC Holdings PLC 4.856% 5/23/2033 (b)(o) | EUR | 1600000 | 2017806 |
| HSBC Holdings PLC 4.899% 3/3/2029 (b) |  | 6458000 | 6550571 |
| HSBC Holdings PLC 4.95% 3/31/2030  |  | 262000 | 268616 |
| HSBC Holdings PLC 5.21% 8/11/2028 (b) |  | 8310000 | 8442317 |
| HSBC Holdings PLC 5.24% 5/13/2031 (b) |  | 9220000 | 9477854 |
| HSBC Holdings PLC 5.813% 5/22/2033 (b)(o) | GBP | 925000 | 1281271 |
| HSBC Holdings PLC 6.254% 3/9/2034 (b) |  | 200000 | 215981 |
| HSBC Holdings PLC 8.201% 11/16/2034 (b)(o) | GBP | 1000000 | 1482389 |
| Lloyds Banking Group PLC 4.375% 3/22/2028  |  | 4320000 | 4337987 |
| Lloyds Banking Group PLC 4.75% 9/21/2031 (b)(o) | EUR | 1550000 | 1942940 |
| Lloyds Banking Group PLC 4.818% 6/13/2029 (b) |  | 5000000 | 5070711 |
| Lloyds Banking Group PLC 4.976% 8/11/2033 (b) |  | 6227000 | 6243245 |
| Lloyds Banking Group PLC 5.087% 11/26/2028 (b) |  | 5700000 | 5795305 |
| Lloyds Banking Group PLC 5.985% 8/7/2027 (b) |  | 4700000 | 4765591 |
| Lloyds Banking Group PLC 7.953% 11/15/2033 (b) |  | 6196000 | 7149321 |
| NatWest Group PLC 1.642% 6/14/2027 (b) |  | 1207000 | 1181418 |
| NatWest Group PLC 3.073% 5/22/2028 (b) |  | 9914000 | 9724963 |
| NatWest Group PLC 4.8% 4/5/2026  |  | 19815000 | 19868037 |
| NatWest Group PLC 4.964% 8/15/2030 (b) |  | 8200000 | 8371261 |
| NatWest Group PLC 5.115% 5/23/2031 (b) |  | 9410000 | 9639369 |
| NatWest Group PLC 5.808% 9/13/2029 (b) |  | 30000000 | 31338645 |
| NatWest Group PLC 5.847% 3/2/2027 (b) |  | 6200000 | 6244026 |
| NatWest Group PLC 7.416% 6/6/2033 (b)(o) | GBP | 850000 | 1209841 |
| Standard Chartered PLC 3.864% 3/17/2033 (b)(o) | EUR | 900000 | 1066293 |
| Standard Chartered PLC 5.005% 10/15/2030 (b)(d) |  | 6204000 | 6314263 |
| Standard Chartered PLC 5.545% 1/21/2029 (b)(d) |  | 5880000 | 6027515 |
| Virgin Money UK PLC 7.625% 8/23/2029 (b)(o) | GBP | 1600000 | 2331855 |
|  |  |  | 343431773 |
| Consumer Finance - 0.0% |  |  |  |
| Motability Operations Group PLC 3.625% 1/22/2033 (o) | EUR | 1275000 | 1499326 |
| Financial Services - 0.0% |  |  |  |
| Nationwide Building Society 4% 7/30/2035 (b)(o) | EUR | 500000 | 593411 |
| Nationwide Building Society 6.557% 10/18/2027 (b)(d) |  | 6000000 | 6139989 |
|  |  |  | 6733400 |
| Insurance - 0.0% |  |  |  |
| Admiral Group PLC 8.5% 1/6/2034 (o) | GBP | 800000 | 1228382 |
| TOTAL FINANCIALS |  |  | 352892881 |
| Health Care - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| 180 Medical Inc 3.875% 10/15/2029 (d) |  | 1520000 | 1457896 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| BAE Systems PLC 3.4% 4/15/2030 (d) |  | 11997000 | 11584324 |
| BAE Systems PLC 5.25% 3/26/2031 (d) |  | 7319000 | 7623855 |
| BAE Systems PLC 5.3% 3/26/2034 (d) |  | 11900000 | 12210801 |
| BAE Systems PLC 5.5% 3/26/2054 (d) |  | 1703000 | 1662673 |
|  |  |  | 33081653 |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 4.875% 9/26/2031 (o) | EUR | 1300000 | 1309360 |
| Passenger Airlines - 0.0% |  |  |  |
| British Airways 2021-1 Class A Pass Through Trust equipment trust certificate 2.9% 9/15/2036 (d) |  | 1183651 | 1079202 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Travis Perkins PLC 3.75% 2/17/2026 (o) | GBP | 467000 | 622349 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Heathrow Funding Ltd 6% 3/5/2032 (o) | GBP | 1250000 | 1699051 |
| TOTAL INDUSTRIALS |  |  | 37791615 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| INEOS Quattro Finance 2 Plc 9.625% 3/15/2029 (d) |  | 415000 | 415964 |
| Real Estate - 0.0% |  |  |  |
| Office REITs - 0.0% |  |  |  |
| Great Portland Estates PLC 5.375% 9/25/2031 (o) | GBP | 500000 | 672727 |
| Real Estate Management & Development - 0.0% |  |  |  |
| Titanium Ruth Holdco Ltd 0.95% 6/2/2026 (o) | EUR | 1300000 | 1503103 |
| TOTAL REAL ESTATE |  |  | 2175830 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| London Power Networks PLC 3.837% 6/11/2037 (o) | EUR | 750000 | 878741 |
| NGG Finance PLC 2.125% 9/5/2082 (b)(o) | EUR | 1960000 | 2246884 |
| Scottish Hydro Electric Transmission PLC 3.375% 9/4/2032 (o) | EUR | 1050000 | 1230550 |
|  |  |  | 4356175 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (d) |  | 1660000 | 1683735 |
| ContourGlobal Power Holdings SA 6.75% 2/28/2030 (d) |  | 605000 | 624662 |
|  |  |  | 2308397 |
| Water Utilities - 0.0% |  |  |  |
| Anglian Water Services Financing PLC 5.875% 6/20/2031 (o) | GBP | 990000 | 1365313 |
| Anglian Water Services Financing PLC 6.25% 9/12/2044 (o) | GBP | 450000 | 570211 |
| Anglian Water Services Financing PLC 6.293% 7/30/2030 (o) | GBP | 1000000 | 1400639 |
| Severn Trent Utilities Finance PLC 3.875% 8/4/2035 (o) | EUR | 1400000 | 1637308 |
| Severn Trent Utilities Finance PLC 4.625% 11/30/2034 (o) | GBP | 380000 | 478317 |
| South West Water Finance PLC 5.75% 12/11/2032 (o) | GBP | 225000 | 308667 |
| SW Finance I PLC 6.875% 8/7/2032 (o) | GBP | 700000 | 953867 |
| SW Finance I PLC 7.375% 12/12/2041 (o) | GBP | 631000 | 839490 |
| United Utilities Water Finance PLC 3.5% 2/27/2033 (o) | EUR | 825000 | 958960 |
| Wessex Water Services Finance PLC 6.125% 9/19/2034 (o) | GBP | 850000 | 1149187 |
| Yorkshire Water Finance PLC 6% 7/22/2033 (o) | GBP | 850000 | 1142024 |
|  |  |  | 10803983 |
| TOTAL UTILITIES |  |  | 17468555 |
| TOTAL UNITED KINGDOM |  |  | 506158681 |
| UNITED STATES - 9.3%  |  |  |  |
| Communication Services - 0.6% |  |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |  |
| AT&T Inc 1.65% 2/1/2028  |  | 2253000 | 2125956 |
| AT&T Inc 2.25% 2/1/2032  |  | 8095000 | 7010732 |
| AT&T Inc 2.55% 12/1/2033  |  | 18825000 | 15845025 |
| AT&T Inc 2.75% 6/1/2031  |  | 7200000 | 6587038 |
| AT&T Inc 3.55% 9/15/2055  |  | 11426000 | 7597712 |
| AT&T Inc 3.65% 9/15/2059  |  | 2396000 | 1586095 |
| AT&T Inc 3.8% 12/1/2057  |  | 10190000 | 7012142 |
| AT&T Inc 4.3% 2/15/2030  |  | 7106000 | 7116900 |
| AT&T Inc 4.5% 5/15/2035  |  | 2388000 | 2284768 |
| AT&T Inc 4.75% 5/15/2046  |  | 41310000 | 35967634 |
| AT&T Inc 5.4% 2/15/2034  |  | 5000000 | 5154478 |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (d) |  | 685000 | 675802 |
| Cablevision Lightpath LLC 5.625% 9/15/2028 (d) |  | 250000 | 247744 |
| Frontier Communications Holdings LLC 5.875% 10/15/2027 (d) |  | 435000 | 434876 |
| Level 3 Financing Inc 6.875% 6/30/2033 (d) |  | 1840000 | 1856514 |
| Verizon Communications Inc 2.1% 3/22/2028  |  | 2703000 | 2573631 |
| Verizon Communications Inc 2.355% 3/15/2032  |  | 21895000 | 19007562 |
| Verizon Communications Inc 2.55% 3/21/2031  |  | 3016000 | 2735231 |
| Verizon Communications Inc 3% 11/20/2060  |  | 5215000 | 3039546 |
| Verizon Communications Inc 3.7% 3/22/2061  |  | 7473000 | 5120520 |
| Verizon Communications Inc 4.4% 11/1/2034  |  | 8120000 | 7755015 |
| Verizon Communications Inc 4.78% 2/15/2035  |  | 7000000 | 6825508 |
| Verizon Communications Inc 4.862% 8/21/2046  |  | 5000000 | 4452743 |
| Verizon Communications Inc 5.401% 7/2/2037 (d) |  | 427000 | 428820 |
|  |  |  | 153441992 |
| Entertainment - 0.0% |  |  |  |
| ROBLOX Corp 3.875% 5/1/2030 (d) |  | 1070000 | 1017312 |
| Walt Disney Co/The 6.65% 11/15/2037  |  | 5862000 | 6724511 |
|  |  |  | 7741823 |
| Interactive Media & Services - 0.0% |  |  |  |
| Alphabet Inc 3.375% 5/6/2037  | EUR | 290000 | 331918 |
| Alphabet Inc 3.875% 5/6/2045  | EUR | 300000 | 340387 |
| Alphabet Inc 4% 5/6/2054  | EUR | 300000 | 335464 |
| Snap Inc 6.875% 3/1/2033 (d) |  | 165000 | 166715 |
| Snap Inc 6.875% 3/15/2034 (d) |  | 625000 | 626633 |
|  |  |  | 1801117 |
| Media - 0.3% |  |  |  |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 5/1/2032  |  | 3000000 | 2743367 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 8/15/2030 (d) |  | 9205000 | 8713092 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5% 2/1/2028 (d) |  | 3546000 | 3517120 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  |  | 16509000 | 13987342 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.8% 4/1/2031  |  | 25100000 | 22585242 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.7% 4/1/2051  |  | 4546000 | 2927570 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.75% 2/15/2028  |  | 7200000 | 7094057 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.2% 3/15/2028  |  | 1724000 | 1713813 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 12/1/2061  |  | 18290000 | 12419736 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.8% 3/1/2050  |  | 3801000 | 2940814 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  |  | 4200000 | 4265687 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  |  | 12482000 | 10202511 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  |  | 49708000 | 42240492 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  |  | 2304000 | 1885867 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.85% 12/1/2035 (e) |  | 4300000 | 4307595 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  |  | 17861000 | 18774234 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  |  | 12270000 | 13015894 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.7% 12/1/2055 (e) |  | 5000000 | 4939654 |
| Comcast Corp 2.937% 11/1/2056  |  | 1612000 | 928110 |
| Comcast Corp 2.987% 11/1/2063  |  | 6248000 | 3475149 |
| Comcast Corp 3.75% 4/1/2040  |  | 1000000 | 830691 |
| Comcast Corp 3.999% 11/1/2049  |  | 889000 | 669501 |
| Discovery Communications LLC 3.95% 3/20/2028  |  | 6489000 | 6272397 |
| Dotdash Meredith Inc 7.625% 6/15/2032 (d) |  | 420000 | 411475 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (b) |  | 1660000 | 1637706 |
| Nexstar Media Inc 5.625% 7/15/2027 (d) |  | 1435000 | 1433444 |
| Sirius XM Radio LLC 4.125% 7/1/2030 (d) |  | 10000000 | 9298055 |
| Sirius XM Radio LLC 5% 8/1/2027 (d) |  | 825000 | 821276 |
| Sirius XM Radio LLC 5.5% 7/1/2029 (d) |  | 400000 | 399429 |
| TEGNA Inc 4.625% 3/15/2028  |  | 465000 | 461147 |
| TEGNA Inc 5% 9/15/2029  |  | 115000 | 115119 |
| Time Warner Cable LLC 4.5% 9/15/2042  |  | 886000 | 702659 |
| Time Warner Cable LLC 5.5% 9/1/2041  |  | 23879000 | 21575984 |
| Time Warner Cable LLC 5.875% 11/15/2040  |  | 12748000 | 12180149 |
| Time Warner Cable LLC 6.55% 5/1/2037  |  | 7048000 | 7300658 |
| Time Warner Cable LLC 6.75% 6/15/2039  |  | 5390000 | 5581128 |
| Time Warner Cable LLC 7.3% 7/1/2038  |  | 8091000 | 8811626 |
| Univision Communications Inc 7.375% 6/30/2030 (d) |  | 145000 | 145792 |
| Univision Communications Inc 8.5% 7/31/2031 (d) |  | 1060000 | 1092289 |
| Univision Communications Inc 9.375% 8/1/2032 (d) |  | 415000 | 437033 |
| Warnermedia Holdings Inc 3.755% 3/15/2027  |  | 1531000 | 1508035 |
| Warnermedia Holdings Inc 4.693% 5/17/2033  | EUR | 477000 | 496303 |
|  |  |  | 264859242 |
| Wireless Telecommunication Services - 0.1% |  |  |  |
| T-Mobile USA Inc 2.4% 3/15/2029  |  | 1208000 | 1136243 |
| T-Mobile USA Inc 2.625% 4/15/2026  |  | 2931000 | 2897670 |
| T-Mobile USA Inc 2.7% 3/15/2032  |  | 13401000 | 11872105 |
| T-Mobile USA Inc 3.75% 4/15/2027  |  | 10840000 | 10771711 |
| T-Mobile USA Inc 3.875% 4/15/2030  |  | 22430000 | 21970002 |
| T-Mobile USA Inc 5.65% 1/15/2053  |  | 2491000 | 2385133 |
|  |  |  | 51032864 |
| TOTAL COMMUNICATION SERVICES |  |  | 478877038 |
| Consumer Discretionary - 0.4% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Clarios Global LP / Clarios US Finance Co 6.75% 2/15/2030 (d) |  | 335000 | 347134 |
| Clarios Global LP / Clarios US Finance Co 6.75% 5/15/2028 (d) |  | 460000 | 470267 |
| Patrick Industries Inc 6.375% 11/1/2032 (d) |  | 825000 | 836882 |
|  |  |  | 1654283 |
| Automobiles - 0.1% |  |  |  |
| Ford Motor Co 3.25% 2/12/2032  |  | 6850000 | 5872474 |
| General Motors Co 5% 4/1/2035  |  | 1419000 | 1353781 |
| General Motors Co 5.2% 4/1/2045  |  | 1619000 | 1408627 |
| General Motors Co 5.4% 4/1/2048  |  | 654000 | 574161 |
| General Motors Co 5.6% 10/15/2032  |  | 3114000 | 3198937 |
| General Motors Co 5.95% 4/1/2049  |  | 3089000 | 2904484 |
| General Motors Co 6.125% 10/1/2025  |  | 1078000 | 1078000 |
| General Motors Financial Co Inc 1.25% 1/8/2026  |  | 5114000 | 5055064 |
| General Motors Financial Co Inc 2.35% 2/26/2027  |  | 1414000 | 1373282 |
| General Motors Financial Co Inc 3.1% 1/12/2032  |  | 7510000 | 6677603 |
| General Motors Financial Co Inc 4.3% 4/6/2029  |  | 6975000 | 6902437 |
| General Motors Financial Co Inc 5.4% 4/6/2026  |  | 7700000 | 7736193 |
| General Motors Financial Co Inc 5.4% 5/8/2027  |  | 12300000 | 12505817 |
| General Motors Financial Co Inc 5.45% 7/15/2030  |  | 3000000 | 3080113 |
| General Motors Financial Co Inc 5.55% 7/15/2029  |  | 8500000 | 8763343 |
| General Motors Financial Co Inc 5.85% 4/6/2030  |  | 10453000 | 10925211 |
| General Motors Financial Co Inc 6% 1/9/2028  |  | 1900000 | 1968072 |
| General Motors Financial Co Inc 6.4% 1/9/2033  |  | 5000000 | 5301650 |
| Nissan Motor Acceptance Co LLC 2.45% 9/15/2028 (d) |  | 70000 | 63597 |
| Nissan Motor Acceptance Co LLC 5.55% 9/13/2029 (d) |  | 115000 | 113474 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (d) |  | 410000 | 387405 |
| Stellantis Finance US Inc 2.691% 9/15/2031 (d) |  | 6943000 | 5918936 |
| Stellantis Finance US Inc 5.75% 3/18/2030 (d) |  | 9868000 | 9990497 |
| Thor Industries Inc 4% 10/15/2029 (d) |  | 885000 | 835694 |
|  |  |  | 103988852 |
| Broadline Retail - 0.0% |  |  |  |
| Macy's Retail Holdings LLC 7.375% 8/1/2033 (d) |  | 580000 | 595533 |
| Match Group Holdings II LLC 3.625% 10/1/2031 (d) |  | 465000 | 419711 |
| Match Group Holdings II LLC 4.125% 8/1/2030 (d) |  | 530000 | 499049 |
| Nordstrom Inc 4.375% 4/1/2030  |  | 405000 | 372978 |
| Wayfair LLC 7.25% 10/31/2029 (d) |  | 395000 | 402753 |
| Wayfair LLC 7.75% 9/15/2030 (d) |  | 1745000 | 1802854 |
|  |  |  | 4092878 |
| Distributors - 0.0% |  |  |  |
| Genuine Parts Co 2.75% 2/1/2032  |  | 3756000 | 3318586 |
| Diversified Consumer Services - 0.0% |  |  |  |
| Massachusetts Institute of Technology 3.885% 7/1/2116  |  | 4116000 | 2808594 |
| Service Corp International/US 4% 5/15/2031  |  | 665000 | 625209 |
| Service Corp International/US 5.125% 6/1/2029  |  | 1035000 | 1027217 |
| Service Corp International/US 5.75% 10/15/2032  |  | 820000 | 828148 |
| Sotheby's 7.375% 10/15/2027 (d) |  | 1490000 | 1473599 |
| Trane Technologies Global Holding Co Ltd 5.75% 6/15/2043  |  | 223000 | 228722 |
|  |  |  | 6991489 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Aramark Services Inc 5% 2/1/2028 (d) |  | 975000 | 967837 |
| Caesars Entertainment Inc 6% 10/15/2032 (d) |  | 465000 | 455911 |
| Caesars Entertainment Inc 6.5% 2/15/2032 (d) |  | 1050000 | 1076443 |
| Carnival Corp 5.75% 3/15/2030 (d) |  | 405000 | 415187 |
| Carnival Corp 5.75% 8/1/2032 (d) |  | 330000 | 335775 |
| Carnival Corp 5.875% 6/15/2031 (d) |  | 810000 | 830367 |
| Carnival Corp 6.125% 2/15/2033 (d) |  | 4070000 | 4179439 |
| Churchill Downs Inc 6.75% 5/1/2031 (d) |  | 810000 | 832498 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 6.75% 1/15/2030 (d) |  | 955000 | 898130 |
| Hilton Domestic Operating Co Inc 3.625% 2/15/2032 (d) |  | 660000 | 602426 |
| Hilton Domestic Operating Co Inc 4% 5/1/2031 (d) |  | 1370000 | 1290592 |
| Hilton Domestic Operating Co Inc 5.75% 9/15/2033 (d) |  | 1245000 | 1255271 |
| Hilton Domestic Operating Co Inc 5.875% 4/1/2029 (d) |  | 500000 | 509153 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 5% 6/1/2029 (d) |  | 435000 | 420724 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 6.625% 1/15/2032 (d) |  | 980000 | 999989 |
| Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp 4.875% 4/1/2027  |  | 164000 | 163564 |
| Life Time Inc 6% 11/15/2031 (d) |  | 915000 | 924732 |
| McDonald's Corp 3.5% 5/21/2032 (o) | EUR | 1225000 | 1444059 |
| Neogen Food Safety Corp 8.625% 7/20/2030 (d) |  | 205000 | 214726 |
| Royal Caribbean Cruises Ltd 5.625% 9/30/2031 (d) |  | 905000 | 919460 |
| Royal Caribbean Cruises Ltd 6% 2/1/2033 (d) |  | 690000 | 707920 |
| Royal Caribbean Cruises Ltd 6.25% 3/15/2032 (d) |  | 430000 | 443794 |
| Wyndham Hotels & Resorts Inc 4.375% 8/15/2028 (d) |  | 850000 | 829866 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 6.25% 3/15/2033 (d) |  | 455000 | 460597 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 7.125% 2/15/2031 (d) |  | 505000 | 543591 |
| Yum! Brands Inc 3.625% 3/15/2031  |  | 3568000 | 3310769 |
|  |  |  | 25032820 |
| Household Durables - 0.0% |  |  |  |
| Century Communities Inc 3.875% 8/15/2029 (d) |  | 450000 | 419176 |
| LGI Homes Inc 7% 11/15/2032 (d) |  | 1050000 | 1024018 |
| LGI Homes Inc 8.75% 12/15/2028 (d) |  | 445000 | 466127 |
| Newell Brands Inc 6.375% 5/15/2030  |  | 385000 | 379937 |
| Somnigroup International Inc 3.875% 10/15/2031 (d) |  | 880000 | 805064 |
| Somnigroup International Inc 4% 4/15/2029 (d) |  | 590000 | 567121 |
| Toll Brothers Finance Corp 4.875% 3/15/2027  |  | 739000 | 744025 |
| TopBuild Corp 4.125% 2/15/2032 (d) |  | 1170000 | 1090447 |
| Whirlpool Corp 6.125% 6/15/2030  |  | 230000 | 232557 |
| Whirlpool Corp 6.5% 6/15/2033  |  | 1025000 | 1032163 |
|  |  |  | 6760635 |
| Leisure Products - 0.0% |  |  |  |
| Brunswick Corp/DE 5.85% 3/18/2029  |  | 10500000 | 10880405 |
| Specialty Retail - 0.2% |  |  |  |
| Advance Auto Parts Inc 1.75% 10/1/2027  |  | 3120000 | 2909981 |
| Advance Auto Parts Inc 5.95% 3/9/2028  |  | 5301000 | 5397939 |
| Asbury Automotive Group Inc 4.625% 11/15/2029 (d) |  | 175000 | 169958 |
| Asbury Automotive Group Inc 5% 2/15/2032 (d) |  | 785000 | 754691 |
| AutoNation Inc 1.95% 8/1/2028  |  | 7691000 | 7200224 |
| AutoNation Inc 2.4% 8/1/2031  |  | 23196000 | 20223764 |
| AutoNation Inc 4.75% 6/1/2030  |  | 1430000 | 1435088 |
| AutoZone Inc 4% 4/15/2030  |  | 19121000 | 18864636 |
| AutoZone Inc 5.165% 6/15/2030  |  | 1476000 | 1523396 |
| AutoZone Inc 6.25% 11/1/2028  |  | 8000000 | 8496407 |
| Bath & Body Works Inc 6.625% 10/1/2030 (d) |  | 920000 | 944464 |
| Bath & Body Works Inc 6.875% 11/1/2035  |  | 885000 | 921736 |
| Group 1 Automotive Inc 6.375% 1/15/2030 (d) |  | 1215000 | 1244910 |
| Home Depot Inc/The 2.5% 4/15/2027  |  | 123000 | 120328 |
| Home Depot Inc/The 4.95% 6/25/2034  |  | 15500000 | 15765701 |
| Home Depot Inc/The 5.95% 4/1/2041  |  | 527000 | 557191 |
| LBM Acquisition LLC 9.5% 6/15/2031 (d) |  | 375000 | 393008 |
| Lowe's Cos Inc 1.7% 9/15/2028  |  | 1724000 | 1606646 |
| Lowe's Cos Inc 3% 10/15/2050  |  | 7286000 | 4511106 |
| Lowe's Cos Inc 3.75% 4/1/2032  |  | 19417000 | 18437529 |
| Lowe's Cos Inc 4.25% 4/1/2052  |  | 14990000 | 11613942 |
| Lowe's Cos Inc 5.625% 4/15/2053  |  | 12017000 | 11472839 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  |  | 193000 | 192517 |
|  |  |  | 134758001 |
| Textiles, Apparel & Luxury Goods - 0.1% |  |  |  |
| Crocs Inc 4.125% 8/15/2031 (d) |  | 925000 | 830351 |
| Levi Strauss & Co 3.5% 3/1/2031 (d) |  | 555000 | 512060 |
| Ralph Lauren Corp 5% 6/15/2032  |  | 7300000 | 7450263 |
| Tapestry Inc 3.05% 3/15/2032  |  | 45138000 | 40421105 |
|  |  |  | 49213779 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 346691728 |
| Consumer Staples - 0.2% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Constellation Brands Inc 2.875% 5/1/2030  |  | 5370000 | 5022900 |
| Molson Coors Beverage Co 3% 7/15/2026  |  | 1552000 | 1534054 |
|  |  |  | 6556954 |
| Consumer Staples Distribution & Retail - 0.2% |  |  |  |
| 7-Eleven Inc 0.95% 2/10/2026 (d) |  | 797000 | 784317 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 3.5% 3/15/2029 (d) |  | 1415000 | 1345332 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 4.625% 1/15/2027 (d) |  | 410000 | 407504 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 4.875% 2/15/2030 (d) |  | 580000 | 571208 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.25% 3/15/2033 (d) |  | 395000 | 404042 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.5% 2/15/2028 (d) |  | 880000 | 896768 |
| C&S Group Enterprises LLC 5% 12/15/2028 (d) |  | 330000 | 300052 |
| Dollar General Corp 3.5% 4/3/2030  |  | 6956000 | 6686845 |
| Dollar General Corp 4.625% 11/1/2027  |  | 2000000 | 2014113 |
| Dollar Tree Inc 2.65% 12/1/2031  |  | 7473000 | 6653344 |
| Dollar Tree Inc 4.2% 5/15/2028  |  | 3971000 | 3961129 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (d) |  | 935000 | 984292 |
| Mars Inc 4.8% 3/1/2030 (d) |  | 17853000 | 18194146 |
| Mars Inc 5% 3/1/2032 (d) |  | 13403000 | 13679941 |
| Mars Inc 5.2% 3/1/2035 (d) |  | 36002000 | 36335764 |
| Mars Inc 5.65% 5/1/2045 (d) |  | 8429000 | 8309405 |
| Mars Inc 5.7% 5/1/2055 (d) |  | 16810000 | 16392262 |
| Mars Inc 5.8% 5/1/2065 (d) |  | 388000 | 380731 |
| Performance Food Group Inc 4.25% 8/1/2029 (d) |  | 845000 | 818276 |
| Performance Food Group Inc 6.125% 9/15/2032 (d) |  | 1215000 | 1243572 |
| US Foods Inc 4.625% 6/1/2030 (d) |  | 130000 | 126783 |
| US Foods Inc 5.75% 4/15/2033 (d) |  | 1785000 | 1790828 |
| US Foods Inc 7.25% 1/15/2032 (d) |  | 560000 | 587998 |
|  |  |  | 122868652 |
| Food Products - 0.0% |  |  |  |
| Bunge Ltd Finance Corp 4.9% 4/21/2027  |  | 8282000 | 8356193 |
| Darling Ingredients Inc 5.25% 4/15/2027 (d) |  | 410000 | 409053 |
| Darling Ingredients Inc 6% 6/15/2030 (d) |  | 815000 | 823837 |
| Fiesta Purchaser Inc 7.875% 3/1/2031 (d) |  | 395000 | 419196 |
| Fiesta Purchaser Inc 9.625% 9/15/2032 (d) |  | 760000 | 816552 |
| Lamb Weston Holdings Inc 4.375% 1/31/2032 (d) |  | 1325000 | 1246436 |
| Lamb Weston Holdings Inc 4.875% 5/15/2028 (d) |  | 415000 | 412436 |
| Pilgrim's Pride Corp 3.5% 3/1/2032  |  | 1050000 | 948795 |
| Pilgrim's Pride Corp 4.25% 4/15/2031  |  | 475000 | 457355 |
| Post Holdings Inc 4.625% 4/15/2030 (d) |  | 520000 | 501479 |
| Post Holdings Inc 6.25% 2/15/2032 (d) |  | 515000 | 529042 |
| Smithfield Foods Inc 3% 10/15/2030 (d) |  | 1317000 | 1203954 |
|  |  |  | 16124328 |
| Household Products - 0.0% |  |  |  |
| Central Garden & Pet Co 4.125% 4/30/2031 (d) |  | 445000 | 414684 |
| Resideo Funding Inc 6.5% 7/15/2032 (d) |  | 205000 | 209322 |
|  |  |  | 624006 |
| Personal Care Products - 0.0% |  |  |  |
| BellRing Brands Inc 7% 3/15/2030 (d) |  | 790000 | 817074 |
| Tobacco - 0.0% |  |  |  |
| Altria Group Inc 4.8% 2/14/2029  |  | 2374000 | 2411722 |
| Philip Morris International Inc 3.25% 6/6/2032  | EUR | 2575000 | 2988446 |
| Philip Morris International Inc 4.375% 11/15/2041  |  | 1174000 | 1024409 |
| Philip Morris International Inc 5.125% 2/13/2031  |  | 5200000 | 5373212 |
| Philip Morris International Inc 5.125% 2/15/2030  |  | 6162000 | 6376897 |
| Philip Morris International Inc 5.75% 11/17/2032  |  | 5790000 | 6129762 |
|  |  |  | 24304448 |
| TOTAL CONSUMER STAPLES |  |  | 171295462 |
| Energy - 0.9% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp 6.625% 9/1/2032 (d) |  | 1010000 | 1035338 |
| Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc 2.061% 12/15/2026  |  | 656000 | 638461 |
| Kodiak Gas Services LLC 7.25% 2/15/2029 (d) |  | 555000 | 574070 |
| Nabors Industries Inc 7.375% 5/15/2027 (d) |  | 410000 | 416832 |
| Nabors Industries Ltd 7.5% 1/15/2028 (d) |  | 450000 | 451703 |
| Transocean Inc 8.25% 5/15/2029 (d) |  | 860000 | 831856 |
| Transocean International Ltd 8% 2/1/2027 (d) |  | 590000 | 588959 |
| Valaris Ltd 8.375% 4/30/2030 (d) |  | 565000 | 588214 |
|  |  |  | 5125433 |
| Oil, Gas & Consumable Fuels - 0.9% |  |  |  |
| California Resources Corp 8.25% 6/15/2029 (d) |  | 605000 | 625071 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (d) |  | 750000 | 711437 |
| CNX Resources Corp 7.25% 3/1/2032 (d) |  | 785000 | 814552 |
| Columbia Pipelines Holding Co LLC 5.097% 10/1/2031 (d) |  | 8090000 | 8216518 |
| Columbia Pipelines Holding Co LLC 6.042% 8/15/2028 (d) |  | 5000000 | 5230564 |
| Columbia Pipelines Operating Co LLC 5.695% 10/1/2054 (d) |  | 5090000 | 4701840 |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (d) |  | 4337000 | 4612231 |
| Columbia Pipelines Operating Co LLC 5.962% 2/15/2055 (d) |  | 7300000 | 6952187 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (d) |  | 11691000 | 12375752 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (d) |  | 10495000 | 10908964 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (d) |  | 6291000 | 6508141 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (d) |  | 3766000 | 3977002 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/2031 (d) |  | 535000 | 527647 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/2033 (d) |  | 1195000 | 1281555 |
| CVR Energy Inc 8.5% 1/15/2029 (d) |  | 750000 | 758080 |
| DCP Midstream Operating LP 5.125% 5/15/2029  |  | 8391000 | 8574163 |
| DCP Midstream Operating LP 5.6% 4/1/2044  |  | 2894000 | 2697378 |
| DCP Midstream Operating LP 6.75% 9/15/2037 (d) |  | 1198000 | 1272568 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.375% 6/30/2033 (d) |  | 545000 | 545354 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (d) |  | 1020000 | 1066213 |
| Eastern Gas Transmission & Storage Inc 3% 11/15/2029  |  | 6572000 | 6259140 |
| Eastern Gas Transmission & Storage Inc 3.9% 11/15/2049  |  | 4359000 | 3126845 |
| Energy Transfer LP 3.75% 5/15/2030  |  | 40278000 | 39047447 |
| Energy Transfer LP 4.95% 6/15/2028  |  | 3824000 | 3883522 |
| Energy Transfer LP 5% 5/15/2050  |  | 42639000 | 35387983 |
| Energy Transfer LP 5.25% 4/15/2029  |  | 2564000 | 2636498 |
| Energy Transfer LP 5.25% 7/1/2029  |  | 7622000 | 7861057 |
| Energy Transfer LP 5.4% 10/1/2047  |  | 3324000 | 2961535 |
| Energy Transfer LP 5.6% 9/1/2034  |  | 2230000 | 2266378 |
| Energy Transfer LP 5.75% 2/15/2033  |  | 7491000 | 7786845 |
| Energy Transfer LP 5.8% 6/15/2038  |  | 2595000 | 2616218 |
| Energy Transfer LP 6% 6/15/2048  |  | 2491000 | 2388140 |
| Energy Transfer LP 6.125% 12/15/2045  |  | 650000 | 639526 |
| Energy Transfer LP 6.25% 4/15/2049  |  | 1761000 | 1726645 |
| Energy Transfer LP 6.5% 2/15/2056 (b) |  | 420000 | 417262 |
| Energy Transfer LP 6.75% 2/15/2056 (b) |  | 210000 | 208971 |
| EQT Corp 3.9% 10/1/2027  |  | 773000 | 765671 |
| EQT Corp 5.7% 4/1/2028  |  | 2186000 | 2259294 |
| EQT Corp 5.75% 2/1/2034  |  | 23624000 | 24457339 |
| Florida Gas Transmission Co LLC 5.75% 7/15/2035 (d) |  | 13350000 | 13752770 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (d) |  | 155000 | 158642 |
| Gulfstream Natural Gas System LLC 5.6% 7/23/2035 (d) |  | 8514000 | 8608604 |
| Harvest Midstream I LP 7.5% 5/15/2032 (d) |  | 1190000 | 1225239 |
| Hess Corp 4.3% 4/1/2027  |  | 8399000 | 8418492 |
| Hess Corp 5.6% 2/15/2041  |  | 4709000 | 4776806 |
| Hess Corp 5.8% 4/1/2047  |  | 11931000 | 12058651 |
| Hess Corp 7.125% 3/15/2033  |  | 1403000 | 1614928 |
| Hess Corp 7.3% 8/15/2031  |  | 3686000 | 4249517 |
| Hess Corp 7.875% 10/1/2029  |  | 8241000 | 9369206 |
| Hess Midstream Operations LP 5.5% 10/15/2030 (d) |  | 1235000 | 1241713 |
| Hess Midstream Operations LP 6.5% 6/1/2029 (d) |  | 1355000 | 1401016 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6% 2/1/2031 (d) |  | 170000 | 163581 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6% 4/15/2030 (d) |  | 640000 | 633373 |
| Hilcorp Energy I LP / Hilcorp Finance Co 8.375% 11/1/2033 (d) |  | 200000 | 208839 |
| Howard Midstream Energy Partners LLC 6.625% 1/15/2034 (d) |  | 470000 | 477679 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/2032 (d) |  | 595000 | 620478 |
| Kinder Morgan Inc 3.6% 2/15/2051  |  | 26000000 | 17674317 |
| Kinetik Holdings LP 5.875% 6/15/2030 (d) |  | 445000 | 448811 |
| Kinetik Holdings LP 6.625% 12/15/2028 (d) |  | 1095000 | 1126555 |
| Matador Resources Co 6.25% 4/15/2033 (d) |  | 710000 | 715249 |
| Matador Resources Co 6.5% 4/15/2032 (d) |  | 730000 | 740643 |
| MPLX LP 1.75% 3/1/2026  |  | 1690000 | 1667256 |
| MPLX LP 4% 3/15/2028  |  | 3724000 | 3704356 |
| MPLX LP 4.8% 2/15/2029  |  | 1376000 | 1393727 |
| MPLX LP 4.95% 9/1/2032  |  | 13900000 | 13816948 |
| MPLX LP 5% 3/1/2033  |  | 7000000 | 6933353 |
| MPLX LP 5.5% 2/15/2049  |  | 4129000 | 3716603 |
| Murphy Oil Corp 6% 10/1/2032  |  | 460000 | 447996 |
| Murphy Oil USA Inc 3.75% 2/15/2031 (d) |  | 1130000 | 1046145 |
| Northern Oil & Gas Inc 8.125% 3/1/2028 (d) |  | 820000 | 826184 |
| Northern Oil & Gas Inc 8.75% 6/15/2031 (d) |  | 605000 | 621536 |
| Occidental Petroleum Corp 3.5% 8/15/2029  |  | 465000 | 440012 |
| Occidental Petroleum Corp 5.2% 8/1/2029  |  | 21326000 | 21600849 |
| Occidental Petroleum Corp 5.375% 1/1/2032  |  | 28900000 | 29069527 |
| Occidental Petroleum Corp 5.55% 10/1/2034  |  | 7000000 | 6965666 |
| Occidental Petroleum Corp 6.125% 1/1/2031  |  | 30000000 | 31357050 |
| Occidental Petroleum Corp 6.45% 9/15/2036  |  | 4300000 | 4448092 |
| Occidental Petroleum Corp 6.6% 3/15/2046  |  | 4886000 | 4906311 |
| Occidental Petroleum Corp 7.5% 5/1/2031  |  | 6910000 | 7714787 |
| Occidental Petroleum Corp 7.875% 9/15/2031  |  | 100000 | 112881 |
| ONEOK Inc 4.25% 9/24/2027  |  | 7582000 | 7588835 |
| ONEOK Inc 4.4% 10/15/2029  |  | 9257000 | 9243886 |
| ONEOK Inc 4.75% 10/15/2031  |  | 17905000 | 17904758 |
| ONEOK Inc 5.65% 9/1/2034  |  | 10746000 | 10928769 |
| Ovintiv Inc 5.15% 11/15/2041  |  | 4009000 | 3371629 |
| Ovintiv Inc 7.375% 11/1/2031  |  | 648000 | 717468 |
| Ovintiv Inc 8.125% 9/15/2030  |  | 2895000 | 3320390 |
| PBF Holding Co LLC / PBF Finance Corp 7.875% 9/15/2030 (d) |  | 1735000 | 1679982 |
| PBF Holding Co LLC / PBF Finance Corp 9.875% 3/15/2030 (d) |  | 855000 | 882736 |
| Permian Resources Operating LLC 5.875% 7/1/2029 (d) |  | 445000 | 445000 |
| Permian Resources Operating LLC 6.25% 2/1/2033 (d) |  | 890000 | 906558 |
| Permian Resources Operating LLC 7% 1/15/2032 (d) |  | 1100000 | 1140491 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  |  | 10415000 | 10034267 |
| Plains All American Pipeline LP / PAA Finance Corp 3.8% 9/15/2030  |  | 10658000 | 10283172 |
| Plains All American Pipeline LP / PAA Finance Corp 5.7% 9/15/2034  |  | 17170000 | 17514871 |
| Rockies Express Pipeline LLC 6.75% 3/15/2033 (d) |  | 345000 | 360379 |
| Rockies Express Pipeline LLC 6.875% 4/15/2040 (d) |  | 105000 | 105713 |
| Rockies Express Pipeline LLC 7.5% 7/15/2038 (d) |  | 360000 | 371488 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  |  | 14626000 | 14668290 |
| Spectra Energy Partners LP 4.5% 3/15/2045  |  | 543000 | 453433 |
| Sunoco LP / Sunoco Finance Corp 4.5% 5/15/2029  |  | 340000 | 331413 |
| Sunoco LP / Sunoco Finance Corp 5.875% 3/15/2028  |  | 1335000 | 1339678 |
| Sunoco LP / Sunoco Finance Corp 6% 4/15/2027  |  | 1005000 | 1005809 |
| Sunoco LP 6.25% 7/1/2033 (d) |  | 200000 | 204405 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 12/31/2030 (d) |  | 930000 | 916234 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 9/1/2031 (d) |  | 270000 | 265266 |
| Talos Production Inc 9.375% 2/1/2031 (d) |  | 200000 | 207256 |
| Targa Resources Corp 4.9% 9/15/2030  |  | 9737000 | 9885994 |
| Targa Resources Corp 5.5% 2/15/2035  |  | 10286000 | 10374850 |
| Targa Resources Corp 5.55% 8/15/2035  |  | 10800000 | 10878527 |
| Targa Resources Corp 5.65% 2/15/2036  |  | 20671000 | 20877903 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  |  | 279000 | 265391 |
| Venture Global Calcasieu 3.875% 11/1/2033 (d) |  | 235000 | 209340 |
| Venture Global Calcasieu 6.25% 1/15/2030 (d) |  | 160000 | 166617 |
| Venture Global LNG Inc 7% 1/15/2030 (d) |  | 1510000 | 1555973 |
| Venture Global LNG Inc 8.125% 6/1/2028 (d) |  | 505000 | 523283 |
| Venture Global Plaquemines LNG LLC 6.5% 1/15/2034 (d) |  | 820000 | 856053 |
| Venture Global Plaquemines LNG LLC 6.75% 1/15/2036 (d) |  | 820000 | 860549 |
| Venture Global Plaquemines LNG LLC 7.5% 5/1/2033 (d) |  | 965000 | 1058483 |
| Venture Global Plaquemines LNG LLC 7.75% 5/1/2035 (d) |  | 940000 | 1046637 |
| Western Gas Partners LP 4.05% 2/1/2030 (g) |  | 20164000 | 19605657 |
| Western Gas Partners LP 4.65% 7/1/2026  |  | 1823000 | 1821177 |
| Western Gas Partners LP 4.75% 8/15/2028  |  | 1236000 | 1243162 |
| Western Gas Partners LP 5.3% 3/1/2048  |  | 2900000 | 2443389 |
| Western Gas Partners LP 6.15% 4/1/2033  |  | 4400000 | 4597111 |
| Western Gas Partners LP 6.35% 1/15/2029  |  | 11247000 | 11829381 |
| Williams Cos Inc/The 2.6% 3/15/2031  |  | 7660000 | 6930426 |
| Williams Cos Inc/The 3.5% 11/15/2030  |  | 18113000 | 17271726 |
| Williams Cos Inc/The 4.625% 6/30/2030  |  | 5876000 | 5906919 |
| Williams Cos Inc/The 4.65% 8/15/2032  |  | 22370000 | 22085895 |
| Williams Cos Inc/The 4.8% 11/15/2029  |  | 8200000 | 8345425 |
| Williams Cos Inc/The 5.1% 9/15/2045  |  | 9765000 | 8809393 |
| Williams Cos Inc/The 5.3% 8/15/2052  |  | 5092000 | 4611571 |
| Williams Cos Inc/The 5.3% 9/30/2035  |  | 8000000 | 8006968 |
| Williams Cos Inc/The 5.4% 3/2/2026  |  | 6100000 | 6128497 |
| Williams Cos Inc/The 5.75% 6/24/2044  |  | 2747000 | 2679672 |
|  |  |  | 766596066 |
| TOTAL ENERGY |  |  | 771721499 |
| Financials - 3.9% |  |  |  |
| Banks - 1.9% |  |  |  |
| Bank of America Corp 1.197% 10/24/2026 (b) |  | 6035000 | 6006762 |
| Bank of America Corp 1.734% 7/22/2027 (b) |  | 25000000 | 24429735 |
| Bank of America Corp 1.898% 7/23/2031 (b) |  | 6975000 | 6200753 |
| Bank of America Corp 2.299% 7/21/2032 (b) |  | 50000000 | 44124700 |
| Bank of America Corp 2.496% 2/13/2031 (b) |  | 6724000 | 6210573 |
| Bank of America Corp 2.592% 4/29/2031 (b) |  | 15184000 | 14041729 |
| Bank of America Corp 2.884% 10/22/2030 (b) |  | 8000000 | 7566976 |
| Bank of America Corp 2.972% 2/4/2033 (b) |  | 38682000 | 34935282 |
| Bank of America Corp 3.194% 7/23/2030 (b) |  | 10561000 | 10142860 |
| Bank of America Corp 3.97% 3/5/2029 (b) |  | 3624000 | 3602285 |
| Bank of America Corp 3.974% 2/7/2030 (b) |  | 2345000 | 2325496 |
| Bank of America Corp 4.183% 11/25/2027  |  | 6909000 | 6904404 |
| Bank of America Corp 4.25% 10/22/2026  |  | 40217000 | 40238465 |
| Bank of America Corp 4.271% 7/23/2029 (b) |  | 6107000 | 6122149 |
| Bank of America Corp 4.376% 4/27/2028 (b) |  | 3650000 | 3657992 |
| Bank of America Corp 4.45% 3/3/2026  |  | 1202000 | 1202569 |
| Bank of America Corp 4.571% 4/27/2033 (b) |  | 8718000 | 8627692 |
| Bank of America Corp 4.623% 5/9/2029 (b) |  | 38563000 | 38997989 |
| Bank of America Corp 4.948% 7/22/2028 (b) |  | 5000000 | 5065976 |
| Bank of America Corp 5.015% 7/22/2033 (b) |  | 35614000 | 36177839 |
| Bank of America Corp 5.162% 1/24/2031 (b) |  | 8600000 | 8875914 |
| Bank of America Corp 5.288% 4/25/2034 (b) |  | 17000000 | 17437985 |
| Bank of America Corp 5.468% 1/23/2035 (b) |  | 29000000 | 29965885 |
| Bank of America Corp 5.819% 9/15/2029 (b) |  | 19000000 | 19860807 |
| Bank of America Corp 6.11% 1/29/2037  |  | 1340000 | 1423418 |
| Citibank NA 5.803% 9/29/2028  |  | 8000000 | 8385041 |
| Citigroup Inc 1.122% 1/28/2027 (b) |  | 2000000 | 1973130 |
| Citigroup Inc 3.07% 2/24/2028 (b) |  | 13000000 | 12769265 |
| Citigroup Inc 4.075% 4/23/2029 (b) |  | 4606000 | 4589620 |
| Citigroup Inc 4.125% 7/25/2028  |  | 6909000 | 6900580 |
| Citigroup Inc 4.296% 7/23/2036 (b) | EUR | 600000 | 705310 |
| Citigroup Inc 4.3% 11/20/2026  |  | 1766000 | 1766302 |
| Citigroup Inc 4.412% 3/31/2031 (b) |  | 40428000 | 40338114 |
| Citigroup Inc 4.45% 9/29/2027  |  | 21445000 | 21503488 |
| Citigroup Inc 4.6% 3/9/2026  |  | 18593000 | 18609118 |
| Citigroup Inc 4.786% 3/4/2029 (b) |  | 4400000 | 4457554 |
| Citigroup Inc 5.3% 5/6/2044  |  | 9501000 | 9011730 |
| Citigroup Inc 6.174% 5/25/2034 (b) |  | 17301000 | 18226864 |
| Citigroup Inc 6.27% 11/17/2033 (b) |  | 17166000 | 18603934 |
| Citizens Financial Group Inc 2.638% 9/30/2032  |  | 11627000 | 9825268 |
| Citizens Financial Group Inc 5.253% 3/5/2031 (b) |  | 8950000 | 9150324 |
| Citizens Financial Group Inc 5.718% 7/23/2032 (b) |  | 15200000 | 15875254 |
| Citizens Financial Group Inc 5.841% 1/23/2030 (b) |  | 6700000 | 6968290 |
| Citizens Financial Group Inc 6.645% 4/25/2035 (b) |  | 12968000 | 14103750 |
| Fifth Third Bancorp 8.25% 3/1/2038  |  | 2155000 | 2640198 |
| First-Citizens Bank & Trust Co 6.125% 3/9/2028  |  | 40920000 | 42490043 |
| Huntington Bancshares Inc/OH 2.487% 8/15/2036 (b) |  | 4490000 | 3820490 |
| Huntington Bancshares Inc/OH 4.443% 8/4/2028 (b) |  | 3628000 | 3638343 |
| JPMorgan Chase & Co 1.47% 9/22/2027 (b) |  | 3410000 | 3311103 |
| JPMorgan Chase & Co 2.069% 6/1/2029 (b) |  | 7286000 | 6892095 |
| JPMorgan Chase & Co 2.522% 4/22/2031 (b) |  | 4724000 | 4365037 |
| JPMorgan Chase & Co 2.58% 4/22/2032 (b) |  | 1300000 | 1175508 |
| JPMorgan Chase & Co 2.739% 10/15/2030 (b) |  | 9341000 | 8797994 |
| JPMorgan Chase & Co 2.947% 2/24/2028 (b) |  | 6239000 | 6125145 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (b) |  | 11536000 | 10769424 |
| JPMorgan Chase & Co 2.963% 1/25/2033 (b) |  | 9341000 | 8473423 |
| JPMorgan Chase & Co 3.761% 3/21/2034 (b)(o) | EUR | 750000 | 894728 |
| JPMorgan Chase & Co 4.125% 12/15/2026  |  | 1748000 | 1748498 |
| JPMorgan Chase & Co 4.25% 10/1/2027  |  | 3379000 | 3398807 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (b) |  | 50039000 | 49826943 |
| JPMorgan Chase & Co 4.603% 10/22/2030 (b) |  | 17730000 | 17923456 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (b) |  | 115454000 | 117057918 |
| JPMorgan Chase & Co 4.946% 10/22/2035 (b) |  | 13540000 | 13463552 |
| JPMorgan Chase & Co 4.995% 7/22/2030 (b) |  | 7000000 | 7179317 |
| JPMorgan Chase & Co 5.012% 1/23/2030 (b) |  | 13500000 | 13827903 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (b) |  | 14073000 | 14518998 |
| JPMorgan Chase & Co 5.299% 7/24/2029 (b) |  | 11000000 | 11330776 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (b) |  | 20000000 | 20647949 |
| JPMorgan Chase & Co 5.502% 1/24/2036 (b) |  | 7000000 | 7227923 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (b) |  | 16715000 | 17377481 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (b) |  | 65636000 | 68907635 |
| Morgan Stanley Private Bank NA 4.734% 7/18/2031 (b) |  | 7760000 | 7869011 |
| PNC Financial Services Group Inc/The 4.812% 10/21/2032 (b) |  | 13500000 | 13650734 |
| PNC Financial Services Group Inc/The 5.068% 1/24/2034 (b) |  | 15132000 | 15309930 |
| PNC Financial Services Group Inc/The 5.222% 1/29/2031 (b) |  | 6900000 | 7130238 |
| PNC Financial Services Group Inc/The 5.575% 1/29/2036 (b) |  | 7000000 | 7226029 |
| PNC Financial Services Group Inc/The 5.582% 6/12/2029 (b) |  | 7240000 | 7510476 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (b) |  | 5300000 | 5163705 |
| Truist Financial Corp 4.123% 6/6/2028 (b) |  | 2000000 | 1999695 |
| Truist Financial Corp 5.071% 5/20/2031 (b) |  | 7367000 | 7547830 |
| Truist Financial Corp 5.122% 1/26/2034 (b) |  | 4235000 | 4264997 |
| Truist Financial Corp 5.435% 1/24/2030 (b) |  | 6300000 | 6531019 |
| Truist Financial Corp 5.711% 1/24/2035 (b) |  | 15000000 | 15625274 |
| Wells Fargo & Co 2.879% 10/30/2030 (b) |  | 9400000 | 8876161 |
| Wells Fargo & Co 3.068% 4/30/2041 (b) |  | 7784000 | 5926101 |
| Wells Fargo & Co 3.526% 3/24/2028 (b) |  | 25667000 | 25393330 |
| Wells Fargo & Co 4.3% 7/22/2027  |  | 28701000 | 28807611 |
| Wells Fargo & Co 4.478% 4/4/2031 (b) |  | 19300000 | 19368397 |
| Wells Fargo & Co 4.897% 7/25/2033 (b) |  | 106510000 | 107138234 |
| Wells Fargo & Co 4.97% 4/23/2029 (b) |  | 7235000 | 7372276 |
| Wells Fargo & Co 5.15% 4/23/2031 (b) |  | 29061000 | 29929738 |
| Wells Fargo & Co 5.244% 1/24/2031 (b) |  | 27390000 | 28293715 |
| Wells Fargo & Co 5.389% 4/24/2034 (b) |  | 8000000 | 8232615 |
| Wells Fargo & Co 5.499% 1/23/2035 (b) |  | 25000000 | 25798321 |
| Wells Fargo & Co 5.557% 7/25/2034 (b) |  | 18660000 | 19374713 |
| Wells Fargo & Co 5.574% 7/25/2029 (b) |  | 25500000 | 26435847 |
| Wells Fargo & Co 5.605% 4/23/2036 (b) |  | 16834000 | 17477648 |
| Wells Fargo & Co 6.303% 10/23/2029 (b) |  | 12800000 | 13567793 |
|  |  |  | 1547561296 |
| Capital Markets - 0.9% |  |  |  |
| Athene Global Funding 1.73% 10/2/2026 (d) |  | 4975000 | 4839990 |
| Athene Global Funding 2.5% 3/24/2028 (d) |  | 6975000 | 6669422 |
| Athene Global Funding 2.646% 10/4/2031 (d) |  | 3414000 | 3033617 |
| Athene Global Funding 4.721% 10/8/2029 (d) |  | 7000000 | 7031735 |
| Athene Global Funding 5.339% 1/15/2027 (d) |  | 26112000 | 26453490 |
| Athene Global Funding 5.516% 3/25/2027 (d) |  | 7800000 | 7933643 |
| Athene Global Funding 5.583% 1/9/2029 (d) |  | 18210000 | 18840162 |
| Blackstone Holdings Finance Co LLC 2.8% 9/30/2050 (d) |  | 1245000 | 750730 |
| Blackstone Holdings Finance Co LLC 3.5% 9/10/2049 (d) |  | 4614000 | 3242133 |
| Blackstone Private Credit Fund 4.875% 4/14/2026 (o) | GBP | 1155000 | 1557919 |
| Blackstone Private Credit Fund 7.05% 9/29/2025  |  | 20620000 | 20650196 |
| Equitable America Global Funding 4.65% 6/9/2028 (d) |  | 3603000 | 3638236 |
| Equitable America Global Funding 4.95% 6/9/2030 (d) |  | 16856000 | 17194359 |
| GA Global Funding Trust 5.4% 1/13/2030 (d) |  | 13580000 | 14086725 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (b) |  | 29132000 | 25805011 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (b) |  | 40000000 | 36373050 |
| Goldman Sachs Group Inc/The 4.25% 10/21/2025  |  | 12215000 | 12209290 |
| Goldman Sachs Group Inc/The 4.482% 8/23/2028 (b) |  | 3138000 | 3151844 |
| Goldman Sachs Group Inc/The 6.484% 10/24/2029 (b) |  | 18000000 | 19154700 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  |  | 59592000 | 66236641 |
| Hightower Holding LLC 6.75% 4/15/2029 (d) |  | 1385000 | 1380267 |
| Intercontinental Exchange Inc 3.625% 9/1/2028  |  | 6900000 | 6807094 |
| Intercontinental Exchange Inc 4.35% 6/15/2029  |  | 3724000 | 3747378 |
| Jane Street Group / JSG Finance Inc 4.5% 11/15/2029 (d) |  | 155000 | 149700 |
| Jane Street Group / JSG Finance Inc 6.125% 11/1/2032 (d) |  | 1670000 | 1677719 |
| Jane Street Group / JSG Finance Inc 6.75% 5/1/2033 (d) |  | 575000 | 594180 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 6.625% 10/15/2031 (d) |  | 415000 | 416145 |
| LPL Holdings Inc 4.9% 4/3/2028  |  | 3189000 | 3229584 |
| Morgan Stanley 1.794% 2/13/2032 (b) |  | 7317000 | 6346593 |
| Morgan Stanley 2.239% 7/21/2032 (b) |  | 4900000 | 4304944 |
| Morgan Stanley 2.475% 1/21/2028 (b) |  | 5000000 | 4880633 |
| Morgan Stanley 2.699% 1/22/2031 (b) |  | 6227000 | 5803439 |
| Morgan Stanley 3.622% 4/1/2031 (b) |  | 47370000 | 45833488 |
| Morgan Stanley 3.955% 3/21/2035 (b) | EUR | 800000 | 953603 |
| Morgan Stanley 4.099% 5/22/2036 (b) | EUR | 400000 | 478814 |
| Morgan Stanley 4.21% 4/20/2028 (b) |  | 6115000 | 6116090 |
| Morgan Stanley 4.654% 10/18/2030 (b) |  | 29950000 | 30237838 |
| Morgan Stanley 4.889% 7/20/2033 (b) |  | 49499000 | 49902897 |
| Morgan Stanley 4.994% 4/12/2029 (b) |  | 11745000 | 11963164 |
| Morgan Stanley 5.164% 4/20/2029 (b) |  | 16000000 | 16357816 |
| Morgan Stanley 5.192% 4/17/2031 (b) |  | 12756000 | 13148565 |
| Morgan Stanley 5.23% 1/15/2031 (b) |  | 8629000 | 8906843 |
| Morgan Stanley 5.424% 7/21/2034 (b) |  | 23551000 | 24314836 |
| Morgan Stanley 5.449% 7/20/2029 (b) |  | 16012000 | 16522968 |
| Morgan Stanley 5.664% 4/17/2036 (b) |  | 10117000 | 10530546 |
| Morgan Stanley 6.342% 10/18/2033 (b) |  | 39945000 | 43661127 |
| MSCI Inc 5.25% 9/1/2035  |  | 16672000 | 16538557 |
| Nasdaq Inc 5.95% 8/15/2053  |  | 1132000 | 1153610 |
| Nasdaq Inc 6.1% 6/28/2063  |  | 6000000 | 6152968 |
| Nuveen LLC 5.55% 1/15/2030 (d) |  | 16339000 | 17111793 |
| Nuveen LLC 5.85% 4/15/2034 (d) |  | 4000000 | 4183329 |
| S&P Global Inc 3.9% 3/1/2062  |  | 2414000 | 1786246 |
| Sammons Financial Group Global Funding 4.95% 6/12/2030 (d) |  | 20600000 | 20922537 |
| Sammons Financial Group Global Funding 5.05% 1/10/2028 (d) |  | 5760000 | 5858804 |
| Sammons Financial Group Global Funding 5.1% 12/10/2029 (d) |  | 15100000 | 15494155 |
| VFH Parent LLC / Valor Co-Issuer Inc 7.5% 6/15/2031 (d) |  | 985000 | 1033923 |
|  |  |  | 707355086 |
| Consumer Finance - 0.4% |  |  |  |
| Ally Financial Inc 4.75% 6/9/2027  |  | 3759000 | 3776994 |
| Ally Financial Inc 5.737% 5/15/2029 (b) |  | 6780000 | 6962493 |
| Ally Financial Inc 5.75% 11/20/2025  |  | 703000 | 704079 |
| Ally Financial Inc 7.1% 11/15/2027  |  | 17330000 | 18276854 |
| Ally Financial Inc 8% 11/1/2031  |  | 8688000 | 9943028 |
| American Express Co 4.918% 7/20/2033 (b) |  | 6899000 | 6987213 |
| American Express Co 5.085% 1/30/2031 (b) |  | 7596000 | 7828900 |
| Capital One Financial Corp 1.878% 11/2/2027 (b) |  | 5931000 | 5762673 |
| Capital One Financial Corp 2.359% 7/29/2032 (b) |  | 8448000 | 7268282 |
| Capital One Financial Corp 3.273% 3/1/2030 (b) |  | 12200000 | 11757166 |
| Capital One Financial Corp 3.65% 5/11/2027  |  | 21700000 | 21505847 |
| Capital One Financial Corp 3.8% 1/31/2028  |  | 10723000 | 10627176 |
| Capital One Financial Corp 4.1% 2/9/2027  |  | 13375000 | 13344640 |
| Capital One Financial Corp 4.5% 1/30/2026  |  | 6750000 | 6747283 |
| Capital One Financial Corp 4.927% 5/10/2028 (b) |  | 6900000 | 6969636 |
| Capital One Financial Corp 5.247% 7/26/2030 (b) |  | 19853000 | 20416606 |
| Capital One Financial Corp 5.7% 2/1/2030 (b) |  | 1100000 | 1140271 |
| Capital One Financial Corp 6.312% 6/8/2029 (b) |  | 12000000 | 12594872 |
| Capital One Financial Corp 7.624% 10/30/2031 (b) |  | 22914000 | 25997544 |
| Ford Motor Credit Co LLC 2.7% 8/10/2026  |  | 5665000 | 5551528 |
| Ford Motor Credit Co LLC 3.375% 11/13/2025  |  | 9760000 | 9727874 |
| Ford Motor Credit Co LLC 3.625% 6/17/2031  |  | 5000000 | 4501394 |
| Ford Motor Credit Co LLC 4% 11/13/2030  |  | 16400000 | 15249492 |
| Ford Motor Credit Co LLC 4.125% 8/17/2027  |  | 19335000 | 18965114 |
| Ford Motor Credit Co LLC 4.445% 2/14/2030  | EUR | 700000 | 834492 |
| Ford Motor Credit Co LLC 4.95% 5/28/2027  |  | 20213000 | 20164249 |
| Ford Motor Credit Co LLC 5.85% 5/17/2027  |  | 6500000 | 6564929 |
| Ford Motor Credit Co LLC 5.875% 11/7/2029  |  | 15700000 | 15868775 |
| Ford Motor Credit Co LLC 6.184% 8/29/2031  | GBP | 725000 | 980761 |
| Ford Motor Credit Co LLC 6.8% 5/12/2028  |  | 6000000 | 6231017 |
| Ford Motor Credit Co LLC 6.86% 6/5/2026  | GBP | 1150000 | 1575764 |
| Ford Motor Credit Co LLC 6.95% 3/6/2026  |  | 195000 | 196588 |
| Ford Motor Credit Co LLC 6.95% 6/10/2026  |  | 9500000 | 9624002 |
| Navient Corp 6.75% 6/15/2026  |  | 1050000 | 1061466 |
| OneMain Finance Corp 3.5% 1/15/2027  |  | 840000 | 822061 |
| OneMain Finance Corp 3.875% 9/15/2028  |  | 650000 | 623089 |
| OneMain Finance Corp 6.125% 5/15/2030  |  | 500000 | 507144 |
| OneMain Finance Corp 6.625% 5/15/2029  |  | 240000 | 246789 |
| OneMain Finance Corp 6.75% 3/15/2032  |  | 2025000 | 2073047 |
| OneMain Finance Corp 7.125% 9/15/2032  |  | 805000 | 838215 |
| PRA Group Inc 5% 10/1/2029 (d) |  | 675000 | 634241 |
| Synchrony Financial 3.95% 12/1/2027  |  | 8239000 | 8127646 |
|  |  |  | 329581234 |
| Financial Services - 0.3% |  |  |  |
| Aircastle Ltd / Aircastle Ireland DAC 5% 9/15/2030 (d) |  | 10500000 | 10585148 |
| Aircastle Ltd / Aircastle Ireland DAC 5.25% 3/15/2030 (d) |  | 12185000 | 12433678 |
| Aon Corp / Aon Global Holdings PLC 2.6% 12/2/2031  |  | 2057000 | 1839613 |
| Aon Corp / Aon Global Holdings PLC 5.35% 2/28/2033  |  | 6000000 | 6209673 |
| Aviation Capital Group LLC 6.25% 4/15/2028 (d) |  | 6500000 | 6785653 |
| Aviation Capital Group LLC 6.75% 10/25/2028 (d) |  | 6500000 | 6926151 |
| Block Inc 2.75% 6/1/2026  |  | 465000 | 457121 |
| Block Inc 3.5% 6/1/2031  |  | 620000 | 572759 |
| Block Inc 5.625% 8/15/2030 (d) |  | 390000 | 398659 |
| Block Inc 6% 8/15/2033 (d) |  | 310000 | 318262 |
| Block Inc 6.5% 5/15/2032  |  | 1195000 | 1238174 |
| Corebridge Financial Inc 3.65% 4/5/2027  |  | 1888000 | 1870638 |
| Corebridge Financial Inc 3.85% 4/5/2029  |  | 600000 | 591425 |
| Corebridge Financial Inc 3.9% 4/5/2032  |  | 24473000 | 23143838 |
| Corebridge Financial Inc 4.35% 4/5/2042  |  | 2247000 | 1890626 |
| Corebridge Financial Inc 4.4% 4/5/2052  |  | 5916000 | 4724247 |
| Corebridge Global Funding 4.9% 12/3/2029 (d) |  | 1750000 | 1785072 |
| Corebridge Global Funding 5.9% 9/19/2028 (d) |  | 18426000 | 19270817 |
| Equitable Holdings Inc 4.35% 4/20/2028  |  | 5724000 | 5745976 |
| Equitable Holdings Inc 4.572% 2/15/2029 (d) |  | 1989000 | 1991887 |
| Equitable Holdings Inc 5% 4/20/2048  |  | 10215000 | 9136421 |
| Essent Group Ltd 6.25% 7/1/2029  |  | 8400000 | 8810596 |
| Fiserv Inc 4.55% 2/15/2031  |  | 25300000 | 25295468 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (d) |  | 920000 | 910694 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 6.25% 5/15/2026  |  | 819000 | 817641 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 9.75% 1/15/2029  |  | 810000 | 805221 |
| Jackson Financial Inc 3.125% 11/23/2031  |  | 15333000 | 13856767 |
| Jackson Financial Inc 4% 11/23/2051  |  | 3736000 | 2580318 |
| Jackson Financial Inc 5.17% 6/8/2027  |  | 10297000 | 10429611 |
| Jackson Financial Inc 5.67% 6/8/2032  |  | 14050000 | 14541440 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 2/2/2029  |  | 6524000 | 6240220 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 5/15/2032  |  | 21344000 | 18901841 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3.625% 1/15/2032  |  | 24530000 | 22608501 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 6.5% 12/1/2052  |  | 4982000 | 5084081 |
| Nationstar Mortgage Holdings Inc 6.5% 8/1/2029 (d) |  | 670000 | 685951 |
| NFE Financing LLC 12% 11/15/2029 (d) |  | 294395 | 108189 |
| PennyMac Financial Services Inc 6.75% 2/15/2034 (d) |  | 1045000 | 1052130 |
| PennyMac Financial Services Inc 6.875% 5/15/2032 (d) |  | 810000 | 829308 |
| Pine Street Trust II 5.568% 2/15/2049 (d) |  | 7700000 | 7080265 |
| Rexford Industrial Realty LP 2.15% 9/1/2031  |  | 2886000 | 2503118 |
| Rocket Cos Inc 6.125% 8/1/2030 (d) |  | 1025000 | 1054674 |
| Rocket Cos Inc 6.375% 8/1/2033 (d) |  | 1430000 | 1483947 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 3.625% 3/1/2029 (d) |  | 1055000 | 1005795 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 6.75% 8/15/2032 (d) |  | 520000 | 539170 |
| UWM Holdings LLC 6.625% 2/1/2030 (d) |  | 1005000 | 1020946 |
| Voya Financial Inc 4.7% 1/23/2048 (b) |  | 3132000 | 3039350 |
| Walker & Dunlop Inc 6.625% 4/1/2033 (d) |  | 400000 | 416164 |
| WEX Inc 6.5% 3/15/2033 (d) |  | 820000 | 838994 |
|  |  |  | 270456238 |
| Insurance - 0.4% |  |  |  |
| 200 Park Funding Trust 5.74% 2/15/2055 (d) |  | 8900000 | 8718728 |
| Acrisure LLC / Acrisure Finance Inc 6.75% 7/1/2032 (d) |  | 205000 | 210331 |
| AFLAC Inc 3.6% 4/1/2030  |  | 387000 | 378543 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 4.25% 10/15/2027 (d) |  | 1320000 | 1301252 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.5% 10/1/2031 (d) |  | 245000 | 250445 |
| AmFam Holdings Inc 2.805% 3/11/2031 (d) |  | 5464000 | 4730934 |
| Aon Corp 6.25% 9/30/2040  |  | 142000 | 152658 |
| APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves 7.875% 11/1/2029 (d) |  | 1230000 | 1276472 |
| Arthur J Gallagher & Co 5% 2/15/2032  |  | 11066000 | 11264588 |
| Arthur J Gallagher & Co 5.15% 2/15/2035  |  | 7400000 | 7420835 |
| Arthur J Gallagher & Co 5.55% 2/15/2055  |  | 5362000 | 5052148 |
| Assurant Inc 2.65% 1/15/2032  |  | 7753000 | 6759308 |
| Assurant Inc 5.55% 2/15/2036  |  | 4267000 | 4264203 |
| Athene Holding Ltd 6.875% 6/28/2055 (b) |  | 1025000 | 1033128 |
| Brown & Brown Inc 4.2% 3/17/2032  |  | 3550000 | 3400178 |
| Brown & Brown Inc 4.9% 6/23/2030  |  | 7661000 | 7756344 |
| Brown & Brown Inc 5.25% 6/23/2032  |  | 4899000 | 5007625 |
| Brown & Brown Inc 5.55% 6/23/2035  |  | 5476000 | 5581602 |
| Brown & Brown Inc 6.25% 6/23/2055  |  | 5558000 | 5682382 |
| Equitable Financial Life Global Funding 1.3% 7/12/2026 (d) |  | 1724000 | 1682144 |
| Equitable Financial Life Global Funding 1.4% 8/27/2027 (d) |  | 1724000 | 1631106 |
| Equitable Financial Life Global Funding 1.7% 11/12/2026 (d) |  | 4197000 | 4074509 |
| Equitable Financial Life Global Funding 5% 3/27/2030 (d) |  | 7465000 | 7654224 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (d) |  | 21030000 | 19662336 |
| Fortitude Group Holdings LLC 6.25% 4/1/2030 (d) |  | 10817000 | 11239287 |
| Hartford Insurance Group Inc/The 4.3% 4/15/2043  |  | 679000 | 574812 |
| Jackson National Life Global Funding 4.6% 10/1/2029 (d) |  | 11326000 | 11408237 |
| Jackson National Life Global Funding 5.35% 1/13/2030 (d) |  | 5750000 | 5963506 |
| Jackson National Life Global Funding 5.55% 7/2/2027 (d) |  | 3874000 | 3956959 |
| Liberty Mutual Group Inc 3.95% 5/15/2060 (d) |  | 12820000 | 8750905 |
| Lincoln National Corp 3.4% 1/15/2031  |  | 14811000 | 13923718 |
| Marsh & McLennan Cos Inc 5.7% 9/15/2053  |  | 10000000 | 9916143 |
| MassMutual Global Funding II 4.85% 1/17/2029 (d) |  | 7800000 | 7975281 |
| MetLife Inc 5.375% 7/15/2033  |  | 16000000 | 16746178 |
| Pacific LifeCorp 3.35% 9/15/2050 (d) |  | 7037000 | 4723874 |
| Pacific LifeCorp 5.125% 1/30/2043 (d) |  | 3343000 | 3109339 |
| Panther Escrow Issuer LLC 7.125% 6/1/2031 (d) |  | 715000 | 741948 |
| Peachtree Corners Funding Trust II 6.012% 5/15/2035 (d) |  | 24600000 | 25597567 |
| Pine Street Trust III 6.223% 5/15/2054 (d) |  | 12000000 | 11918613 |
| Principal Financial Group Inc 3.7% 5/15/2029  |  | 1714000 | 1682218 |
| Prudential Financial Inc 6% 9/1/2052 (b) |  | 31987000 | 33004507 |
| Reinsurance Group of America Inc 5.75% 9/15/2034  |  | 14700000 | 15155428 |
| Reinsurance Group of America Inc 6% 9/15/2033  |  | 500000 | 527983 |
| RGA Global Funding 5.448% 5/24/2029 (d) |  | 7900000 | 8196536 |
| Ryan Specialty LLC 4.375% 2/1/2030 (d) |  | 650000 | 628226 |
| Ryan Specialty LLC 5.875% 8/1/2032 (d) |  | 795000 | 800438 |
| Selective Insurance Group Inc 5.9% 4/15/2035  |  | 7987000 | 8240772 |
| Symetra Life Insurance Co 6.55% 10/1/2055 (d) |  | 3667000 | 3727356 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/2044 (d) |  | 1484000 | 1334072 |
| Unum Group 4% 6/15/2029  |  | 6130000 | 6039146 |
| Unum Group 4.046% 8/15/2041 (d) |  | 2634000 | 2094369 |
| Unum Group 5.75% 8/15/2042  |  | 1539000 | 1497038 |
| Western-Southern Global Funding 4.9% 5/1/2030 (d) |  | 6469000 | 6594725 |
| Willis North America Inc 4.5% 9/15/2028  |  | 1897000 | 1913552 |
|  |  |  | 342928756 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |  |
| Starwood Property Trust Inc 6.5% 7/1/2030 (d) |  | 805000 | 835496 |
| TOTAL FINANCIALS |  |  | 3198718106 |
| Health Care - 0.5% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Amgen Inc 4.663% 6/15/2051  |  | 3736000 | 3171646 |
| Amgen Inc 5.15% 3/2/2028  |  | 1959000 | 2004766 |
| Amgen Inc 5.25% 3/2/2033  |  | 1595000 | 1637455 |
| Amgen Inc 5.65% 3/2/2053  |  | 753000 | 728264 |
| Amgen Inc 5.75% 3/2/2063  |  | 1373000 | 1319582 |
| Gilead Sciences Inc 5.1% 6/15/2035  |  | 5700000 | 5780551 |
| Gilead Sciences Inc 5.5% 11/15/2054  |  | 9000000 | 8752531 |
| Gilead Sciences Inc 5.6% 11/15/2064  |  | 9000000 | 8759657 |
|  |  |  | 32154452 |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Alcon Finance Corp 2.75% 9/23/2026 (d) |  | 1414000 | 1388319 |
| Avantor Funding Inc 3.875% 11/1/2029 (d) |  | 175000 | 166276 |
| Avantor Funding Inc 4.625% 7/15/2028 (d) |  | 1515000 | 1491044 |
| Hologic Inc 3.25% 2/15/2029 (d) |  | 945000 | 902821 |
| Hologic Inc 4.625% 2/1/2028 (d) |  | 65000 | 64367 |
| Insulet Corp 6.5% 4/1/2033 (d) |  | 395000 | 409515 |
| Medline Borrower LP 3.875% 4/1/2029 (d) |  | 730000 | 700980 |
| Medline Borrower LP/Medline Co-Issuer Inc 6.25% 4/1/2029 (d) |  | 1325000 | 1361166 |
| Teleflex Inc 4.25% 6/1/2028 (d) |  | 845000 | 827820 |
|  |  |  | 7312308 |
| Health Care Providers & Services - 0.4% |  |  |  |
| Acadia Healthcare Co Inc 5% 4/15/2029 (d) |  | 635000 | 620654 |
| Acadia Healthcare Co Inc 7.375% 3/15/2033 (d) |  | 400000 | 416554 |
| Centene Corp 2.45% 7/15/2028  |  | 15813000 | 14608625 |
| Centene Corp 2.5% 3/1/2031  |  | 23665000 | 20164181 |
| Centene Corp 2.625% 8/1/2031  |  | 15841000 | 13424874 |
| Centene Corp 3% 10/15/2030  |  | 9668000 | 8543489 |
| Centene Corp 3.375% 2/15/2030  |  | 5275000 | 4807125 |
| Centene Corp 4.25% 12/15/2027  |  | 9890000 | 9658120 |
| Centene Corp 4.625% 12/15/2029  |  | 14457000 | 13923800 |
| Cigna Group/The 4.375% 10/15/2028  |  | 3698000 | 3718053 |
| Cigna Group/The 4.8% 8/15/2038  |  | 2697000 | 2531677 |
| Cigna Group/The 4.9% 12/15/2048  |  | 517000 | 449203 |
| Cigna Group/The 5.25% 2/15/2034  |  | 7000000 | 7138399 |
| Cigna Group/The 5.4% 3/15/2033  |  | 8000000 | 8287139 |
| CVS Health Corp 4.78% 3/25/2038  |  | 2165000 | 1992310 |
| CVS Health Corp 5% 9/15/2032  |  | 1227000 | 1232639 |
| CVS Health Corp 5.125% 2/21/2030  |  | 14148000 | 14487241 |
| CVS Health Corp 5.25% 1/30/2031  |  | 5087000 | 5231086 |
| CVS Health Corp 5.3% 6/1/2033  |  | 14500000 | 14694025 |
| CVS Health Corp 5.4% 6/1/2029  |  | 6500000 | 6718423 |
| CVS Health Corp 5.55% 6/1/2031  |  | 7400000 | 7731587 |
| CVS Health Corp 5.875% 6/1/2053  |  | 5000000 | 4736870 |
| CVS Health Corp 6.2% 9/15/2055  |  | 8290000 | 8159478 |
| CVS Health Corp 6.75% 12/10/2054 (b) |  | 485000 | 491648 |
| CVS Health Corp 7% 3/10/2055 (b) |  | 1420000 | 1478373 |
| DaVita Inc 4.625% 6/1/2030 (d) |  | 655000 | 630584 |
| DaVita Inc 6.75% 7/15/2033 (d) |  | 1545000 | 1601282 |
| DaVita Inc 6.875% 9/1/2032 (d) |  | 275000 | 284496 |
| Elevance Health Inc 2.25% 5/15/2030  |  | 5433000 | 4954708 |
| HCA Inc 3.125% 3/15/2027  |  | 4517000 | 4443921 |
| HCA Inc 3.5% 9/1/2030  |  | 12405000 | 11822515 |
| HCA Inc 3.625% 3/15/2032  |  | 2557000 | 2378115 |
| HCA Inc 5.45% 4/1/2031  |  | 4500000 | 4670878 |
| HCA Inc 5.625% 9/1/2028  |  | 9085000 | 9369563 |
| HCA Inc 5.875% 2/1/2029  |  | 9796000 | 10210900 |
| HealthEquity Inc 4.5% 10/1/2029 (d) |  | 850000 | 821685 |
| Humana Inc 1.35% 2/3/2027  |  | 2069000 | 1987201 |
| Humana Inc 3.7% 3/23/2029  |  | 548000 | 537092 |
| Humana Inc 3.95% 3/15/2027  |  | 2000000 | 1993842 |
| Humana Inc 5.375% 4/15/2031  |  | 6100000 | 6296052 |
| Icon Investments Six DAC 5.849% 5/8/2029  |  | 7434000 | 7774498 |
| Icon Investments Six DAC 6% 5/8/2034  |  | 5732000 | 5958422 |
| Molina Healthcare Inc 3.875% 11/15/2030 (d) |  | 1400000 | 1285977 |
| Molina Healthcare Inc 6.25% 1/15/2033 (d) |  | 980000 | 986970 |
| Prime Healthcare Foundation Inc 7% 12/1/2027  |  | 2599000 | 2696308 |
| Sabra Health Care LP 3.2% 12/1/2031  |  | 26025000 | 23515306 |
| Sabra Health Care LP 3.9% 10/15/2029  |  | 7857000 | 7596554 |
| Tenet Healthcare Corp 4.625% 6/15/2028  |  | 2785000 | 2753395 |
| Tenet Healthcare Corp 5.125% 11/1/2027  |  | 1000000 | 997095 |
| Tenet Healthcare Corp 6.125% 6/15/2030  |  | 970000 | 984815 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  |  | 2395000 | 2414855 |
| UnitedHealth Group Inc 3.95% 10/15/2042  |  | 74000 | 60075 |
| UnitedHealth Group Inc 4.625% 7/15/2035  |  | 418000 | 405901 |
| UnitedHealth Group Inc 4.65% 1/15/2031  |  | 11510000 | 11665292 |
| UnitedHealth Group Inc 4.75% 7/15/2045  |  | 1023000 | 903138 |
| UnitedHealth Group Inc 5.3% 6/15/2035  |  | 7470000 | 7636042 |
| UnitedHealth Group Inc 5.95% 6/15/2055  |  | 5201000 | 5196276 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (d) |  | 395000 | 405359 |
|  |  |  | 320484685 |
| Health Care Technology - 0.0% |  |  |  |
| IQVIA Inc 5% 5/15/2027 (d) |  | 415000 | 413325 |
| IQVIA Inc 6.25% 6/1/2032 (d) |  | 1225000 | 1262751 |
| IQVIA Inc 6.5% 5/15/2030 (d) |  | 1005000 | 1042135 |
|  |  |  | 2718211 |
| Life Sciences Tools & Services - 0.0% |  |  |  |
| Charles River Laboratories International Inc 3.75% 3/15/2029 (d) |  | 1100000 | 1042845 |
| Pharmaceuticals - 0.1% |  |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (d) |  | 1210000 | 1256405 |
| Bristol-Myers Squibb Co 5.2% 2/22/2034  |  | 7000000 | 7186932 |
| Bristol-Myers Squibb Co 5.55% 2/22/2054  |  | 4780000 | 4609364 |
| Bristol-Myers Squibb Co 5.65% 2/22/2064  |  | 6900000 | 6608846 |
| Elanco Animal Health Inc 6.65% 8/28/2028 (b) |  | 8545000 | 8896276 |
| Jazz Securities DAC 4.375% 1/15/2029 (d) |  | 425000 | 416052 |
| Mylan Inc 4.55% 4/15/2028  |  | 3354000 | 3333194 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (d) |  | 430000 | 411788 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (d) |  | 525000 | 449864 |
| Perrigo Finance Unlimited Co 4.9% 6/15/2030 (g) |  | 6476000 | 6337742 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  |  | 1245000 | 1237747 |
| Viatris Inc 2.7% 6/22/2030  |  | 4524000 | 4067809 |
|  |  |  | 44812019 |
| TOTAL HEALTH CARE |  |  | 408524520 |
| Industrials - 0.5% |  |  |  |
| Aerospace & Defense - 0.3% |  |  |  |
| Axon Enterprise Inc 6.125% 3/15/2030 (d) |  | 515000 | 529122 |
| Axon Enterprise Inc 6.25% 3/15/2033 (d) |  | 475000 | 491012 |
| Boeing Co 2.7% 2/1/2027  |  | 1724000 | 1685111 |
| Boeing Co 2.75% 2/1/2026  |  | 2071000 | 2055118 |
| Boeing Co 3.25% 2/1/2028  |  | 4359000 | 4256914 |
| Boeing Co 3.625% 2/1/2031  |  | 14000000 | 13367625 |
| Boeing Co 5.04% 5/1/2027  |  | 19675000 | 19858300 |
| Boeing Co 5.15% 5/1/2030  |  | 55693000 | 57126001 |
| Boeing Co 5.805% 5/1/2050  |  | 9895000 | 9515397 |
| Boeing Co 6.259% 5/1/2027  |  | 649000 | 667831 |
| Boeing Co 6.298% 5/1/2029  |  | 15131000 | 16067990 |
| Boeing Co 6.388% 5/1/2031  |  | 7220000 | 7841425 |
| Boeing Co 6.528% 5/1/2034  |  | 7701000 | 8433722 |
| Boeing Co 6.858% 5/1/2054  |  | 17614000 | 19315400 |
| Boeing Co 7.008% 5/1/2064  |  | 10499000 | 11632715 |
| BWX Technologies Inc 4.125% 4/15/2029 (d) |  | 720000 | 692925 |
| BWX Technologies Inc 4.125% 6/30/2028 (d) |  | 780000 | 761988 |
| Hexcel Corp 5.875% 2/26/2035  |  | 2383000 | 2429910 |
| Northrop Grumman Corp 4.03% 10/15/2047  |  | 3355000 | 2660749 |
| RTX Corp 6.1% 3/15/2034  |  | 7000000 | 7599168 |
| RTX Corp 6.4% 3/15/2054  |  | 6800000 | 7356639 |
| TransDigm Inc 6% 1/15/2033 (d) |  | 1850000 | 1870770 |
| TransDigm Inc 6.25% 1/31/2034 (d) |  | 140000 | 143647 |
| TransDigm Inc 6.375% 3/1/2029 (d) |  | 2000000 | 2047667 |
| TransDigm Inc 6.375% 5/31/2033 (d) |  | 1240000 | 1256478 |
| TransDigm Inc 6.75% 1/31/2034 (d) |  | 715000 | 738067 |
|  |  |  | 200401691 |
| Air Freight & Logistics - 0.0% |  |  |  |
| Rand Parent LLC 8.5% 2/15/2030 (d) |  | 1360000 | 1409437 |
| Building Products - 0.0% |  |  |  |
| Advanced Drainage Systems Inc 5% 9/30/2027 (d) |  | 1650000 | 1638275 |
| Builders FirstSource Inc 4.25% 2/1/2032 (d) |  | 1415000 | 1329987 |
| Builders FirstSource Inc 6.75% 5/15/2035 (d) |  | 805000 | 839497 |
| Carlisle Cos Inc 2.75% 3/1/2030  |  | 6227000 | 5820073 |
| Carrier Global Corp 2.493% 2/15/2027  |  | 518000 | 506821 |
| Carrier Global Corp 2.7% 2/15/2031  |  | 6352000 | 5837888 |
| Carrier Global Corp 5.9% 3/15/2034  |  | 3165000 | 3373916 |
| Carrier Global Corp 6.2% 3/15/2054  |  | 1748000 | 1858525 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.625% 12/15/2030 (d) |  | 1050000 | 1078377 |
| JH North America Holdings Inc 6.125% 7/31/2032 (d) |  | 1020000 | 1035275 |
| Masterbrand Inc 7% 7/15/2032 (d) |  | 610000 | 631901 |
| Standard Building Solutions Inc 6.25% 8/1/2033 (d) |  | 415000 | 423553 |
| Standard Building Solutions Inc 6.5% 8/15/2032 (d) |  | 600000 | 619268 |
| Standard Industries Inc/NY 4.375% 7/15/2030 (d) |  | 435000 | 416851 |
|  |  |  | 25410207 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6.875% 6/15/2030 (d) |  | 590000 | 607627 |
| Artera Services LLC 8.5% 2/15/2031 (d) |  | 2185000 | 1909329 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (d) |  | 905000 | 888516 |
| Clean Harbors Inc 5.125% 7/15/2029 (d) |  | 325000 | 322027 |
| Clean Harbors Inc 6.375% 2/1/2031 (d) |  | 680000 | 696831 |
| CoreCivic Inc 8.25% 4/15/2029  |  | 580000 | 613853 |
| GEO Group Inc/The 10.25% 4/15/2031  |  | 185000 | 203939 |
| GEO Group Inc/The 8.625% 4/15/2029  |  | 580000 | 613740 |
| GFL Environmental Inc 6.75% 1/15/2031 (d) |  | 310000 | 323619 |
| Neptune Bidco US Inc 9.29% 4/15/2029 (d) |  | 1110000 | 1101675 |
| OT Midco Inc 10% 2/15/2030 (d) |  | 325000 | 222049 |
| Prime Security Services Borrower LLC / Prime Finance Inc 3.375% 8/31/2027 (d) |  | 635000 | 615158 |
| Waste Pro USA Inc 7% 2/1/2033 (d) |  | 600000 | 627379 |
| Williams Scotsman Inc 6.625% 4/15/2030 (d) |  | 800000 | 828060 |
|  |  |  | 9573802 |
| Construction & Engineering - 0.0% |  |  |  |
| AECOM 6% 8/1/2033 (d) |  | 1240000 | 1265612 |
| Dycom Industries Inc 4.5% 4/15/2029 (d) |  | 420000 | 409709 |
|  |  |  | 1675321 |
| Electrical Equipment - 0.0% |  |  |  |
| Sensata Technologies BV 4% 4/15/2029 (d) |  | 275000 | 263402 |
| Trans-Allegheny Interstate Line Co 5.2% 1/15/2031 (d) |  | 3410000 | 3493412 |
| Vertiv Group Corp 4.125% 11/15/2028 (d) |  | 635000 | 619845 |
| WESCO Distribution Inc 6.375% 3/15/2033 (d) |  | 605000 | 627516 |
|  |  |  | 5004175 |
| Ground Transportation - 0.0% |  |  |  |
| Burlington Northern Santa Fe LLC 4.15% 4/1/2045  |  | 564000 | 469087 |
| Burlington Northern Santa Fe LLC 4.4% 3/15/2042  |  | 1397000 | 1230280 |
| CSX Corp 3.8% 4/15/2050  |  | 78000 | 58338 |
| CSX Corp 4.3% 3/1/2048  |  | 5524000 | 4555797 |
| Genesee & Wyoming Inc 6.25% 4/15/2032 (d) |  | 650000 | 660920 |
| Norfolk Southern Corp 3.155% 5/15/2055  |  | 2000000 | 1269864 |
| Norfolk Southern Corp 5.35% 8/1/2054  |  | 3400000 | 3235909 |
| XPO Inc 6.25% 6/1/2028 (d) |  | 630000 | 640941 |
| XPO Inc 7.125% 2/1/2032 (d) |  | 750000 | 786642 |
|  |  |  | 12907778 |
| Industrial Conglomerates - 0.0% |  |  |  |
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 4.25% 2/1/2027 (d) |  | 800000 | 786890 |
| Trane Technologies Financing Ltd 4.65% 11/1/2044  |  | 314000 | 278403 |
|  |  |  | 1065293 |
| Machinery - 0.0% |  |  |  |
| AGCO Corp 5.8% 3/21/2034  |  | 7687000 | 7913505 |
| Allison Transmission Inc 3.75% 1/30/2031 (d) |  | 900000 | 830641 |
| Beach Acquisition Bidco LLC 10% 7/15/2033 pay-in-kind (b)(d) |  | 620000 | 658102 |
| Enpro Inc 6.125% 6/1/2033 (d) |  | 610000 | 622453 |
| Esab Corp 6.25% 4/15/2029 (d) |  | 780000 | 802007 |
| Ingersoll Rand Inc 5.176% 6/15/2029  |  | 7800000 | 8056780 |
| Ingersoll Rand Inc 5.314% 6/15/2031  |  | 8500000 | 8873201 |
| Ingersoll Rand Inc 5.45% 6/15/2034  |  | 8200000 | 8483253 |
| Ingersoll Rand Inc 5.7% 8/14/2033  |  | 4393000 | 4629778 |
|  |  |  | 40869720 |
| Passenger Airlines - 0.0% |  |  |  |
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/2029  |  | 1869368 | 1817403 |
| American Airlines Inc 7.25% 2/15/2028 (d) |  | 195000 | 200056 |
| American Airlines Inc 8.5% 5/15/2029 (d) |  | 320000 | 335343 |
| American Airlines Inc equipment trust certificate 3.75% 4/15/2027  |  | 1119925 | 1116881 |
| United Airlines 2018-1 Class B Pass Through Trust equipment trust certificate 4.6% 9/1/2027  |  | 1284479 | 1273753 |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/2029  |  | 1214393 | 1186823 |
| United Airlines Inc 4.375% 4/15/2026 (d) |  | 1455000 | 1450233 |
|  |  |  | 7380492 |
| Professional Services - 0.2% |  |  |  |
| Amentum Holdings Inc 7.25% 8/1/2032 (d) |  | 805000 | 839577 |
| Booz Allen Hamilton Inc 5.95% 8/4/2033  |  | 10000000 | 10441920 |
| CACI International Inc 6.375% 6/15/2033 (d) |  | 790000 | 814839 |
| Paychex Inc 5.1% 4/15/2030  |  | 4791000 | 4931143 |
| Paychex Inc 5.35% 4/15/2032  |  | 17604000 | 18210323 |
| Paychex Inc 5.6% 4/15/2035  |  | 14647000 | 15159918 |
| TriNet Group Inc 3.5% 3/1/2029 (d) |  | 805000 | 753739 |
| TriNet Group Inc 7.125% 8/15/2031 (d) |  | 635000 | 660321 |
| Verisk Analytics Inc 4.5% 8/15/2030  |  | 6743000 | 6770139 |
| Verisk Analytics Inc 5.125% 2/15/2036  |  | 13301000 | 13213552 |
|  |  |  | 71795471 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Air Lease Corp 2.2% 1/15/2027  |  | 3428000 | 3336226 |
| Air Lease Corp 3.75% 6/1/2026  |  | 5000000 | 4972090 |
| Ferguson Enterprises Inc 5% 10/3/2034  |  | 7219000 | 7146834 |
| FTAI Aviation Investors LLC 5.875% 4/15/2033 (d) |  | 690000 | 691346 |
| FTAI Aviation Investors LLC 7% 6/15/2032 (d) |  | 680000 | 709686 |
| FTAI Aviation Investors LLC 7.875% 12/1/2030 (d) |  | 465000 | 494272 |
| Herc Holdings Inc 7% 6/15/2030 (d) |  | 605000 | 629656 |
| Herc Holdings Inc 7.25% 6/15/2033 (d) |  | 575000 | 603167 |
| QXO Building Products Inc 6.75% 4/30/2032 (d) |  | 595000 | 614518 |
| United Rentals North America Inc 3.75% 1/15/2032  |  | 805000 | 741938 |
| United Rentals North America Inc 6.125% 3/15/2034 (d) |  | 1080000 | 1118643 |
|  |  |  | 21058376 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Beacon Mobility Corp 7.25% 8/1/2030 (d) |  | 360000 | 373063 |
| TOTAL INDUSTRIALS |  |  | 398924826 |
| Information Technology - 0.5% |  |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |  |
| Amphenol Corp 5.25% 4/5/2034  |  | 4400000 | 4547054 |
| Coherent Corp 5% 12/15/2029 (d) |  | 1685000 | 1655941 |
| Dell International LLC / EMC Corp 3.375% 12/15/2041  |  | 3736000 | 2781189 |
| Dell International LLC / EMC Corp 3.45% 12/15/2051  |  | 1801000 | 1230128 |
| Dell International LLC / EMC Corp 5% 4/1/2030  |  | 3232000 | 3312443 |
| Insight Enterprises Inc 6.625% 5/15/2032 (d) |  | 400000 | 411826 |
| Lightning Power LLC 7.25% 8/15/2032 (d) |  | 975000 | 1034331 |
| Sensata Technologies Inc 3.75% 2/15/2031 (d) |  | 690000 | 634200 |
| TTM Technologies Inc 4% 3/1/2029 (d) |  | 860000 | 822718 |
| Vontier Corp 2.4% 4/1/2028  |  | 7691000 | 7309851 |
| Vontier Corp 2.95% 4/1/2031  |  | 8630000 | 7840309 |
|  |  |  | 31579990 |
| IT Services - 0.1% |  |  |  |
| Acuris Finance US Inc / Acuris Finance SARL 5% 5/1/2028 (d) |  | 225000 | 218946 |
| Acuris Finance US Inc / Acuris Finance SARL 9% 8/1/2029 (d) |  | 470000 | 484100 |
| ASGN Inc 4.625% 5/15/2028 (d) |  | 1700000 | 1663790 |
| CDW LLC / CDW Finance Corp 2.67% 12/1/2026  |  | 5350000 | 5233983 |
| CDW LLC / CDW Finance Corp 5.1% 3/1/2030  |  | 18200000 | 18504320 |
| CDW LLC / CDW Finance Corp 5.55% 8/22/2034  |  | 10150000 | 10274236 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (d) |  | 1010000 | 1006280 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (d) |  | 125000 | 124438 |
| CoreWeave Inc 9% 2/1/2031 (d) |  | 375000 | 371249 |
| CoreWeave Inc 9.25% 6/1/2030 (d) |  | 850000 | 853047 |
| Gartner Inc 3.75% 10/1/2030 (d) |  | 255000 | 239931 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 3.5% 3/1/2029 (d) |  | 1530000 | 1449516 |
| VeriSign Inc 5.25% 6/1/2032  |  | 2514000 | 2563734 |
|  |  |  | 42987570 |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |  |
| Broadcom Inc 1.95% 2/15/2028 (d) |  | 2879000 | 2738981 |
| Broadcom Inc 2.45% 2/15/2031 (d) |  | 63916000 | 57788301 |
| Broadcom Inc 2.6% 2/15/2033 (d) |  | 23971000 | 20717931 |
| Broadcom Inc 3.137% 11/15/2035 (d) |  | 6850000 | 5795864 |
| Broadcom Inc 3.187% 11/15/2036 (d) |  | 6678000 | 5574381 |
| Broadcom Inc 3.419% 4/15/2033 (d) |  | 10171000 | 9268881 |
| Broadcom Inc 3.5% 2/15/2041 (d) |  | 20866000 | 16539274 |
| Broadcom Inc 3.75% 2/15/2051 (d) |  | 1693000 | 1264283 |
| Broadcom Inc 4.15% 11/15/2030  |  | 1724000 | 1707159 |
| Broadcom Inc 4.6% 7/15/2030  |  | 10250000 | 10348615 |
| Broadcom Inc 4.9% 7/15/2032  |  | 10200000 | 10325142 |
| Broadcom Inc 5.05% 7/12/2029  |  | 16700000 | 17172244 |
| Broadcom Inc 5.15% 11/15/2031  |  | 16700000 | 17267924 |
| Entegris Inc 4.375% 4/15/2028 (d) |  | 1255000 | 1220251 |
| Entegris Inc 5.95% 6/15/2030 (d) |  | 990000 | 1002724 |
| Marvell Technology Inc 2.45% 4/15/2028  |  | 4982000 | 4769638 |
| Marvell Technology Inc 4.75% 7/15/2030  |  | 2698000 | 2722592 |
| Marvell Technology Inc 4.875% 6/22/2028  |  | 6400000 | 6487320 |
| Marvell Technology Inc 5.45% 7/15/2035  |  | 2988000 | 3038798 |
| Micron Technology Inc 2.703% 4/15/2032  |  | 2039000 | 1794804 |
| Micron Technology Inc 3.366% 11/1/2041  |  | 2223000 | 1662484 |
| Micron Technology Inc 3.477% 11/1/2051  |  | 2229000 | 1518061 |
| Micron Technology Inc 5.3% 1/15/2031  |  | 9833000 | 10146976 |
| Micron Technology Inc 5.327% 2/6/2029  |  | 4300000 | 4421022 |
| Micron Technology Inc 5.65% 11/1/2032  |  | 7400000 | 7737646 |
| Micron Technology Inc 5.8% 1/15/2035  |  | 8600000 | 8889933 |
| Micron Technology Inc 6.05% 11/1/2035  |  | 7400000 | 7774943 |
| Micron Technology Inc 6.75% 11/1/2029  |  | 10100000 | 10965137 |
| ON Semiconductor Corp 3.875% 9/1/2028 (d) |  | 500000 | 485859 |
| Qorvo Inc 4.375% 10/15/2029  |  | 985000 | 964749 |
| Wolfspeed Inc 7.9583% 6/23/2030 (d)(f)(g)(q) |  | 270296 | 269620 |
|  |  |  | 252381537 |
| Software - 0.1% |  |  |  |
| AppLovin Corp 5.125% 12/1/2029  |  | 3600000 | 3681797 |
| AppLovin Corp 5.375% 12/1/2031  |  | 10700000 | 11025091 |
| Crowdstrike Holdings Inc 3% 2/15/2029  |  | 655000 | 617296 |
| Elastic NV 4.125% 7/15/2029 (d) |  | 1510000 | 1451054 |
| Ellucian Holdings Inc 6.5% 12/1/2029 (d) |  | 200000 | 203456 |
| Fair Isaac Corp 4% 6/15/2028 (d) |  | 1130000 | 1100950 |
| Fair Isaac Corp 6% 5/15/2033 (d) |  | 1020000 | 1033686 |
| Fiserv Funding ULC 3.5% 6/15/2032  | EUR | 300000 | 348320 |
| Gen Digital Inc 6.25% 4/1/2033 (d) |  | 565000 | 580991 |
| Oracle Corp 2.875% 3/25/2031  |  | 7473000 | 6851622 |
| Oracle Corp 5.375% 7/15/2040  |  | 135000 | 130649 |
| Roper Technologies Inc 1.4% 9/15/2027  |  | 1724000 | 1633716 |
| Roper Technologies Inc 1.75% 2/15/2031  |  | 3736000 | 3239446 |
| Roper Technologies Inc 2% 6/30/2030  |  | 4476000 | 4018850 |
| Roper Technologies Inc 2.95% 9/15/2029  |  | 2830000 | 2699929 |
| Roper Technologies Inc 4.45% 9/15/2030  |  | 4852000 | 4862021 |
| Roper Technologies Inc 4.5% 10/15/2029  |  | 6800000 | 6853880 |
| Roper Technologies Inc 5.1% 9/15/2035  |  | 16564000 | 16523733 |
| VMware LLC 1.4% 8/15/2026  |  | 925000 | 899376 |
| X.AI LLC / X.AI Co Issuer Corp 12.5% 6/30/2030  |  | 550000 | 547173 |
|  |  |  | 68303036 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (d) |  | 360000 | 364294 |
| Seagate Data Storage Technology Pte Ltd 8.25% 12/15/2029 (d) |  | 2115000 | 2246542 |
|  |  |  | 2610836 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 397862969 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.1% |  |  |  |
| Advancion Sciences Inc 9.25% 11/1/2026 pay-in-kind (b)(d) |  | 561447 | 498284 |
| Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV 4.75% 6/15/2027 (d) |  | 825000 | 821173 |
| Axalta Coating Systems LLC 3.375% 2/15/2029 (d) |  | 435000 | 410936 |
| Celanese US Holdings LLC 6.5% 4/15/2030  |  | 485000 | 489418 |
| Celanese US Holdings LLC 6.665% 7/15/2027 (b) |  | 7526000 | 7744164 |
| Celanese US Holdings LLC 6.75% 4/15/2033  |  | 750000 | 755410 |
| Celanese US Holdings LLC 6.85% 11/15/2028 (b) |  | 12251000 | 12767821 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (b) |  | 15417000 | 16029780 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (b) |  | 7254000 | 7547889 |
| Chemours Co/The 4.625% 11/15/2029 (d) |  | 1100000 | 982240 |
| Chemours Co/The 5.75% 11/15/2028 (d) |  | 1015000 | 977357 |
| Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP 4.75% 5/15/2030 (d) |  | 2309000 | 2355815 |
| Dow Chemical Co/The 5.15% 2/15/2034  |  | 12200000 | 12125598 |
| International Flavors & Fragrances Inc 1.23% 10/1/2025 (d) |  | 142000 | 141578 |
| International Flavors & Fragrances Inc 1.832% 10/15/2027 (d) |  | 1819000 | 1724865 |
| International Flavors & Fragrances Inc 2.3% 11/1/2030 (d) |  | 2599000 | 2324626 |
| Inversion Escrow Issuer LLC 6.75% 8/1/2032 (d) |  | 210000 | 207948 |
| LSB Industries Inc 6.25% 10/15/2028 (d) |  | 460000 | 456385 |
| LYB International Finance III LLC 1.25% 10/1/2025  |  | 1661000 | 1656276 |
| Methanex US Operations Inc 6.25% 3/15/2032 (d) |  | 885000 | 893026 |
| Olin Corp 5% 2/1/2030  |  | 215000 | 208687 |
| Olin Corp 6.625% 4/1/2033 (d) |  | 630000 | 629183 |
| Olympus Water US Holding Corp 9.75% 11/15/2028 (d) |  | 455000 | 477001 |
| Scih Salt Hldgs Inc 6.625% 5/1/2029 (d) |  | 620000 | 622492 |
| Tronox Inc 4.625% 3/15/2029 (d) |  | 430000 | 317440 |
| WR Grace Holdings LLC 4.875% 6/15/2027 (d) |  | 439000 | 435468 |
| WR Grace Holdings LLC 5.625% 8/15/2029 (d) |  | 320000 | 299402 |
| WR Grace Holdings LLC 6.625% 8/15/2032 (d) |  | 750000 | 747900 |
|  |  |  | 74648162 |
| Construction Materials - 0.0% |  |  |  |
| Amrize Finance US LLC 4.7% 4/7/2028 (d) |  | 1949000 | 1973134 |
| Quikrete Holdings Inc 6.375% 3/1/2032 (d) |  | 1005000 | 1036508 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (d) |  | 1195000 | 1274781 |
| VM Consolidated Inc 5.5% 4/15/2029 (d) |  | 675000 | 668042 |
|  |  |  | 4952465 |
| Containers & Packaging - 0.0% |  |  |  |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 3.25% 9/1/2028 (d) |  | 885000 | 836380 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (d) |  | 685000 | 628579 |
| Ball Corp 2.875% 8/15/2030  |  | 965000 | 872966 |
| Ball Corp 3.125% 9/15/2031  |  | 955000 | 860817 |
| Ball Corp 5.5% 9/15/2033  |  | 625000 | 632548 |
| Ball Corp 6% 6/15/2029  |  | 395000 | 404201 |
| Clydesdale Acquisition Holdings Inc 6.75% 4/15/2032 (d) |  | 605000 | 621616 |
| Clydesdale Acquisition Holdings Inc 6.875% 1/15/2030 (d) |  | 275000 | 282728 |
| Crown Americas LLC / Crown Americas Capital Corp 5.875% 6/1/2033 (d) |  | 1440000 | 1456567 |
| Graphic Packaging International LLC 3.75% 2/1/2030 (d) |  | 530000 | 497745 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (d) |  | 870000 | 883961 |
| Sealed Air Corp 5% 4/15/2029 (d) |  | 210000 | 208289 |
| Sealed Air Corp 6.875% 7/15/2033 (d) |  | 390000 | 421309 |
| Sealed Air Corp/Sealed Air Corp US 6.125% 2/1/2028 (d) |  | 270000 | 273888 |
| Sealed Air Corp/Sealed Air Corp US 7.25% 2/15/2031 (d) |  | 515000 | 542194 |
|  |  |  | 9423788 |
| Metals & Mining - 0.0% |  |  |  |
| Alcoa Nederland Holding BV 7.125% 3/15/2031 (d) |  | 170000 | 179303 |
| Alumina Pty Ltd 6.375% 9/15/2032 (d) |  | 1220000 | 1244229 |
| Cleveland-Cliffs Inc 4.875% 3/1/2031 (d) |  | 790000 | 722297 |
| Cleveland-Cliffs Inc 7% 3/15/2032 (d) |  | 400000 | 397659 |
| Cleveland-Cliffs Inc 7.5% 9/15/2031 (d) |  | 1610000 | 1632119 |
| Commercial Metals Co 3.875% 2/15/2031  |  | 915000 | 849346 |
| Commercial Metals Co 4.375% 3/15/2032  |  | 220000 | 206086 |
| Kaiser Aluminum Corp 4.625% 3/1/2028 (d) |  | 1045000 | 1027155 |
| Novelis Corp 3.875% 8/15/2031 (d) |  | 470000 | 426241 |
|  |  |  | 6684435 |
| TOTAL MATERIALS |  |  | 95708850 |
| Real Estate - 0.9% |  |  |  |
| Diversified REITs - 0.2% |  |  |  |
| GLP Capital LP / GLP Financing II Inc 5.625% 9/15/2034  |  | 14650000 | 14696118 |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  |  | 3748000 | 3168276 |
| Piedmont Operating Partnership LP 6.875% 7/15/2029  |  | 10020000 | 10602120 |
| Store Capital LLC 2.7% 12/1/2031  |  | 8095000 | 7045898 |
| Store Capital LLC 2.75% 11/18/2030  |  | 4066000 | 3669387 |
| Store Capital LLC 4.625% 3/15/2029  |  | 2374000 | 2356597 |
| VICI Properties LP 4.75% 2/15/2028  |  | 14680000 | 14795303 |
| VICI Properties LP 4.75% 4/1/2028  |  | 6305000 | 6373553 |
| VICI Properties LP 4.95% 2/15/2030  |  | 21594000 | 21836046 |
| VICI Properties LP 5.125% 11/15/2031  |  | 5400000 | 5466817 |
| VICI Properties LP 5.125% 5/15/2032  |  | 14187000 | 14236481 |
| VICI Properties LP 5.75% 4/1/2034  |  | 4314000 | 4436485 |
| Vornado Realty LP 2.15% 6/1/2026  |  | 4402000 | 4306205 |
| Vornado Realty LP 3.4% 6/1/2031  |  | 12870000 | 11475833 |
| WP Carey Inc 2.4% 2/1/2031  |  | 3511000 | 3128296 |
| WP Carey Inc 3.85% 7/15/2029  |  | 1991000 | 1958318 |
| WP Carey Inc 4.25% 7/23/2032  | EUR | 300000 | 363787 |
|  |  |  | 129915520 |
| Health Care REITs - 0.2% |  |  |  |
| Alexandria Real Estate Equities Inc 2% 5/18/2032  |  | 8258000 | 6915518 |
| Alexandria Real Estate Equities Inc 4.9% 12/15/2030  |  | 7224000 | 7340502 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  |  | 1868000 | 1755636 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  |  | 1945000 | 1927775 |
| Healthpeak OP LLC 4.75% 1/15/2033  |  | 22285000 | 22133041 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  |  | 25514000 | 22202914 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  |  | 11878000 | 10981368 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  |  | 8376000 | 8016294 |
| Omega Healthcare Investors Inc 4.5% 4/1/2027  |  | 716000 | 716786 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  |  | 11294000 | 11385302 |
| Omega Healthcare Investors Inc 5.25% 1/15/2026  |  | 6569000 | 6569527 |
| Ventas Realty LP 2.5% 9/1/2031  |  | 25590000 | 22785179 |
| Ventas Realty LP 3% 1/15/2030  |  | 16847000 | 15930876 |
| Ventas Realty LP 4% 3/1/2028  |  | 2553000 | 2540430 |
| Ventas Realty LP 4.125% 1/15/2026  |  | 999000 | 996963 |
| Ventas Realty LP 4.4% 1/15/2029  |  | 6227000 | 6245813 |
| Ventas Realty LP 4.75% 11/15/2030  |  | 16500000 | 16647878 |
| Ventas Realty LP 5.1% 7/15/2032  |  | 14363000 | 14696599 |
|  |  |  | 179788401 |
| Hotel & Resort REITs - 0.0% |  |  |  |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 4.875% 5/15/2029 (d) |  | 945000 | 919827 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 7% 2/1/2030 (d) |  | 300000 | 309774 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 4/1/2032 (d) |  | 560000 | 575570 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (d) |  | 440000 | 454462 |
|  |  |  | 2259633 |
| Industrial REITs - 0.0% |  |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  |  | 1445000 | 1314829 |
| Office REITs - 0.1% |  |  |  |
| Boston Properties LP 4.5% 12/1/2028  |  | 4766000 | 4768935 |
| COPT Defense Properties LP 2% 1/15/2029  |  | 7631000 | 7046534 |
| COPT Defense Properties LP 2.25% 3/15/2026  |  | 3486000 | 3436745 |
| COPT Defense Properties LP 2.75% 4/15/2031  |  | 8767000 | 7902306 |
| COPT Defense Properties LP 2.9% 12/1/2033  |  | 17416000 | 14648888 |
| Hudson Pacific Properties LP 3.95% 11/1/2027  |  | 2573000 | 2459750 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  |  | 10668000 | 9804782 |
| Hudson Pacific Properties LP 5.95% 2/15/2028  |  | 17949000 | 17558636 |
| Kilroy Realty LP 5.875% 10/15/2035  |  | 3943000 | 3924402 |
|  |  |  | 71550978 |
| Real Estate Management & Development - 0.1% |  |  |  |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  |  | 4382000 | 4266558 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  |  | 1896000 | 1818143 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  |  | 16730000 | 17790799 |
| Brandywine Operating Partnership LP 8.875% 4/12/2029  |  | 22481000 | 24440782 |
| CBRE Services Inc 2.5% 4/1/2031  |  | 10225000 | 9190133 |
| Essex Portfolio LP 5.5% 4/1/2034  |  | 4442000 | 4584433 |
| Extra Space Storage LP 4.95% 1/15/2033  |  | 10409000 | 10442661 |
| Howard Hughes Corp/The 4.375% 2/1/2031 (d) |  | 1105000 | 1029180 |
| Tanger Properties LP 2.75% 9/1/2031  |  | 16949000 | 15106835 |
| Tanger Properties LP 3.125% 9/1/2026  |  | 2628000 | 2587573 |
| Tanger Properties LP 3.875% 7/15/2027  |  | 11191000 | 11068145 |
| Taylor Morrison Communities Inc 5.75% 1/15/2028 (d) |  | 655000 | 663255 |
|  |  |  | 102988497 |
| Residential REITs - 0.1% |  |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  |  | 1482000 | 1308856 |
| American Homes 4 Rent LP 3.375% 7/15/2051  |  | 2291000 | 1502865 |
| American Homes 4 Rent LP 3.625% 4/15/2032  |  | 8742000 | 8132362 |
| American Homes 4 Rent LP 4.3% 4/15/2052  |  | 5604000 | 4321716 |
| American Homes 4 Rent LP 4.95% 6/15/2030  |  | 2538000 | 2588024 |
| American Homes 4 Rent LP 5.5% 7/15/2034  |  | 10177000 | 10416447 |
| Invitation Homes Operating Partnership LP 2% 8/15/2031  |  | 2893000 | 2484602 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  |  | 13560000 | 12970863 |
| Invitation Homes Operating Partnership LP 4.875% 2/1/2035  |  | 8722000 | 8520282 |
| Invitation Homes Operating Partnership LP 4.95% 1/15/2033  |  | 13634000 | 13603870 |
| Sun Communities Operating LP 2.3% 11/1/2028  |  | 4282000 | 4051922 |
| Sun Communities Operating LP 2.7% 7/15/2031  |  | 9688000 | 8768181 |
| Sun Communities Operating LP 4.2% 4/15/2032  |  | 9341000 | 8974317 |
| UDR Inc 2.1% 8/1/2032  |  | 4480000 | 3778823 |
| UDR Inc 5.125% 9/1/2034  |  | 5000000 | 5019639 |
|  |  |  | 96442769 |
| Retail REITs - 0.2% |  |  |  |
| Agree LP 4.8% 10/1/2032  |  | 6806000 | 6779820 |
| Agree LP 5.6% 6/15/2035  |  | 12659000 | 13022918 |
| Agree LP 5.625% 6/15/2034  |  | 18770000 | 19306178 |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  |  | 10487000 | 10276669 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  |  | 20383000 | 20201510 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  |  | 5827000 | 5810184 |
| Brixmor Operating Partnership LP 5.5% 2/15/2034  |  | 6800000 | 6930246 |
| Kimco Realty OP LLC 2.25% 12/1/2031  |  | 15265000 | 13406656 |
| Kimco Realty OP LLC 6.4% 3/1/2034  |  | 20000000 | 21880360 |
| Kite Realty Group LP 5.5% 3/1/2034  |  | 5568000 | 5695033 |
| Kite Realty Group Trust 4.75% 9/15/2030  |  | 20325000 | 20391082 |
| NNN REIT Inc 5.6% 10/15/2033  |  | 12000000 | 12480037 |
| Phillips Edison Grocery Center Operating Partnership I LP 4.95% 1/15/2035  |  | 9000000 | 8785581 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  |  | 12448000 | 12855155 |
| Realty Income Corp 2.1% 3/15/2028  |  | 1631000 | 1554145 |
| Realty Income Corp 2.2% 6/15/2028  |  | 1380000 | 1314396 |
| Realty Income Corp 2.85% 12/15/2032  |  | 1998000 | 1776156 |
| Realty Income Corp 3.25% 1/15/2031  |  | 1828000 | 1728246 |
| Realty Income Corp 3.375% 6/20/2031  | EUR | 900000 | 1058871 |
| Realty Income Corp 3.4% 1/15/2028  |  | 2874000 | 2837406 |
| Simon Property Group LP 2.45% 9/13/2029  |  | 3008000 | 2821907 |
|  |  |  | 190912556 |
| Specialized REITs - 0.0% |  |  |  |
| American Tower Corp 2.1% 6/15/2030  |  | 3550000 | 3192751 |
| American Tower Corp 3.625% 5/30/2032  | EUR | 1150000 | 1365780 |
| American Tower Corp 4.9% 3/15/2030  |  | 7500000 | 7644177 |
| Iron Mountain Inc 4.875% 9/15/2029 (d) |  | 1050000 | 1032097 |
| Millrose Properties Inc 6.375% 8/1/2030 (d) |  | 1040000 | 1049360 |
| SBA Communications Corp 3.125% 2/1/2029  |  | 2395000 | 2250749 |
|  |  |  | 16534914 |
| TOTAL REAL ESTATE |  |  | 791708097 |
| Utilities - 0.8% |  |  |  |
| Electric Utilities - 0.5% |  |  |  |
| AEP Transmission Co LLC 5.375% 6/15/2035  |  | 5000000 | 5122057 |
| Alabama Power Co 3.05% 3/15/2032  |  | 18116000 | 16604545 |
| Alabama Power Co 5.1% 4/2/2035  |  | 8723000 | 8831336 |
| American Transmission Systems Inc 2.65% 1/15/2032 (d) |  | 5846000 | 5195471 |
| Clearway Energy Operating LLC 3.75% 2/15/2031 (d) |  | 1355000 | 1246338 |
| Clearway Energy Operating LLC 4.75% 3/15/2028 (d) |  | 140000 | 138440 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  |  | 11796000 | 11016938 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  |  | 19755000 | 19617263 |
| Cleveland Electric Illuminating Co/The 3.5% 4/1/2028 (d) |  | 5498000 | 5388803 |
| Cleveland Electric Illuminating Co/The 5.95% 12/15/2036  |  | 2055000 | 2141804 |
| Consolidated Edison Co of New York Inc 5.125% 3/15/2035  |  | 9000000 | 9207722 |
| Consolidated Edison Co of New York Inc 5.2% 3/1/2033  |  | 8097000 | 8364450 |
| Consolidated Edison Co of New York Inc 5.5% 3/15/2034  |  | 5000000 | 5218299 |
| Consolidated Edison Co of New York Inc 5.5% 3/15/2055  |  | 9000000 | 8643219 |
| Consolidated Edison Co of New York Inc 6.3% 8/15/2037  |  | 5000000 | 5478906 |
| DPL Inc 4.35% 4/15/2029  |  | 7785000 | 7705047 |
| Duke Energy Carolinas LLC 4.95% 1/15/2033  |  | 8000000 | 8179114 |
| Duke Energy Corp 2.45% 6/1/2030  |  | 5890000 | 5414646 |
| Duke Energy Corp 2.55% 6/15/2031  |  | 4359000 | 3923214 |
| Duke Energy Corp 3.85% 6/15/2034  | EUR | 1450000 | 1681930 |
| Duke Energy Corp 4.3% 3/15/2028  |  | 2316000 | 2327768 |
| Duke Energy Corp 4.5% 8/15/2032  |  | 12535000 | 12367860 |
| Duke Energy Corp 5% 8/15/2052  |  | 17535000 | 15294400 |
| Duke Energy Corp 6.1% 9/15/2053  |  | 8700000 | 8837889 |
| Duke Energy Indiana LLC 4.9% 7/15/2043  |  | 1678000 | 1520401 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (d) |  | 7005000 | 6254652 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (d) |  | 11501000 | 10114850 |
| Duquesne Light Holdings Inc 3.616% 8/1/2027 (d) |  | 2736000 | 2682899 |
| Edison International 7.875% 6/15/2054 (b) |  | 534000 | 527893 |
| Edison International 8.125% 6/15/2053 (b) |  | 160000 | 160057 |
| Exelon Corp 2.75% 3/15/2027  |  | 269000 | 263510 |
| Exelon Corp 3.35% 3/15/2032  |  | 20066000 | 18629451 |
| Exelon Corp 4.05% 4/15/2030  |  | 4724000 | 4672692 |
| Exelon Corp 4.1% 3/15/2052  |  | 379000 | 287717 |
| Exelon Corp 5.15% 3/15/2029  |  | 6500000 | 6688394 |
| Exelon Corp 5.3% 3/15/2033  |  | 9000000 | 9289821 |
| Exelon Corp 5.45% 3/15/2034  |  | 7200000 | 7420845 |
| Exelon Corp 5.6% 3/15/2053  |  | 6800000 | 6441847 |
| FirstEnergy Corp 1.6% 1/15/2026  |  | 199000 | 196643 |
| FirstEnergy Corp 2.25% 9/1/2030  |  | 5756000 | 5168891 |
| FirstEnergy Corp 2.65% 3/1/2030  |  | 11794000 | 10939812 |
| FirstEnergy Corp 3.4% 3/1/2050  |  | 7000000 | 4700318 |
| FirstEnergy Pennsylvania Electric Co 5.2% 4/1/2028 (d) |  | 6490000 | 6641569 |
| FirstEnergy Transmission LLC 4.55% 1/15/2030  |  | 3100000 | 3124828 |
| FirstEnergy Transmission LLC 4.75% 1/15/2033 (d) |  | 13738000 | 13698916 |
| Georgia Power Co 4.65% 5/16/2028  |  | 5500000 | 5581363 |
| Georgia Power Co 5.25% 3/15/2034  |  | 8750000 | 8968673 |
| Indianapolis Power & Light Co 5.7% 4/1/2054 (d) |  | 5000000 | 4889054 |
| IPALCO Enterprises Inc 4.25% 5/1/2030  |  | 8967000 | 8758125 |
| IPALCO Enterprises Inc 5.75% 4/1/2034  |  | 22200000 | 22388152 |
| ITC Holdings Corp 5.65% 5/9/2034 (d) |  | 11700000 | 12112472 |
| Monongahela Power Co 5.85% 2/15/2034 (d) |  | 6875000 | 7229680 |
| NRG Energy Inc 3.625% 2/15/2031 (d) |  | 1080000 | 996203 |
| NRG Energy Inc 5.25% 6/15/2029 (d) |  | 484000 | 482564 |
| NRG Energy Inc 5.75% 1/15/2028  |  | 1136000 | 1139599 |
| NRG Energy Inc 6.25% 11/1/2034 (d) |  | 1305000 | 1337948 |
| Ohio Edison Co 4.95% 12/15/2029 (d) |  | 4124000 | 4214921 |
| Pacific Gas and Electric Co 5.9% 10/1/2054  |  | 8600000 | 8041627 |
| PG&E Corp 5% 7/1/2028  |  | 420000 | 415217 |
| PG&E Corp 7.375% 3/15/2055 (b) |  | 1850000 | 1835911 |
| Pinnacle West Capital Corp 4.9% 5/15/2028  |  | 1765000 | 1791366 |
| Pinnacle West Capital Corp 5.15% 5/15/2030  |  | 3419000 | 3517301 |
| PPL Capital Funding Inc 5.25% 9/1/2034  |  | 7291000 | 7405928 |
| Southern Co/The 1.875% 9/15/2081 (b) | EUR | 2400000 | 2700641 |
| Southern Co/The 3.7% 4/30/2030  |  | 9229000 | 9007134 |
| Southern Co/The 4.4% 7/1/2046  |  | 8095000 | 6724596 |
| Southern Co/The 4.85% 3/15/2035  |  | 4650000 | 4565568 |
| Southern Co/The 5.113% 8/1/2027 (g) |  | 1724000 | 1757097 |
| Southern Co/The 5.5% 3/15/2029  |  | 7200000 | 7505553 |
| Southern Co/The 5.7% 3/15/2034  |  | 11450000 | 11990096 |
| Tampa Electric Co 6.55% 5/15/2036  |  | 280000 | 308203 |
| Virginia Electric and Power Co 2.3% 11/15/2031  |  | 2300000 | 2030987 |
| Virginia Electric and Power Co 2.4% 3/30/2032  |  | 1724000 | 1513306 |
| Virginia Electric and Power Co 3.75% 5/15/2027  |  | 2000000 | 1990022 |
| Virginia Electric and Power Co 5.55% 8/15/2054  |  | 2334000 | 2248140 |
| Vistra Operations Co LLC 4.375% 5/1/2029 (d) |  | 630000 | 615767 |
| Vistra Operations Co LLC 5% 7/31/2027 (d) |  | 3190000 | 3181386 |
| Vistra Operations Co LLC 5.625% 2/15/2027 (d) |  | 1015000 | 1015411 |
| Vistra Operations Co LLC 7.75% 10/15/2031 (d) |  | 1525000 | 1620284 |
| Xcel Energy Inc 3.5% 12/1/2049  |  | 4570000 | 3118573 |
| Xcel Energy Inc 4.8% 9/15/2041  |  | 311000 | 277016 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (d) |  | 610000 | 623014 |
| XPLR Infrastructure Operating Partners LP 8.375% 1/15/2031 (d) |  | 350000 | 366007 |
|  |  |  | 461638370 |
| Gas Utilities - 0.0% |  |  |  |
| Boston Gas Co 4.487% 2/15/2042 (d) |  | 1118000 | 940455 |
| Southern Co Gas Capital Corp 3.15% 9/30/2051  |  | 3046000 | 1924325 |
|  |  |  | 2864780 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |  |
| AES Corp/The 1.375% 1/15/2026  |  | 3793000 | 3744633 |
| AES Corp/The 2.45% 1/15/2031  |  | 75541000 | 67682362 |
| AES Corp/The 3.95% 7/15/2030 (d) |  | 21858000 | 21094541 |
| Alpha Generation LLC 6.75% 10/15/2032 (d) |  | 800000 | 824781 |
| Sunnova Energy Corp 5.875% (d)(q) |  | 760000 | 2280 |
| TerraForm Power Operating LLC 5% 1/31/2028 (d) |  | 421000 | 417410 |
|  |  |  | 93766007 |
| Multi-Utilities - 0.2% |  |  |  |
| Berkshire Hathaway Energy Co 3.25% 4/15/2028  |  | 2069000 | 2030783 |
| Berkshire Hathaway Energy Co 3.7% 7/15/2030  |  | 161000 | 157704 |
| DTE Energy Co 5.2% 4/1/2030  |  | 9729000 | 10028250 |
| NiSource Inc 1.7% 2/15/2031  |  | 3114000 | 2696741 |
| NiSource Inc 2.95% 9/1/2029  |  | 21895000 | 20890143 |
| NiSource Inc 3.6% 5/1/2030  |  | 21588000 | 20919668 |
| NiSource Inc 4.375% 5/15/2047  |  | 3114000 | 2568600 |
| NiSource Inc 4.8% 2/15/2044  |  | 4982000 | 4416592 |
| NiSource Inc 5% 6/15/2052  |  | 2180000 | 1920034 |
| NiSource Inc 5.25% 2/15/2043  |  | 132000 | 124057 |
| NiSource Inc 5.25% 3/30/2028  |  | 4400000 | 4521064 |
| NiSource Inc 5.35% 4/1/2034  |  | 9500000 | 9717291 |
| NiSource Inc 5.4% 6/30/2033  |  | 5000000 | 5145269 |
| NiSource Inc 5.95% 6/15/2041  |  | 2375000 | 2413405 |
| Public Service Enterprise Group Inc 4.9% 3/15/2030  |  | 2250000 | 2300477 |
| Puget Energy Inc 2.379% 6/15/2028  |  | 6588000 | 6251324 |
| Puget Energy Inc 4.1% 6/15/2030  |  | 7982000 | 7781614 |
| Puget Energy Inc 4.224% 3/15/2032  |  | 27701000 | 26270467 |
| Puget Energy Inc 5.725% 3/15/2035  |  | 9712000 | 9878597 |
| Sempra 6% 10/15/2039  |  | 2744000 | 2802127 |
| Sempra 6.375% 4/1/2056 (b) |  | 1050000 | 1058458 |
| WEC Energy Group Inc 2.2% 12/15/2028  |  | 3114000 | 2926514 |
|  |  |  | 146819179 |
| TOTAL UTILITIES |  |  | 705088336 |
| TOTAL UNITED STATES |  |  | 7765121431 |
| ZAMBIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| First Quantum Minerals Ltd 7.25% 2/15/2034 (d) |  | 235000 | 237268 |
| First Quantum Minerals Ltd 8% 3/1/2033 (d) |  | 1145000 | 1189119 |
| TOTAL ZAMBIA |  |  | 1426387 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $9,997,936,650) |  |  | <br> **10091290914** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.1%** | &nbsp;&nbsp;**Preferred Securities - 0.1%** | &nbsp;&nbsp;**Preferred Securities - 0.1%** | &nbsp;&nbsp;**Preferred Securities - 0.1%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.1%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Enbridge Inc 5.75% 7/15/2080 (b) |  | 3553000 | 3575197 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of Nova Scotia/The CME Term SOFR 3 month Index + 2.9096%, 7.2299% (b)(c)(p) |  | 19859000 | 19975480 |
| TOTAL CANADA |  |  | 23550677 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 3.75% (b)(o)(p) | EUR | 2370000 | 2519230 |
| FINLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Oyj 7.875% (b)(o)(p) | EUR | 850000 | 1101916 |
| FRANCE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| BNP Paribas SA 7.45% (b)(d)(p) |  | 615000 | 634408 |
| GERMANY - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Volkswagen International Finance NV 3.748% (b)(o)(p) | EUR | 500000 | 596167 |
| Volkswagen International Finance NV 3.875% (b)(o)(p) | EUR | 2300000 | 2648836 |
|  |  |  | 3245003 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Aroundtown Finance Sarl 7.875% (b)(p) |  | 4750000 | 4948018 |
| Aroundtown SA 5 year ISDA Fixed EURIBOR + 3.98%, 6.193% (b)(c)(o)(p) | EUR | 3900000 | 4605937 |
| Grand City Properties SA 1.5% (b)(o)(p) | EUR | 1500000 | 1708684 |
|  |  |  | 11262639 |
| TOTAL GERMANY |  |  | 14507642 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Heimstaden Bostad AB 3.625% (b)(o)(p) | EUR | 195000 | 228945 |
| Samhallsbyggnadsbolaget i Norden AB 5 year EUR Swap Annual Index + 2.814%, 4.9355% (b)(c)(o)(p)(q) | EUR | 1385000 | 1166665 |
| TOTAL SWEDEN |  |  | 1395610 |
| SWITZERLAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| Credit Suisse Group AG Claim 5 year USD Swap Index + 4.598%, 0% (b)(c)(f)(o)(p)(q) |  | 4925000 | 418625 |
| UBS Group AG 4.375% (b)(d)(p) |  | 2239000 | 2013067 |
| UBS Group AG 4.875% (b)(d)(p) |  | 4770000 | 4704579 |
| UBS Group AG 7% (b)(d)(p) |  | 220000 | 224092 |
| TOTAL SWITZERLAND |  |  | 7360363 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Tobacco - 0.0% |  |  |  |
| British American Tobacco PLC 3% (b)(o)(p) | EUR | 3000000 | 3560513 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Barclays PLC 7.625% (b)(p) |  | 1025000 | 1075332 |
| Barclays PLC 8.875% (b)(o)(p) | GBP | 500000 | 724777 |
| HSBC Holdings PLC 7.05% (b)(p) |  | 815000 | 854584 |
|  |  |  | 2654693 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 4.25% (b)(o)(p) | GBP | 670000 | 634494 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| SSE PLC 3.74% (b)(o)(p) | GBP | 1135000 | 1542230 |
| TOTAL UNITED KINGDOM |  |  | 8391930 |
| UNITED STATES - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Energy Transfer LP Series G, 7.125% (b)(p) |  | 1210000 | 1267222 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.583% (b)(c)(p) |  | 1030000 | 1034549 |
|  |  |  | 2301771 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank of America Corp 6.25% (b)(p) |  | 1450000 | 1460903 |
| BW Real Estate Inc 9.5% (b)(d)(p) |  | 615000 | 633638 |
| Citigroup Inc 6.75% (b)(p) |  | 910000 | 920213 |
| Citigroup Inc 6.875% (b)(p) |  | 825000 | 845718 |
| Citigroup Inc 7.125% (b)(p) |  | 770000 | 790871 |
| JPMorgan Chase & Co 6.5% (b)(p) |  | 805000 | 835609 |
| Wells Fargo & Co 7.625% (b)(p) |  | 640000 | 693875 |
|  |  |  | 6180827 |
| Capital Markets - 0.0% |  |  |  |
| Charles Schwab Corp/The 4% (b)(p) |  | 1030000 | 951942 |
| Goldman Sachs Group Inc/The 6.85% (b)(p) |  | 1005000 | 1039138 |
|  |  |  | 1991080 |
| Consumer Finance - 0.0% |  |  |  |
| Ally Financial Inc 4.7% (b)(p) |  | 2375000 | 2316180 |
| TOTAL FINANCIALS |  |  | 10488087 |
| TOTAL UNITED STATES |  |  | 12789858 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $74,019,943) |  |  | <br> **72251634** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 24.7%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 24.7%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 24.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 24.7%  |  |  |
| Fannie Mae 2% 3/1/2052  | 8502041 | 6808150 |
| Fannie Mae 2.5% 1/1/2052  | 9875493 | 8265889 |
| Fannie Mae 2.5% 4/1/2052  | 10572187 | 8908498 |
| Fannie Mae 2.5% 5/1/2052  | 767657 | 644695 |
| Fannie Mae 2.5% 6/1/2052  | 23297710 | 19747962 |
| Fannie Mae 3% 6/1/2052  | 614010 | 542490 |
| Fannie Mae 3.5% 12/1/2036  | 2146899 | 2096396 |
| Fannie Mae 3.5% 5/1/2036  | 1666505 | 1628989 |
| Fannie Mae 5.5% 2/1/2055  | 16006169 | 16261586 |
| Fannie Mae 6.5% 7/1/2054  | 5858847 | 6159626 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (b)(c) | 5672 | 5834 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 6.71% 1/1/2035 (b)(c) | 1400 | 1437 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 6.105% 7/1/2034 (b)(c) | 615 | 628 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (b)(c) | 2583 | 2652 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.44% 3/1/2037 (b)(c) | 5179 | 5346 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.596%, 6.596% 3/1/2036 (b)(c) | 1036 | 1068 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.609%, 6.359% 8/1/2035 (b)(c) | 2758 | 2834 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 7.065% 9/1/2036 (b)(c) | 1072 | 1102 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 7.069% 5/1/2035 (b)(c) | 7765 | 7970 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.667%, 6.464% 11/1/2036 (b)(c) | 1486 | 1529 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.673%, 6.709% 3/1/2033 (b)(c) | 2432 | 2495 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.683%, 6.511% 5/1/2036 (b)(c) | 3522 | 3630 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.697%, 6.622% 7/1/2043 (b)(c) | 61422 | 63853 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.563% 6/1/2042 (b)(c) | 6681 | 6952 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.73%, 6.753% 3/1/2040 (b)(c) | 9620 | 9973 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.694% 7/1/2035 (b)(c) | 1889 | 1943 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.211% 8/1/2041 (b)(c) | 16415 | 17101 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.478% 7/1/2041 (b)(c) | 1641 | 1711 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.636% 1/1/2042 (b)(c) | 21312 | 22195 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.807%, 6.818% 12/1/2040 (b)(c) | 195875 | 204025 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.81%, 6.685% 12/1/2039 (b)(c) | 3067 | 3182 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.505% 7/1/2041 (b)(c) | 3402 | 3549 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.713% 2/1/2042 (b)(c) | 9436 | 9842 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.318% 9/1/2041 (b)(c) | 3006 | 3132 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 6.724% 2/1/2035 (b)(c) | 11701 | 12077 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 7.33% 10/1/2041 (b)(c) | 968 | 998 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (b)(c) | 13069 | 13582 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (b)(c) | 2582 | 2643 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.913% 6/1/2036 (b)(c) | 8415 | 8595 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.277%, 7.235% 10/1/2033 (b)(c) | 3621 | 3690 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 6.701% 7/1/2034 (b)(c) | 3671 | 3757 |
| Fannie Mae Mortgage pass-thru certificates 1% 12/1/2036  | 71155166 | 61488758 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 25963135 | 23329902 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 16533164 | 14820172 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 4249992 | 3556792 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 23971430 | 18193464 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 10206613 | 9171437 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 9721931 | 8735913 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 5268237 | 4733922 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 463187 | 416210 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 316944 | 284799 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 2500334 | 2095962 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041 (u) | 32185570 | 26695056 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2050  | 45763 | 34890 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 9034579 | 8118274 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 321187 | 288611 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 9321584 | 7807475 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2050  | 156142 | 118701 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 698286 | 626373 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 688935 | 617985 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 674912 | 605407 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 2603445 | 2176991 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 28018315 | 21404998 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 19371787 | 14702498 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 888273 | 796795 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 877538 | 787165 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 284683 | 255365 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 2659699 | 2222430 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2051  | 929856 | 705728 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 1717735 | 1540835 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 916433 | 822055 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 478761 | 429456 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2051  | 30246 | 22956 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 970220 | 869696 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 952794 | 854671 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 1800246 | 1382637 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2036  | 680298 | 609813 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2036  | 974916 | 873905 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2050  | 68608 | 52285 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2051  | 339616 | 257756 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2035  | 95208 | 85552 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 1010895 | 906157 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 12047172 | 11152057 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 36167652 | 28984452 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 40104434 | 32390009 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 900386 | 721281 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 861527 | 687190 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 207065 | 166199 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 9216062 | 8496741 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2040  | 913062 | 795177 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 8150951 | 7018090 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 1717105 | 1480492 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 35189 | 30342 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 8874995 | 7206644 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 42359 | 34330 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 30418023 | 24528838 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 28940620 | 23391737 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 21546291 | 17442080 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 10090686 | 8064518 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 8379536 | 6772899 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 3633499 | 2941378 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 176207 | 140825 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 302905 | 278553 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 46596784 | 40530717 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 13739512 | 11847264 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 10999584 | 9483124 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 7836592 | 6753561 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 1703489 | 1468117 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 5022127 | 4043523 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 29721873 | 24060349 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 18742725 | 15149118 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 12532493 | 10164843 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 2987096 | 2394767 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1082012 | 875907 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 748108 | 605606 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 607428 | 488686 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 191706 | 153212 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 52390 | 41870 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 46844 | 37321 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 24933 | 19927 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 41682570 | 38390135 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 510746 | 469126 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 3784793 | 3289717 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 2797708 | 2439566 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  | 4031619 | 3469382 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 11256001 | 9031017 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 196959 | 159564 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 39021699 | 31539936 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 12739713 | 10273198 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 11419457 | 9229965 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 9063759 | 7325934 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 6343203 | 5134928 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 5185381 | 4191170 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 947417 | 754811 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 168863 | 134956 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 3618279 | 3539706 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 2261689 | 2088696 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 682593 | 629956 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 613129 | 563166 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 472440 | 436452 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 464647 | 430269 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 247243 | 230032 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 31605 | 27433 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 108221 | 86863 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 13561 | 10884 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 17996546 | 14416657 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 16973246 | 13734820 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 3017045 | 2410292 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 1176211 | 951060 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 852717 | 682828 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 524108 | 423783 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 289172 | 230769 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 925378 | 849970 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 595380 | 546864 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2037  | 599451 | 553038 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 4309934 | 3738505 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 8158734 | 6487349 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 997410 | 793083 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 454497 | 367781 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 345773 | 280125 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 195337 | 156786 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 43359 | 34788 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 15543101 | 12582398 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 13958107 | 11290595 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 10881869 | 8778449 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 10510012 | 8504745 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 6257952 | 5062005 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 5588553 | 4513548 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 4710341 | 3799851 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 4415005 | 3557463 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 3981793 | 3195953 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 3852614 | 3118755 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 2260638 | 1830024 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1721710 | 1375997 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1459321 | 1168576 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1141765 | 923207 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 901125 | 718774 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 879132 | 702606 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 792067 | 640449 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 523618 | 417659 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2036  | 2432247 | 2235568 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 1079647 | 944641 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 17821794 | 14271097 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 10977764 | 8883252 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 524831 | 425188 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 97408 | 78001 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 95566 | 77422 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 6109846 | 4892561 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 259426 | 206929 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 41452 | 33012 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2035  | 14881194 | 13780160 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 714999 | 661204 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2042  | 12405647 | 10773882 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 30218 | 24027 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 38388601 | 35548294 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 36001015 | 33337361 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 26023362 | 24097937 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 18447801 | 17082879 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 16103696 | 14912211 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2036  | 794197 | 734195 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2036  | 777548 | 714673 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 788414 | 689286 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 176173 | 152448 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2051  | 750999 | 598090 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2051  | 437221 | 348199 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 374784 | 347054 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2036  | 261752 | 241404 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 13031557 | 11262725 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 9103497 | 7903773 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 2575124 | 2221292 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 40063433 | 32169098 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 6240357 | 5038022 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 925006 | 748808 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 8228651 | 6607229 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 2065418 | 1666181 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 1079339 | 873069 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 462052 | 370718 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 144239 | 115727 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 618431 | 572674 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 4995958 | 4312183 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 3968090 | 3427234 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 511571 | 441492 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 2495064 | 2006697 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2041  | 2589836 | 2232516 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 3236250 | 3124390 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 210462 | 202888 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 172926 | 164560 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 130310 | 124006 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 105319 | 100272 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 95652 | 90936 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2040  | 204658 | 184891 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 355960 | 315307 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 103873 | 91775 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 26280 | 23254 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 24582 | 21762 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 13911 | 12307 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 57063268 | 48440169 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 2491176 | 2090590 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 6148039 | 5130602 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 4460234 | 3745806 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 839936 | 710910 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 676306 | 572415 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 625237 | 529192 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 455134 | 385218 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 3181524 | 3072709 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 722756 | 698556 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 608110 | 561237 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 9594557 | 8135683 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 44483588 | 37163716 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 5331652 | 4480976 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 4877636 | 4093302 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1667295 | 1412737 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 2084925 | 2013588 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 99609 | 93563 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 12629161 | 11295323 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 9150389 | 8148775 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 5996536 | 5345907 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 4126823 | 3693012 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 3752833 | 3357636 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1970922 | 1761703 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2042  | 14358 | 12720 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 50890753 | 42516567 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 24042122 | 20288794 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 21562913 | 18109026 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 16423124 | 13802779 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 3581979 | 3004870 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1520063 | 1289409 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 5809888 | 5607017 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 14348572 | 13857309 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2042  | 12044 | 10714 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2049  | 3313685 | 2789122 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2050  | 18836 | 15807 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 24957908 | 20960220 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 12768145 | 10774850 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 12175721 | 10225448 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 414091 | 344658 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 40091 | 33744 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 1768192 | 1708322 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 856390 | 811633 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 501877 | 475961 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 276472 | 262282 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 5519376 | 4947958 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2042  | 9260947 | 8290782 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  | 205660 | 181711 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 179263 | 150493 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 7816908 | 6650315 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 1122760 | 933446 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 1013502 | 845778 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 533126 | 446732 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 476807 | 403563 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 7436230 | 7054566 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 6770412 | 6420805 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2036  | 17170673 | 16230365 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 1728590 | 1558505 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 138570 | 125157 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 2173432 | 1959526 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 18728 | 16547 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 10432 | 9217 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2047  | 634076 | 538258 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 16824232 | 14160919 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 339135 | 286297 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 17192103 | 14508163 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 3881350 | 3285118 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 98655 | 83038 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2053  | 90879 | 75783 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2031  | 894555 | 865577 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 3196318 | 3086905 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 6714270 | 6306715 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 6705418 | 6193102 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 5253067 | 4707608 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 4001446 | 3567394 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 161121 | 142371 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 42505 | 37496 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 23522 | 20837 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 19274581 | 16398048 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 26157834 | 21984294 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 18258034 | 15390570 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 3777720 | 3186782 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 2066131 | 1724208 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1854529 | 1572543 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 1144953 | 1107855 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 1140455 | 1103075 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 1038618 | 1004979 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 989492 | 957057 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 961882 | 930013 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 810938 | 784629 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 404147 | 391342 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2035  | 19463568 | 18428108 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 1806550 | 1628566 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 2500951 | 2248119 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 1965011 | 1766246 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 591817 | 527824 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 235287 | 210056 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046  | 205417 | 174375 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 69248346 | 58697342 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 47186182 | 39687014 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 35937206 | 30461645 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 28029505 | 23758798 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 17371408 | 14681190 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 15231023 | 12739004 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 8402105 | 7053654 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 5820333 | 4886229 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 191167 | 160487 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 6520044 | 5494019 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 604624 | 509478 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2053  | 1171127 | 977318 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 1439165 | 1391477 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 914590 | 884281 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 887610 | 858859 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2040  | 3332554 | 3002784 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 24676871 | 20916987 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2052  | 1032294 | 860815 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2031  | 447918 | 433409 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  | 473302 | 425986 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 3582518 | 3202919 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 1997565 | 1792303 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2049  | 7537641 | 6473969 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 6680587 | 5664789 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 3320330 | 2806128 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 32591 | 27666 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2053  | 902549 | 752623 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 647323 | 626117 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 558217 | 540113 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2043  | 5319 | 4682 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050 (t) | 10854601 | 9207527 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 35704671 | 29963281 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 28717267 | 24099467 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 27759568 | 23295769 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 2473404 | 2066400 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2036  | 11646020 | 10979141 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2036  | 215455 | 202377 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 7817089 | 6976575 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 29156884 | 24723516 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 11748878 | 9966107 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 832209 | 695267 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2033  | 34110 | 33218 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 7085363 | 6840378 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 255129 | 246786 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 531806 | 488433 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 110837 | 101647 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 73516 | 67789 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 67074 | 61515 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 64169 | 58906 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 54221 | 49770 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 47830 | 43806 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 39952 | 36594 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 30076 | 27787 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 23213 | 21473 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 14266 | 13168 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 11307 | 10346 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 11144 | 10238 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 10645 | 9750 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 10142 | 9380 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 10212 | 9343 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 10058 | 9216 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8908 | 8166 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8554 | 7844 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8292 | 7633 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7823 | 7182 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7715 | 7086 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 3660 | 3337 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 44501 | 41094 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 9274496 | 8124649 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 12224567 | 10605826 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 11659797 | 10115842 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 1311437 | 1143108 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 355894 | 311659 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2033  | 38102 | 37135 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 47366 | 43430 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 396464 | 354744 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 47468 | 41716 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2050  | 115462 | 102157 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051 (s) | 43052166 | 37876025 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 21914282 | 19238450 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 6814292 | 5973718 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 1311720 | 1270899 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 52101 | 50744 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 1333390 | 1305333 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 262565 | 241360 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 38730 | 35539 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 29483 | 27134 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 20478 | 18680 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 9208 | 8472 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 8215 | 7595 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 8235 | 7559 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 7779 | 7244 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 7080 | 6452 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 5336275 | 4708038 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 1838094 | 1610782 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 24592844 | 21774393 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 23596333 | 20737236 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 18866143 | 16562502 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 14636657 | 12863177 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 12289199 | 10769431 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 10891491 | 9456080 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 263534 | 232673 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 179216 | 158229 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2028  | 3535 | 3478 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 5201197 | 5081915 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 2491816 | 2434384 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 741485 | 715848 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 210977 | 203880 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 156123 | 143629 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 67962 | 62393 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 39833 | 36589 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 25621 | 23433 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 25417 | 23314 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 25074 | 23029 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 24511 | 22382 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 23335 | 21433 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 21613 | 19862 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 10516 | 9746 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 7989 | 7335 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6906 | 6346 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5160 | 4737 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5138 | 4681 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 4921 | 4551 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 3190 | 2956 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 20219388 | 17914793 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 17067843 | 14957114 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 26083726 | 22858030 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 10047653 | 8808230 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 6407036 | 5630714 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 4694447 | 4121234 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 491282 | 429759 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 2288067 | 2244665 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 2075575 | 2039484 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 83711 | 81465 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2034  | 105303 | 102156 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 919097 | 900210 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 431997 | 395956 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 322811 | 296006 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 238929 | 219409 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 175244 | 160823 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 156571 | 143566 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 95973 | 88194 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 82107 | 75269 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 67054 | 61325 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 42139 | 38819 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 32274 | 29611 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 31006 | 28270 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 21126 | 19311 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 11178 | 10228 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 5772 | 5271 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 5304 | 4875 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 2357 | 2221 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 6897562 | 6094138 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 4992910 | 4401976 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2051  | 744458 | 652160 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 38700133 | 33890016 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052 (r)(s) | 26659840 | 23346235 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 20622683 | 17975669 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 12982367 | 11368762 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 12129891 | 10523687 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 9685493 | 8469557 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 2220056 | 1944121 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 38977 | 34132 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 102294 | 99847 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 85488 | 83337 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2040  | 317049 | 300430 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 121535 | 111643 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 31672 | 29065 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 22029 | 20194 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 10087 | 9238 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 7531 | 6908 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 5554 | 5094 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 4684 | 4307 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2044  | 32420 | 29424 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 82862 | 75576 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 32992 | 29759 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 2838186 | 2544846 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 9617007 | 8496822 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 5018737 | 4441999 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 24932332 | 21981479 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 20796065 | 18042313 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 18422418 | 16149930 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 11956664 | 10373398 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 10220544 | 8867171 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 10020398 | 8774943 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 3701234 | 3211128 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 31364 | 27339 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2033  | 165751 | 161150 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2033  | 127083 | 123725 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2033  | 48339 | 47062 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2035  | 3134725 | 3029277 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2038  | 148942 | 144134 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 87338 | 80142 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 17177 | 15730 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 16418 | 15053 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 14664 | 13428 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 356389 | 320779 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  | 22424806 | 20474361 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 18173922 | 16034315 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 9910398 | 8756040 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 21420058 | 18911672 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 13269392 | 11512299 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 7653115 | 6704286 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 2711022 | 2374911 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1891690 | 1640016 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1156216 | 1002391 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 381665 | 335062 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2033  | 758600 | 738241 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 387395 | 354770 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 319573 | 293113 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 46033 | 42195 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 29406 | 26949 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 23159 | 21213 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 20846 | 19087 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 11452 | 10501 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 6273 | 5751 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 5041 | 4590 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 49532 | 44849 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 3827 | 3493 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 759541 | 669646 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2051  | 91126 | 79828 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 9799891 | 8520594 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 587788 | 513261 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 6879 | 6251 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 4980 | 4549 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 4976 | 4545 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 3576 | 3254 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2044  | 304985 | 279591 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051 (e) | 65298069 | 57610560 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 6275157 | 5503049 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 3791321 | 3335492 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 1499996 | 1300902 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  | 726004 | 630322 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2053  | 1991934 | 1726612 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2053  | 1399789 | 1213340 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 16471 | 16057 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 2641166 | 2588905 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 103598 | 99269 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 423162 | 403758 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 73339 | 67515 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 18038 | 16547 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 748701 | 684133 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 17555 | 16097 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 10747 | 9813 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 5777 | 5322 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 21167 | 19208 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 18904 | 17189 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046 (r) | 3277541 | 2938792 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 5163932 | 4551144 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 77381 | 67183 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 27813332 | 24469349 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 1290460 | 1128453 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 848088 | 744003 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2052  | 20091572 | 17562957 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2052  | 15015207 | 13130168 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2052  | 13235738 | 11586506 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2053  | 987546 | 858322 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2031  | 20702 | 20388 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 388274 | 378421 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2034  | 3803594 | 3716792 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2038  | 49496 | 47347 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 215632 | 197203 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 90856 | 83026 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 12290 | 11213 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 108190 | 97826 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 92292 | 83352 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 33887 | 30406 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 1498697 | 1340990 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 42484856 | 37350370 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 4402782 | 3878941 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 8762252 | 7708771 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2052  | 10078805 | 8885933 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2052  | 9490643 | 8299168 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2052  | 5799226 | 5076617 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 236562 | 230556 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 36351 | 35421 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2033  | 132455 | 128725 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 5676269 | 5546067 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 246713 | 226339 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 39104 | 35763 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 32411 | 29590 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 14349 | 13123 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 3347566 | 2995304 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 1231870 | 1102241 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2051  | 10784102 | 9352734 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2051  | 824831 | 721280 |
| Fannie Mae Mortgage pass-thru certificates 3.25% 12/1/2041  | 4731 | 4474 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 7/1/2042  | 11094 | 10375 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 8/1/2042  | 52859 | 49378 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 9/1/2042  | 34755 | 32558 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2041  | 5837 | 5542 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2042  | 65203 | 61565 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 202001 | 190310 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 28172 | 26594 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 1711354 | 1582259 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 5782245 | 5364132 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 4053998 | 3817753 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 20230469 | 19052313 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 3479761 | 3174041 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 2085510 | 1898374 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 889667 | 809558 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 22949 | 20904 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2033  | 3405 | 3355 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2034  | 175669 | 172255 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2040  | 8362 | 7937 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 496235 | 467840 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 178443 | 168174 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 115020 | 109085 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 45298 | 42707 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 27196 | 25647 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 12803 | 12125 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 8018 | 7543 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 120035 | 111356 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 13088610 | 12076732 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 5374132 | 4985529 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2051  | 490966 | 447218 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2051  | 44008 | 40087 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2034  | 986503 | 971028 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 54072 | 50888 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 30039 | 28213 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 27908 | 26258 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 14867 | 13930 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 9321 | 8780 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 7843 | 7373 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 28880 | 26945 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 8702 | 8073 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 854109 | 792348 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 3501793 | 3242013 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 3119977 | 2841966 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2034  | 2980113 | 2946994 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2035  | 14320263 | 14064298 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 124967 | 117995 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 39347 | 37137 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 15216 | 14320 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2044  | 6722 | 6297 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 19760 | 18387 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 17159326 | 16145548 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 636329 | 588327 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 143005 | 132217 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 23656 | 21961 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 420090 | 389582 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 253243 | 233665 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2051  | 20460387 | 18592473 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2051  | 8046109 | 7329147 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2035  | 3390583 | 3319383 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 98981 | 92957 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 21116 | 19894 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 19811 | 18532 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2048  | 863880 | 799254 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2048  | 108662 | 100533 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 7009594 | 6380611 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 4800469 | 4369715 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 3042838 | 2769799 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 1751649 | 1597207 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 37531 | 34016 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 118297 | 111056 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 93255 | 87777 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2048  | 946653 | 877017 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2048  | 106796 | 98440 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2050  | 19909624 | 18289532 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 17680693 | 16072074 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 1367726 | 1248845 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 35058 | 33061 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 16995 | 16013 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 5802 | 5467 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 252778 | 237603 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 190978 | 179326 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 33872 | 31842 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 23437 | 22051 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 10669 | 10041 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 387037 | 359050 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 9118551 | 8393650 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 2383268 | 2252014 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 389341 | 360702 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052 (r) | 72750111 | 66540401 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 2838294 | 2580061 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 115593 | 105221 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 315294 | 296160 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 192603 | 181032 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 6601 | 6173 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2044  | 3368 | 3183 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 109080 | 101056 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 303292 | 281740 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 85333 | 79136 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 738949 | 684592 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 420297 | 389380 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2049  | 2411358 | 2205344 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 1690071 | 1536834 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 146269 | 132961 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 244321 | 230533 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 10784 | 10179 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 6140 | 5790 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 199193 | 187182 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 5439 | 5125 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 1961964 | 1813350 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2049  | 1568475 | 1443785 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 610801 | 598929 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 200814 | 196911 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2038  | 15099 | 14507 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 15613 | 14711 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 20451 | 19160 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 14074636 | 13268444 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 1447148 | 1323059 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 5014412 | 4916948 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 782371 | 767165 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 218039 | 205766 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 67475 | 63816 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 28391 | 26715 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 245889 | 232171 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 39275 | 36992 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 7991 | 7511 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2044  | 13665 | 12761 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 152357 | 141007 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2047  | 449463 | 417524 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2048  | 256840 | 237626 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 3979618 | 3663249 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 28111484 | 25806418 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 1092879 | 996435 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 17851590 | 16160478 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 17340646 | 15790060 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2052  | 24662 | 22341 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2034  | 3437318 | 3370507 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2034  | 2342884 | 2297346 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 119056 | 112174 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 118693 | 111959 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 65555 | 61828 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 35996 | 33920 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 33452 | 31630 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 25870 | 24464 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 18993 | 17895 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 11017 | 10386 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 9375 | 8871 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 1883653 | 1747447 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 3425198 | 3177522 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 21029649 | 19155766 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 16236202 | 14784374 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 16175957 | 14733308 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 6262999 | 5704924 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 3977984 | 3622276 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 835855 | 760264 |
| Fannie Mae Mortgage pass-thru certificates 3.65% 5/1/2042  | 6470 | 6116 |
| Fannie Mae Mortgage pass-thru certificates 3.65% 8/1/2042  | 16791 | 15908 |
| Fannie Mae Mortgage pass-thru certificates 3.9% 4/1/2042  | 8328 | 8020 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 423654 | 412439 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 36330 | 35327 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 14425 | 14032 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 11386 | 11092 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 9837 | 9566 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 4310 | 4194 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 3732 | 3639 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 853 | 832 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 551399 | 536606 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 40157 | 39017 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 5568 | 5391 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 2006 | 1983 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 1591876 | 1545472 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 39897 | 38338 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 18097 | 17190 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2051  | 704487 | 666785 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2051  | 37512 | 35270 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 466482 | 443121 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 1292 | 1259 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 111684 | 108836 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 94725 | 91935 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 24281 | 23702 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 17477 | 17023 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 11357 | 11069 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 466479 | 453432 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 311020 | 302221 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 18497 | 17938 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 5908 | 5745 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 1812 | 1781 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 916333 | 889681 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 53395 | 51322 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 400072 | 382662 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 576285 | 561113 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 140056 | 136662 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 125007 | 121530 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 116826 | 113507 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 110705 | 107684 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 107049 | 104249 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 106948 | 104240 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 104348 | 101747 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 96243 | 93681 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 90495 | 87819 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 84267 | 81986 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 77785 | 75569 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 72369 | 70452 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 56156 | 54580 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 52547 | 50984 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 47180 | 46035 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 46976 | 45690 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 36989 | 35893 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 31946 | 31275 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 12803 | 12398 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 11194 | 10901 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 4433 | 4317 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 2051 | 2005 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 301743 | 293317 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 170528 | 165732 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 149268 | 144993 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 6456 | 6251 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 197057 | 188728 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 1085110 | 1029413 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 635667 | 604081 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 84483 | 80285 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 284558 | 276757 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 5346 | 5197 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 5215 | 5099 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 4688 | 4572 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3991 | 3882 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3931 | 3839 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3538 | 3418 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 2471 | 2408 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 62298 | 60476 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 44219 | 42976 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 12697 | 12337 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 8614 | 8372 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 20826 | 20272 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 28628 | 27565 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 27020 | 26021 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 72833 | 69663 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 352801 | 335133 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 350742 | 341440 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 44545 | 43350 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 13751 | 13382 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 8186 | 7955 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 4244 | 4135 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 3815 | 3711 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 3246 | 3156 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 387658 | 376281 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 29929 | 29126 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 23099 | 22379 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 9265 | 9064 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 3991 | 3884 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 3535 | 3427 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 322316 | 308290 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 96567 | 92365 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 52579 | 49782 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 307026 | 291555 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2053  | 63567 | 59410 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2036  | 10096 | 9912 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 7693 | 7505 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 3220 | 3142 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 18533 | 18026 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 17540 | 17013 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 9951 | 9680 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 8688 | 8482 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 7695 | 7488 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 6812 | 6609 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 3615 | 3533 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 2429 | 2366 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 177400 | 172030 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 19934 | 19376 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 17801 | 17295 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 13351 | 12917 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 12353 | 11978 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 53183 | 51140 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 47004 | 45167 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 9046694 | 8779462 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 602589 | 577497 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 37893 | 36208 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 195424 | 185455 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2050  | 36463755 | 34500954 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 156441 | 151980 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 109898 | 106776 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 54127 | 52583 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 30235 | 29328 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 22479 | 21792 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 19256 | 18642 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 15048 | 14596 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 6515 | 6319 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 2763 | 2696 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 50828 | 49143 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 71196053 | 68528607 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 50569595 | 49091582 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 44087 | 42372 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 13978 | 13410 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 9565 | 9177 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 115739 | 110594 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 132441 | 125892 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 77851 | 74001 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 66567 | 63275 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 11203 | 10649 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 904301 | 854210 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 82899 | 78721 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2040  | 4271017 | 4151893 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 575812 | 549315 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 236658 | 225102 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 23487 | 22326 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 52413958 | 49494302 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 32303577 | 30554619 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 51139 | 49782 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 99988 | 96163 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 624187 | 596440 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 7405973 | 6965660 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 7155013 | 6729620 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2043  | 9815 | 9470 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 561605 | 537342 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 1490117 | 1416425 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 317290 | 302392 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 90017 | 85481 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 3478 | 3398 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 30950 | 29924 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 9655 | 9316 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 8025 | 7741 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 103128 | 98769 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 63611 | 60922 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 62505 | 59863 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 865384 | 822588 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 2586679 | 2423999 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 636566 | 619408 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 17110 | 16633 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 8672 | 8431 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 20368 | 19791 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 9238 | 8951 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 7897 | 7658 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 5283 | 5155 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 2197 | 2137 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 671762 | 642739 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 9496 | 9086 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 479077 | 455422 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 46391 | 44100 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 789024 | 749264 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2053  | 36280451 | 34236817 |
| Fannie Mae Mortgage pass-thru certificates 4.25% 11/1/2041  | 15450 | 15190 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2034  | 1323 | 1325 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 6427 | 6402 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2047  | 5074 | 4996 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 153947 | 150813 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 21527 | 21062 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 769554 | 751002 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 183685 | 183592 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 9185 | 9174 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 8078 | 8083 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 12912 | 12900 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 441003 | 436849 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 62071 | 60807 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 5689168 | 5591132 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 7996834 | 7726584 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 9590 | 9578 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 5464 | 5459 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 51268 | 51211 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 2700 | 2703 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 1184555 | 1183099 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 36780 | 36692 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 58668 | 58024 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 9745 | 9638 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 109957 | 109792 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 19998 | 19604 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 6884 | 6744 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 32290404 | 31199163 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 18562126 | 17934826 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2033  | 17707 | 17733 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038  | 5976 | 5982 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 89354 | 89308 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 17850 | 17837 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 17720 | 17694 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 4012 | 4004 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 3886 | 3882 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 2974 | 2971 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2041  | 99019 | 98800 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 7578 | 7509 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 1988 | 1971 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 64885 | 63726 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 11794 | 11587 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 10565157 | 10379795 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 1254430 | 1232814 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 6693564 | 6507100 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 1754995 | 1695686 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2033  | 4906 | 4911 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 4130 | 4125 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 1630 | 1627 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 102343 | 101379 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 629002 | 628305 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 5536 | 5451 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 79212 | 77501 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 35691 | 34920 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 3791065 | 3707966 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 291870 | 284833 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 98893 | 99166 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 34042 | 34090 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 11667 | 11639 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 655 | 655 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 7711 | 7702 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2045  | 59372 | 58627 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 547079 | 546542 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 80708 | 80647 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 41095 | 40425 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 46754 | 45861 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 11483 | 11263 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 9162 | 9022 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 89558 | 87623 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 17795 | 17405 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 618770 | 619630 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 174191 | 174439 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 106698 | 106853 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 2931 | 2929 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 6518 | 6501 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 36719 | 36738 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 17103 | 17036 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 29971 | 29642 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 61374 | 60201 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 47311 | 46363 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 31374 | 30755 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 26116 | 25609 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 13357 | 13102 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 11169 | 10956 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 2373472 | 2371330 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 61305 | 59961 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 7589588 | 7610595 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 1311 | 1310 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2040  | 4201 | 4197 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 43069 | 42219 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 17071 | 16803 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 7876 | 7752 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2052  | 7795872 | 7573829 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 52758 | 52871 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 165283 | 165501 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 196694 | 195699 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2045  | 50932 | 50293 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  | 26554 | 26122 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  | 2768 | 2726 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 720703 | 707608 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 21801 | 21405 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 13124 | 12865 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 8159 | 8031 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2026  | 342 | 342 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 1654 | 1655 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 829 | 828 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 120746 | 120680 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 19143 | 19134 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 4689 | 4686 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 2912 | 2910 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 829 | 828 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 3549 | 3542 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 1530 | 1526 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2045  | 24029 | 23765 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 567022 | 556719 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 237598 | 237390 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 100991 | 98998 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 24069 | 24098 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 11845 | 11863 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 10845 | 10859 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 8398 | 8410 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 7844 | 7855 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 4860 | 4866 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 3735 | 3740 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1924 | 1924 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1816 | 1819 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1081 | 1081 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2035  | 180996 | 177425 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2037  | 3451 | 3451 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 139016 | 139314 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 1248 | 1247 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 1134 | 1134 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 4832 | 4823 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 3117 | 3096 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 3370152 | 3288907 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  | 3875438 | 3748102 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 26748 | 26788 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 12753 | 12772 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 12165 | 12183 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 9763 | 9777 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 5375 | 5382 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 4040 | 4046 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 60685 | 60761 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 30869 | 30913 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2039  | 1695 | 1698 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 6541 | 6539 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 1680 | 1677 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 103320 | 103094 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 256609 | 256314 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 15311 | 15316 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 106114 | 104020 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 23379 | 22903 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 9459769 | 9287888 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2029  | 1350 | 1362 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 122930 | 124848 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 21617199 | 21594497 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 7455787 | 7440968 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 172419 | 174672 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 13651600 | 13667126 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 13533537 | 13519324 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 8450485 | 8428407 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2053  | 4178210 | 4135957 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 9141408 | 9128951 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 557879 | 565223 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 93820 | 95114 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 3091766 | 3123301 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2053  | 244958 | 242710 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  | 4570 | 4623 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 9234 | 9352 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2054  | 2426332 | 2429850 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2039  | 229695 | 232483 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 11753 | 11937 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 5091 | 5170 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 97080 | 96159 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 35079 | 34768 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 10200 | 10362 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2052  | 3806023 | 3817488 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 561580 | 568919 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 196282 | 198830 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2040  | 515349 | 520637 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 14116 | 14336 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2044  | 7326 | 7442 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2052  | 1398913 | 1403127 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 20294 | 20533 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 3541 | 3585 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 195414 | 198123 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 15484 | 15729 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 7270 | 7385 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2053  | 641833 | 633792 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2040  | 175531 | 177332 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 2062 | 2094 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 22230 | 22582 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 6094 | 6190 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 30047331 | 30090894 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 2746444 | 2743560 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 2122643 | 2125721 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 23279 | 23167 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2040  | 1948996 | 1968992 |
| Fannie Mae Mortgage pass-thru certificates 5.311% 8/1/2041 (b) | 164866 | 166954 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2033  | 409 | 421 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2054  | 1086640 | 1097018 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2055  | 9700590 | 9759896 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2055  | 1548991 | 1558460 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 20802911 | 21216132 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 22794240 | 22983457 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 4579921 | 4673757 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2032  | 392 | 404 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2034  | 236897 | 243887 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  | 1122654 | 1132324 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2054  | 9477838 | 9545557 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 14243674 | 14361912 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2033  | 705 | 725 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2033  | 237 | 243 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 6695494 | 6797106 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2054  | 3241003 | 3271958 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2054  | 2672721 | 2698248 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2054  | 1878492 | 1896434 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2055  | 8107855 | 8157423 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2055  | 5540908 | 5574783 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  | 5964061 | 6008351 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2055  | 8143442 | 8193228 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2055  | 1782478 | 1793376 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2055  | 183474 | 184917 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 3549334 | 3583234 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2055  | 17325129 | 17636784 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 18531790 | 18824613 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 7227223 | 7275924 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 6907640 | 6954188 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 772279 | 777483 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2055  | 237568 | 239020 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 17487747 | 17796862 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 12731937 | 12956988 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 2553099 | 2604611 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 18367477 | 18531427 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 428897 | 431788 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2055  | 3523842 | 3550891 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 23028039 | 23427888 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 15158297 | 15388341 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  | 20649250 | 20807756 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 8742586 | 8918978 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 10111079 | 10179213 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 7381044 | 7446928 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 7200616 | 7244638 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 5432432 | 5552223 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2032  | 504 | 517 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 13911297 | 14026776 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 11670579 | 11741928 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 10611855 | 10676731 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 3258254 | 3278173 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.505%, 6.005% 1/1/2035 (b)(c) | 1342 | 1363 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.285% 12/1/2034 (b)(c) | 1316 | 1338 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.285% 3/1/2035 (b)(c) | 1067 | 1086 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.199% 10/1/2033 (b)(c) | 489 | 497 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.206% 7/1/2035 (b)(c) | 690 | 703 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.96%, 6.585% 9/1/2035 (b)(c) | 1203 | 1238 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 2456 | 2582 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 458 | 481 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 48685 | 51405 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 46014 | 48670 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042  | 3699 | 3916 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 34656 | 36262 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 18098 | 18955 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 2818 | 2967 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 2554 | 2688 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 1813 | 1911 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 445 | 465 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 284 | 300 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 219 | 230 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 44972 | 47408 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 21986040 | 22839699 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 82577 | 86347 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 15180 | 15918 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 6152 | 6444 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 1171 | 1234 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 603 | 635 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2037  | 7505 | 7933 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 26701550 | 27455930 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 30011223 | 31110829 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 11205138 | 11643705 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 4207588 | 4374902 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 17999 | 19039 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 28531739 | 29552616 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 4230017 | 4403841 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 25262 | 26390 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 16276 | 17219 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2039  | 1350 | 1429 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 10654392 | 10918246 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 16056645 | 16661264 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 1482247 | 1518954 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 903 | 949 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2037  | 2829 | 2982 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 56030 | 59206 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 31015193 | 31763894 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 65415 | 66892 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 22710179 | 23522759 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 9479 | 9919 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 2026 | 2133 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 1163 | 1220 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 28208 | 29671 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 19461451 | 20144106 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 14174095 | 14662425 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 34782770 | 35622419 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 34454886 | 35849203 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 7967 | 8373 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 3633 | 3810 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 2674 | 2808 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 384 | 403 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 275 | 289 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2036  | 96 | 98 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 7821 | 8274 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 104628 | 110622 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 4200583 | 4347928 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 29721442 | 30624670 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 27876171 | 28897549 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 19844453 | 20323495 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 39827350 | 40882118 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 15546147 | 16170409 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 4776 | 5005 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 1967 | 2063 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 1302 | 1366 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 1149 | 1208 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 58 | 61 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 126061 | 131575 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 45994275 | 47090195 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2029  | 2480 | 2543 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 25716 | 27020 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 3251 | 3406 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 950 | 1001 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 501 | 527 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 409 | 429 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 56 | 58 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 3850 | 4071 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 7698427 | 7934786 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 48736642 | 49897904 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 17656186 | 18352763 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  | 14932838 | 15710188 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 10404292 | 10899570 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 6445994 | 6792125 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 3509 | 3732 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 17068502 | 17882352 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 5326 | 5561 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 51837 | 54288 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2036  | 510 | 543 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 4555729 | 4789610 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036  | 188 | 199 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 1096 | 1167 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 7380399 | 7667151 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 11755563 | 12386801 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2038  | 154 | 164 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 11375031 | 11967174 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2036  | 1714 | 1819 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 15637687 | 16461503 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 11129973 | 11558061 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 15163 | 15833 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 3040 | 3173 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 6265 | 6577 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 250 | 266 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2053  | 325993 | 340798 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 13241552 | 13750856 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 7801258 | 8172623 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 3423885 | 3605330 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055 (e) | 10093387 | 10651931 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 5460482 | 5774597 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 2525 | 2685 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 445 | 473 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 338 | 360 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 45903 | 48074 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 36198 | 37891 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 8557 | 8965 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  | 8521861 | 8961750 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 7255621 | 7659398 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 5549857 | 5862176 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2035  | 186 | 198 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053 (t) | 10705274 | 11222407 |
| Fannie Mae Mortgage pass-thru certificates 6.773% 2/1/2039 (b) | 54212 | 56321 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2026  | 1 | 0 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 416 | 418 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 16 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 12 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 47 | 49 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 567 | 596 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 93 | 99 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 324 | 326 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2027  | 6 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 27 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 15 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 218 | 229 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 80 | 85 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 63 | 66 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2031  | 85 | 90 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 156 | 166 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 128 | 134 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2025  | 4 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2026  | 24 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 39 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 24 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 61 | 64 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 44 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 37 | 39 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2029  | 479 | 504 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 219 | 220 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 1 | 0 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2028  | 91 | 92 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 555 | 584 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 218 | 230 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2032  | 98 | 103 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2026  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2027  | 12 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 219 | 231 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 196 | 206 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 92 | 96 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 498 | 523 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 235 | 247 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 15 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2031  | 274 | 275 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2032  | 119 | 125 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2033  | 728 | 776 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 12 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2028  | 12 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2028  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 3009 | 3175 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 184 | 195 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 91 | 96 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 67 | 67 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 4 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2028  | 30 | 32 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2031  | 90 | 95 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 241 | 256 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 165 | 175 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 1917 | 2015 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 7971 | 8381 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 134 | 141 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 123 | 131 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 816 | 858 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2029  | 536 | 563 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 2587 | 2746 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 1155 | 1215 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 539 | 566 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 462 | 492 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2026  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 855 | 899 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 15 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 379 | 398 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 69 | 73 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 156 | 165 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 61 | 64 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 356 | 379 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 351 | 371 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 85 | 90 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2037  | 1315 | 1420 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 525 | 528 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 319 | 336 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2028  | 95 | 99 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 159 | 168 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 96 | 101 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 34 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 292 | 307 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 35 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 4594 | 4880 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 1161 | 1232 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 615 | 619 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 57 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 248 | 261 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 198 | 208 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 142 | 149 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2029  | 38 | 40 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2030  | 728 | 766 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 1202 | 1263 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 108 | 114 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 52 | 54 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 38 | 40 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2032  | 941 | 1001 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2026  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 284 | 287 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 337 | 344 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 317 | 323 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 163 | 166 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 127 | 130 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 116 | 119 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 107 | 109 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 13 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 50 | 50 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 9 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 115 | 118 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 25 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2028  | 277 | 285 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2028  | 15 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 863 | 903 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 114 | 118 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2026  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 206 | 211 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 143 | 145 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 133 | 136 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 108 | 110 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 91 | 92 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 61 | 62 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 17 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 95 | 97 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 60 | 62 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 20 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 268 | 282 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2025  | 1 | 0 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 107 | 110 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 82 | 84 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 157 | 161 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029  | 81 | 84 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2030  | 419 | 443 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 123 | 125 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 103 | 104 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 55 | 57 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 19 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 369 | 384 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 20 | 21 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2031  | 178 | 189 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 450 | 458 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 84 | 86 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 170 | 173 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2032  | 228 | 242 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2026  | 13 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2028  | 103 | 105 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2029  | 22 | 22 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 1325 | 1419 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 241 | 258 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 360 | 366 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 29 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 30 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 16 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 41 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2032  | 693 | 737 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2032  | 577 | 617 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 99 | 100 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 11 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 183 | 186 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 23 | 23 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 165 | 170 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 275 | 294 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 148 | 158 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 83 | 88 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 59 | 63 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 72 | 73 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 61 | 62 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 48 | 49 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 16 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 234 | 244 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 62 | 64 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 50 | 51 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 4 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 45 | 47 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 294 | 307 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 105 | 107 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 13 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 4504 | 4611 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 103 | 108 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2032  | 3641 | 3893 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2026  | 53 | 54 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2026  | 13 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 299 | 306 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 246 | 251 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 66 | 66 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 27 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 26 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 10 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 300 | 313 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 168 | 174 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 27 | 28 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 21 | 22 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2030  | 16 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2032  | 924 | 991 |
| Fannie Mae Mortgage pass-thru certificates 8% 3/1/2037  | 2628 | 2836 |
| Fannie Mae Mortgage pass-thru certificates 9% 10/1/2030  | 2432 | 2592 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 16825513 | 15119036 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 23764128 | 18036130 |
| Freddie Mac Gold Pool 1.5% 10/1/2035  | 142263 | 127834 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 6726941 | 6044681 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 1142914 | 1026997 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 783807 | 601250 |
| Freddie Mac Gold Pool 1.5% 12/1/2031  | 13831840 | 13023414 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 10254284 | 9214274 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  | 282890 | 252784 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 1522571 | 1275227 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 534319 | 409871 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 139900 | 107447 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 840777 | 754190 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 9587037 | 8015887 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 24141695 | 18322690 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 531514 | 476776 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 2665066 | 2228442 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 14925094 | 11327617 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 190021 | 145942 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 913761 | 819658 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 11485757 | 9599013 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 6330437 | 5284654 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 269290006 | 204381554 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 937074 | 840570 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 951949 | 853913 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 467782 | 359269 |
| Freddie Mac Gold Pool 1.5% 7/1/2036  | 775270 | 694944 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 5365734 | 4841652 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 579292 | 519272 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 127101 | 102692 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 5192999 | 4197327 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 3240773 | 2624472 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 909252 | 736055 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 858000 | 684376 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 133218 | 106260 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 1057635 | 911974 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 21432864 | 17283282 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 4367634 | 3530212 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 4262374 | 3437143 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1619209 | 1310776 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1583131 | 1279592 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 114719 | 91684 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 6741919 | 5810678 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 3103927 | 2673541 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 89321443 | 71665193 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 15856380 | 12850868 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 252352 | 204441 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 28034 | 22510 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 22299078 | 17981789 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 11685921 | 9386910 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 5715641 | 4619762 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 5391565 | 4322440 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 2350724 | 1878709 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 2142189 | 1731460 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1358720 | 1098208 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 862984 | 689701 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 327310 | 261587 |
| Freddie Mac Gold Pool 2% 12/1/2035  | 1637018 | 1507713 |
| Freddie Mac Gold Pool 2% 12/1/2035  | 670823 | 619722 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 31506845 | 25465931 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 4055911 | 3278257 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 2182937 | 1763031 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 1427694 | 1150388 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 1406676 | 1129056 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 722964 | 579603 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 474460 | 384083 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 334528 | 270806 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 190277 | 151773 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 886977 | 815254 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 664744 | 614107 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 559373 | 516588 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 4134446 | 3586083 |
| Freddie Mac Gold Pool 2% 2/1/2042  | 2390592 | 2056392 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 67122444 | 54399660 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 44622921 | 36039328 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 35424914 | 28544212 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 13666900 | 11037957 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 10862569 | 8664437 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 4673980 | 3783664 |
| Freddie Mac Gold Pool 2% 3/1/2036  | 744363 | 684869 |
| Freddie Mac Gold Pool 2% 3/1/2036  | 491614 | 454011 |
| Freddie Mac Gold Pool 2% 3/1/2036  | 14934 | 13731 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 2555502 | 2228363 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 20653302 | 16583654 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 36858826 | 29400133 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 14568581 | 11702455 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 817612 | 650373 |
| Freddie Mac Gold Pool 2% 4/1/2036  | 2935432 | 2698064 |
| Freddie Mac Gold Pool 2% 4/1/2041  | 33430 | 28960 |
| Freddie Mac Gold Pool 2% 4/1/2042  | 32008219 | 27781105 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 11820874 | 9547029 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 7497971 | 6022870 |
| Freddie Mac Gold Pool 2% 5/1/2036  | 851967 | 786802 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 2195081 | 1900649 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 54167817 | 43883602 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 3501907 | 2826097 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 2671145 | 2143138 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 2377088 | 1923550 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 1467243 | 1166666 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 1111479 | 891772 |
| Freddie Mac Gold Pool 2% 6/1/2035  | 6958479 | 6443633 |
| Freddie Mac Gold Pool 2% 6/1/2035  | 6567406 | 6081495 |
| Freddie Mac Gold Pool 2% 6/1/2035  | 5591796 | 5178068 |
| Freddie Mac Gold Pool 2% 6/1/2036  | 1852620 | 1702811 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 3652640 | 3160309 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 136840742 | 109919597 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 18493524 | 14970815 |
| Freddie Mac Gold Pool 2% 6/1/2052  | 41404 | 33091 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 33307056 | 28946003 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 16353877 | 14137696 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 420301 | 340241 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 1327404 | 1073726 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 3883064 | 3115495 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 1805510 | 1444664 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 135830 | 108683 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 55080316 | 44226966 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 4920521 | 3947877 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 923354 | 745451 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 3019526 | 2444356 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 1233581 | 985883 |
| Freddie Mac Gold Pool 2.5% 1/1/2033  | 973733 | 937277 |
| Freddie Mac Gold Pool 2.5% 1/1/2033  | 11136 | 10715 |
| Freddie Mac Gold Pool 2.5% 1/1/2041  | 807790 | 724500 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 9026256 | 8031704 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  | 24289 | 20383 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 10871665 | 9174438 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 9632196 | 8089338 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 243850 | 205324 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 25709 | 21768 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 113318 | 109679 |
| Freddie Mac Gold Pool 2.5% 10/1/2040  | 4271799 | 3839992 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 4412309 | 3933807 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 11704964 | 9873990 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 11472115 | 9731340 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 8615959 | 7241264 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 2717203 | 2624181 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 18392612 | 16464802 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 2673418 | 2389546 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1659734 | 1486985 |
| Freddie Mac Gold Pool 2.5% 11/1/2049  | 270432 | 227622 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 8971338 | 7581995 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 8532229 | 7234885 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 16843190 | 14276882 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 2884185 | 2409586 |
| Freddie Mac Gold Pool 2.5% 12/1/2041  | 39360 | 35036 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 3025150 | 2565169 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 19193227 | 16118910 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 16075454 | 13500533 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 5420553 | 4523507 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 855794 | 725134 |
| Freddie Mac Gold Pool 2.5% 2/1/2035  | 708849 | 672246 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 3496033 | 3127684 |
| Freddie Mac Gold Pool 2.5% 2/1/2050  | 1493394 | 1256986 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 66358740 | 56268748 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 4464493 | 3747988 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 74301 | 62376 |
| Freddie Mac Gold Pool 2.5% 3/1/2047  | 252342 | 214209 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 9839597 | 8281967 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 4154666 | 3487885 |
| Freddie Mac Gold Pool 2.5% 3/1/2052  | 51920992 | 43328603 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 1696030 | 1511292 |
| Freddie Mac Gold Pool 2.5% 4/1/2047  | 7216149 | 6121173 |
| Freddie Mac Gold Pool 2.5% 4/1/2052 (s) | 9060192 | 7668414 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 1367608 | 1141283 |
| Freddie Mac Gold Pool 2.5% 5/1/2035  | 6965040 | 6594501 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 20940764 | 18817744 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 7452482 | 6712669 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 25057584 | 20957795 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 11226589 | 9516053 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 1607673 | 1362720 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 356436 | 345522 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 213415 | 206637 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 2024608 | 1815298 |
| Freddie Mac Gold Pool 2.5% 6/1/2052  | 156455 | 130465 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 368903 | 357191 |
| Freddie Mac Gold Pool 2.5% 7/1/2036  | 11991709 | 11316278 |
| Freddie Mac Gold Pool 2.5% 7/1/2041  | 3838553 | 3456569 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 22027462 | 18698788 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 11388071 | 9624461 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 15238950 | 12850401 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 8904894 | 7509144 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 623642 | 603608 |
| Freddie Mac Gold Pool 2.5% 8/1/2032  | 487848 | 469915 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 1367826 | 1227096 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 38390820 | 32553411 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 3020382 | 2706810 |
| Freddie Mac Gold Pool 2.5% 9/1/2051  | 6428380 | 5394682 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 105271 | 102594 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 91664 | 89187 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 60051 | 58526 |
| Freddie Mac Gold Pool 3% 1/1/2034  | 43180 | 42047 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 46941 | 43138 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 45226 | 41266 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 16130001 | 14135252 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 5387456 | 4717839 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 5274199 | 4618658 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1440123 | 1259327 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 671468 | 588010 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 198037 | 173422 |
| Freddie Mac Gold Pool 3% 1/1/2053  | 5581202 | 4839540 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 16175 | 14809 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 12381768 | 10881507 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 21009716 | 18457466 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 275951 | 241049 |
| Freddie Mac Gold Pool 3% 10/1/2053  | 294998 | 255935 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 6536 | 6031 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 11748603 | 10398489 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 10031932 | 8891632 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 1241742 | 1088179 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 7000811 | 6121915 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 4753375 | 4165540 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 2994948 | 2625508 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 332409 | 291405 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 687481 | 673014 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 1396856 | 1364818 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 28151 | 27453 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 720742 | 663059 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 59625 | 54840 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 22047 | 20288 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 1431442 | 1282458 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 10092463 | 8844359 |
| Freddie Mac Gold Pool 3% 12/1/2051  | 1102107 | 965124 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 667486 | 653771 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 49982 | 48650 |
| Freddie Mac Gold Pool 3% 2/1/2034  | 6189 | 6011 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 196061 | 186492 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 10927 | 10394 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 50504 | 46616 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 33240 | 30518 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 22210 | 20431 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 11141 | 10198 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 1420132 | 1252053 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 6459014 | 5656210 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 2285787 | 1983110 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 1799279 | 1571707 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 879332 | 768114 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 773961 | 674620 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 755327 | 661446 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 749555 | 655454 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 665271 | 579881 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 191656 | 186748 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 25417 | 23368 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 22449862 | 19715649 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 20337202 | 17758608 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 9964068 | 8725614 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 2703048 | 2367081 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 42027 | 36803 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 11777 | 11520 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 4118 | 4029 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 642056 | 622735 |
| Freddie Mac Gold Pool 3% 4/1/2037  | 2081730 | 1993488 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 10367 | 9537 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 78186 | 70220 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 59663 | 53584 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 22611827 | 19857888 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 2816054 | 2482761 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 2382717 | 2094011 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 2080295 | 1826282 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 1546775 | 1355007 |
| Freddie Mac Gold Pool 3% 5/1/2035  | 393278 | 379557 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 31126 | 28182 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 1177058 | 1057125 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 187356 | 168266 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 2810008 | 2461624 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 916784 | 807132 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 635755 | 555941 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 21278228 | 18646813 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 13273133 | 11507249 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 97052 | 95004 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 34998 | 34260 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 20798 | 20340 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 12203 | 11959 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 11131 | 10886 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 8575 | 8385 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 7679 | 7525 |
| Freddie Mac Gold Pool 3% 6/1/2035  | 1251466 | 1207804 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 1164310 | 1045676 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 5686714 | 5024328 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 8783532 | 7691809 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 455258 | 399385 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 22710 | 22176 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 70768 | 64062 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 24659 | 22820 |
| Freddie Mac Gold Pool 3% 7/1/2052  | 12542972 | 10882069 |
| Freddie Mac Gold Pool 3% 7/1/2052  | 10440211 | 9057750 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 25995 | 25389 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 17959 | 17532 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 9063 | 8349 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 6982 | 6407 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 30111 | 27146 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 16520 | 15026 |
| Freddie Mac Gold Pool 3% 8/1/2050  | 18408403 | 16298718 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 161692 | 143363 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 5076933 | 4450670 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 2701709 | 2366752 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 150741 | 142306 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 142842 | 132594 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 44856 | 41722 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 2079116 | 1913831 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 1673980 | 1540903 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 86234 | 79891 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 41201 | 38222 |
| Freddie Mac Gold Pool 3.5% 10/1/2034  | 3449046 | 3374566 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 51351 | 47988 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 543357 | 512904 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 257373 | 242914 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 31441 | 29673 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 4296 | 4049 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 176563 | 163795 |
| Freddie Mac Gold Pool 3.5% 10/1/2048  | 2071294 | 1902620 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 10644629 | 9696121 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 1352828 | 1236510 |
| Freddie Mac Gold Pool 3.5% 10/1/2052  | 665532 | 605345 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 2338884 | 2296811 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 1279231 | 1254866 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 107240 | 100216 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 16176 | 15046 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 4272 | 3965 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 1199735 | 1112983 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 198440 | 183893 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 188660 | 185328 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 103840 | 97039 |
| Freddie Mac Gold Pool 3.5% 12/1/2045  | 10233 | 9498 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 141427 | 130926 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 283746 | 261526 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 269089 | 249631 |
| Freddie Mac Gold Pool 3.5% 12/1/2048  | 388776 | 357116 |
| Freddie Mac Gold Pool 3.5% 12/1/2051  | 8541629 | 7772505 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 2034274 | 1988940 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 1807832 | 1776682 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 7303228 | 6889134 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 142057 | 134339 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 57741 | 54839 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 14909 | 14018 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 860835 | 793424 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 493706 | 457389 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 290110 | 267392 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 5861215 | 5333446 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 5770583 | 5263599 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 1105873 | 1089616 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 366394 | 342443 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 90409 | 84687 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 72281 | 67693 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 30949 | 29108 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 6590202 | 6135913 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 7036 | 6535 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 337624 | 310657 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 10465558 | 9546335 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 9441511 | 8594308 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 3867428 | 3526440 |
| Freddie Mac Gold Pool 3.5% 4/1/2033  | 3137630 | 3103118 |
| Freddie Mac Gold Pool 3.5% 4/1/2034  | 3575783 | 3523043 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 127150 | 120767 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 1329482 | 1259889 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 11588 | 10968 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 223980 | 211029 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 77321 | 72985 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 398798 | 369936 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 273932 | 254449 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 23735 | 22047 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 5709076 | 5203928 |
| Freddie Mac Gold Pool 3.5% 4/1/2048  | 213817 | 197821 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 14436255 | 13204024 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 7935934 | 7283349 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1581242 | 1439354 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1322895 | 1207910 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 249043 | 225529 |
| Freddie Mac Gold Pool 3.5% 5/1/2032  | 174237 | 172145 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 220284 | 215747 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 250162 | 237781 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 43396 | 41207 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 777571 | 725675 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 42524 | 39683 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 22899 | 21381 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 10314 | 9745 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 4284 | 3982 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 2834998 | 2637799 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 95056 | 88296 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 23086 | 21415 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 9167 | 8527 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 7094 | 6581 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  | 6058204 | 5514591 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  | 3917535 | 3566008 |
| Freddie Mac Gold Pool 3.5% 5/1/2049  | 67263 | 61495 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 15937065 | 14526927 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 12885792 | 11761742 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 446083 | 405916 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 842599 | 829886 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 215668 | 205329 |
| Freddie Mac Gold Pool 3.5% 6/1/2042  | 5868 | 5549 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 1307479 | 1222742 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 929277 | 868264 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 151076 | 141552 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 73082 | 68457 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 17553 | 16421 |
| Freddie Mac Gold Pool 3.5% 6/1/2048  | 197635 | 181850 |
| Freddie Mac Gold Pool 3.5% 6/1/2049  | 176926 | 163082 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 179778 | 163590 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 273935 | 269804 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 72725 | 71610 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 20444 | 19392 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 4585224 | 4325759 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 65596 | 62224 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 30849 | 28588 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 12502 | 11612 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 2903487 | 2697165 |
| Freddie Mac Gold Pool 3.5% 7/1/2051  | 4631886 | 4217706 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 1198455 | 1090541 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 370125 | 362361 |
| Freddie Mac Gold Pool 3.5% 8/1/2038  | 90462 | 86917 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 139735 | 132707 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 849092 | 802277 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 125484 | 118456 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 4466635 | 4149237 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 518765 | 481253 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 350820 | 325891 |
| Freddie Mac Gold Pool 3.5% 8/1/2048  | 147529 | 135746 |
| Freddie Mac Gold Pool 3.5% 8/1/2048  | 63211 | 58123 |
| Freddie Mac Gold Pool 3.5% 8/1/2049  | 17775323 | 16345568 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 1790548 | 1636593 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 111733 | 103787 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 10298489 | 9709446 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 5815406 | 5479750 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 1705 | 1607 |
| Freddie Mac Gold Pool 3.5% 9/1/2043  | 90524 | 85279 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 3280967 | 3060877 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 381651 | 353673 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 100703 | 93421 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 83333 | 77307 |
| Freddie Mac Gold Pool 3.5% 9/1/2048  | 1062641 | 976106 |
| Freddie Mac Gold Pool 3.5% 9/1/2048  | 166605 | 153193 |
| Freddie Mac Gold Pool 3.5% 9/1/2048  | 142661 | 131177 |
| Freddie Mac Gold Pool 3.5% 9/1/2052  | 1798024 | 1636123 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 626882 | 619920 |
| Freddie Mac Gold Pool 4% 1/1/2039  | 122028 | 118880 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 45214 | 44079 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 21140 | 20652 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 5498 | 5348 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 18430 | 17917 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 11796 | 11401 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 35711 | 34429 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 27299 | 26370 |
| Freddie Mac Gold Pool 4% 1/1/2049  | 25312 | 23965 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 361190 | 351467 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 45679 | 44462 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 33181 | 32303 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 17337 | 16829 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 8984 | 8793 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 6205 | 5998 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 91166 | 88089 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 35712 | 34432 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 12717 | 12264 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 11825 | 11464 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 58762 | 56553 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 22178 | 21268 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 1250426 | 1184681 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 958330 | 906444 |
| Freddie Mac Gold Pool 4% 11/1/2040  | 87614 | 85356 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 58485 | 56841 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 6318 | 6200 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 2593 | 2524 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 766264 | 745955 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 692399 | 673034 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 78874 | 76573 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 68062 | 65961 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 39938 | 38765 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 23344 | 22601 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 2260 | 2226 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 30114 | 29192 |
| Freddie Mac Gold Pool 4% 11/1/2047  | 1562620 | 1485778 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 249480 | 236908 |
| Freddie Mac Gold Pool 4% 11/1/2051  | 123567 | 117427 |
| Freddie Mac Gold Pool 4% 12/1/2033  | 702548 | 705552 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 10853 | 10596 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 4643 | 4528 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 3869806 | 3765176 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 33526 | 32491 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 18141 | 17671 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 1744361 | 1691427 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 6058 | 5827 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 12015837 | 11424957 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 822348 | 781909 |
| Freddie Mac Gold Pool 4% 12/1/2048  | 204091 | 193360 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 155591 | 151723 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 5941 | 5781 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 165302 | 160541 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 30507 | 29717 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 59867 | 58006 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 45636 | 44116 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 38366 | 37148 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 19634 | 18967 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 35941 | 34718 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 19710 | 19099 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 18985 | 18287 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 534455 | 515734 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 184739 | 178243 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 518933 | 494388 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 36735 | 34986 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 569366 | 535159 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 68336 | 64893 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 48023 | 45603 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 17501262 | 16520906 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 4258259 | 4019727 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 35608 | 34640 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 32727 | 31780 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 6567 | 6361 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 20621 | 20065 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 12050 | 11642 |
| Freddie Mac Gold Pool 4% 3/1/2044  | 41889 | 40392 |
| Freddie Mac Gold Pool 4% 3/1/2049  | 3508624 | 3324145 |
| Freddie Mac Gold Pool 4% 3/1/2053  | 497763 | 465214 |
| Freddie Mac Gold Pool 4% 4/1/2040  | 817 | 803 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 504351 | 489837 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 310436 | 301975 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 12149 | 11770 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 11121 | 10858 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 10876 | 10582 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 8784 | 8571 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 596214 | 578619 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 31730 | 30785 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 12002 | 11744 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 177513 | 169838 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 170365 | 162147 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 138814 | 132118 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 75073 | 71452 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 29912 | 28469 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 8240 | 7842 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 141544 | 134411 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 100815 | 95735 |
| Freddie Mac Gold Pool 4% 5/1/2033  | 372310 | 374251 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 5241647 | 5114634 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 59302 | 57757 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 41456 | 40055 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 14315 | 13814 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 14100 | 13608 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 12882 | 12435 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 4248 | 4105 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 1291036 | 1256562 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 61965 | 59540 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 1009691 | 961617 |
| Freddie Mac Gold Pool 4% 5/1/2050  | 1770852 | 1672762 |
| Freddie Mac Gold Pool 4% 5/1/2052  | 1725026 | 1620310 |
| Freddie Mac Gold Pool 4% 5/1/2053  | 26118986 | 24598762 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 62290 | 60781 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 46336 | 45213 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 15593 | 15151 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 2674 | 2641 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 36067 | 35112 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 21599 | 20856 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 47534 | 45765 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 3045777 | 2906470 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 565900 | 537914 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 224680 | 214755 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 2292757 | 2175789 |
| Freddie Mac Gold Pool 4% 6/1/2052  | 81721 | 77603 |
| Freddie Mac Gold Pool 4% 7/1/2041  | 3381 | 3285 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 676843 | 656401 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 87087 | 84136 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 73933 | 71701 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 35093 | 34026 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 26552 | 25623 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 23372 | 22559 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 20284 | 19571 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 7694 | 7427 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 918636 | 894805 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 134847 | 129769 |
| Freddie Mac Gold Pool 4% 7/1/2052  | 118690 | 112709 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 352168 | 343635 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 249251 | 243212 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 38217 | 36915 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 30403 | 29589 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 26450 | 25742 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 7002 | 6757 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 9508 | 9229 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 9433 | 9096 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 1048178 | 994704 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 59848 | 56832 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 49581 | 48269 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 16271 | 15837 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 14818 | 14397 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 9208 | 8986 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 4992544 | 4849039 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 49794 | 48551 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 61938 | 59995 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 55730 | 53952 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 53690 | 52018 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 48679 | 46965 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 46804 | 45199 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 32050 | 31048 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 17102 | 16488 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 7426 | 7216 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 41204 | 39766 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 1311547 | 1245456 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 257909 | 244913 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 150046 | 142638 |
| Freddie Mac Gold Pool 4.5% 1/1/2040  | 14951 | 14961 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 13910 | 13915 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 9266 | 9274 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 441527 | 441579 |
| Freddie Mac Gold Pool 4.5% 1/1/2045  | 16185 | 16027 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 32312 | 31776 |
| Freddie Mac Gold Pool 4.5% 1/1/2053  | 5542472 | 5353434 |
| Freddie Mac Gold Pool 4.5% 10/1/2035  | 1054 | 1057 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 190820 | 190946 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 46282 | 46299 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 8280 | 8286 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 1795 | 1796 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 42056 | 42059 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 25383 | 25368 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 121619 | 121589 |
| Freddie Mac Gold Pool 4.5% 10/1/2043  | 23665 | 23561 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 88528 | 86643 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 37293 | 36708 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  | 18987966 | 18346276 |
| Freddie Mac Gold Pool 4.5% 11/1/2031  | 3233 | 3231 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 1239 | 1239 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 704 | 704 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 23032 | 23035 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 2077 | 2077 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 124156 | 122948 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 4954 | 4915 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 1063 | 1063 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 369 | 369 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 17526 | 17515 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 13284 | 13275 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 885 | 885 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 28107 | 27833 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 4952 | 4913 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 81397 | 81459 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 32561 | 32021 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 1649815 | 1615716 |
| Freddie Mac Gold Pool 4.5% 12/1/2052  | 9764977 | 9434973 |
| Freddie Mac Gold Pool 4.5% 2/1/2037  | 1052 | 1054 |
| Freddie Mac Gold Pool 4.5% 2/1/2040  | 2951 | 2953 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 67293 | 67309 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 20807 | 20789 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 20209 | 20186 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 19946 | 19948 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 17528 | 17528 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 16675 | 16682 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 10742 | 10749 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 9174 | 9167 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 8223 | 8225 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 11533 | 11495 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 158018 | 155394 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 172843 | 172850 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 78822 | 78832 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 17200 | 17205 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 16788 | 16790 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 12987 | 12987 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 3430 | 3431 |
| Freddie Mac Gold Pool 4.5% 3/1/2042  | 1804 | 1804 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 9439 | 9398 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 217225 | 217219 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 26752 | 26720 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 23155 | 23144 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 2632 | 2629 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 947 | 947 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 390221 | 381667 |
| Freddie Mac Gold Pool 4.5% 5/1/2035  | 7236 | 7254 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 64568 | 64635 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 14982 | 14995 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 1272 | 1273 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 2311 | 2312 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 28943 | 28923 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 28725 | 28690 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 10028 | 10028 |
| Freddie Mac Gold Pool 4.5% 5/1/2045  | 138735 | 137168 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 386059 | 379527 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 297966 | 293018 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 129171 | 127026 |
| Freddie Mac Gold Pool 4.5% 6/1/2038  | 8943 | 8965 |
| Freddie Mac Gold Pool 4.5% 6/1/2039  | 3165 | 3167 |
| Freddie Mac Gold Pool 4.5% 6/1/2040  | 4881 | 4883 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 32401 | 32419 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 19210 | 19195 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 18931 | 18942 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 12023 | 12012 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 7829 | 7841 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 7643 | 7640 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 1969 | 1968 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 560181 | 550704 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 89260 | 87973 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 31787 | 31807 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 14004 | 13999 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 12451 | 12454 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 495437 | 494631 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 9042 | 9042 |
| Freddie Mac Gold Pool 4.5% 7/1/2044  | 2846 | 2823 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 228043 | 224185 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 163165 | 160965 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 72002 | 70964 |
| Freddie Mac Gold Pool 4.5% 7/1/2049  | 9164102 | 8991867 |
| Freddie Mac Gold Pool 4.5% 8/1/2033  | 3521 | 3530 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 950 | 953 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 24845 | 24850 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 6833 | 6833 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 1750 | 1750 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 1123 | 1123 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 79523 | 79518 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 12959 | 12960 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 11190 | 11179 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 8925 | 8928 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 459 | 459 |
| Freddie Mac Gold Pool 4.5% 8/1/2055  | 10952516 | 10549865 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 46216 | 46300 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 4785 | 4788 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 683 | 684 |
| Freddie Mac Gold Pool 4.5% 9/1/2040  | 20645 | 20650 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 193708 | 193808 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 110449 | 110454 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 82220 | 82205 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 11137 | 11139 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 2208 | 2208 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 82944 | 84135 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 3802 | 3862 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 36081 | 36681 |
| Freddie Mac Gold Pool 5% 1/1/2041  | 2458 | 2500 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 11543778 | 11510010 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 9556 | 9695 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 6652 | 6746 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 330 | 335 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 18407179 | 18387848 |
| Freddie Mac Gold Pool 5% 11/1/2033  | 20919 | 21208 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 5447 | 5533 |
| Freddie Mac Gold Pool 5% 11/1/2037  | 466 | 474 |
| Freddie Mac Gold Pool 5% 11/1/2040  | 5159 | 5244 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 28444866 | 28406104 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 8216931 | 8226276 |
| Freddie Mac Gold Pool 5% 11/1/2053  | 21979760 | 22011626 |
| Freddie Mac Gold Pool 5% 11/1/2053  | 449539 | 444993 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 6357 | 6451 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 3713 | 3767 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 1193 | 1209 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 8508 | 8635 |
| Freddie Mac Gold Pool 5% 12/1/2035  | 14727 | 14964 |
| Freddie Mac Gold Pool 5% 12/1/2052 (r) | 19542520 | 19515889 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 3416308 | 3411653 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 3411939 | 3403024 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 3133542 | 3125355 |
| Freddie Mac Gold Pool 5% 12/1/2054  | 1501282 | 1480940 |
| Freddie Mac Gold Pool 5% 2/1/2035  | 8746 | 8860 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 2999999 | 3030777 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 7893 | 8027 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 5931 | 6032 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 5570 | 5664 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 11384 | 11577 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 11190 | 11380 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 1571 | 1579 |
| Freddie Mac Gold Pool 5% 4/1/2034  | 3087 | 3133 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 21897 | 22215 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 7832 | 7955 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 5654 | 5742 |
| Freddie Mac Gold Pool 5% 4/1/2036  | 46384 | 47112 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 49396 | 50232 |
| Freddie Mac Gold Pool 5% 4/1/2041  | 2485 | 2527 |
| Freddie Mac Gold Pool 5% 4/1/2054  | 2638473 | 2641474 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 3733 | 3787 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 1849 | 1876 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 1357 | 1378 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 295 | 299 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 21355 | 21686 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 760 | 771 |
| Freddie Mac Gold Pool 5% 5/1/2040  | 6948 | 7063 |
| Freddie Mac Gold Pool 5% 5/1/2041  | 10032 | 10202 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 6829001 | 6817561 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 540694 | 542323 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 3945 | 4004 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 1732 | 1759 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 1213 | 1233 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 1133 | 1152 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 31564 | 32095 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 25167 | 25591 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 782236 | 795538 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 12347 | 12555 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 8776729 | 8762026 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 3730730 | 3737305 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 1692764 | 1697863 |
| Freddie Mac Gold Pool 5% 6/1/2053  | 27823 | 27550 |
| Freddie Mac Gold Pool 5% 7/1/2033  | 1077 | 1078 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 138356 | 140444 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 19377 | 19683 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 1020 | 1036 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 326 | 331 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 113 | 115 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 15207540 | 15363563 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 1876004 | 1895251 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 5873 | 5969 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 14426 | 14671 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 13361 | 13586 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 8264 | 8399 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 7840 | 7974 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 6200 | 6278 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 5126 | 5213 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 4335 | 4402 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 2530 | 2567 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 751 | 762 |
| Freddie Mac Gold Pool 5% 8/1/2034  | 33698 | 34193 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 2777 | 2817 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 374 | 380 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 12464 | 12664 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 787 | 799 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 25899 | 26326 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 1379 | 1401 |
| Freddie Mac Gold Pool 5% 8/1/2055  | 10649606 | 10551062 |
| Freddie Mac Gold Pool 5% 9/1/2033  | 7915 | 8027 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 18053 | 18343 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 804 | 817 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 87 | 88 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 7144600 | 7137097 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 2294879 | 2278126 |
| Freddie Mac Gold Pool 5% 9/1/2054  | 1878805 | 1861567 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 36720300 | 37518548 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 11330495 | 11523692 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 19173144 | 19500067 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 17752856 | 18111039 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 2911649 | 2939458 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 2898566 | 2926250 |
| Freddie Mac Gold Pool 5.5% 2/1/2055  | 15078930 | 15171117 |
| Freddie Mac Gold Pool 5.5% 3/1/2034  | 46448 | 47969 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (r)(s)(t)(u) | 57289888 | 58517387 |
| Freddie Mac Gold Pool 5.5% 3/1/2055  | 2779082 | 2796072 |
| Freddie Mac Gold Pool 5.5% 3/1/2055  | 1753768 | 1764490 |
| Freddie Mac Gold Pool 5.5% 4/1/2055  | 583225 | 586790 |
| Freddie Mac Gold Pool 5.5% 5/1/2034  | 327270 | 337212 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 17112510 | 17377559 |
| Freddie Mac Gold Pool 5.5% 5/1/2054  | 11817916 | 11923404 |
| Freddie Mac Gold Pool 5.5% 5/1/2054  | 7371749 | 7426492 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 880090 | 885471 |
| Freddie Mac Gold Pool 5.5% 6/1/2054  | 8003491 | 8055673 |
| Freddie Mac Gold Pool 5.5% 6/1/2055  | 4999257 | 5043881 |
| Freddie Mac Gold Pool 5.5% 7/1/2035  | 29317 | 30270 |
| Freddie Mac Gold Pool 5.5% 9/1/2052  | 22459746 | 22821653 |
| Freddie Mac Gold Pool 5.5% 9/1/2053  | 20813155 | 21226580 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  | 11069456 | 11144049 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  | 5919376 | 5955565 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  | 4563389 | 4645478 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 109 | 112 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 1913 | 1984 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 1189 | 1233 |
| Freddie Mac Gold Pool 6% 10/1/2032  | 975 | 1014 |
| Freddie Mac Gold Pool 6% 10/1/2034  | 2160 | 2234 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 18446173 | 19162388 |
| Freddie Mac Gold Pool 6% 11/1/2028  | 120 | 123 |
| Freddie Mac Gold Pool 6% 11/1/2029  | 92 | 94 |
| Freddie Mac Gold Pool 6% 11/1/2031  | 1292 | 1341 |
| Freddie Mac Gold Pool 6% 11/1/2032  | 10545 | 10947 |
| Freddie Mac Gold Pool 6% 11/1/2052  | 1303247 | 1338373 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 5067641 | 5223229 |
| Freddie Mac Gold Pool 6% 12/1/2032  | 524 | 545 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 28515 | 30227 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 7331 | 7752 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 2766319 | 2863354 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 105 | 107 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 63 | 64 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 29 | 30 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 1 | 0 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 5058197 | 5254594 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 88 | 90 |
| Freddie Mac Gold Pool 6% 4/1/2029  | 24 | 24 |
| Freddie Mac Gold Pool 6% 4/1/2031  | 982 | 1016 |
| Freddie Mac Gold Pool 6% 4/1/2032  | 2838 | 2946 |
| Freddie Mac Gold Pool 6% 4/1/2033  | 3419 | 3555 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 51625642 | 53533328 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 195 | 200 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 39 | 40 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 26234 | 27134 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 29385563 | 30517342 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 462 | 472 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 180 | 184 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 87 | 89 |
| Freddie Mac Gold Pool 6% 6/1/2031  | 334 | 346 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 144 | 147 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 70 | 72 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 47 | 48 |
| Freddie Mac Gold Pool 6% 7/1/2032  | 2528 | 2618 |
| Freddie Mac Gold Pool 6% 7/1/2033  | 3303 | 3444 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 2177 | 2303 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 60404611 | 62367785 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 24420 | 25768 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 39550000 | 41076349 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 23070 | 24035 |
| Freddie Mac Gold Pool 6% 9/1/2036  | 9457 | 9984 |
| Freddie Mac Gold Pool 6% 9/1/2054 (t) | 37155146 | 38621002 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 22037027 | 22775593 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 9966 | 10403 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 26811694 | 28113152 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 11260038 | 11834935 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 2871814 | 3008521 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 9680 | 10149 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 6388071 | 6696655 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 6362115 | 6665470 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 4311436 | 4532775 |
| Freddie Mac Gold Pool 6.5% 2/1/2037  | 826 | 876 |
| Freddie Mac Gold Pool 6.5% 2/1/2054  | 12247954 | 12830996 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 389 | 407 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 215 | 225 |
| Freddie Mac Gold Pool 6.5% 3/1/2036  | 72775 | 76080 |
| Freddie Mac Gold Pool 6.5% 3/1/2037  | 730 | 781 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 897 | 938 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 192 | 201 |
| Freddie Mac Gold Pool 6.5% 5/1/2031  | 440 | 460 |
| Freddie Mac Gold Pool 6.5% 5/1/2033  | 5064 | 5249 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 32585832 | 34302499 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 18691723 | 19717318 |
| Freddie Mac Gold Pool 6.5% 7/1/2032  | 191 | 200 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 2881 | 3013 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 1947 | 2041 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 1871 | 1959 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 98960 | 105940 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 3887181 | 4091964 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 3712206 | 3889209 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 22211244 | 23436892 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 4505 | 4763 |
| Freddie Mac Gold Pool 7% 11/1/2026  | 141 | 142 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 7344 | 7763 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 6791 | 7223 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 667 | 673 |
| Freddie Mac Gold Pool 7% 3/1/2026  | 123 | 123 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 2377 | 2499 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 1088 | 1153 |
| Freddie Mac Gold Pool 7% 7/1/2026  | 59 | 59 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 11845 | 12454 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 811 | 816 |
| Freddie Mac Gold Pool 7% 8/1/2034  | 879 | 945 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 1074 | 1082 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 18900 | 20041 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 24 | 25 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 167 | 175 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 89 | 94 |
| Freddie Mac Gold Pool 7.5% 2/1/2032  | 13653 | 14541 |
| Freddie Mac Gold Pool 7.5% 5/1/2031  | 106 | 111 |
| Freddie Mac Gold Pool 7.5% 6/1/2027  | 46 | 47 |
| Freddie Mac Gold Pool 7.5% 7/1/2034  | 5490 | 5731 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 560 | 592 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 37 | 39 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 378 | 400 |
| Freddie Mac Gold Pool 8% 11/1/2031  | 297 | 313 |
| Freddie Mac Gold Pool 8% 2/1/2030  | 27 | 29 |
| Freddie Mac Gold Pool 8% 4/1/2032  | 40 | 42 |
| Freddie Mac Gold Pool 8% 7/1/2030  | 273 | 288 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 626 | 654 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 22 | 23 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 8 | 8 |
| Freddie Mac Gold Pool 8% 9/1/2030  | 19 | 19 |
| Freddie Mac Gold Pool 8.5% 1/1/2028  | 4 | 4 |
| Freddie Mac Gold Pool 8.5% 12/1/2027  | 6 | 6 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 9 | 10 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 3 | 3 |
| Freddie Mac Gold Pool 8.5% 8/1/2026  | 15 | 15 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 238 | 243 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 12 | 12 |
| Freddie Mac Gold Pool 8.5% 9/1/2026  | 5 | 5 |
| Freddie Mac Manufactured Housing participation certificates 5.5% 4/1/2055  | 27810736 | 28024214 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 14239980 | 14749492 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 4786245 | 4951516 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 6465905 | 6813105 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 5882981 | 6200718 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 1862523 | 1973157 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 6/1/2055  | 18418961 | 19438222 |
| Freddie Mac Multifamily Structured pass-thru certificates 5.5% 9/1/2054  | 6644600 | 6685222 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.325%, 6.133% 1/1/2036 (b)(c) | 3315 | 3368 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 6.381% 3/1/2036 (b)(c) | 13598 | 13835 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 6.5% 3/1/2036 (b)(c) | 13748 | 14100 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.432% 7/1/2041 (b)(c) | 24598 | 25539 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.608% 12/1/2040 (b)(c) | 107544 | 111473 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.315% 9/1/2041 (b)(c) | 26231 | 27190 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (b)(c) | 7180 | 7427 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (b)(c) | 587 | 613 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 7.601% 9/1/2041 (b)(c) | 4464 | 4633 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.535% 6/1/2041 (b)(c) | 2299 | 2396 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.672% 6/1/2041 (b)(c) | 7937 | 8278 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.777% 5/1/2041 (b)(c) | 5644 | 5887 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.837% 5/1/2041 (b)(c) | 8253 | 8609 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.932%, 7.003% 10/1/2042 (b)(c) | 12598 | 13092 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.961%, 6.711% 6/1/2033 (b)(c) | 2515 | 2585 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.01%, 7.009% 4/1/2038 (b)(c) | 5848 | 6101 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 7.658% 3/1/2033 (b)(c) | 105 | 107 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (b)(c) | 6128 | 6344 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.2%, 6.825% 12/1/2036 (b)(c) | 11322 | 11804 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.196% 6/1/2033 (b)(c) | 10610 | 10775 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.26%, 6.32% 6/1/2033 (b)(c) | 14223 | 14471 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 6.887% 3/1/2035 (b)(c) | 31379 | 31994 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 4048 | 3950 |
| Freddie Mac Non Gold Pool 5% 8/1/2053  | 7451437 | 7406354 |
| Freddie Mac Non Gold Pool 5.5% 12/1/2054  | 6000903 | 6037590 |
| Freddie Mac Non Gold Pool 5.5% 12/1/2054  | 5790916 | 5826319 |
| Freddie Mac Non Gold Pool 5.5% 2/1/2055  | 1011935 | 1020019 |
| Freddie Mac Non Gold Pool 5.5% 2/1/2055  | 39870 | 40113 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2055  | 11646355 | 11855856 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  | 7827375 | 7977963 |
| Freddie Mac Non Gold Pool 5.5% 6/1/2053  | 3884930 | 3953600 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 5642626 | 5740603 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 26153171 | 26639977 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 8789584 | 8953189 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 8679024 | 8829723 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.125%, 5.625% 8/1/2037 (b)(c) | 4202 | 4218 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.29% 10/1/2036 (b)(c) | 7100 | 7223 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.994%, 6.661% 10/1/2035 (b)(c) | 8137 | 8322 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.635% 6/1/2037 (b)(c) | 13180 | 13551 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.645%, 8.27% 10/1/2035 (b)(c) | 388 | 405 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 14247929 | 14752160 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 10770761 | 11125009 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 10710863 | 11083224 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 8947797 | 9253273 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  | 17826258 | 18445984 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 10624173 | 10993520 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 9344021 | 9663024 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 9816765 | 10118162 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 11395191 | 11942090 |
| Ginnie Mae I Pool 2% 11/20/2052  | 18904 | 15516 |
| Ginnie Mae I Pool 2% 3/20/2053  | 1882745 | 1540449 |
| Ginnie Mae I Pool 2% 5/20/2053  | 1171984 | 958909 |
| Ginnie Mae I Pool 2% 6/20/2053  | 1489106 | 1218376 |
| Ginnie Mae I Pool 2% 8/20/2052  | 18366 | 15132 |
| Ginnie Mae I Pool 2% 9/20/2052  | 113304 | 92855 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 12608921 | 10649214 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 19700093 | 16638259 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 10410050 | 8792096 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 9490178 | 8015193 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 65137124 | 55013363 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 16965090 | 14328337 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 8024478 | 6777295 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 27302214 | 23058841 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 16717387 | 14119132 |
| Ginnie Mae I Pool 3% 12/15/2042  | 158457 | 144147 |
| Ginnie Mae I Pool 3% 12/20/2042  | 228233 | 209717 |
| Ginnie Mae I Pool 3% 2/15/2045  | 94343 | 85073 |
| Ginnie Mae I Pool 3% 2/15/2045  | 71982 | 64784 |
| Ginnie Mae I Pool 3% 2/20/2050  | 3110396 | 2754891 |
| Ginnie Mae I Pool 3% 2/20/2050  | 1454386 | 1288156 |
| Ginnie Mae I Pool 3% 3/15/2045  | 135350 | 121862 |
| Ginnie Mae I Pool 3% 3/20/2043  | 148649 | 136655 |
| Ginnie Mae I Pool 3% 3/20/2043  | 61436 | 56523 |
| Ginnie Mae I Pool 3% 4/15/2043  | 18583 | 16843 |
| Ginnie Mae I Pool 3% 4/15/2043  | 15759 | 14359 |
| Ginnie Mae I Pool 3% 4/15/2045  | 52168 | 46933 |
| Ginnie Mae I Pool 3% 4/15/2045  | 4293 | 3852 |
| Ginnie Mae I Pool 3% 5/15/2042  | 23301 | 21303 |
| Ginnie Mae I Pool 3% 5/15/2043  | 18191 | 16342 |
| Ginnie Mae I Pool 3% 5/15/2043  | 14237 | 12946 |
| Ginnie Mae I Pool 3% 5/15/2043  | 13147 | 11989 |
| Ginnie Mae I Pool 3% 5/15/2043  | 5323 | 4822 |
| Ginnie Mae I Pool 3% 5/15/2043  | 4769 | 4333 |
| Ginnie Mae I Pool 3% 5/15/2045  | 894 | 802 |
| Ginnie Mae I Pool 3% 6/15/2042  | 7579 | 6915 |
| Ginnie Mae I Pool 3% 6/15/2043  | 26556 | 24248 |
| Ginnie Mae I Pool 3% 6/15/2043  | 22476 | 20637 |
| Ginnie Mae I Pool 3% 6/15/2043  | 18133 | 16422 |
| Ginnie Mae I Pool 3% 6/20/2042  | 35853 | 32891 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 5348 | 5048 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 70052 | 65615 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 54224 | 50887 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 742 | 697 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 77594 | 72759 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 2546 | 2390 |
| Ginnie Mae I Pool 3.5% 1/20/2048  | 1143138 | 1064211 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 10459184 | 9545992 |
| Ginnie Mae I Pool 3.5% 11/15/2040  | 9314 | 8789 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 180871 | 169693 |
| Ginnie Mae I Pool 3.5% 12/15/2040  | 1958 | 1849 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 68502 | 64322 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 62204 | 58344 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 38623 | 36400 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 6021 | 5675 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 169651 | 155607 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 77449 | 70868 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 60087 | 55131 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 18060 | 16530 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 74367 | 69948 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 60874 | 57065 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 47863 | 44856 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 26017 | 24478 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 3292 | 3095 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 338766 | 318543 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 39332 | 36841 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 14187 | 13314 |
| Ginnie Mae I Pool 3.5% 2/15/2044  | 51427 | 47894 |
| Ginnie Mae I Pool 3.5% 2/20/2041  | 489385 | 464517 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 106333 | 99943 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 13785 | 12984 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 6329 | 5943 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 6297 | 5923 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 1846 | 1732 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 26803 | 25167 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 2572 | 2411 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 48696 | 45745 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 293801 | 276418 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 54900 | 51299 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 18581 | 17481 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 13320 | 12528 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 12808 | 11981 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 11321 | 10670 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 9942 | 9320 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 4386 | 4117 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 47141 | 43504 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 31081 | 28683 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 24991 | 23063 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 23553 | 21736 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 22884 | 21119 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 12518 | 11537 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 2482 | 2328 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 23760 | 22214 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 19651 | 18343 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 15994 | 15009 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 10222 | 9669 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 8033 | 7518 |
| Ginnie Mae I Pool 3.5% 6/20/2043  | 11650 | 10932 |
| Ginnie Mae I Pool 3.5% 6/20/2044  | 612854 | 574100 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 124082 | 114547 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 33755 | 31161 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 31178 | 28773 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 29591 | 27308 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 26242 | 24226 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 15879 | 14654 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 10817 | 9986 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 51204 | 48066 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 17093 | 16046 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 4370 | 4099 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 9171 | 8583 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 3181 | 2986 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 96869 | 90582 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 1154002 | 1064967 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 55679376 | 50818004 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 4409 | 4135 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 32968056 | 30089612 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 12300 | 11518 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 5776 | 5461 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 5744 | 5385 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 5389 | 5048 |
| Ginnie Mae I Pool 3.5% 9/15/2043  | 4652 | 4353 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 66531921 | 60723013 |
| Ginnie Mae I Pool 4% 1/15/2040  | 12873 | 12532 |
| Ginnie Mae I Pool 4% 1/15/2040  | 12570 | 12209 |
| Ginnie Mae I Pool 4% 1/15/2041  | 65975 | 64000 |
| Ginnie Mae I Pool 4% 1/15/2041  | 2630 | 2552 |
| Ginnie Mae I Pool 4% 1/15/2042  | 4868 | 4713 |
| Ginnie Mae I Pool 4% 1/15/2043  | 18102 | 17492 |
| Ginnie Mae I Pool 4% 1/15/2047  | 43758 | 41328 |
| Ginnie Mae I Pool 4% 1/15/2047  | 42237 | 39892 |
| Ginnie Mae I Pool 4% 1/15/2047  | 32425 | 30624 |
| Ginnie Mae I Pool 4% 1/15/2047  | 15468 | 14609 |
| Ginnie Mae I Pool 4% 10/15/2039  | 15302 | 14897 |
| Ginnie Mae I Pool 4% 10/15/2040  | 77343 | 75080 |
| Ginnie Mae I Pool 4% 10/15/2040  | 72283 | 70158 |
| Ginnie Mae I Pool 4% 10/15/2040  | 67012 | 65078 |
| Ginnie Mae I Pool 4% 10/15/2040  | 6822 | 6626 |
| Ginnie Mae I Pool 4% 10/15/2040  | 5936 | 5765 |
| Ginnie Mae I Pool 4% 10/15/2040  | 2821 | 2739 |
| Ginnie Mae I Pool 4% 10/15/2041  | 163940 | 158719 |
| Ginnie Mae I Pool 4% 10/15/2041  | 65404 | 63400 |
| Ginnie Mae I Pool 4% 10/15/2041  | 53920 | 52296 |
| Ginnie Mae I Pool 4% 10/15/2041  | 36018 | 34927 |
| Ginnie Mae I Pool 4% 10/15/2041  | 28377 | 27469 |
| Ginnie Mae I Pool 4% 10/15/2041  | 20846 | 20241 |
| Ginnie Mae I Pool 4% 10/15/2041  | 15710 | 15191 |
| Ginnie Mae I Pool 4% 10/15/2041  | 11346 | 10990 |
| Ginnie Mae I Pool 4% 10/15/2041  | 8453 | 8197 |
| Ginnie Mae I Pool 4% 10/15/2041  | 6651 | 6455 |
| Ginnie Mae I Pool 4% 10/15/2041  | 4890 | 4741 |
| Ginnie Mae I Pool 4% 10/15/2041  | 2745 | 2662 |
| Ginnie Mae I Pool 4% 10/20/2042  | 228020 | 220492 |
| Ginnie Mae I Pool 4% 10/20/2052  | 69422184 | 65311182 |
| Ginnie Mae I Pool 4% 11/15/2039  | 11372 | 11081 |
| Ginnie Mae I Pool 4% 11/15/2040  | 17960 | 17422 |
| Ginnie Mae I Pool 4% 11/15/2040  | 2280 | 2220 |
| Ginnie Mae I Pool 4% 11/15/2041  | 136164 | 131969 |
| Ginnie Mae I Pool 4% 11/15/2041  | 21009 | 20312 |
| Ginnie Mae I Pool 4% 11/15/2042  | 6095 | 5891 |
| Ginnie Mae I Pool 4% 11/20/2042  | 28812 | 27809 |
| Ginnie Mae I Pool 4% 12/15/2039  | 36440 | 35398 |
| Ginnie Mae I Pool 4% 12/15/2039  | 6384 | 6204 |
| Ginnie Mae I Pool 4% 12/15/2040  | 8438 | 8215 |
| Ginnie Mae I Pool 4% 12/15/2040  | 6759 | 6555 |
| Ginnie Mae I Pool 4% 12/15/2040  | 4338 | 4202 |
| Ginnie Mae I Pool 4% 12/15/2040  | 3800 | 3688 |
| Ginnie Mae I Pool 4% 12/15/2040  | 2930 | 2838 |
| Ginnie Mae I Pool 4% 12/15/2041  | 63323 | 61416 |
| Ginnie Mae I Pool 4% 12/15/2041  | 43398 | 42009 |
| Ginnie Mae I Pool 4% 12/15/2041  | 22369 | 21660 |
| Ginnie Mae I Pool 4% 12/15/2041  | 12607 | 12208 |
| Ginnie Mae I Pool 4% 12/15/2041  | 2219 | 2150 |
| Ginnie Mae I Pool 4% 12/15/2042  | 3866 | 3741 |
| Ginnie Mae I Pool 4% 12/15/2046  | 8408 | 7957 |
| Ginnie Mae I Pool 4% 2/15/2040  | 54775 | 53180 |
| Ginnie Mae I Pool 4% 2/15/2040  | 33714 | 32728 |
| Ginnie Mae I Pool 4% 2/15/2040  | 31885 | 30995 |
| Ginnie Mae I Pool 4% 2/15/2041  | 18120 | 17589 |
| Ginnie Mae I Pool 4% 2/15/2041  | 9503 | 9202 |
| Ginnie Mae I Pool 4% 2/15/2042  | 20428 | 19778 |
| Ginnie Mae I Pool 4% 2/15/2042  | 13778 | 13344 |
| Ginnie Mae I Pool 4% 2/15/2045  | 58397 | 56215 |
| Ginnie Mae I Pool 4% 3/15/2040  | 273659 | 265761 |
| Ginnie Mae I Pool 4% 3/15/2041  | 135789 | 131834 |
| Ginnie Mae I Pool 4% 3/15/2041  | 10596 | 10344 |
| Ginnie Mae I Pool 4% 3/15/2041  | 6198 | 6017 |
| Ginnie Mae I Pool 4% 3/15/2042  | 69576 | 67325 |
| Ginnie Mae I Pool 4% 3/15/2042  | 10415 | 10068 |
| Ginnie Mae I Pool 4% 3/15/2042  | 7713 | 7468 |
| Ginnie Mae I Pool 4% 3/20/2044  | 306761 | 294738 |
| Ginnie Mae I Pool 4% 3/20/2047  | 760646 | 726002 |
| Ginnie Mae I Pool 4% 4/15/2040  | 21714 | 21070 |
| Ginnie Mae I Pool 4% 4/15/2040  | 9642 | 9375 |
| Ginnie Mae I Pool 4% 4/15/2041  | 4313 | 4185 |
| Ginnie Mae I Pool 4% 4/15/2042  | 12775 | 12357 |
| Ginnie Mae I Pool 4% 4/15/2043  | 56382 | 54455 |
| Ginnie Mae I Pool 4% 4/15/2043  | 2866 | 2776 |
| Ginnie Mae I Pool 4% 4/15/2046  | 385333 | 370638 |
| Ginnie Mae I Pool 4% 4/20/2048  | 235759 | 222516 |
| Ginnie Mae I Pool 4% 4/20/2048  | 224035 | 211450 |
| Ginnie Mae I Pool 4% 5/15/2040  | 18927 | 18364 |
| Ginnie Mae I Pool 4% 5/15/2041  | 12284 | 12000 |
| Ginnie Mae I Pool 4% 5/15/2042  | 2044 | 2010 |
| Ginnie Mae I Pool 4% 5/15/2043  | 8427 | 8124 |
| Ginnie Mae I Pool 4% 5/15/2045  | 54217 | 52109 |
| Ginnie Mae I Pool 4% 5/20/2049  | 91849 | 86231 |
| Ginnie Mae I Pool 4% 6/15/2041  | 16677 | 16166 |
| Ginnie Mae I Pool 4% 6/15/2041  | 11002 | 10665 |
| Ginnie Mae I Pool 4% 6/15/2041  | 4944 | 4784 |
| Ginnie Mae I Pool 4% 6/15/2041  | 2818 | 2744 |
| Ginnie Mae I Pool 4% 6/15/2042  | 11626 | 11227 |
| Ginnie Mae I Pool 4% 6/15/2043  | 2133 | 2065 |
| Ginnie Mae I Pool 4% 6/15/2045  | 14539 | 14004 |
| Ginnie Mae I Pool 4% 7/15/2039  | 14064 | 13669 |
| Ginnie Mae I Pool 4% 7/15/2041  | 6495 | 6293 |
| Ginnie Mae I Pool 4% 7/15/2041  | 5353 | 5200 |
| Ginnie Mae I Pool 4% 7/15/2041  | 3077 | 2976 |
| Ginnie Mae I Pool 4% 7/15/2045  | 39660 | 38106 |
| Ginnie Mae I Pool 4% 7/15/2046  | 36827 | 34851 |
| Ginnie Mae I Pool 4% 7/15/2046  | 23651 | 22418 |
| Ginnie Mae I Pool 4% 8/15/2039  | 9909 | 9642 |
| Ginnie Mae I Pool 4% 8/15/2039  | 6070 | 5897 |
| Ginnie Mae I Pool 4% 8/15/2039  | 4410 | 4281 |
| Ginnie Mae I Pool 4% 8/15/2040  | 3169 | 3079 |
| Ginnie Mae I Pool 4% 8/15/2041  | 9400 | 9114 |
| Ginnie Mae I Pool 4% 8/15/2041  | 6164 | 5985 |
| Ginnie Mae I Pool 4% 8/15/2041  | 2700 | 2628 |
| Ginnie Mae I Pool 4% 8/15/2042  | 30270 | 29235 |
| Ginnie Mae I Pool 4% 8/15/2043  | 4357 | 4196 |
| Ginnie Mae I Pool 4% 8/15/2043  | 1793 | 1727 |
| Ginnie Mae I Pool 4% 9/15/2039  | 9308 | 9071 |
| Ginnie Mae I Pool 4% 9/15/2040  | 2498 | 2427 |
| Ginnie Mae I Pool 4% 9/15/2041  | 63715 | 61718 |
| Ginnie Mae I Pool 4% 9/15/2041  | 9141 | 8862 |
| Ginnie Mae I Pool 4% 9/15/2041  | 8051 | 7816 |
| Ginnie Mae I Pool 4% 9/15/2041  | 3297 | 3188 |
| Ginnie Mae I Pool 4% 9/15/2041  | 2453 | 2375 |
| Ginnie Mae I Pool 4% 9/15/2041  | 955 | 929 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 7279 | 7246 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 5528 | 5511 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 1283 | 1279 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 41157 | 40972 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 16745 | 16680 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 13746 | 13696 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 12289 | 12245 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 10627 | 10603 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 10001 | 9966 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 6258 | 6236 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 5067 | 5050 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 1028 | 1024 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 612 | 610 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 11909 | 11880 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 33796 | 33678 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 31424 | 31266 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 26730 | 26646 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 24019 | 23935 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 12802 | 12768 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 11130 | 11092 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 9944 | 9909 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 6888 | 6869 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1960 | 1954 |
| Ginnie Mae I Pool 4.5% 2/15/2041  | 7826 | 7782 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 116306 | 115916 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 10925 | 10884 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 5851 | 5831 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 5686 | 5667 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 3974 | 3961 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 197641 | 196764 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 4452 | 4435 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 34897 | 34788 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 17881 | 17797 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 13757 | 13697 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 7933 | 7901 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 3188 | 3171 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 3097 | 3081 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 88555630 | 85872315 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 6527 | 6507 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 53418 | 53232 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 4212 | 4194 |
| Ginnie Mae I Pool 4.5% 5/20/2041  | 16120 | 16036 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 22729 | 22671 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 20426 | 20361 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 3959 | 3947 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 3240 | 3230 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 2768 | 2760 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 173554 | 172736 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 108829 | 108454 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 54060 | 53863 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 38858 | 38726 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 23044 | 22961 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 22770 | 22692 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 19840 | 19771 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 18422 | 18357 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5061 | 5044 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 2814 | 2804 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 1867 | 1859 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 342712 | 341321 |
| Ginnie Mae I Pool 4.5% 6/20/2041  | 6610 | 6574 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 17834 | 17782 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 71479 | 71230 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 60615 | 60403 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 54436 | 54256 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 43459 | 43310 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 43216 | 43066 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 29755 | 29644 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 15846 | 15792 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 15815 | 15760 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 5040 | 5021 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 4372 | 4356 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 2967 | 2956 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 1257 | 1252 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 826 | 822 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 196966 | 196362 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 114224 | 113878 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 93600 | 93320 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 40338 | 40206 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 22527 | 22451 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 18524 | 18470 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 3059 | 3050 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 16736 | 16676 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 1974 | 1966 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 1516 | 1511 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 1489 | 1486 |
| Ginnie Mae I Pool 4.5% 8/15/2041  | 4157 | 4143 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 34114 | 34005 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 16492 | 16442 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 6768 | 6748 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 6562 | 6540 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 5673 | 5654 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 2479 | 2469 |
| Ginnie Mae I Pool 5% 1/15/2034  | 1303 | 1321 |
| Ginnie Mae I Pool 5% 1/15/2040  | 564 | 571 |
| Ginnie Mae I Pool 5% 10/15/2033  | 751 | 761 |
| Ginnie Mae I Pool 5% 10/15/2034  | 1076 | 1091 |
| Ginnie Mae I Pool 5% 10/15/2039  | 13001 | 13204 |
| Ginnie Mae I Pool 5% 10/15/2039  | 9791 | 9945 |
| Ginnie Mae I Pool 5% 10/15/2039  | 8060 | 8187 |
| Ginnie Mae I Pool 5% 10/15/2039  | 4462 | 4532 |
| Ginnie Mae I Pool 5% 10/15/2039  | 2658 | 2699 |
| Ginnie Mae I Pool 5% 10/20/2054  | 1152304 | 1140769 |
| Ginnie Mae I Pool 5% 11/15/2033  | 450 | 457 |
| Ginnie Mae I Pool 5% 11/15/2039  | 16560 | 16822 |
| Ginnie Mae I Pool 5% 11/15/2039  | 14841 | 15069 |
| Ginnie Mae I Pool 5% 11/15/2039  | 5191 | 5273 |
| Ginnie Mae I Pool 5% 11/15/2039  | 4899 | 4977 |
| Ginnie Mae I Pool 5% 11/15/2039  | 996 | 1012 |
| Ginnie Mae I Pool 5% 11/15/2040  | 5059 | 5139 |
| Ginnie Mae I Pool 5% 11/15/2040  | 1345 | 1366 |
| Ginnie Mae I Pool 5% 12/15/2039  | 12292 | 12486 |
| Ginnie Mae I Pool 5% 12/15/2039  | 6300 | 6399 |
| Ginnie Mae I Pool 5% 12/15/2039  | 5323 | 5408 |
| Ginnie Mae I Pool 5% 2/15/2039  | 2335 | 2371 |
| Ginnie Mae I Pool 5% 3/15/2041  | 10341 | 10507 |
| Ginnie Mae I Pool 5% 3/15/2041  | 6110 | 6208 |
| Ginnie Mae I Pool 5% 4/15/2033  | 1279 | 1295 |
| Ginnie Mae I Pool 5% 4/15/2039  | 2170 | 2204 |
| Ginnie Mae I Pool 5% 4/15/2040  | 117582 | 119439 |
| Ginnie Mae I Pool 5% 4/15/2040  | 101814 | 103416 |
| Ginnie Mae I Pool 5% 4/15/2040  | 5276 | 5360 |
| Ginnie Mae I Pool 5% 4/15/2040  | 5111 | 5191 |
| Ginnie Mae I Pool 5% 4/15/2040  | 1821 | 1850 |
| Ginnie Mae I Pool 5% 4/15/2041  | 17735 | 18024 |
| Ginnie Mae I Pool 5% 4/15/2041  | 4542 | 4615 |
| Ginnie Mae I Pool 5% 4/15/2041  | 1686 | 1714 |
| Ginnie Mae I Pool 5% 4/20/2048  | 2829179 | 2870703 |
| Ginnie Mae I Pool 5% 5/15/2039  | 29114 | 29566 |
| Ginnie Mae I Pool 5% 5/15/2039  | 18301 | 18586 |
| Ginnie Mae I Pool 5% 5/15/2040  | 5347 | 5432 |
| Ginnie Mae I Pool 5% 5/15/2040  | 3233 | 3284 |
| Ginnie Mae I Pool 5% 5/15/2040  | 1141 | 1160 |
| Ginnie Mae I Pool 5% 6/15/2039  | 2003 | 2034 |
| Ginnie Mae I Pool 5% 6/15/2040  | 308223 | 313092 |
| Ginnie Mae I Pool 5% 6/15/2040  | 8551 | 8686 |
| Ginnie Mae I Pool 5% 6/15/2040  | 4674 | 4749 |
| Ginnie Mae I Pool 5% 6/15/2041  | 12549 | 12749 |
| Ginnie Mae I Pool 5% 6/15/2041  | 1760 | 1789 |
| Ginnie Mae I Pool 5% 6/15/2041  | 1702 | 1729 |
| Ginnie Mae I Pool 5% 7/15/2039  | 23445 | 23810 |
| Ginnie Mae I Pool 5% 7/15/2039  | 17241 | 17511 |
| Ginnie Mae I Pool 5% 7/15/2040  | 14628 | 14859 |
| Ginnie Mae I Pool 5% 7/15/2040  | 14006 | 14228 |
| Ginnie Mae I Pool 5% 7/15/2040  | 6689 | 6795 |
| Ginnie Mae I Pool 5% 7/15/2040  | 5933 | 6028 |
| Ginnie Mae I Pool 5% 7/15/2040  | 4772 | 4847 |
| Ginnie Mae I Pool 5% 7/15/2040  | 906 | 921 |
| Ginnie Mae I Pool 5% 8/15/2039  | 11740 | 11924 |
| Ginnie Mae I Pool 5% 8/15/2039  | 9415 | 9562 |
| Ginnie Mae I Pool 5% 8/15/2039  | 4226 | 4292 |
| Ginnie Mae I Pool 5% 8/15/2039  | 2971 | 3018 |
| Ginnie Mae I Pool 5% 8/15/2039  | 1921 | 1951 |
| Ginnie Mae I Pool 5% 8/15/2039  | 911 | 925 |
| Ginnie Mae I Pool 5% 8/15/2040  | 22194 | 22546 |
| Ginnie Mae I Pool 5% 8/15/2040  | 19301 | 19607 |
| Ginnie Mae I Pool 5% 8/15/2040  | 18515 | 18810 |
| Ginnie Mae I Pool 5% 8/15/2040  | 5018 | 5099 |
| Ginnie Mae I Pool 5% 9/15/2039  | 75262 | 76435 |
| Ginnie Mae I Pool 5% 9/15/2039  | 14347 | 14572 |
| Ginnie Mae I Pool 5% 9/15/2039  | 10682 | 10849 |
| Ginnie Mae I Pool 5% 9/15/2039  | 7303 | 7417 |
| Ginnie Mae I Pool 5% 9/15/2039  | 4761 | 4836 |
| Ginnie Mae I Pool 5% 9/15/2039  | 4360 | 4429 |
| Ginnie Mae I Pool 5% 9/15/2039  | 3913 | 3975 |
| Ginnie Mae I Pool 5% 9/15/2039  | 3010 | 3057 |
| Ginnie Mae I Pool 5% 9/15/2039  | 2571 | 2612 |
| Ginnie Mae I Pool 5% 9/15/2039  | 1309 | 1330 |
| Ginnie Mae I Pool 5% 9/15/2040  | 10718 | 10887 |
| Ginnie Mae I Pool 5% 9/15/2040  | 7957 | 8083 |
| Ginnie Mae I Pool 5% 9/15/2040  | 2395 | 2433 |
| Ginnie Mae I Pool 5% 9/15/2041  | 199267 | 202396 |
| Ginnie Mae I Pool 5.5% 1/15/2034  | 158 | 161 |
| Ginnie Mae I Pool 5.5% 1/15/2039  | 11965 | 12317 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 9535 | 9781 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 668 | 687 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 1928 | 1984 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 4139809 | 4204469 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 720 | 736 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 2595 | 2659 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 758 | 776 |
| Ginnie Mae I Pool 5.5% 5/15/2039  | 7015 | 7221 |
| Ginnie Mae I Pool 5.5% 7/15/2037  | 685 | 704 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 1911 | 1954 |
| Ginnie Mae I Pool 5.5% 7/15/2039  | 6431 | 6624 |
| Ginnie Mae I Pool 5.5% 8/15/2033  | 1949 | 1995 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 68614 | 70679 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 41716 | 42968 |
| Ginnie Mae I Pool 6% 10/15/2030  | 3043 | 3113 |
| Ginnie Mae I Pool 6% 10/15/2039  | 1736 | 1818 |
| Ginnie Mae I Pool 6% 11/15/2039  | 4975 | 5214 |
| Ginnie Mae I Pool 6% 11/15/2039  | 2842 | 2978 |
| Ginnie Mae I Pool 6% 11/15/2039  | 1890 | 1979 |
| Ginnie Mae I Pool 6% 11/15/2039  | 1133 | 1184 |
| Ginnie Mae I Pool 6% 11/15/2039  | 963 | 1001 |
| Ginnie Mae I Pool 6% 11/15/2039  | 738 | 772 |
| Ginnie Mae I Pool 6% 5/15/2040  | 157748 | 164794 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 6272 | 6535 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 3553 | 3695 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 1200 | 1245 |
| Ginnie Mae I Pool 6.5% 10/15/2035  | 4060 | 4247 |
| Ginnie Mae I Pool 6.5% 10/15/2036  | 1692 | 1768 |
| Ginnie Mae I Pool 6.5% 11/15/2034  | 1570 | 1617 |
| Ginnie Mae I Pool 6.5% 6/15/2037  | 1572 | 1647 |
| Ginnie Mae I Pool 6.5% 7/15/2035  | 486 | 507 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 7022 | 7313 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 166 | 171 |
| Ginnie Mae I Pool 6.5% 8/15/2036  | 1160 | 1216 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 2710 | 2823 |
| Ginnie Mae I Pool 7% 1/15/2026  | 3 | 2 |
| Ginnie Mae I Pool 7% 1/15/2027  | 8 | 8 |
| Ginnie Mae I Pool 7% 1/15/2028  | 290 | 294 |
| Ginnie Mae I Pool 7% 1/15/2028  | 183 | 184 |
| Ginnie Mae I Pool 7% 1/15/2028  | 101 | 102 |
| Ginnie Mae I Pool 7% 1/15/2028  | 99 | 99 |
| Ginnie Mae I Pool 7% 1/15/2028  | 78 | 79 |
| Ginnie Mae I Pool 7% 1/15/2028  | 74 | 75 |
| Ginnie Mae I Pool 7% 1/15/2028  | 73 | 73 |
| Ginnie Mae I Pool 7% 1/15/2028  | 64 | 65 |
| Ginnie Mae I Pool 7% 1/15/2028  | 63 | 64 |
| Ginnie Mae I Pool 7% 1/15/2028  | 28 | 28 |
| Ginnie Mae I Pool 7% 1/15/2028  | 24 | 24 |
| Ginnie Mae I Pool 7% 1/15/2028  | 22 | 22 |
| Ginnie Mae I Pool 7% 1/15/2029  | 198 | 202 |
| Ginnie Mae I Pool 7% 1/15/2029  | 141 | 144 |
| Ginnie Mae I Pool 7% 1/15/2029  | 107 | 109 |
| Ginnie Mae I Pool 7% 1/15/2029  | 78 | 79 |
| Ginnie Mae I Pool 7% 1/15/2029  | 52 | 53 |
| Ginnie Mae I Pool 7% 1/15/2030  | 635 | 649 |
| Ginnie Mae I Pool 7% 1/15/2030  | 60 | 61 |
| Ginnie Mae I Pool 7% 1/15/2031  | 4095 | 4200 |
| Ginnie Mae I Pool 7% 1/15/2031  | 198 | 204 |
| Ginnie Mae I Pool 7% 1/15/2032  | 1263 | 1306 |
| Ginnie Mae I Pool 7% 1/15/2032  | 285 | 291 |
| Ginnie Mae I Pool 7% 10/15/2026  | 43 | 43 |
| Ginnie Mae I Pool 7% 10/15/2028  | 1868 | 1898 |
| Ginnie Mae I Pool 7% 10/15/2028  | 903 | 910 |
| Ginnie Mae I Pool 7% 10/15/2028  | 576 | 586 |
| Ginnie Mae I Pool 7% 10/15/2028  | 318 | 319 |
| Ginnie Mae I Pool 7% 10/15/2028  | 104 | 105 |
| Ginnie Mae I Pool 7% 10/15/2028  | 79 | 80 |
| Ginnie Mae I Pool 7% 10/15/2030  | 475 | 489 |
| Ginnie Mae I Pool 7% 10/15/2030  | 171 | 175 |
| Ginnie Mae I Pool 7% 10/15/2031  | 1082 | 1122 |
| Ginnie Mae I Pool 7% 10/15/2031  | 697 | 722 |
| Ginnie Mae I Pool 7% 10/15/2031  | 263 | 271 |
| Ginnie Mae I Pool 7% 10/15/2031  | 252 | 256 |
| Ginnie Mae I Pool 7% 10/15/2031  | 215 | 222 |
| Ginnie Mae I Pool 7% 10/15/2031  | 188 | 195 |
| Ginnie Mae I Pool 7% 10/15/2031  | 71 | 74 |
| Ginnie Mae I Pool 7% 10/15/2032  | 1615 | 1667 |
| Ginnie Mae I Pool 7% 11/15/2028  | 325 | 331 |
| Ginnie Mae I Pool 7% 11/15/2028  | 255 | 258 |
| Ginnie Mae I Pool 7% 11/15/2029  | 545 | 559 |
| Ginnie Mae I Pool 7% 11/15/2031  | 626 | 641 |
| Ginnie Mae I Pool 7% 11/15/2031  | 617 | 638 |
| Ginnie Mae I Pool 7% 11/15/2032  | 616 | 635 |
| Ginnie Mae I Pool 7% 12/15/2025  | 3 | 2 |
| Ginnie Mae I Pool 7% 12/15/2026  | 2 | 1 |
| Ginnie Mae I Pool 7% 12/15/2027  | 119 | 121 |
| Ginnie Mae I Pool 7% 12/15/2027  | 19 | 19 |
| Ginnie Mae I Pool 7% 12/15/2027  | 19 | 19 |
| Ginnie Mae I Pool 7% 12/15/2028  | 2901 | 2956 |
| Ginnie Mae I Pool 7% 12/15/2028  | 456 | 465 |
| Ginnie Mae I Pool 7% 12/15/2028  | 220 | 224 |
| Ginnie Mae I Pool 7% 12/15/2028  | 198 | 202 |
| Ginnie Mae I Pool 7% 12/15/2028  | 164 | 167 |
| Ginnie Mae I Pool 7% 12/15/2028  | 80 | 81 |
| Ginnie Mae I Pool 7% 12/15/2028  | 35 | 35 |
| Ginnie Mae I Pool 7% 12/15/2030  | 286 | 295 |
| Ginnie Mae I Pool 7% 12/15/2031  | 1027 | 1062 |
| Ginnie Mae I Pool 7% 12/15/2031  | 486 | 504 |
| Ginnie Mae I Pool 7% 12/15/2031  | 47 | 49 |
| Ginnie Mae I Pool 7% 2/15/2028  | 2655 | 2692 |
| Ginnie Mae I Pool 7% 2/15/2028  | 1164 | 1179 |
| Ginnie Mae I Pool 7% 2/15/2028  | 339 | 344 |
| Ginnie Mae I Pool 7% 2/15/2028  | 100 | 101 |
| Ginnie Mae I Pool 7% 2/15/2028  | 95 | 96 |
| Ginnie Mae I Pool 7% 2/15/2028  | 89 | 90 |
| Ginnie Mae I Pool 7% 2/15/2028  | 87 | 88 |
| Ginnie Mae I Pool 7% 2/15/2028  | 63 | 64 |
| Ginnie Mae I Pool 7% 2/15/2028  | 41 | 42 |
| Ginnie Mae I Pool 7% 2/15/2028  | 32 | 33 |
| Ginnie Mae I Pool 7% 2/15/2028  | 18 | 19 |
| Ginnie Mae I Pool 7% 2/15/2029  | 43 | 44 |
| Ginnie Mae I Pool 7% 2/15/2032  | 1595 | 1654 |
| Ginnie Mae I Pool 7% 2/15/2032  | 1189 | 1211 |
| Ginnie Mae I Pool 7% 2/15/2032  | 444 | 460 |
| Ginnie Mae I Pool 7% 2/15/2032  | 160 | 166 |
| Ginnie Mae I Pool 7% 2/15/2032  | 134 | 136 |
| Ginnie Mae I Pool 7% 2/15/2032  | 107 | 111 |
| Ginnie Mae I Pool 7% 3/15/2028  | 377 | 382 |
| Ginnie Mae I Pool 7% 3/15/2028  | 364 | 369 |
| Ginnie Mae I Pool 7% 3/15/2028  | 216 | 218 |
| Ginnie Mae I Pool 7% 3/15/2028  | 124 | 125 |
| Ginnie Mae I Pool 7% 3/15/2028  | 121 | 122 |
| Ginnie Mae I Pool 7% 3/15/2028  | 102 | 103 |
| Ginnie Mae I Pool 7% 3/15/2028  | 101 | 102 |
| Ginnie Mae I Pool 7% 3/15/2028  | 98 | 99 |
| Ginnie Mae I Pool 7% 3/15/2028  | 59 | 59 |
| Ginnie Mae I Pool 7% 3/15/2028  | 38 | 38 |
| Ginnie Mae I Pool 7% 3/15/2028  | 21 | 21 |
| Ginnie Mae I Pool 7% 3/15/2028  | 10 | 10 |
| Ginnie Mae I Pool 7% 3/15/2029  | 278 | 283 |
| Ginnie Mae I Pool 7% 3/15/2029  | 124 | 126 |
| Ginnie Mae I Pool 7% 3/15/2029  | 76 | 77 |
| Ginnie Mae I Pool 7% 3/15/2029  | 37 | 37 |
| Ginnie Mae I Pool 7% 3/15/2029  | 26 | 26 |
| Ginnie Mae I Pool 7% 3/15/2029  | 20 | 21 |
| Ginnie Mae I Pool 7% 3/15/2031  | 102 | 105 |
| Ginnie Mae I Pool 7% 3/15/2031  | 101 | 104 |
| Ginnie Mae I Pool 7% 3/15/2031  | 73 | 75 |
| Ginnie Mae I Pool 7% 3/15/2031  | 35 | 35 |
| Ginnie Mae I Pool 7% 3/15/2032  | 630 | 653 |
| Ginnie Mae I Pool 7% 3/15/2032  | 313 | 325 |
| Ginnie Mae I Pool 7% 3/15/2032  | 274 | 284 |
| Ginnie Mae I Pool 7% 3/15/2032  | 152 | 156 |
| Ginnie Mae I Pool 7% 3/15/2032  | 73 | 76 |
| Ginnie Mae I Pool 7% 3/15/2032  | 52 | 53 |
| Ginnie Mae I Pool 7% 4/15/2028  | 1770 | 1796 |
| Ginnie Mae I Pool 7% 4/15/2028  | 264 | 268 |
| Ginnie Mae I Pool 7% 4/15/2028  | 191 | 193 |
| Ginnie Mae I Pool 7% 4/15/2028  | 121 | 122 |
| Ginnie Mae I Pool 7% 4/15/2028  | 93 | 94 |
| Ginnie Mae I Pool 7% 4/15/2028  | 72 | 73 |
| Ginnie Mae I Pool 7% 4/15/2028  | 50 | 51 |
| Ginnie Mae I Pool 7% 4/15/2028  | 37 | 38 |
| Ginnie Mae I Pool 7% 4/15/2028  | 33 | 33 |
| Ginnie Mae I Pool 7% 4/15/2028  | 6 | 5 |
| Ginnie Mae I Pool 7% 4/15/2029  | 191 | 195 |
| Ginnie Mae I Pool 7% 4/15/2029  | 68 | 69 |
| Ginnie Mae I Pool 7% 4/15/2031  | 307 | 317 |
| Ginnie Mae I Pool 7% 4/15/2031  | 176 | 182 |
| Ginnie Mae I Pool 7% 4/15/2031  | 73 | 76 |
| Ginnie Mae I Pool 7% 4/15/2032  | 991 | 1028 |
| Ginnie Mae I Pool 7% 4/15/2032  | 514 | 532 |
| Ginnie Mae I Pool 7% 4/15/2032  | 502 | 517 |
| Ginnie Mae I Pool 7% 4/15/2032  | 355 | 368 |
| Ginnie Mae I Pool 7% 4/15/2032  | 329 | 339 |
| Ginnie Mae I Pool 7% 4/15/2032  | 152 | 157 |
| Ginnie Mae I Pool 7% 4/15/2032  | 135 | 139 |
| Ginnie Mae I Pool 7% 4/15/2032  | 127 | 131 |
| Ginnie Mae I Pool 7% 4/15/2032  | 85 | 87 |
| Ginnie Mae I Pool 7% 4/15/2032  | 43 | 43 |
| Ginnie Mae I Pool 7% 4/20/2032  | 17127 | 17822 |
| Ginnie Mae I Pool 7% 5/15/2027  | 5 | 4 |
| Ginnie Mae I Pool 7% 5/15/2028  | 815 | 826 |
| Ginnie Mae I Pool 7% 5/15/2028  | 502 | 510 |
| Ginnie Mae I Pool 7% 5/15/2028  | 344 | 348 |
| Ginnie Mae I Pool 7% 5/15/2028  | 83 | 84 |
| Ginnie Mae I Pool 7% 5/15/2028  | 74 | 75 |
| Ginnie Mae I Pool 7% 5/15/2028  | 8 | 9 |
| Ginnie Mae I Pool 7% 5/15/2028  | 8 | 7 |
| Ginnie Mae I Pool 7% 5/15/2029  | 209 | 213 |
| Ginnie Mae I Pool 7% 5/15/2029  | 124 | 127 |
| Ginnie Mae I Pool 7% 5/15/2031  | 339 | 348 |
| Ginnie Mae I Pool 7% 5/15/2031  | 210 | 214 |
| Ginnie Mae I Pool 7% 5/15/2031  | 157 | 162 |
| Ginnie Mae I Pool 7% 5/15/2031  | 97 | 98 |
| Ginnie Mae I Pool 7% 5/15/2032  | 6803 | 7060 |
| Ginnie Mae I Pool 7% 5/15/2032  | 794 | 822 |
| Ginnie Mae I Pool 7% 5/15/2032  | 485 | 500 |
| Ginnie Mae I Pool 7% 5/15/2032  | 376 | 388 |
| Ginnie Mae I Pool 7% 5/15/2032  | 198 | 201 |
| Ginnie Mae I Pool 7% 5/15/2032  | 150 | 154 |
| Ginnie Mae I Pool 7% 5/15/2032  | 136 | 142 |
| Ginnie Mae I Pool 7% 5/15/2032  | 108 | 112 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1235 | 1253 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1001 | 1016 |
| Ginnie Mae I Pool 7% 6/15/2028  | 499 | 506 |
| Ginnie Mae I Pool 7% 6/15/2028  | 408 | 414 |
| Ginnie Mae I Pool 7% 6/15/2028  | 359 | 364 |
| Ginnie Mae I Pool 7% 6/15/2028  | 258 | 262 |
| Ginnie Mae I Pool 7% 6/15/2028  | 242 | 245 |
| Ginnie Mae I Pool 7% 6/15/2028  | 203 | 206 |
| Ginnie Mae I Pool 7% 6/15/2028  | 132 | 135 |
| Ginnie Mae I Pool 7% 6/15/2028  | 71 | 72 |
| Ginnie Mae I Pool 7% 6/15/2028  | 63 | 64 |
| Ginnie Mae I Pool 7% 6/15/2028  | 57 | 58 |
| Ginnie Mae I Pool 7% 6/15/2028  | 32 | 33 |
| Ginnie Mae I Pool 7% 6/15/2028  | 22 | 23 |
| Ginnie Mae I Pool 7% 6/15/2028  | 13 | 13 |
| Ginnie Mae I Pool 7% 6/15/2029  | 42 | 43 |
| Ginnie Mae I Pool 7% 6/15/2031  | 1774 | 1836 |
| Ginnie Mae I Pool 7% 6/15/2031  | 929 | 960 |
| Ginnie Mae I Pool 7% 6/15/2031  | 416 | 430 |
| Ginnie Mae I Pool 7% 6/15/2032  | 13857 | 14372 |
| Ginnie Mae I Pool 7% 6/15/2032  | 13584 | 14104 |
| Ginnie Mae I Pool 7% 6/15/2032  | 8748 | 9083 |
| Ginnie Mae I Pool 7% 6/15/2032  | 3624 | 3761 |
| Ginnie Mae I Pool 7% 6/15/2032  | 3525 | 3657 |
| Ginnie Mae I Pool 7% 6/15/2032  | 3449 | 3561 |
| Ginnie Mae I Pool 7% 6/15/2032  | 2215 | 2301 |
| Ginnie Mae I Pool 7% 6/15/2032  | 2168 | 2244 |
| Ginnie Mae I Pool 7% 6/15/2032  | 1240 | 1288 |
| Ginnie Mae I Pool 7% 6/15/2032  | 824 | 853 |
| Ginnie Mae I Pool 7% 6/15/2032  | 655 | 676 |
| Ginnie Mae I Pool 7% 6/15/2032  | 475 | 492 |
| Ginnie Mae I Pool 7% 6/15/2032  | 371 | 383 |
| Ginnie Mae I Pool 7% 6/15/2032  | 336 | 348 |
| Ginnie Mae I Pool 7% 6/15/2032  | 287 | 298 |
| Ginnie Mae I Pool 7% 6/15/2032  | 175 | 180 |
| Ginnie Mae I Pool 7% 6/15/2032  | 133 | 137 |
| Ginnie Mae I Pool 7% 6/15/2032  | 116 | 120 |
| Ginnie Mae I Pool 7% 6/15/2032  | 99 | 103 |
| Ginnie Mae I Pool 7% 6/15/2032  | 23 | 23 |
| Ginnie Mae I Pool 7% 7/15/2028  | 640 | 650 |
| Ginnie Mae I Pool 7% 7/15/2028  | 422 | 429 |
| Ginnie Mae I Pool 7% 7/15/2028  | 233 | 236 |
| Ginnie Mae I Pool 7% 7/15/2028  | 207 | 210 |
| Ginnie Mae I Pool 7% 7/15/2028  | 175 | 178 |
| Ginnie Mae I Pool 7% 7/15/2028  | 125 | 125 |
| Ginnie Mae I Pool 7% 7/15/2028  | 119 | 121 |
| Ginnie Mae I Pool 7% 7/15/2028  | 105 | 106 |
| Ginnie Mae I Pool 7% 7/15/2028  | 97 | 98 |
| Ginnie Mae I Pool 7% 7/15/2028  | 74 | 74 |
| Ginnie Mae I Pool 7% 7/15/2028  | 46 | 47 |
| Ginnie Mae I Pool 7% 7/15/2028  | 45 | 46 |
| Ginnie Mae I Pool 7% 7/15/2028  | 38 | 39 |
| Ginnie Mae I Pool 7% 7/15/2028  | 35 | 35 |
| Ginnie Mae I Pool 7% 7/15/2028  | 34 | 34 |
| Ginnie Mae I Pool 7% 7/15/2028  | 28 | 28 |
| Ginnie Mae I Pool 7% 7/15/2028  | 17 | 17 |
| Ginnie Mae I Pool 7% 7/15/2029  | 415 | 423 |
| Ginnie Mae I Pool 7% 7/15/2029  | 189 | 194 |
| Ginnie Mae I Pool 7% 7/15/2029  | 141 | 143 |
| Ginnie Mae I Pool 7% 7/15/2029  | 92 | 94 |
| Ginnie Mae I Pool 7% 7/15/2029  | 15 | 15 |
| Ginnie Mae I Pool 7% 7/15/2030  | 664 | 677 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1766 | 1824 |
| Ginnie Mae I Pool 7% 7/15/2031  | 685 | 709 |
| Ginnie Mae I Pool 7% 7/15/2031  | 435 | 449 |
| Ginnie Mae I Pool 7% 7/15/2031  | 280 | 287 |
| Ginnie Mae I Pool 7% 7/15/2031  | 177 | 182 |
| Ginnie Mae I Pool 7% 7/15/2032  | 7296 | 7547 |
| Ginnie Mae I Pool 7% 7/15/2032  | 7211 | 7479 |
| Ginnie Mae I Pool 7% 7/15/2032  | 1144 | 1188 |
| Ginnie Mae I Pool 7% 7/15/2032  | 853 | 882 |
| Ginnie Mae I Pool 7% 7/15/2032  | 343 | 357 |
| Ginnie Mae I Pool 7% 7/15/2032  | 288 | 297 |
| Ginnie Mae I Pool 7% 7/15/2032  | 203 | 209 |
| Ginnie Mae I Pool 7% 7/15/2032  | 117 | 121 |
| Ginnie Mae I Pool 7% 8/15/2028  | 488 | 494 |
| Ginnie Mae I Pool 7% 8/15/2029  | 35 | 36 |
| Ginnie Mae I Pool 7% 8/15/2029  | 21 | 21 |
| Ginnie Mae I Pool 7% 8/15/2031  | 167 | 173 |
| Ginnie Mae I Pool 7% 8/15/2031  | 96 | 100 |
| Ginnie Mae I Pool 7% 8/15/2031  | 91 | 94 |
| Ginnie Mae I Pool 7% 8/15/2032  | 1493 | 1543 |
| Ginnie Mae I Pool 7% 8/15/2032  | 680 | 705 |
| Ginnie Mae I Pool 7% 8/15/2032  | 271 | 279 |
| Ginnie Mae I Pool 7% 8/15/2032  | 82 | 85 |
| Ginnie Mae I Pool 7% 8/15/2032  | 46 | 46 |
| Ginnie Mae I Pool 7% 9/15/2027  | 13 | 14 |
| Ginnie Mae I Pool 7% 9/15/2028  | 892 | 907 |
| Ginnie Mae I Pool 7% 9/15/2028  | 740 | 752 |
| Ginnie Mae I Pool 7% 9/15/2028  | 443 | 450 |
| Ginnie Mae I Pool 7% 9/15/2028  | 189 | 192 |
| Ginnie Mae I Pool 7% 9/15/2028  | 180 | 182 |
| Ginnie Mae I Pool 7% 9/15/2028  | 150 | 151 |
| Ginnie Mae I Pool 7% 9/15/2028  | 122 | 123 |
| Ginnie Mae I Pool 7% 9/15/2028  | 78 | 79 |
| Ginnie Mae I Pool 7% 9/15/2028  | 28 | 28 |
| Ginnie Mae I Pool 7% 9/15/2028  | 25 | 25 |
| Ginnie Mae I Pool 7% 9/15/2028  | 22 | 22 |
| Ginnie Mae I Pool 7% 9/15/2029  | 22 | 22 |
| Ginnie Mae I Pool 7% 9/15/2030  | 1285 | 1325 |
| Ginnie Mae I Pool 7% 9/15/2031  | 5112 | 5260 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1590 | 1645 |
| Ginnie Mae I Pool 7% 9/15/2031  | 658 | 681 |
| Ginnie Mae I Pool 7% 9/15/2031  | 556 | 576 |
| Ginnie Mae I Pool 7% 9/15/2031  | 409 | 423 |
| Ginnie Mae I Pool 7% 9/15/2031  | 219 | 226 |
| Ginnie Mae I Pool 7% 9/15/2031  | 165 | 170 |
| Ginnie Mae I Pool 7% 9/15/2031  | 45 | 46 |
| Ginnie Mae I Pool 7.5% 1/15/2028  | 133 | 134 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 91 | 95 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 29 | 30 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 317 | 320 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 268 | 272 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 26 | 26 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 18 | 18 |
| Ginnie Mae I Pool 7.5% 11/15/2025  | 12 | 12 |
| Ginnie Mae I Pool 7.5% 11/15/2025  | 12 | 12 |
| Ginnie Mae I Pool 7.5% 11/15/2025  | 4 | 3 |
| Ginnie Mae I Pool 7.5% 12/15/2026  | 2 | 1 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 129 | 131 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 104 | 106 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 42 | 43 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 12 | 13 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 6 | 5 |
| Ginnie Mae I Pool 7.5% 12/15/2028  | 84 | 86 |
| Ginnie Mae I Pool 7.5% 2/15/2027  | 29 | 30 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 100 | 102 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 108 | 109 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 48 | 48 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 34 | 34 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 26 | 27 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 9 | 9 |
| Ginnie Mae I Pool 7.5% 4/15/2028  | 8 | 7 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 61 | 62 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 2 | 1 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 232 | 235 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 57 | 58 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 24 | 25 |
| Ginnie Mae I Pool 7.5% 6/15/2029  | 7 | 6 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 273 | 277 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 132 | 133 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 127 | 129 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 99 | 100 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 42 | 43 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 16 | 16 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 12 | 12 |
| Ginnie Mae I Pool 7.5% 7/15/2028  | 513 | 526 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 846 | 876 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 84 | 87 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 153 | 155 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 55 | 55 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 32 | 32 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 19 | 19 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 14 | 14 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 260 | 267 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 43 | 44 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 317 | 323 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 29 | 30 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 16 | 17 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 12 | 12 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 9 | 9 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 309 | 317 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 174 | 177 |
| Ginnie Mae I Pool 7.5% 9/15/2031  | 752 | 782 |
| Ginnie Mae I Pool 8% 1/15/2028  | 188 | 191 |
| Ginnie Mae I Pool 8% 11/15/2027  | 38 | 39 |
| Ginnie Mae I Pool 8% 12/15/2027  | 188 | 191 |
| Ginnie Mae I Pool 8% 12/15/2027  | 67 | 68 |
| Ginnie Mae I Pool 8% 12/15/2027  | 56 | 56 |
| Ginnie Mae I Pool 8% 7/15/2027  | 63 | 63 |
| Ginnie Mae I Pool 8% 8/15/2027  | 26 | 27 |
| Ginnie Mae I Pool 8% 8/15/2027  | 18 | 18 |
| Ginnie Mae I Pool 8.5% 1/15/2031  | 862 | 896 |
| Ginnie Mae I Pool 8.5% 10/15/2028  | 135 | 137 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 73 | 74 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 19 | 19 |
| Ginnie Mae I Pool 8.5% 12/15/2029  | 50 | 51 |
| Ginnie Mae I Pool 8.5% 7/15/2030  | 72 | 74 |
| Ginnie Mae I Pool 8.5% 8/15/2029  | 62 | 64 |
| Ginnie Mae II Pool 2% 1/20/2051  | 240537227 | 197031331 |
| Ginnie Mae II Pool 2% 1/20/2052  | 10751662 | 8805333 |
| Ginnie Mae II Pool 2% 1/20/2054  | 369662 | 302455 |
| Ginnie Mae II Pool 2% 1/20/2054  | 366301 | 299676 |
| Ginnie Mae II Pool 2% 10/1/2055 (e) | 271950000 | 222570815 |
| Ginnie Mae II Pool 2% 10/20/2050  | 144203327 | 118098790 |
| Ginnie Mae II Pool 2% 10/20/2051  | 510260 | 418209 |
| Ginnie Mae II Pool 2% 11/20/2050  | 45185384 | 37012717 |
| Ginnie Mae II Pool 2% 11/20/2051  | 3155241 | 2586033 |
| Ginnie Mae II Pool 2% 11/20/2053  | 1090863 | 892536 |
| Ginnie Mae II Pool 2% 12/20/2050  | 61540662 | 50395396 |
| Ginnie Mae II Pool 2% 12/20/2051  | 1736351 | 1422027 |
| Ginnie Mae II Pool 2% 2/20/2051  | 10257593 | 8402305 |
| Ginnie Mae II Pool 2% 2/20/2052  | 29605662 | 24246271 |
| Ginnie Mae II Pool 2% 3/20/2051  | 3033466 | 2484804 |
| Ginnie Mae II Pool 2% 3/20/2052  | 102732325 | 84167217 |
| Ginnie Mae II Pool 2% 4/20/2051  | 4062403 | 3327637 |
| Ginnie Mae II Pool 2% 4/20/2052  | 21394490 | 17528219 |
| Ginnie Mae II Pool 2% 5/20/2051  | 109801 | 89941 |
| Ginnie Mae II Pool 2% 5/20/2052  | 1849816 | 1515529 |
| Ginnie Mae II Pool 2% 6/20/2051  | 466521 | 381995 |
| Ginnie Mae II Pool 2% 6/20/2054  | 395270 | 323407 |
| Ginnie Mae II Pool 2% 7/20/2051  | 2515621 | 2059835 |
| Ginnie Mae II Pool 2% 7/20/2053  | 1289465 | 1055031 |
| Ginnie Mae II Pool 2% 7/20/2054  | 756518 | 618977 |
| Ginnie Mae II Pool 2% 8/20/2051  | 978335 | 801078 |
| Ginnie Mae II Pool 2% 8/20/2053  | 534025 | 436936 |
| Ginnie Mae II Pool 2% 9/1/2055 (e) | 742475000 | 607805479 |
| Ginnie Mae II Pool 2% 9/20/2050  | 77632615 | 63615488 |
| Ginnie Mae II Pool 2% 9/20/2051  | 703729 | 576556 |
| Ginnie Mae II Pool 2.5% 1/20/2052  | 8915154 | 7596404 |
| Ginnie Mae II Pool 2.5% 11/20/2047  | 44475 | 38522 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 28818497 | 24555598 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 1607546 | 1370005 |
| Ginnie Mae II Pool 2.5% 3/20/2052  | 41609549 | 35461068 |
| Ginnie Mae II Pool 2.5% 4/20/2052  | 1375205 | 1171996 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 71770846 | 61165548 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 14346053 | 12223952 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 44136440 | 37607676 |
| Ginnie Mae II Pool 2.5% 9/1/2055 (e) | 381250000 | 324748293 |
| Ginnie Mae II Pool 3% 1/20/2032  | 4668509 | 4555379 |
| Ginnie Mae II Pool 3% 1/20/2043  | 1106461 | 1013418 |
| Ginnie Mae II Pool 3% 10/1/2055 (e) | 100000000 | 88546260 |
| Ginnie Mae II Pool 3% 10/20/2031  | 1537305 | 1500767 |
| Ginnie Mae II Pool 3% 10/20/2043  | 84930 | 77546 |
| Ginnie Mae II Pool 3% 11/20/2031  | 1639452 | 1599719 |
| Ginnie Mae II Pool 3% 12/20/2031  | 2489137 | 2429399 |
| Ginnie Mae II Pool 3% 12/20/2042  | 92248 | 84488 |
| Ginnie Mae II Pool 3% 12/20/2046  | 19135579 | 17187659 |
| Ginnie Mae II Pool 3% 2/20/2031  | 199781 | 195474 |
| Ginnie Mae II Pool 3% 3/20/2031  | 403155 | 394261 |
| Ginnie Mae II Pool 3% 3/20/2050  | 11636313 | 10339060 |
| Ginnie Mae II Pool 3% 4/20/2031  | 1503975 | 1470793 |
| Ginnie Mae II Pool 3% 4/20/2052  | 175137309 | 155215650 |
| Ginnie Mae II Pool 3% 5/20/2031  | 3213913 | 3142195 |
| Ginnie Mae II Pool 3% 5/20/2052  | 196631458 | 174264866 |
| Ginnie Mae II Pool 3% 7/20/2031  | 42120 | 41149 |
| Ginnie Mae II Pool 3% 8/20/2031  | 491110 | 479790 |
| Ginnie Mae II Pool 3% 8/20/2042  | 12831 | 11765 |
| Ginnie Mae II Pool 3% 9/1/2055 (e) | 200000000 | 177162840 |
| Ginnie Mae II Pool 3% 9/20/2031  | 197305 | 192709 |
| Ginnie Mae II Pool 3% 9/20/2043  | 3805 | 3473 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 40486 | 37685 |
| Ginnie Mae II Pool 3.5% 10/1/2055 (e) | 2575000 | 2337452 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 43633 | 40695 |
| Ginnie Mae II Pool 3.5% 10/20/2045  | 2179193 | 2021956 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 293599 | 275551 |
| Ginnie Mae II Pool 3.5% 11/20/2045  | 58352 | 54142 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 231882 | 218305 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 305329 | 286564 |
| Ginnie Mae II Pool 3.5% 12/20/2043  | 44836 | 41745 |
| Ginnie Mae II Pool 3.5% 12/20/2045  | 1206295 | 1119256 |
| Ginnie Mae II Pool 3.5% 12/20/2047  | 21517 | 19931 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 204935 | 191591 |
| Ginnie Mae II Pool 3.5% 2/20/2044  | 2439 | 2269 |
| Ginnie Mae II Pool 3.5% 2/20/2046  | 749754 | 695656 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 7285 | 6809 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 16890 | 15712 |
| Ginnie Mae II Pool 3.5% 3/20/2045  | 124972 | 115817 |
| Ginnie Mae II Pool 3.5% 3/20/2046  | 12244 | 11360 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 133403 | 124653 |
| Ginnie Mae II Pool 3.5% 4/20/2045  | 120092 | 111238 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 3356339 | 3121945 |
| Ginnie Mae II Pool 3.5% 5/20/2045  | 8590 | 7955 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 46108 | 42550 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 11787 | 10877 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 309433 | 288975 |
| Ginnie Mae II Pool 3.5% 7/20/2045  | 210837 | 195151 |
| Ginnie Mae II Pool 3.5% 7/20/2047  | 10246 | 9481 |
| Ginnie Mae II Pool 3.5% 7/20/2049  | 36403239 | 33537707 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 28372 | 26481 |
| Ginnie Mae II Pool 3.5% 8/20/2045  | 86544 | 80084 |
| Ginnie Mae II Pool 3.5% 9/1/2055 (e) | 5150000 | 4687175 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 118840 | 111771 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 1302031 | 1214460 |
| Ginnie Mae II Pool 3.5% 9/20/2045  | 35100 | 32471 |
| Ginnie Mae II Pool 3.5% 9/20/2046  | 1406911 | 1304077 |
| Ginnie Mae II Pool 4% 1/20/2041  | 507266 | 491669 |
| Ginnie Mae II Pool 4% 1/20/2042  | 56592 | 54743 |
| Ginnie Mae II Pool 4% 1/20/2045  | 1130760 | 1085738 |
| Ginnie Mae II Pool 4% 1/20/2046  | 25164 | 24065 |
| Ginnie Mae II Pool 4% 10/1/2055 (e) | 20575000 | 19182363 |
| Ginnie Mae II Pool 4% 10/20/2040  | 236955 | 229721 |
| Ginnie Mae II Pool 4% 10/20/2041  | 1076475 | 1041826 |
| Ginnie Mae II Pool 4% 10/20/2044  | 644352 | 618796 |
| Ginnie Mae II Pool 4% 10/20/2045  | 3977 | 3810 |
| Ginnie Mae II Pool 4% 11/20/2040  | 792073 | 767804 |
| Ginnie Mae II Pool 4% 11/20/2041  | 33508 | 32419 |
| Ginnie Mae II Pool 4% 11/20/2042  | 5904244 | 5701060 |
| Ginnie Mae II Pool 4% 11/20/2044  | 1381946 | 1326918 |
| Ginnie Mae II Pool 4% 12/20/2044  | 37604 | 36106 |
| Ginnie Mae II Pool 4% 12/20/2045  | 32611 | 31187 |
| Ginnie Mae II Pool 4% 2/20/2041  | 25230 | 24451 |
| Ginnie Mae II Pool 4% 2/20/2045  | 1189675 | 1142492 |
| Ginnie Mae II Pool 4% 3/20/2041  | 71191 | 68990 |
| Ginnie Mae II Pool 4% 3/20/2047  | 2345640 | 2238806 |
| Ginnie Mae II Pool 4% 4/20/2042  | 203091 | 196348 |
| Ginnie Mae II Pool 4% 4/20/2047  | 17560557 | 16760753 |
| Ginnie Mae II Pool 4% 5/20/2046  | 844620 | 807207 |
| Ginnie Mae II Pool 4% 6/20/2042  | 2939 | 2841 |
| Ginnie Mae II Pool 4% 6/20/2045  | 1505034 | 1443424 |
| Ginnie Mae II Pool 4% 7/20/2033  | 1081 | 1063 |
| Ginnie Mae II Pool 4% 7/20/2044  | 83026 | 79785 |
| Ginnie Mae II Pool 4% 7/20/2045  | 6380553 | 6115492 |
| Ginnie Mae II Pool 4% 8/20/2041  | 8469 | 8197 |
| Ginnie Mae II Pool 4% 8/20/2043  | 118818 | 114549 |
| Ginnie Mae II Pool 4% 8/20/2044  | 89857 | 86336 |
| Ginnie Mae II Pool 4% 8/20/2045  | 1754944 | 1681785 |
| Ginnie Mae II Pool 4% 8/20/2048  | 2877378 | 2732838 |
| Ginnie Mae II Pool 4% 9/1/2055 (e) | 41150000 | 38374367 |
| Ginnie Mae II Pool 4% 9/20/2040  | 319333 | 309571 |
| Ginnie Mae II Pool 4% 9/20/2045  | 3759 | 3601 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 70136 | 69771 |
| Ginnie Mae II Pool 4.5% 1/20/2045  | 21359 | 21126 |
| Ginnie Mae II Pool 4.5% 1/20/2055  | 4093418 | 3941561 |
| Ginnie Mae II Pool 4.5% 10/1/2055 (e) | 40175000 | 38662443 |
| Ginnie Mae II Pool 4.5% 10/20/2039  | 10345 | 10148 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 145845 | 143040 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 14852 | 14776 |
| Ginnie Mae II Pool 4.5% 10/20/2044  | 18315 | 18115 |
| Ginnie Mae II Pool 4.5% 11/20/2039  | 23719 | 23608 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 61161 | 59927 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 37453 | 37260 |
| Ginnie Mae II Pool 4.5% 11/20/2041  | 9000 | 8950 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 176697531 | 170266677 |
| Ginnie Mae II Pool 4.5% 12/20/2039  | 57796 | 56709 |
| Ginnie Mae II Pool 4.5% 12/20/2040  | 31805 | 31167 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 267820 | 266416 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 2843 | 2786 |
| Ginnie Mae II Pool 4.5% 2/20/2042  | 11999 | 11933 |
| Ginnie Mae II Pool 4.5% 2/20/2055  | 6888921 | 6633357 |
| Ginnie Mae II Pool 4.5% 3/20/2036  | 5166 | 5152 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 18224 | 18128 |
| Ginnie Mae II Pool 4.5% 3/20/2046  | 52848 | 52421 |
| Ginnie Mae II Pool 4.5% 4/20/2035  | 108201 | 107935 |
| Ginnie Mae II Pool 4.5% 4/20/2040  | 27370 | 26835 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 152133 | 151328 |
| Ginnie Mae II Pool 4.5% 4/20/2055  | 43567851 | 41951580 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 19253 | 19159 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 769452 | 765348 |
| Ginnie Mae II Pool 4.5% 5/20/2042  | 156891 | 156052 |
| Ginnie Mae II Pool 4.5% 5/20/2043  | 4596 | 4572 |
| Ginnie Mae II Pool 4.5% 5/20/2046  | 29200 | 28963 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 3821 | 3813 |
| Ginnie Mae II Pool 4.5% 6/20/2039  | 11415 | 11205 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 26609 | 26110 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 501690 | 498971 |
| Ginnie Mae II Pool 4.5% 6/20/2043  | 9398 | 9349 |
| Ginnie Mae II Pool 4.5% 6/20/2044  | 19083 | 18957 |
| Ginnie Mae II Pool 4.5% 6/20/2055  | 1940005 | 1868035 |
| Ginnie Mae II Pool 4.5% 7/20/2039  | 2414 | 2392 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 29711 | 29563 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 2340 | 2296 |
| Ginnie Mae II Pool 4.5% 8/20/2040  | 3324 | 3308 |
| Ginnie Mae II Pool 4.5% 9/20/2039  | 44165 | 43961 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 164118 | 163284 |
| Ginnie Mae II Pool 4.5% 9/20/2046  | 7922 | 7873 |
| Ginnie Mae II Pool 5% 1/20/2054  | 802120 | 796096 |
| Ginnie Mae II Pool 5% 1/20/2055  | 109397455 | 108259591 |
| Ginnie Mae II Pool 5% 10/1/2055 (e) | 90200000 | 89167201 |
| Ginnie Mae II Pool 5% 11/20/2054  | 78111051 | 77323012 |
| Ginnie Mae II Pool 5% 12/20/2054  | 15323339 | 15163958 |
| Ginnie Mae II Pool 5% 12/20/2054  | 4211963 | 4173748 |
| Ginnie Mae II Pool 5% 2/20/2054  | 48340 | 47947 |
| Ginnie Mae II Pool 5% 5/20/2055  | 68092151 | 67383910 |
| Ginnie Mae II Pool 5% 6/20/2048  | 2617471 | 2639528 |
| Ginnie Mae II Pool 5% 9/1/2055 (e) | 180400000 | 178475348 |
| Ginnie Mae II Pool 5% 9/20/2033  | 113287 | 114689 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 3419635 | 3468772 |
| Ginnie Mae II Pool 5.5% 10/1/2055 (e) | 445075000 | 447958596 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 13105552 | 13208886 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 4137634 | 4211311 |
| Ginnie Mae II Pool 5.5% 2/20/2055  | 700000 | 705519 |
| Ginnie Mae II Pool 5.5% 3/20/2055  | 3513001 | 3540700 |
| Ginnie Mae II Pool 5.5% 4/20/2055  | 25000 | 25197 |
| Ginnie Mae II Pool 5.5% 6/20/2055  | 2927619 | 2950702 |
| Ginnie Mae II Pool 5.5% 7/20/2055  | 6124898 | 6173191 |
| Ginnie Mae II Pool 5.5% 8/20/2054  | 14702190 | 14821558 |
| Ginnie Mae II Pool 5.5% 9/1/2055 (e) | 789150000 | 794971797 |
| Ginnie Mae II Pool 6% 10/1/2055 (e) | 435500000 | 443781163 |
| Ginnie Mae II Pool 6% 11/20/2031  | 3156 | 3250 |
| Ginnie Mae II Pool 6% 12/20/2054  | 58778571 | 59934645 |
| Ginnie Mae II Pool 6% 5/20/2032  | 14894 | 15372 |
| Ginnie Mae II Pool 6% 9/1/2055 (e) | 856650000 | 873742653 |
| Ginnie Mae II Pool 6.5% 1/20/2032  | 136 | 141 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 557 | 577 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 706 | 728 |
| Ginnie Mae II Pool 6.5% 4/20/2031  | 86 | 89 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 74208986 | 76436228 |
| Ginnie Mae II Pool 6.5% 6/20/2031  | 81 | 83 |
| Ginnie Mae II Pool 6.5% 7/20/2031  | 101 | 104 |
| Ginnie Mae II Pool 6.5% 8/20/2031  | 97 | 100 |
| Ginnie Mae II Pool 7% 2/20/2032  | 5261 | 5482 |
| Ginnie Mae II Pool 7% 3/20/2032  | 2569 | 2678 |
| Uniform Mortgage Backed Securities 2% 10/1/2055 (e) | 1731525000 | 1375074476 |
| Uniform Mortgage Backed Securities 2% 9/1/2055 (e) | 2591175000 | 2057352528 |
| Uniform Mortgage Backed Securities 2.5% 10/1/2055 (e) | 180575000 | 149933680 |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 (e) | 348525000 | 289343817 |
| Uniform Mortgage Backed Securities 3% 9/1/2055 (e) | 28000000 | 24259374 |
| Uniform Mortgage Backed Securities 3.5% 10/1/2055 (e) | 160800000 | 145228787 |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 (e) | 289225000 | 261330608 |
| Uniform Mortgage Backed Securities 4% 10/1/2055 (e) | 81600000 | 76130246 |
| Uniform Mortgage Backed Securities 4% 9/1/2055 (e) | 152300000 | 142144682 |
| Uniform Mortgage Backed Securities 4.5% 10/1/2055 (e) | 51625000 | 49618481 |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 (e) | 179125000 | 172295859 |
| Uniform Mortgage Backed Securities 5% 9/1/2040 (e) | 15900000 | 16064590 |
| Uniform Mortgage Backed Securities 5% 9/1/2055 (e) | 11750000 | 11587977 |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 (e) | 306600000 | 308396492 |
| Uniform Mortgage Backed Securities 6% 10/1/2055 (e) | 38150000 | 38945786 |
| Uniform Mortgage Backed Securities 6% 9/1/2055 (e) | 126400000 | 129145256 |
| Uniform Mortgage Backed Securities 6.5% 9/1/2055 (e) | 148425000 | 153799603 |
| TOTAL UNITED STATES |  | 20790113142 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $21,076,905,521) |  | <br> **20790113142** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Short-Term Funds - 0.7%** | &nbsp;&nbsp;**Short-Term Funds - 0.7%** | &nbsp;&nbsp;**Short-Term Funds - 0.7%** |
|  | Shares | Value ($)<br>|
| Fidelity SAI Short-Term Bond Fund (n)<br>(Cost $571,544,162)<br>| 59728703 | **584744007** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 14.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.0%** |
|  | Yield (%) (v) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.125% 8/15/2040 (t) | 4.51 | 3500000 | 2154688 |
| US Treasury Bonds 1.75% 8/15/2041  | 3.82 | 13264000 | 8786364 |
| US Treasury Bonds 1.875% 2/15/2041  | 3.79 | 7454500 | 5122930 |
| US Treasury Bonds 2% 11/15/2041  | 3.83 | 19304500 | 13236402 |
| US Treasury Bonds 2.25% 2/15/2052  | 2.99 to 3.67 | 70500000 | 42143028 |
| US Treasury Bonds 2.25% 8/15/2046  | 4.78 to 4.92 | 830000 | 537748 |
| US Treasury Bonds 2.375% 5/15/2051  | 2.35 to 2.40 | 488726000 | 303678301 |
| US Treasury Bonds 2.875% 5/15/2052  | 2.96 to 3.67 | 409400000 | 282310085 |
| US Treasury Bonds 3.625% 2/15/2053  | 3.73 to 3.90 | 244816000 | 195957995 |
| US Treasury Bonds 3.625% 5/15/2053  | 4.31 | 2100000 | 1679098 |
| US Treasury Bonds 4% 11/15/2052  | 4.95 to 5.00 | 177678000 | 152483814 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.70 | 1300000 | 1180918 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.36 to 5.10 | 424900000 | 372136050 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.52 to 4.79 | 166600000 | 149054938 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.51 to 4.64 | 152050000 | 136037234 |
| US Treasury Bonds 4.375% 8/15/2043  | 5.28 | 358000 | 338505 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.56 to 4.82 | 75198700 | 70196224 |
| US Treasury Bonds 4.5% 2/15/2044  | 4.45 to 4.72 | 2975000 | 2851584 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.52 to 5.12 | 191130000 | 185411031 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.52 to 4.95 | 155995900 | 148683592 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.57 to 4.72 | 1535000 | 1493147 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.55 to 4.65 | 54200000 | 51636086 |
| US Treasury Bonds 4.75% 11/15/2053  | 4.77 to 4.79 | 120000000 | 116653126 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.76 to 5.00 | 334177000 | 325091563 |
| US Treasury Bonds 4.75% 8/15/2045  | 4.74 | 7500000 | 7508203 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.88 to 4.95 | 356090000 | 346520081 |
| US Treasury Bonds 5% 5/15/2045  | 4.89 | 37000000 | 37618594 |
| US Treasury Bonds 6.25% 5/15/2030  | 4.41 to 4.46 | 5440000 | 6036275 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.58 to 2.66 | 48351006 | 45762824 |
| US Treasury Notes 2.75% 8/15/2032  | 3.61 to 4.16 | 125847100 | 116846082 |
| US Treasury Notes 3.375% 5/15/2033  | 3.82 to 3.97 | 221200000 | 212015015 |
| US Treasury Notes 3.375% 9/15/2027  | 3.48 | 5630000 | 5603609 |
| US Treasury Notes 3.5% 1/31/2030  | 3.59 to 4.12 | 171800000 | 170652429 |
| US Treasury Notes 3.5% 2/15/2033  | 3.91 to 4.34 | 260524000 | 252525100 |
| US Treasury Notes 3.5% 4/30/2030  | 3.75 | 143600000 | 142494953 |
| US Treasury Notes 3.625% 3/31/2030  | 3.46 to 3.75 | 92438400 | 92236191 |
| US Treasury Notes 3.625% 8/15/2028  | 3.58 | 118633800 | 118791360 |
| US Treasury Notes 3.625% 8/31/2030  | 3.69 | 52620000 | 52459673 |
| US Treasury Notes 3.625% 9/30/2031  | 3.66 to 4.49 | 428584700 | 423763122 |
| US Treasury Notes 3.75% 4/15/2028  | 3.69 | 60280000 | 60510759 |
| US Treasury Notes 3.75% 5/15/2028  | 3.83 to 3.99 | 14677900 | 14738840 |
| US Treasury Notes 3.75% 5/31/2030  | 3.85 to 4.00 | 210000000 | 210557813 |
| US Treasury Notes 3.75% 8/15/2027  | 3.89 | 2290000 | 2294562 |
| US Treasury Notes 3.75% 8/31/2031  | 3.59 to 3.64 | 51900000 | 51695238 |
| US Treasury Notes 3.875% 12/31/2027 (s) | 4.36 | 12621500 | 12697720 |
| US Treasury Notes 3.875% 3/15/2028  | 3.57 to 3.88 | 117825400 | 118663066 |
| US Treasury Notes 3.875% 4/30/2030  | 3.87 to 4.00 | 27500000 | 27733105 |
| US Treasury Notes 3.875% 6/30/2030  | 3.93 to 3.98 | 224000000 | 225837499 |
| US Treasury Notes 3.875% 7/15/2028  | 3.89 | 61166700 | 61639787 |
| US Treasury Notes 3.875% 8/15/2033  | 4.59 to 4.90 | 104833500 | 103736024 |
| US Treasury Notes 3.875% 8/15/2034  | 3.64 to 4.27 | 1056840000 | 1036198648 |
| US Treasury Notes 4% 1/31/2029  | 3.87 | 4350000 | 4404545 |
| US Treasury Notes 4% 2/15/2034  | 4.19 to 4.67 | 39379200 | 39148462 |
| US Treasury Notes 4% 2/28/2030  | 3.51 to 3.52 | 215900000 | 218927661 |
| US Treasury Notes 4% 4/30/2032  | 4.06 to 4.29 | 204580000 | 205762728 |
| US Treasury Notes 4% 6/30/2032  | 4.12 to 4.17 | 82300000 | 82724359 |
| US Treasury Notes 4% 7/31/2032  | 3.99 to 4.15 | 372854600 | 374544097 |
| US Treasury Notes 4.125% 10/31/2031  | 4.26 | 1100000 | 1116801 |
| US Treasury Notes 4.125% 11/15/2032  | 3.86 | 68157900 | 68919352 |
| US Treasury Notes 4.125% 11/30/2029  | 4.11 | 1315000 | 1339091 |
| US Treasury Notes 4.125% 11/30/2031  | 4.55 | 110000000 | 111632813 |
| US Treasury Notes 4.125% 3/31/2032  | 3.88 | 85700000 | 86854941 |
| US Treasury Notes 4.125% 5/31/2032  | 3.99 to 4.23 | 338481000 | 342747925 |
| US Treasury Notes 4.125% 7/31/2031 (s) | 3.75 to 4.03 | 653225000 | 663932012 |
| US Treasury Notes 4.125% 8/31/2030  | 3.72 to 4.64 | 178534000 | 181888486 |
| US Treasury Notes 4.25% 1/15/2028  | 3.99 to 4.40 | 43000500 | 43623671 |
| US Treasury Notes 4.25% 1/31/2030  | 3.71 to 4.48 | 49495300 | 50661146 |
| US Treasury Notes 4.25% 11/15/2034  | 4.19 to 4.63 | 535086000 | 538597502 |
| US Treasury Notes 4.25% 2/28/2029  | 4.14 to 4.29 | 2300000 | 2348066 |
| US Treasury Notes 4.25% 2/28/2031  | 3.64 to 4.69 | 76182300 | 78018412 |
| US Treasury Notes 4.25% 5/15/2035  | 4.24 to 4.48 | 172912200 | 173452551 |
| US Treasury Notes 4.25% 6/30/2031  | 4.45 | 2500000 | 2557715 |
| US Treasury Notes 4.25% 8/15/2035  | 4.22 to 4.28 | 20000000 | 20040625 |
| US Treasury Notes 4.375% 1/31/2032  | 4.17 to 4.56 | 100768900 | 103587280 |
| US Treasury Notes 4.375% 11/30/2030  | 4.35 to 4.37 | 41344800 | 42593219 |
| US Treasury Notes 4.375% 12/31/2029  | 4.39 | 1400000 | 1439648 |
| US Treasury Notes 4.375% 5/15/2034  | 3.71 to 4.49 | 105436400 | 107495705 |
| US Treasury Notes 4.5% 11/15/2033  | 3.92 to 4.45 | 600173200 | 618881728 |
| US Treasury Notes 4.5% 12/31/2031  | 4.43 to 4.44 | 106500000 | 110269101 |
| US Treasury Notes 4.5% 5/31/2029  | 4.37 | 190000 | 195745 |
| US Treasury Notes 4.625% 2/15/2035  | 4.16 to 4.53 | 272085400 | 281395836 |
| US Treasury Notes 4.625% 4/30/2029  | 4.44 to 4.72 | 4210000 | 4353732 |
| US Treasury Notes 4.625% 5/31/2031  | 3.59 to 4.50 | 68208500 | 71099368 |
| US Treasury Notes 4.625% 9/30/2028  | 4.70 to 4.95 | 97500000 | 100413574 |
| US Treasury Notes 4.625% 9/30/2030  | 4.72 to 5.00 | 156000000 | 162495937 |
| US Treasury Notes 4.75% 2/15/2045  | 4.42 to 4.97 | 137660000 | 135616609 |
| US Treasury Notes 4.875% 10/31/2030  | 4.48 to 4.91 | 205200000 | 216165375 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $12,101,851,817) |  |  | **11775236841** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.7%** | &nbsp;&nbsp;**Money Market Funds - 2.7%** | &nbsp;&nbsp;**Money Market Funds - 2.7%** | &nbsp;&nbsp;**Money Market Funds - 2.7%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (w) | 4.36 | 1251770552 | 1252020906 |
| Fidelity Investments Money Market Government Portfolio - Institutional Class (n)(x) | 4.25 | 993827191 | 993827191 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $2,245,848,058) |  |  | **2245848097** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.805% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/5/2029 | 13900000 | 501515 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.025% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/2030 | 108700000 | 3831928 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.08% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 63730000 | 2184555 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.95% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/2030 | 25780000 | 945216 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 10870000 | 377737 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 71330000 | 2553967 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/10/2026 | 87870000 | 2236501 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.795% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 10/30/2029 | 10100000 | 364621 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.753% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 10/31/2029 | 67800000 | 2507562 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 81400000 | 2860561 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.146% and receive annually a floating rate based on US SOFR Index, expiring August 2035 | 7/30/2030 | 22330000 | 772301 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.837% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/22/2026 | 64790000 | 1500349 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.53% and receive annually a floating rate based on US SOFR Index, expiring August 2034 | 8/1/2029 | 67400000 | 2678868 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9025% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/2026 | 15330000 | 238295 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 35000000 | 710734 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.804% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/25/2026 | 21280000 | 554390 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.075% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 68910000 | 2369384 |
| TOTAL PUT SWAPTIONS |  |  | 27188484 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.805% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/5/2029 | 13900000 | 414989 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.025% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/2030 | 108700000 | 3717501 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.08% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 63730000 | 2252274 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.95% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/2030 | 25780000 | 839960 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 10870000 | 380661 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 71330000 | 2417475 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/10/2026 | 87870000 | 2600155 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.795% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/30/2029 | 10100000 | 299004 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.753% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/31/2029 | 67800000 | 1953010 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 81400000 | 2783297 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.146% and pay anually a floating rate based on US SOFR Index, expiring August 2035 | 7/30/2030 | 22330000 | 810085 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.837% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/22/2026 | 64790000 | 1999896 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.53% and pay annually a floating rate based on US SOFR Index, expiring August 2034 | 8/1/2029 | 67400000 | 1654074 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9025% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/2026 | 15330000 | 476598 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 35000000 | 1174386 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.804% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/25/2026 | 21280000 | 639620 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.075% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 68910000 | 2429230 |
| TOTAL CALL SWAPTIONS |  |  | 26842215 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $62,435,161) |  |  | <br> **54030699** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 111.7%**<br> (Cost $96,678,377,588)<br>| <br>**94127164336** |
| **NET OTHER ASSETS (LIABILITIES) - (11.7)%**  | **(9838742396)** |
| **NET ASSETS - 100.0%** | **84288421940** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 9/1/2055 | (543900000) | (445247853) |
| Ginnie Mae II Pool 3% 9/1/2055 | (200000000) | (177162840) |
| Ginnie Mae II Pool 3.5% 9/1/2055 | (5150000) | (4687175) |
| Ginnie Mae II Pool 4% 9/1/2055 | (41150000) | (38374367) |
| Ginnie Mae II Pool 4.5% 9/1/2055 | (40175000) | (38681273) |
| Ginnie Mae II Pool 5% 9/1/2055 | (180400000) | (178475348) |
| Ginnie Mae II Pool 5.5% 9/1/2055 | (786350000) | (792151141) |
| Ginnie Mae II Pool 6% 9/1/2055 | (673875000) | (687320760) |
| Uniform Mortgage Backed Securities 2% 9/1/2055 | (2483325000) | (1971721310) |
| Uniform Mortgage Backed Securities 2.5% 9/1/2055 | (298925000) | (248166130) |
| Uniform Mortgage Backed Securities 3% 9/1/2055 | (69925000) | (60583454) |
| Uniform Mortgage Backed Securities 3.5% 9/1/2055 | (256200000) | (231490714) |
| Uniform Mortgage Backed Securities 4% 10/1/2055 | (54450000) | (50800146) |
| Uniform Mortgage Backed Securities 4% 9/1/2055 | (152300000) | (142144682) |
| Uniform Mortgage Backed Securities 4.5% 9/1/2055 | (179125000) | (172295859) |
| Uniform Mortgage Backed Securities 5% 9/1/2040 | (15900000) | (16064590) |
| Uniform Mortgage Backed Securities 5.5% 9/1/2055 | (101100000) | (101692385) |
| Uniform Mortgage Backed Securities 6% 9/1/2055 | (107900000) | (110243459) |
| Uniform Mortgage Backed Securities 6.5% 9/1/2055 | (30250000) | (31345380) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (5498648866) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $5,465,801,097) |  | <br> **(5498648866)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 29 | 9/15/2025 | 2157911 | 1118 | 1118 |
| CBOT 10Y US Treasury Notes Contracts (United States) | 269 | 12/19/2025 | 30266703 | 111696 | 111696 |
| CBOT 10Y US Treasury Ultra Notes Contracts (United States) | 536 | 12/19/2025 | 61330125 | 273217 | 273217 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 8249 | 12/31/2025 | 1720625398 | 3014392 | 3014392 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 616 | 12/31/2025 | 67452000 | 327305 | 327305 |
| CBOT US Treasury Long Bond Contracts (United States) | 577 | 12/19/2025 | 65958313 | 227238 | 227238 |
| Eurex Euro-Bobl Contracts (Germany) | 30 | 9/8/2025 | 4122494 | 1054 | 1054 |
| TME 10Y Canadian Bond Contacts (Canada) | 52 | 12/18/2025 | 4562945 | 28648 | 28648 |
| TOTAL PURCHASED |  |  |  |  | 3984668 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 4320 | 12/19/2025 | 486067500 | (2775578) | (2775578) |
| CBOT 5Y US Treasury Notes Contracts (United States) | 2889 | 12/31/2025 | 316345500 | (1508010) | (1508010) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 74 | 12/19/2025 | 8616375 | 32226 | 32226 |
| ICE United Kingdom of Great Britain and Northern Ireland Contracts (United Kingdom) | 19 | 12/29/2025 | 2324590 | (4376) | (4376) |
| TOTAL SOLD |  |  |  |  | (4255738) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(271070)** |
| The notional amount of futures purchased as a percentage of Net Assets is 2.3% | The notional amount of futures purchased as a percentage of Net Assets is 2.3% | The notional amount of futures purchased as a percentage of Net Assets is 2.3% | The notional amount of futures purchased as a percentage of Net Assets is 2.3% | The notional amount of futures purchased as a percentage of Net Assets is 2.3% | The notional amount of futures purchased as a percentage of Net Assets is 2.3% |
| The notional amount of futures sold as a percentage of Net Assets is 1.0% | The notional amount of futures sold as a percentage of Net Assets is 1.0% | The notional amount of futures sold as a percentage of Net Assets is 1.0% | The notional amount of futures sold as a percentage of Net Assets is 1.0% | The notional amount of futures sold as a percentage of Net Assets is 1.0% | The notional amount of futures sold as a percentage of Net Assets is 1.0% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| EUR | 236000 | USD | 275739 | BNP Paribas SA | 10/3/2025 | 890 |
| EUR | 175000 | USD | 206259 | BNP Paribas SA | 10/3/2025 | (1132) |
| EUR | 293000 | USD | 342550 | BNP Paribas SA | 10/3/2025 | 892 |
| EUR | 3844000 | USD | 4447873 | Goldman Sachs Bank USA | 10/3/2025 | 57895 |
| EUR | 1154000 | USD | 1349194 | JPMorgan Chase Bank NA | 10/3/2025 | 3474 |
| EUR | 278000 | USD | 325505 | Royal Bank of Canada | 10/3/2025 | 354 |
| EUR | 647000 | USD | 756604 | Royal Bank of Canada | 10/3/2025 | 1781 |
| GBP | 427000 | USD | 577286 | Bank of America NA | 10/3/2025 | 12 |
| GBP | 275000 | USD | 372809 | JPMorgan Chase Bank NA | 10/3/2025 | (1012) |
| USD | 18302 | AUD | 28000 | BNP Paribas SA | 10/3/2025 | (32) |
| USD | 1162250 | AUD | 1767000 | Citibank NA | 10/3/2025 | 5228 |
| USD | 17608 | CAD | 24000 | BNP Paribas SA | 10/3/2025 | 108 |
| USD | 5720805 | CAD | 7735000 | JPMorgan Chase Bank NA | 10/3/2025 | 80451 |
| USD | 129869 | CAD | 179000 | JPMorgan Chase Bank NA | 10/3/2025 | (658) |
| USD | 680913 | EUR | 582000 | BNP Paribas SA | 10/3/2025 | (1281) |
| USD | 166416385 | EUR | 140655000 | BNP Paribas SA | 10/3/2025 | 1546782 |
| USD | 464640 | EUR | 400000 | BNP Paribas SA | 10/3/2025 | (4223) |
| USD | 1133366 | EUR | 969000 | Bank of America NA | 10/3/2025 | (2453) |
| USD | 1065215 | EUR | 900000 | Bank of America NA | 10/3/2025 | 10274 |
| USD | 526018 | EUR | 453000 | Goldman Sachs Bank USA | 10/3/2025 | (4969) |
| USD | 3389453 | EUR | 2950000 | JPMorgan Chase Bank NA | 10/3/2025 | (68407) |
| USD | 112972 | EUR | 98000 | JPMorgan Chase Bank NA | 10/3/2025 | (1899) |
| USD | 690035 | EUR | 586000 | JPMorgan Chase Bank NA | 10/3/2025 | 3152 |
| USD | 1021492 | GBP | 757000 | BNP Paribas SA | 10/3/2025 | (1962) |
| USD | 222246 | GBP | 167000 | BNP Paribas SA | 10/3/2025 | (3536) |
| USD | 45156182 | GBP | 33076000 | BNP Paribas SA | 10/3/2025 | 437861 |
| USD | 1151528 | JPY | 165350000 | JPMorgan Chase Bank NA | 10/3/2025 | 22604 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **2080194** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 2171758 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (91564) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| BMW Finance NV 0.75% 7/13/2026 |  | 6/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 4300000 | (116187) | 79974 | (36213) |
| Generali 4.125% 5/4/2026 |  | 6/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 2000000 | (17306) | (6987) | (24293) |
| Societe Generale SA 5.25% 9/6/2032 |  | 6/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1800000 | 17517 | (14332) | 3185 |
| Deutsche Bank AG 5.625% 5/19/2031 |  | 6/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1500000 | 18491 | (36931) | (18440) |
| Allianz SE 2.121% 7/8/2050 |  | 12/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 2700000 | (36965) | 32025 | (4940) |
| Aviva PLC 6.125% 11/14/2036 |  | 12/20/2030 | Citibank NA | (1%) | Quarterly | EUR | 2100000 | (2315) | 604 | (1711) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 420000 | 67162 | (107096) | (39934) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 230000 | 36779 | (64417) | (27638) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 360000 | 57567 | (99771) | (42204) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 876000 | 140080 | (198177) | (58097) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 770000 | 123130 | (191191) | (68061) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 810000 | 129526 | (152432) | (22906) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 400000 | 63964 | (63921) | 43 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 2400000 | 159520 | (95852) | 63668 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 2900000 | 192753 | (110240) | 82513 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 2500000 | 166166 | (95034) | 71132 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 700000 | 46527 | (26970) | 19557 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 3300000 | 219340 | (350638) | (131298) |
| CMBX BB Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (5%) | Monthly |  | 2800000 | 330202 | (415352) | (85150) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 1100000 | 73113 | (107576) | (34463) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 4100000 | 272513 | (294816) | (22303) |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 |  | 6/20/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 1900000 | (9899) | (12303) | (22202) |
| Commerzbank AG 4% 12/5/2030 |  | 12/20/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 1750000 | 24486 | (21993) | 2493 |
| Heidelberg Materials AG 3.75% 5/31/2032 |  | 12/20/2030 | JPMorgan Chase Bank NA | (5%) | Quarterly | EUR | 2130000 | (550075) | 522324 | (27751) |
| UniCredit SpA 5.375% 4/16/2034 |  | 6/20/2030 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 1800000 | (836) | (16558) | (17394) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 1080000 | 172702 | (299428) | (126726) |
| CMBX BB Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 300000 | 35379 | (19875) | 15504 |
| CMBX BB Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 600000 | 70758 | (42555) | 28203 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (3%) | Monthly |  | 2000000 | 132933 | (98642) | 34291 |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 19040000 | (67798) | (296672) | (364470) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 17700000 | (63026) | (114963) | (177989) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 1730000 | 276642 | (424344) | (147702) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 1146000 | 183255 | (274760) | (91505) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 220000 | 35180 | (53007) | (17827) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 190000 | 30383 | (43577) | (13194) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 500000 | 79954 | (111597) | (31643) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 700000 | 111936 | (114404) | (2468) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 2800000 | 186106 | (107877) | 78229 |
| CMBX BB Series 18 Index |  | 12/17/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 1150000 | 135619 | (168443) | (32824) |
| CMBX BB Series 18 Index |  | 12/17/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 2100000 | 247651 | (301661) | (54010) |
| CMBX BBB- Series 17 Index |  | 12/15/2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 300000 | 37830 | (43437) | (5607) |
| CMBX BBB- Series 17 Index |  | 12/15/2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 400000 | 50440 | (57480) | (7040) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 6830000 | (24320) | (88226) | (112546) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 2780000 | (9899) | (24279) | (34178) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 16080000 | (57258) | (168229) | (225487) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 870000 | 139121 | (221957) | (82836) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 7020000 | 1122560 | (2051746) | (929186) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 240000 | 38378 | (66508) | (28130) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 1590000 | 254255 | (344155) | (89900) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 1100000 | 175900 | (293262) | (117362) |
| CMBX BBB Series 15 Index |  | 11/18/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 200000 | 28243 | (29392) | (1149) |
| CMBX BBB Series 15 Index |  | 11/18/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 2500000 | 353042 | (372537) | (19495) |
| CMBX AAA Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 16800000 | (11214) | 8556 | (2658) |
| CMBX AAA Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 2400000 | (1602) | 1358 | (244) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 500000 | 33233 | (19553) | 13680 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 5300000 | 352273 | (191841) | 160432 |
| CMBX BBB Series 15 Index |  | 11/18/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 1800000 | 254190 | (286944) | (32754) |
| CMBX AAA Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 11300000 | (7543) | (20972) | (28515) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 4300000 | 285806 | (319095) | (33289) |
| CMBX BBB- Series 17 Index |  | 12/15/2056 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 100000 | 12610 | (13147) | (537) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | 5998972 | (8922311) | (2923339) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 15 Index | NR | 11/18/2064 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 5649628 | (18858) | 146221 | 127363 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 5400000 | (72479) | 118134 | 45655 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 23400000 | (314075) | 570068 | 255993 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 1400000 | (18791) | 25280 | 6489 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 11300000 | (151669) | 277419 | 125750 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 9800000 | (131536) | 265460 | 133924 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 3000000 | (40266) | 91536 | 51270 |
| CMBX AAA Series 16 Index | NR | 4/17/2065 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 18298794 | (151183) | 222919 | 71736 |
| CMBX AAA Series 12 Index | NR | 8/17/2061 | JPMorgan Securities LLC | 0.5% | Monthly |  | 2000000 | 10222 | 8413 | 18635 |
| CMBX BBB- Series 17 Index | NR | 12/15/2056 | JPMorgan Securities LLC | 3% | Monthly |  | 1200000 | (152788) | 153188 | 400 |
| CMBX BBB- Series 17 Index | NR | 12/15/2056 | JPMorgan Securities LLC | 3% | Monthly |  | 2900000 | (372408) | 373375 | 967 |
| CMBX AAA Series 13 Index | NR | 12/16/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 29580000 | 105328 | 653059 | 758387 |
| CMBX AAA Series 13 Index | NR | 12/16/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 32850000 | 116972 | 745858 | 862830 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 6000000 | (80532) | 122995 | 42463 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 500000 | (6711) | 7972 | 1261 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 5900000 | (79190) | 88437 | 9247 |
| CMBX AAA Series 15 Index | NR | 11/18/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 10419313 | (34780) | 101061 | 66281 |
| CMBX AAA Series 15 Index | NR | 11/18/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 7449509 | (24866) | 99009 | 74143 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1300000 | (17449) | 31648 | 14199 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 700000 | (9395) | 14186 | 4791 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 11200000 | (150326) | 189074 | 38748 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 700000 | (9395) | 10947 | 1552 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 7050000 | (94625) | 110255 | 15630 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1900000 | (25502) | 25355 | (147) |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 22300000 | (299311) | 347073 | 47762 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 8500000 | (114087) | 157965 | 43878 |
| CMBX AAA Series 16 Index | NR | 4/17/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 599960 | (4957) | 9548 | 4591 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 2900000 | (38924) | 49635 | 10711 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 8200000 | (110060) | 140447 | 30387 |
| CMBX AAA Series 16 Index | NR | 4/17/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 8489440 | (70139) | 103541 | 33402 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | (2361780) | 5260078 | 2898298 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **3637192** | **(3662233)** | **(25041)** |

---

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

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| 3.5% | Annual | U.S. SOFR Index(4) | Annual | LCH | 9/17/2055 | 3297000 | (14776) | 0 | (14776) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2032 | 207459000 | (1881340) | 0 | (1881340) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2028 | 1152213000 | (10034585) | 0 | (10034585) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2027 | 692560000 | (3061042) | 0 | (3061042) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2029 | 464564000 | (5325762) | 0 | (5325762) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2034 | 104000 | (1962) | 0 | (1962) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2037 | 105000 | (1736) | 0 | (1736) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2040 | 104000 | (1397) | 0 | (1397) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 9/17/2045 | 206966000 | (1347931) | 0 | (1347931) |
| 3.75% | Annual | U.S. SOFR Index(4) | Annual | LCH | 9/17/2026 | 104000 | 130 | 0 | 130 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(21670401)** | **0** | **(21670401)** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

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

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

(4)Represents floating rate.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| CAD | - | Canadian Dollar |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| JPY | - | Japanese Yen |
| USD | - | United States Dollar |

---

**Legend**

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

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

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

(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $7,127,818,330 or 8.5% of net assets.

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

(f) Level 3 security

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

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

(i) A coupon rate of 0% signifies an unsettled loan. The coupon rate will be determined upon settlement of the loan after period end.

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

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

(l) Principal Only Strips represent the right to receive the monthly principal payments.

(m) Non-income producing.

(n) Affiliated Fund

(o) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $196,523,796 or 0.2% of net assets.

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

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

(r) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $68,766,556.

(s) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $18,529,739.

(t) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $8,420,667.

(u) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $129,333.

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

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

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 1524758697 | 2886273039 | 3159010830 | 13698187 | - | - | 1252020906 | 1251770552 | 2.4% |
| Fidelity Securities Lending Cash Central Fund | - | 216081259 | 216081259 | 6320 | - | - | - | - | 0.0% |
| Total | 1524758697 | 3102354298 | 3375092089 | 13704507 | - | - | 1252020906 |  |  |

---

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

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

**Affiliated Underlying Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Advisor Floating Rate High Income Fund - Class Z | 1073870624 | 222818963 | - | 22810305 | - | (214934) | 1296474653 | 141846242 |
| Fidelity Advisor New Markets Income Fund - Class Z | 1252117564 | 344618877 | - | 19605314 | - | 68868844 | 1665605285 | 125233480 |
| Fidelity Advisor Real Estate Income Fund - Class Z | 1390043301 | 193836414 | - | 18836414 | - | 24133666 | 1608013381 | 131266398 |
| Fidelity Investments Money Market Government Portfolio - Institutional Class | 713198600 | 3257426235 | 2976797644 | 10812132 | - | - | 993827191 | 993827191 |
| Fidelity SAI Enhanced Core Bond Fund | 949992434 | 387272041 | - | 12261681 | - | 17576948 | 1354841423 | 134676086 |
| Fidelity SAI High Income Fund | 303057509 | 156401357 | - | 6393921 | - | 12566467 | 472025333 | 49896970 |
| Fidelity SAI Inflation-Protected Bond Index Fund | 393317240 | 154281191 | - | 4281191 | - | 10115477 | 557713908 | 53937515 |
| Fidelity SAI Intermediate Treasury Bond Index Fund | 3228169963 | 504235442 | - | 29218842 | - | 61753934 | 3794159339 | 382861689 |
| Fidelity SAI International Credit Fund | 1327258977 | 385668537 | - | 10668537 | - | 22374173 | 1735301687 | 160379084 |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 2222866450 | 48347045 | - | 23342408 | - | 9658435 | 2280871930 | 343504809 |
| Fidelity SAI Municipal Income Fund | 77338879 | 76234121 | - | 1232758 | - | 742805 | 154315805 | 15991275 |
| Fidelity SAI Short-Term Bond Fund | 500517008 | 80842663 | - | 5842942 | - | 3384336 | 584744007 | 59728703 |
| Fidelity SAI Short-Term Treasury Bond Index Fund | 231217323 | 128054999 | - | 3055217 | - | 2931026 | 362203348 | 35861718 |
| Fidelity SAI Total Bond Fund | 17173076332 | 926760061 | - | 201750221 | - | 294284624 | 18394121017 | 2016899234 |
| Fidelity SAI U.S. Treasury Bond Index Fund | 5412977406 | 86439646 | - | 36440637 | - | 68392925 | 5567809977 | 627712512 |
| Fidelity Sustainability Bond Index Fund | 24251662 | 235723 | - | 235747 | - | 369664 | 24857049 | 2658508 |
| Fidelity U.S. Bond Index Fund | 727788008 | 685503527 | - | 10504126 | - | 17021199 | 1430312734 | 136610576 |
|  | 37001059280 | 7638976842 | 2976797644 | 417292393 | - | 613959589 | 42277198067 |  |

---

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

**Investment Valuation**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

**Derivative Instruments**

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Strategic Advisers Fidelity Core Income Fund

- **b. EDGAR series identifier (if any):** S000062265

- **c. LEI of Series:** 5493002W9RRD825B2880

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

- **a. Date of fiscal year-end:** 2026-05-31

- **b. Date as of which information is reported:** 2025-08-31

**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:** $100257447630.19

**Total Liabilities:** $16292808469.10

**Net Assets:** $83964639161.09

**Delayed Delivery Securities:** $9774708430.37

**Cash Not Reported:** $155714371.27

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 486916.86779755 | **1-Year:** 3187390.00990529 | **5-Year:** 8262177.85241090 | **10-Year:** 7933984.74123939 | **30-Year:** 3738084.69392459

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

- **3-Month:** 36368.55106573 | **1-Year:** 102855.64954907 | **5-Year:** 94056.12383617 | **10-Year:** 14045.68502113 | **30-Year:** 4781.73326185

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000201710 | 1.65%                | -0.17%               | 1.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-8302192.94             | $1016062865.12                             |
| Month 2  | $8725909.33              | $-471042395.51                             |
| Month 3  | $16891970.05             | $734419835.20                              |

**Designated Index Information**

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

- **Index Identifier:** 19808143

### Schedule of Portfolio Investments

| Name                                                                               | Title                                                                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)     | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3145 GO 4/36                                                                                        | CUSIP: 31396NCS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       36096 | PA      | $30441.68       | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                     | PNC FINANCIAL SERVICES GRP INC 5.575%/VAR 01/29/2036                                                    | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7226028.88     | 0.01%             | 2036-01-29      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/39 #AC4396                                                                                 | CUSIP: 31417N3E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1695 | PA      | $1697.61        | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2032#AS8602                                                                        | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3236250 | PA      | $3124389.75     | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INEOS QUATTRO FINANCE 2                                                            | INEOS QUATTRO FINANCE 2 9.625% 03/15/2029 144A                                                          | CUSIP: 45674GAB0<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |      415000 | PA      | $415963.69      | 0.00%             | 2029-03-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 02/20/2050#BQ4127                                                                            | CUSIP: 3617LNSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1454386 | PA      | $1288156.11     | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/51#BT1461                                                                               | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1079339 | PA      | $873068.54      | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BJ5455                                                                          | CUSIP: 3140H7BZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77851 | PA      | $74000.68       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2047#CA0855                                                                        | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      253243 | PA      | $233664.81      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#FM4368                                                                        | CUSIP: 3140X72A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      463187 | PA      | $416209.59      | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                      | ANGLIAN WATER SVCS FINANC PLC 6.25% 09/12/2044 REGS                                                     | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |      450000 | PA      | $570211.02      | 0.00%             | 2044-09-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2052#CB4323                                                                          | CUSIP: 3140QPYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5799226 | PA      | $5076616.65     | 0.01%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2052#CB3508                                                                          | CUSIP: 3140QN3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    32303577 | PA      | $30554618.90    | 0.04%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                                                   | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    15825408 | PA      | $15861941.18    | 0.02%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/20/2046#AS9175                                                                          | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46108 | PA      | $42550.14       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#CB2276                                                                        | CUSIP: 3140QMQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3581979 | PA      | $3004869.65     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 5.1% 07/15/2032                                                             | CUSIP: 92277GBB2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    14363000 | PA      | $14696599.49    | 0.02%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745127                                                                                 | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23044 | PA      | $22960.70       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #711029                                                                                | CUSIP: 36297F4N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6300 | PA      | $6398.93        | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/38 #889371                                                                                 | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48685 | PA      | $51404.90       | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/33 #577996                                                                                 | CUSIP: 36201BC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1279 | PA      | $1295.30        | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1289                                                                        | CUSIP: 3138NXNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4921 | PA      | $4551.43        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                       | CHARLES RIVER LABS INTL INC 3.75% 03/15/2029 144A                                                       | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1042845.54     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                                                      | ENBW INTERNATIONAL FINANCE BV 3.5% 07/22/2031 REGS                                                      | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |     1198000 | PA      | $1438689.35     | 0.00%             | 2031-07-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #828385                                                                                 | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9479 | PA      | $9919.19        | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 1.554%/VAR 07/09/2027                                                             | CUSIP: 60687YBS7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     2200000 | PA      | $2149264.13     | 0.00%             | 2027-07-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+68.448 04/25/2036 144A                                                     | CUSIP: 07324SDG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4514 | PA      | $4197.01        | 0.00%             | 2036-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 8/33 #604578                                                                                 | CUSIP: 36200MUB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1949 | PA      | $1994.94        | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 56 FC SOFR30A+150 11/25/2053                                             | CUSIP: 3136BQNC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    27932313 | PA      | $28161139.88    | 0.03%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 6% 11/15/2028                                                                              | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     6027000 | PA      | $6350970.96     | 0.01%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2032#J36710                                                                          | CUSIP: 31307TN31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4118 | PA      | $4029.19        | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9464                                                                          | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      179216 | PA      | $158229.26      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT9786                                                                        | CUSIP: 3138WX2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4976 | PA      | $4545.39        | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                                                | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    59025364 | PA      | $59117591.22    | 0.07%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 03/20/2047#784299                                                                            | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      760646 | PA      | $726002.35      | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7.5% 06/01/2027#250951                                                                        | CUSIP: 31371FWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         183 | PA      | $186.19         | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                                       | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1167147 | PA      | $1108789.65     | 0.00%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#BQ6935                                                                        | CUSIP: 3140KSV53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12175721 | PA      | $10225448.29    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 5.7% 09/15/2053                                                              | CUSIP: 571748BV3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9916143.00     | 0.01%             | 2053-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2020                                                                | TOWD PT MTG TR 2020 2.71% 01/25/2060 144A                                                               | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      565560 | PA      | $542615.38      | 0.00%             | 2060-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AQ5772                                                                        | CUSIP: 3138MMMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11307 | PA      | $10345.74       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                             | ROPER TECHNOLOGIES INC 5.1% 09/15/2035                                                                  | CUSIP: 776696AM8<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |    16564000 | PA      | $16523731.92    | 0.02%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TAOT 2023-A                                                                        | TAOT 2023-A 4.42% 08/15/2028                                                                            | CUSIP: 891940AD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $4015727.60     | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #535143                                                                                 | CUSIP: 31384VP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         369 | PA      | $383.59         | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR1584                                                                        | CUSIP: 3138NXXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      238929 | PA      | $219408.90      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9019                                                                                 | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54127 | PA      | $52583.08       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 TR                                                                    | AASET 2021-2 TR 2.798% 01/15/2047 144A                                                                  | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15465597 | PA      | $14562511.23    | 0.02%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 1.494%/VAR 08/10/2027 144A                                                                 | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    11792000 | PA      | $11477083.67    | 0.01%             | 2027-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q01985                                                                        | CUSIP: 3132GFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8264 | PA      | $8398.97        | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/36 #657024                                                                                 | CUSIP: 36294Q4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1160 | PA      | $1216.07        | 0.00%             | 2036-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 09/01/2054#DC0424                                                                        | CUSIP: 3140AMPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11670579 | PA      | $11741927.90    | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 6.691%/VAR 01/10/2034 144A                                                      | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      550000 | PA      | $591914.62      | 0.00%             | 2034-01-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2031#ZS8629                                                                        | CUSIP: 3132A9SS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2717203 | PA      | $2624181.04     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                    | PENNYMAC FINANCIAL SERVICES INC 6.75% 02/15/2034 144A                                                   | CUSIP: 70932MAH0<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     1045000 | PA      | $1052130.47     | 0.00%             | 2034-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-15 OP 0% 3/36                                                                                  | CUSIP: 31395BTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       48224 | PA      | $41504.74       | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 4.5% 08/15/2032                                                                    | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    12535000 | PA      | $12367859.94    | 0.01%             | 2032-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                                 | RWE FINANCE US LLC 5.875% 04/16/2034 144A                                                               | CUSIP: 749983AA0<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |     1581000 | PA      | $1649713.75     | 0.00%             | 2034-04-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 11/01/2032#660693                                                                        | CUSIP: 31390Y7E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         392 | PA      | $403.82         | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33578                                                                        | CUSIP: 3132QP6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42524 | PA      | $39683.35       | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2047#CA0623                                                                        | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62071 | PA      | $60807.24       | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 11/20/2053#MA9355                                                                            | CUSIP: 36179YMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1090863 | PA      | $892536.28      | 0.00%             | 2053-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #734151                                                                                 | CUSIP: 3620AMTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       65975 | PA      | $63999.63       | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR2904                                                                        | CUSIP: 3138W0GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64169 | PA      | $58905.77       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644164                                                                                 | CUSIP: 31390ETV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         539 | PA      | $566.45         | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 5.786%/VAR 01/13/2033 144A                                                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    28396000 | PA      | $29588116.33    | 0.04%             | 2033-01-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                            | NEW FORTRESS ENERGY INC 144                                                                             | CUSIP: N/A<br>LEI: 254900EICTYTCHA5X705       | Long             | EC               | CORP              | US        |        6213 | NS      | $15283.98       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BMP 2024-MF23                                                                      | BMP 2024-MF23 TSFR1M+174.142 06/15/2041 144A                                                            | CUSIP: 05593JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7175000 | PA      | $7195179.69     | 0.01%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #773113                                                                                 | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         955 | PA      | $929.10         | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 10/01/2055 #TBA                                                                            | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    40175000 | PA      | $38662443.39    | 0.05%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#FS1372                                                                          | CUSIP: 3140XGQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20796065 | PA      | $18042312.74    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FS1573                                                                        | CUSIP: 3140XGXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12629161 | PA      | $11295323.15    | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                                              | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                                             | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9600000 | PA      | $9669014.40     | 0.01%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/01/2032#BM1884                                                                          | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      236562 | PA      | $230556.06      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 7.008% 05/01/2064                                                                             | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    10499000 | PA      | $11632714.67    | 0.01%             | 2064-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-1                                                   | TOWD POINT MORTGAGE TRUST 2021-1 VAR 11/25/2061 144A                                                    | CUSIP: 89179YAR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21849456 | PA      | $20637331.46    | 0.02%             | 2061-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #549552                                                                                 | CUSIP: 36213BQD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         101 | PA      | $103.62         | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479607                                                                                | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53920 | PA      | $52295.92       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 32 LTD                                                                | FLATIRON CLO 32 LTD 32A A1 TSFR3M+129 10/22/2038 144A                                                   | CUSIP: 33882RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11629000 | PA      | $11684563.36    | 0.01%             | 2038-10-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/20/2047#MA4322                                                                            | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2345640 | PA      | $2238806.35     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABLE INTL FINANCE LTD                                                             | SABLE INTL FIN LTD 7.125% 10/15/2032 144A                                                               | CUSIP: 785712AK6<br>LEI: 2138009IE9A35LO5JS73 | Long             | DBT              | CORP              | KY        |     1040000 | PA      | $1056900.00     | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.182% 6/37 #848188                                                                            | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13180 | PA      | $13550.65       | 0.00%             | 2037-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                                      | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4917815 | PA      | $4720909.66     | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                                          | OLIN CORP 5% 02/01/2030                                                                                 | CUSIP: 680665AK2<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |      215000 | PA      | $208687.00      | 0.00%             | 2030-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 05/01/2054#QI5488                                                                        | CUSIP: 3133WCCZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7371749 | PA      | $7426491.86     | 0.01%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                                                                | ARTERA SERVICES LLC 8.5% 02/15/2031 144A                                                                | CUSIP: 04302XAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |     2185000 | PA      | $1909328.82     | 0.00%             | 2031-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 4.8% 04/05/2026                                                                       | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    19815000 | PA      | $19868037.03    | 0.02%             | 2026-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2020-VIV2                                                           | BX COML MTG TR 2020-VIV2 3.66045% 03/09/2044 144A                                                       | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5286000 | PA      | $4916059.29     | 0.01%             | 2044-03-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                           | VENTURE GLOBAL CALCASIEU 6.25% 01/15/2030 144A                                                          | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      160000 | PA      | $166617.76      | 0.00%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2041#ZL1693                                                                        | CUSIP: 3131XG3A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      495437 | PA      | $494631.14      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #726394                                                                                | CUSIP: 3620AC7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5528 | PA      | $5511.09        | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 6.375% 09/18/2033 REGS                                                              | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      800000 | PA      | $983305.63      | 0.00%             | 2033-09-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #462816                                                                                 | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          63 | PA      | $63.65          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 5.55% 06/20/2035                                                                           | CUSIP: 29250NCK9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     9900000 | PA      | $10082257.02    | 0.01%             | 2035-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2048#G08816                                                                        | CUSIP: 3128MJ4A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      197635 | PA      | $181849.83      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| C AND S GROUP ENTERPRISES LLC                                                      | C AND S GROUP ENTERPRISES LLC 5% 12/15/2028 144A                                                        | CUSIP: 12467AAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      330000 | PA      | $300051.94      | 0.00%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                       | BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A                                                        | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2028920 | PA      | $2029569.67     | 0.00%             | 2041-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 3.25% 12/01/2033                                                                   | CUSIP: 135087Q72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     5700000 | PA      | $4145765.83     | 0.00%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #420501                                                                                 | CUSIP: 31379JDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         450 | PA      | $457.70         | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #545176                                                                                 | CUSIP: 36212VT90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5112 | PA      | $5259.91        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/41 #005203                                                                             | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1076475 | PA      | $1041825.80     | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.388% 05/01/2031                                                                             | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     7220000 | PA      | $7841424.89     | 0.01%             | 2031-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 11/41 #Q04295                                                                                | CUSIP: 3132GKNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58485 | PA      | $56841.17       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#SD0927                                                                        | CUSIP: 3132DNA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7935934 | PA      | $7283348.84     | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18136                                                                        | CUSIP: 3132J9PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4248 | PA      | $4105.40        | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                            | BRISTOL-MYERS SQUIBB CO 5.55% 02/22/2054                                                                | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     4780000 | PA      | $4609363.89     | 0.01%             | 2054-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                   | BAYER US FIN LLC 6.25% 01/21/2029 144A                                                                  | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     5290000 | PA      | $5566530.41     | 0.01%             | 2029-01-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 02/15/2055                                                           | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   155995900 | PA      | $148683592.19   | 0.18%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                       | ENTEGRIS INC 5.95% 06/15/2030 144A                                                                      | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      990000 | PA      | $1002724.47     | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017-C41                                                   | WELLS FARGO COML MTG TR 2017-C41 3.39% 11/15/2050                                                       | CUSIP: 95001ABB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64897 | PA      | $64315.99       | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #474003                                                                                 | CUSIP: 36209KRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          35 | PA      | $35.47          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                                                | BMO 2025-5C9 MTG TR 5.7785% 04/15/2058                                                                  | CUSIP: 096933AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    36150000 | PA      | $37946456.18    | 0.05%             | 2058-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q12164                                                                        | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17337 | PA      | $16829.21       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 09/01/2055 #TBA                                                                          | CUSIP: 01F052698<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -101100000 | PA      | $-101692385.34  | -0.12%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.242% 9/1/41#1B8659                                                                           | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4464 | PA      | $4632.75        | 0.00%             | 2041-09-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                       | HUNTINGTON BANCSHARES INC/OH 4.443%/VAR 08/04/2028                                                      | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     3628000 | PA      | $3638343.10     | 0.00%             | 2028-08-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 01/01/2055#SL0307                                                                        | CUSIP: 31427MKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    36720300 | PA      | $37518547.90    | 0.04%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FS5385                                                                        | CUSIP: 3140XL6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3777720 | PA      | $3186782.09     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2054#CB9320                                                                        | CUSIP: 3140QVLA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4579921 | PA      | $4673756.84     | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #A93451                                                                                 | CUSIP: 312941ZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6833 | PA      | $6833.26        | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | Fidelity Sai Total Bond Fund                                                                            | CUSIP: 31635T849<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |  2009327253 | NS      | $18325064550.55 | 21.82%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #406815                                                                                 | CUSIP: 31378R3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         855 | PA      | $898.82         | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3037                                                                          | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4415005 | PA      | $3557463.40     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 7.125%/VAR PERP                                                                           | CUSIP: 172967PK1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |      770000 | PA      | $788336.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2052#RA7380                                                                        | CUSIP: 3133KPFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      446083 | PA      | $405915.75      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #566254                                                                                | CUSIP: 36213WBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          71 | PA      | $74.03          | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #489711                                                                                 | CUSIP: 36210EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         198 | PA      | $201.64         | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                                                       | KREDITANSTALT FUR WIEDER(UNGTD 0.125% 01/09/2032 REGS                                                   | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |     1205000 | PA      | $1209215.81     | 0.00%             | 2032-01-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.75% 04/15/2027                                                                       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    10840000 | PA      | $10771710.82    | 0.01%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6333                                                                          | CUSIP: 3133KNBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2350724 | PA      | $1878708.53     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2042#ZS3589                                                                        | CUSIP: 3132A37A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10298489 | PA      | $9709446.37     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7                                            | CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 3.5853% 12/10/2054                                              | CUSIP: 12532BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8445777 | PA      | $8313094.71     | 0.01%             | 2054-12-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #532153                                                                                 | CUSIP: 31384SE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          20 | PA      | $21.15          | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH4987                                                                                 | CUSIP: 3138A6RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14425 | PA      | $14031.82       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                            | KODIAK GAS SERVICES LLC 7.25% 02/15/2029 144A                                                           | CUSIP: 50012LAC8<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |      555000 | PA      | $574069.80      | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479494                                                                                | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      163940 | PA      | $158719.25      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                            | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 1.4% 08/27/2027 144A                                            | CUSIP: 29449WAB3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1631106.57     | 0.00%             | 2027-08-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B13 MTG TR                                                          | BENCHMARK 2019-B13 A4 2.952% 08/15/2057                                                                 | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12263000 | PA      | $11571390.10    | 0.01%             | 2057-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 11/40 #004853                                                                             | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      792073 | PA      | $767803.82      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.87% 1/35 #735833                                                                             | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1400 | PA      | $1437.45        | 0.00%             | 2035-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/38 #889733                                                                                 | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7821 | PA      | $8274.19        | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 09/01/2055 #TBA                                                                              | CUSIP: 21H050698<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -180400000 | PA      | $-178475348.48  | -0.21%            | 2055-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.58%/VAR 04/22/2032                                                              | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1175508.18     | 0.00%             | 2032-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 70 CLO LTD                                                                  | DRYDEN 70 CLO LTD A1 TSFR3M+143.161 01/16/2032 144A                                                     | CUSIP: 26252EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1737799 | PA      | $1739780.19     | 0.00%             | 2032-01-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                       | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                                                      | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5935000 | PA      | $5945227.79     | 0.01%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2021-C11                                                              | BBCMS MTG TR 2021-C11 ASB 2.108% 09/15/2054                                                             | CUSIP: 05493MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1879296.60     | 0.00%             | 2054-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 3.5% 08/15/2029                                                               | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      465000 | PA      | $440011.69      | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/52#MA4805                                                                             | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    32290404 | PA      | $31199163.07    | 0.04%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 6.95% 06/10/2026                                                               | CUSIP: 345397D26<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     9500000 | PA      | $9624001.98     | 0.01%             | 2026-06-10      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 5.85% 02/01/2035                                                            | CUSIP: 136385AG6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |      296000 | PA      | $303712.78      | 0.00%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B21 MTG TR                                                          | BENCHMARK 2020-B21 AAB MTG TR 1.7975% 12/17/2053                                                        | CUSIP: 08163LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7966000 | PA      | $7546092.23     | 0.01%             | 2053-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KBC GROUPE SA/NV                                                                   | KBC GROUPE SA/NV 4.932%/VAR 10/16/2030 144A                                                             | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    22400000 | PA      | $22800442.11    | 0.03%             | 2030-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #842191                                                                                | CUSIP: 31407VUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6152 | PA      | $6444.15        | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     1400000 | NC      | $-18790.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2053#RA9277                                                                          | CUSIP: 3133KRJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8947797 | PA      | $9253272.67     | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                | CLYDESDALE ACQUISITION HOLDINGS INC 6.75% 04/15/2032 144A                                               | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      605000 | PA      | $621616.40      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP7148                                                                                | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27196 | PA      | $25646.80       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2048#BM5106                                                                        | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1254430 | PA      | $1232813.62     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2047#ZM3411                                                                          | CUSIP: 3131XWYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      565900 | PA      | $537914.09      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 1.904%/VAR 09/30/2028 144A                                                                  | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     7317000 | PA      | $6950087.35     | 0.01%             | 2028-09-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 09/01/2053#RA9856                                                                          | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9816765 | PA      | $10118161.96    | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     3000000 | NC      | $-40266.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/25 #412531                                                                                | CUSIP: 36206JHG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           3 | PA      | $2.78           | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                                             | AFFIRM ASSET SECURITIZATION TR 2025-X1 A 5.24% 04/15/2030 144A                                          | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15756592 | PA      | $15776236.09    | 0.02%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                                  | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    10297000 | PA      | $10429610.53    | 0.01%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2050#FM4050                                                                          | CUSIP: 3140X7QC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4402782 | PA      | $3878941.30     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2044#AS3935                                                                        | CUSIP: 3138WDLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6722 | PA      | $6296.82        | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR9310                                                                          | CUSIP: 36193GKX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10817 | PA      | $9985.60        | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                                     | FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A                                                    | CUSIP: 34528QJA3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    28100000 | PA      | $28612274.24    | 0.03%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2033#BH9235                                                                          | CUSIP: 3140GYHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34110 | PA      | $33217.89       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/01/2055 #TBA                                                                            | CUSIP: 21H032696<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5150000 | PA      | $4687175.17     | 0.01%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                   | UWM HOLDINGS LLC 6.625% 02/01/2030 144A                                                                 | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1005000 | PA      | $1020946.34     | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 1.65% 02/01/2028                                                                           | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2253000 | PA      | $2125956.08     | 0.00%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #394494                                                                                 | CUSIP: 31378CGB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         299 | PA      | $305.62         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2046#G60989                                                                          | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1431442 | PA      | $1282457.58     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2048#BJ4970                                                                          | CUSIP: 3140H6QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      195424 | PA      | $185454.59      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 3.45% 12/15/2051                                                                     | CUSIP: 24703DBH3<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     1801000 | PA      | $1230128.46     | 0.00%             | 2051-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                          | BANK IRELAND GROUP PLC 5.601%/VAR 03/20/2030 144A                                                       | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |     6500000 | PA      | $6750936.08     | 0.01%             | 2030-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 08/01/2042#AP5087                                                                        | CUSIP: 3138M8UM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52859 | PA      | $49378.34       | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 05/20/2052#MA8041                                                                            | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1849816 | PA      | $1515529.39     | 0.00%             | 2052-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 09/17/45                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -206966000 | NC      | $-1347931.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738240                                                                                 | CUSIP: 3620ASEM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1686 | PA      | $1713.50        | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1590000 | NC      | $254254.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA5451                                                                                 | CUSIP: 36178DBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51204 | PA      | $48065.84       | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2040#                                                                              | CUSIP: 312943UM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2077 | PA      | $2077.21        | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 5.401% 07/02/2037 144A                                                       | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      427000 | PA      | $428819.54      | 0.00%             | 2037-07-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 3.366% 11/01/2041                                                                 | CUSIP: 595112BT9<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     2223000 | PA      | $1662484.24     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+648.552 02/15/2036                                               | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       18306 | PA      | $1703.73        | 0.00%             | 2036-02-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/42#AQ3065                                                                             | CUSIP: 3138MJMP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33452 | PA      | $31629.52       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.2% 03/15/2028         | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1713813.26     | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH4121                                                                                 | CUSIP: 3138A5SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7695 | PA      | $7488.43        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #781539                                                                                 | CUSIP: 36225BV88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         853 | PA      | $881.87         | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2055#FA2138                                                                        | CUSIP: 3140W2LU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10093387 | PA      | $10651930.77    | 0.01%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/30 #535336                                                                                 | CUSIP: 31384VV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          15 | PA      | $16.08          | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT5177                                                                        | CUSIP: 3138WSXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46033 | PA      | $42195.08       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7766                                                                        | CUSIP: 31417ETY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156571 | PA      | $143565.86      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 343 16 5.5% 5/34                                                                                    | CUSIP: 3136FA6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       11554 | PA      | $1668.74        | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 09/01/2055 #TBA                                                                          | CUSIP: 01F022691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   348525000 | PA      | $289343816.93   | 0.34%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2051#                                                                              | CUSIP: 3140XEC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8046109 | PA      | $7329147.14     | 0.01%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                                                     | BANK 2017-BNKS 3.131% 06/15/2060                                                                        | CUSIP: 06541WAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2699975 | PA      | $2658277.03     | 0.00%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#SD2903                                                                          | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20653302 | PA      | $16583653.92    | 0.02%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/30/2029                                                                             | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1315000 | PA      | $1339091.21     | 0.00%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #757631                                                                                 | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4944 | PA      | $4783.63        | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                      | UNITED RENTALS NORTH AMER INC 3.75% 01/15/2032                                                          | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      805000 | PA      | $741938.15      | 0.00%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT PARTNERS VII LTD                                                        | OHA CREDIT PARTNERS VII LTD D1R4 TSFR3M+250 02/20/2038 144A                                             | CUSIP: 67102QBT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      150000 | PA      | $148933.80      | 0.00%             | 2038-02-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #773499                                                                                | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8453 | PA      | $8197.32        | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #458926                                                                                 | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         189 | PA      | $192.23         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43#AR5364                                                                            | CUSIP: 3138W26A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98981 | PA      | $92956.89       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                                 | PRPM 2023-RCF2 LLC 4% 11/25/2053 144A                                                                   | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9224958 | PA      | $9082058.34     | 0.01%             | 2053-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2052#RA6823                                                                          | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    35424914 | PA      | $28544212.25    | 0.03%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/37 #917965                                                                                 | CUSIP: 31411XZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2829 | PA      | $2981.52        | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AU1978                                                                        | CUSIP: 3138X1FU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5777 | PA      | $5322.25        | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 10/20/2044#MA2304                                                                          | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      644352 | PA      | $618796.40      | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                          | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2881883 | PA      | $2596377.93     | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.947%/VAR 02/24/2028                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6239000 | PA      | $6125144.99     | 0.01%             | 2028-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 11/01/2033#G16677                                                                        | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2338884 | PA      | $2296811.26     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/36 #745640                                                                                 | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28208 | PA      | $29670.90       | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.389%/VAR 04/24/2034                                                            | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8232615.44     | 0.01%             | 2034-04-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#CB2666                                                                          | CUSIP: 3140QM6C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11659797 | PA      | $10115841.82    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                  | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                      | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |     3748000 | PA      | $3168275.74     | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRUNSWICK CORP                                                                     | BRUNSWICK CORP 5.85% 03/18/2029                                                                         | CUSIP: 117043AW9<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |    10500000 | PA      | $10880405.45    | 0.01%             | 2029-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 6.625% 06/20/2033 144A                                                              | CUSIP: 46115HBZ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      805000 | PA      | $879365.90      | 0.00%             | 2033-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/41 #752909                                                                                 | CUSIP: 36230MGS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7826 | PA      | $7781.67        | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745236                                                                                 | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43459 | PA      | $43309.63       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2040#G06016                                                                        | CUSIP: 3128M8AR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20645 | PA      | $20649.82       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 6.0% 05/15/2040#783362                                                                        | CUSIP: 36241LWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      157748 | PA      | $164793.94      | 0.00%             | 2040-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2052#CB4074                                                                          | CUSIP: 3140QPQ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13235738 | PA      | $11586505.75    | 0.01%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                       | DNB BANK ASA 1.605%/VAR 03/30/2028 144A                                                                 | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |     3208000 | PA      | $3080083.76     | 0.00%             | 2028-03-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/42#Q10245                                                                             | CUSIP: 3132HLHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      125484 | PA      | $118456.16      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                                    | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    22490000 | PA      | $17554569.50    | 0.02%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#796369                                                                        | CUSIP: 36177RCF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       39332 | PA      | $36840.76       | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM10                                                                     | OBX 2025-NQM10 A1 STEP 05/25/2056 144A                                                                  | CUSIP: 67121LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21175369 | PA      | $21321696.94    | 0.03%             | 2065-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2050#SD7530                                                                        | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8971338 | PA      | $7581994.52     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM                                                               | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       38146 | PA      | $38248.86       | 0.00%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.00% 11/32 #MA1237                                                                           | CUSIP: 31418ALT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1311720 | PA      | $1270898.68     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                                | UNITED AIRLINES INC 4.375% 04/15/2026 144A                                                              | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     1455000 | PA      | $1450233.41     | 0.00%             | 2026-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #G06973                                                                                 | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      504351 | PA      | $489836.73      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/01/2033#MA3461                                                                          | CUSIP: 31418CZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      132455 | PA      | $128725.20      | 0.00%             | 2033-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZT2430                                                                        | CUSIP: 3132AEVX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1673980 | PA      | $1540903.11     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                                                 | AVIS BUDGET RENTCAR FDG AE LLC 5.12% 08/20/2031 144A                                                    | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |     9745000 | PA      | $9981528.69     | 0.01%             | 2031-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM CO                                                        | CLEVELAND ELECTRIC ILLUM CO 5.95% 12/15/2036                                                            | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2055000 | PA      | $2141803.84     | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2048#FS6649                                                                        | CUSIP: 3140XNL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3501793 | PA      | $3242013.03     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 2/29 #C21724                                                                                 | CUSIP: 31293J4H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.14           | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2974                                                                        | CUSIP: 3138EKJU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      130310 | PA      | $124005.95      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE NETHERLANDS B.V.                                           | IMPERIAL BRANDS FINANCE NETHERLANDS B.V. 5.25% 02/15/2031 REGS                                          | CUSIP: N/A<br>LEI: 724500GIEFJOBWGD0272       | Long             | DBT              | CORP              | NL        |     1845000 | PA      | $2339869.18     | 0.00%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                        | ROYAL CARIBBEAN CRUISES LTD 6% 02/01/2033 144A                                                          | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      690000 | PA      | $707919.99      | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                               | WR GRACE HOLDING LLC 5.625% 08/15/2029 144A                                                             | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |      320000 | PA      | $299401.86      | 0.00%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 7% 2/32 #003202                                                                                 | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5261 | PA      | $5482.43        | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #741215                                                                                 | CUSIP: 3620AVN81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5040 | PA      | $5020.96        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 2.493% 11/20/2051 144A                                                                | CUSIP: 233046AQ4<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    16661838 | PA      | $15582132.10    | 0.02%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1624                                                                        | CUSIP: 3138NXYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25621 | PA      | $23432.61       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4.5% 06/20/2041#783590                                                                          | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6610 | PA      | $6573.93        | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.39% 12/36 #1J1448                                                                            | CUSIP: 3128NHTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11322 | PA      | $11804.47       | 0.00%             | 2036-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#BR3300                                                                          | CUSIP: 3140L1U29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      464647 | PA      | $430268.75      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK8228                                                                                 | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      109898 | PA      | $106776.32      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#SD8179                                                                          | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7000811 | PA      | $6121914.83     | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC                                          | FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC A TSFR3M+133 01/15/2038 144A                                  | CUSIP: 33888AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    11218000 | PA      | $11259237.37    | 0.01%             | 2038-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 06/15/2042#799330                                                                          | CUSIP: 36177ULL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11626 | PA      | $11226.74       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2023-5YR1                                                                    | BANK5 2023-5YR1 5.779% 04/15/2056                                                                       | CUSIP: 06644EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14200000 | PA      | $14595452.96    | 0.02%             | 2056-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LII CLO LTD                                                                   | ARES LII CLO LTD A1RR TSFR3M+88 04/22/2031 144A                                                         | CUSIP: 04009AAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3386460 | PA      | $3382226.88     | 0.00%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H12 FA TSFR1M+60.448 5/61                                                                      | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       57482 | PA      | $57482.39       | 0.00%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2046#MA3937                                                                          | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1406911 | PA      | $1304077.49     | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                                                 | RCKT TRUST 2025-1A 4.9% 07/25/2034 144A                                                                 | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5988282 | PA      | $5993670.96     | 0.01%             | 2034-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 07/01/2041#SC0370                                                                        | CUSIP: 3132D9MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3838553 | PA      | $3456569.31     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                         | BETHP 2021 A TSFR3M+139.161 01/15/2035 144A                                                             | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9332000 | PA      | $9349124.22     | 0.01%             | 2035-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 3% 11/20/2060                                                                | CUSIP: 92343VFV1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     5215000 | PA      | $3039546.48     | 0.00%             | 2060-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 2.7% 03/15/2032                                                                        | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    13401000 | PA      | $11872104.97    | 0.01%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 07/01/2032#G31067                                                                        | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      273935 | PA      | $269804.22      | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA FRN TSFR3M+290.961 PERP                                                             | CUSIP: 064159KJ4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | EP               | CORP              | CA        |    19859000 | PA      | $19772077.16    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 9/39 #004540                                                                              | CUSIP: 36202FBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44165 | PA      | $43960.55       | 0.00%             | 2039-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                   | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                                     | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    27594691 | PA      | $491102.72      | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 04/01/2055#SD8524                                                                        | CUSIP: 3132DWPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      583225 | PA      | $586790.44      | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96783                                                                                 | CUSIP: 312945RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17528 | PA      | $17528.13       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 28 LTD / FLATIRON CLO 28 LLC                                          | FLATIRON CLO 28 LTD / FLATIRON CLO 28 LLC A1 TSFR3M+132 07/15/2036 144A                                 | CUSIP: 33884EAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9000000 | PA      | $9000000.00     | 0.01%             | 2036-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                                    | BANK 20-BNK25 XB CSTR 01/15/2063                                                                        | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    30600000 | PA      | $555062.58      | 0.00%             | 2063-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                                            | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      557802 | PA      | $520866.11      | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.22% 3/37 #910296                                                                             | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5179 | PA      | $5345.56        | 0.00%             | 2037-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 09/01/2055 #TBA                                                                          | CUSIP: 01F052698<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   306600000 | PA      | $308396492.04   | 0.37%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 02/01/2036#FM6507                                                                        | CUSIP: 3140XAGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      698286 | PA      | $626373.13      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2025-1A                                       | TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2025-1A 4.65% 05/25/2038 144A                                      | CUSIP: 891950AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12400000 | PA      | $12654403.36    | 0.02%             | 2038-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                               | HEATHROW FUNDING LTD 6% 03/05/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |     1250000 | PA      | $1699050.68     | 0.00%             | 2032-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2048#CA2432                                                                        | CUSIP: 3140Q9V26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5689168 | PA      | $5591132.09     | 0.01%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C5 MTG TR                                                                | BMO 24-5C5 A3 MTG TR 5.8574% 02/15/2057                                                                 | CUSIP: 05593RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5100000 | PA      | $5346305.01     | 0.01%             | 2057-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2137 PG 6% 3/29                                                                                     | CUSIP: 3133TJR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        4671 | PA      | $4763.42        | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2053#CB6593                                                                        | CUSIP: 3140QSKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90879 | PA      | $75782.89       | 0.00%             | 2053-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 2                                                         | BAYVIEW COML ASSET TR 06 2 TSFR1M+60.948 07/25/2036 144A                                                | CUSIP: 07324YAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4766 | PA      | $4451.85        | 0.00%             | 2036-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2303 ZV 6% 4/31                                                                                     | CUSIP: 3133TSTH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        3290 | PA      | $3377.25        | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HARTWICK PARK CLO LTD                                                              | HARTWICK PARK CLO LTD AR TSFR3M+116 01/20/2037 144A                                                     | CUSIP: 417403AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     5740000 | PA      | $5740045.92     | 0.01%             | 2037-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2051#FM9049                                                                          | CUSIP: 3140XDBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    43052166 | PA      | $37876025.29    | 0.05%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #782727                                                                                 | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23445 | PA      | $23809.92       | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6384                                                                          | CUSIP: 3140XACW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43359 | PA      | $34787.99       | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2051#RA5998                                                                          | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21009716 | PA      | $18457466.40    | 0.02%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2004-32 GS 650-1ML 5/34                                                                             | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       21997 | PA      | $1286.39        | 0.00%             | 2034-05-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 6/29 #C28186                                                                                 | CUSIP: 31293SCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          87 | PA      | $88.99          | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                                    | BX TR 2021-ACNT TSFR1M+96.448 11/15/2026 144A                                                           | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1328867 | PA      | $1328451.38     | 0.00%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.4% 05/08/2027                                                                | CUSIP: 37045XEQ5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    12300000 | PA      | $12505817.38    | 0.01%             | 2027-05-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AT7263                                                                        | CUSIP: 3138WVB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14349 | PA      | $13123.07       | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H27 FA TSFR1M+38 12/60                                                                         | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       64312 | PA      | $64210.62       | 0.00%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2042#AQ9061                                                                          | CUSIP: 3138MRB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20826 | PA      | $20271.51       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                             | ROPER TECHNOLOGIES INC 2% 06/30/2030                                                                    | CUSIP: 776743AJ5<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |     4476000 | PA      | $4018849.83     | 0.00%             | 2030-06-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                               | COMMERCIAL METALS CO 3.875% 02/15/2031                                                                  | CUSIP: 201723AP8<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      915000 | PA      | $849346.28      | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 11/01/2041#SC0210                                                                        | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18392612 | PA      | $16464801.68    | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2015-1R                                                                   | CSMC SER 2015-1R TSFR1M+39.448 05/27/2037 144A                                                          | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        9809 | PA      | $9747.11        | 0.00%             | 2037-05-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+66.448 09/20/2061                                                   | CUSIP: 38375BNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      146794 | PA      | $146923.03      | 0.00%             | 2061-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2052#FS2296                                                                        | CUSIP: 3140XHRS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22949 | PA      | $20903.79       | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                       | HUNTINGTON BANCSHARES INC/OH 2.487%/VAR 08/15/2036                                                      | CUSIP: 446150AX2<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     4490000 | PA      | $3820490.17     | 0.00%             | 2036-08-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720055                                                                                 | CUSIP: 3620A55Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2768 | PA      | $2760.44        | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 2.848%/VAR 06/04/2031                                                                 | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     6103000 | PA      | $5663195.73     | 0.01%             | 2031-06-04      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                                    | CANO HEALTH TERM 1LN 06/28/2029                                                                         | CUSIP: 13781HAN0<br>LEI: 254900OGI2T8V1NXN639 | Long             | LON              | CORP              | US        |      141695 | PA      | $115126.90      | 0.00%             | 2029-06-28      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                   | GGAM FINANCE LTD 5.875% 03/15/2030 144A                                                                 | CUSIP: 36170JAE6<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |     1065000 | PA      | $1075610.22     | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 2.75% 06/01/2033                                                                   | CUSIP: 135087Q23<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      690000 | PA      | $486097.43      | 0.00%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 5.3% 03/15/2033                                                                             | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $9289820.52     | 0.01%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 3 LP                                                         | PK ALIFT LOAN FUNDING 3 LP 5.842% 09/15/2039 144A                                                       | CUSIP: 69291VAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4459002 | PA      | $4567189.49     | 0.01%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                         | VOLKSWAGEN INTL FINANCE NV 3.875%/VAR PERP REGS                                                         | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |     2300000 | PA      | $2627125.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/39 #710497                                                                                | CUSIP: 36297FKJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11372 | PA      | $11080.69       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRIME SEC SVCS BORROWER LLC / PRIME FIN INC                                        | PRIME SEC SVCS BORROWER LLC / PRIME FIN INC 3.375% 08/31/2027 144A                                      | CUSIP: 74166MAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      635000 | PA      | $615158.16      | 0.00%             | 2027-08-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 11/27 #780834                                                                                | CUSIP: 36225A4T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          73 | PA      | $73.60          | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                                 | INGERSOLL RAND INC 5.176% 06/15/2029                                                                    | CUSIP: 45687VAD8<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $8056779.82     | 0.01%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XIX LTD                                                           | SIXTH STREET CLO XIX LTD A1R TSFR3M+128 07/17/2038 144A                                                 | CUSIP: 83012KAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7550000 | PA      | $7557580.20     | 0.01%             | 2038-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 09/01/2055 #TBA                                                                              | CUSIP: 21H030690<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   200000000 | PA      | $177162840.00   | 0.21%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#CB0436                                                                          | CUSIP: 3140QKPW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97408 | PA      | $78000.95       | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 5% 07/01/2040#RR0009                                                                          | CUSIP: 3142JCAK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15207540 | PA      | $15363563.18    | 0.02%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 C TSFR1M+283.988 12/09/2040 144A                                                | CUSIP: 12434GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1943248 | PA      | $1947498.77     | 0.00%             | 2040-12-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 11/01/2053#RJ0189                                                                          | CUSIP: 3142GQF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5067641 | PA      | $5223228.94     | 0.01%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6416                                                                          | CUSIP: 3140XADW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      345773 | PA      | $280125.20      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 03/15/2043#AD0818                                                                        | CUSIP: 36180B4B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26803 | PA      | $25167.37       | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A                                  | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1370000 | PA      | $780900.00      | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 11/01/2035#QN4142                                                                        | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1142914 | PA      | $1026997.21     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 03/15/2041#763058                                                                        | CUSIP: 36176DQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10596 | PA      | $10344.39       | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2131 BG 6% 3/29                                                                                     | CUSIP: 3133TK2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       33551 | PA      | $34288.48       | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                   | BAYER US FIN LLC 6.5% 11/21/2033 144A                                                                   | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    11585000 | PA      | $12415856.39    | 0.01%             | 2033-11-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.8% 02/15/2029                                                                                 | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     1376000 | PA      | $1393727.20     | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AB6904                                                                        | CUSIP: 31417DU68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      262565 | PA      | $241360.30      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/42 #Q06088                                                                                 | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30507 | PA      | $29717.14       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #323317                                                                                 | CUSIP: 31374TDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         248 | PA      | $261.07         | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.424%/VAR 07/21/2034                                                                    | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    23551000 | PA      | $24314836.18    | 0.03%             | 2034-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2017-30 AI 5.5% 05/47                                                                               | CUSIP: 3136AWQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      186505 | PA      | $26496.06       | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2051#785805                                                                          | CUSIP: 3622ABKS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    19700093 | PA      | $16638259.48    | 0.02%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FM9902                                                                          | CUSIP: 3140XEAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      491282 | PA      | $429759.40      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT3658                                                                        | CUSIP: 3138WRB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6879 | PA      | $6250.59        | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2046#AT7536                                                                          | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36827 | PA      | $34851.16       | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                       | US FOODS INC 5.75% 04/15/2033 144A                                                                      | CUSIP: 90290MAJ0<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     1785000 | PA      | $1790828.22     | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE FOUNDATION INC                                                    | PRIME HEALTHCARE FOUNDATION INC 7% 12/01/2027                                                           | CUSIP: 74166AAA0<br>LEI: 984500CA2F5A8B78A337 | Long             | DBT              | CORP              | US        |     2599000 | PA      | $2696308.38     | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                      | ANGLIAN WATER SVCS FINANC PLC 5.875% 06/20/2031 REGS                                                    | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |      990000 | PA      | $1365312.57     | 0.00%             | 2031-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 06/15/2041#366975                                                                        | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      342712 | PA      | $341320.64      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                            | JANE STREET GRP/JSG FIN 6.75% 05/01/2033 144A                                                           | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      575000 | PA      | $594179.70      | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/31 #545304                                                                                | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         268 | PA      | $281.58         | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/29 #523195                                                                                | CUSIP: 31384GGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          20 | PA      | $20.46          | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUN PWR REV                                                               | AMERICAN MUN OH 8.084% 2/15/50                                                                          | CUSIP: 02765UEK6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      870000 | PA      | $1086658.88     | 0.00%             | 2050-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 1.95% 08/01/2028                                                                     | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7691000 | PA      | $7200223.75     | 0.01%             | 2028-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/39 #698329                                                                                 | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6527 | PA      | $6507.16        | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2052#QE6560                                                                        | CUSIP: 3133BGJD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1198455 | PA      | $1090541.31     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #723745                                                                                 | CUSIP: 3620AABN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13757 | PA      | $13697.14       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q20360                                                                        | CUSIP: 3132JMMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7694 | PA      | $7426.87        | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                                      | GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 STEP 09/25/2061 144A                                      | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2857799 | PA      | $2799660.11     | 0.00%             | 2061-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8538                                                                          | CUSIP: 31419KPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90495 | PA      | $87819.36       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                          | ROGERS COMMUNICATIONS INC 3.8% 03/15/2032                                                               | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     7438000 | PA      | $6979907.79     | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                      | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5654190 | PA      | $5443232.00     | 0.01%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 5.125% 02/13/2031                                                                | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     5200000 | PA      | $5373211.84     | 0.01%             | 2031-02-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2049#CA3129                                                                          | CUSIP: 3140QAPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52579 | PA      | $49781.59       | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 08/20/2045#MA3034                                                                          | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       86544 | PA      | $80084.00       | 0.00%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.3% 08/15/2052                                                                        | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     5092000 | PA      | $4611570.82     | 0.01%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 10/20/2042#AC0073                                                                            | CUSIP: 36178YCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      228020 | PA      | $220491.90      | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 03/20/2045#MA2678                                                                          | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      124972 | PA      | $115817.37      | 0.00%             | 2045-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                | RHP HOTEL PPTYS LP and RHP FIN CORP 6.5% 04/01/2032 144A                                                | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      560000 | PA      | $575570.24      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR NOTE FUT (CBT)DEC25 TYZ5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         176 | NC      | $111833.04      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #420260                                                                                 | CUSIP: 31379HZZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         127 | PA      | $129.84         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                                | ELEVANCE HEALTH INC 2.25% 05/15/2030                                                                    | CUSIP: 036752AN3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     5433000 | PA      | $4954708.45     | 0.01%             | 2030-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2043#AC9441                                                                          | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18102 | PA      | $17492.00       | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                       | US FOODS INC 4.625% 06/01/2030 144A                                                                     | CUSIP: 90290MAE1<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      130000 | PA      | $126782.90      | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 6.75%/VAR 12/10/2054                                                                    | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      485000 | PA      | $491648.38      | 0.00%             | 2054-12-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2052#CB5124                                                                        | CUSIP: 3140QQVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18562126 | PA      | $17934826.05    | 0.02%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 5.737%/VAR 05/15/2029                                                                     | CUSIP: 02005NBZ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     6780000 | PA      | $6962493.26     | 0.01%             | 2029-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.125% 01/01/2031                                                             | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    30000000 | PA      | $31357050.00    | 0.04%             | 2031-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 2.65% 02/15/2032                                                        | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     5300000 | PA      | $4664547.33     | 0.01%             | 2032-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #723333                                                                                 | CUSIP: 3620A9SW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6768 | PA      | $6747.88        | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-135 ZA 4.5% 12/40                                                                              | CUSIP: 31398SE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       66501 | PA      | $64018.29       | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2044#AW3253                                                                        | CUSIP: 3138XSTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36719 | PA      | $36738.47       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                              | OPEN TEXT CORPORATION 3.875% 02/15/2028 144A                                                            | CUSIP: 683715AC0<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |      420000 | PA      | $408240.08      | 0.00%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 1.95% 02/15/2028 144A                                                                      | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2879000 | PA      | $2738981.04     | 0.00%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #464955                                                                                 | CUSIP: 36208YQG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1235 | PA      | $1253.29        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                                | SCHWAB CHARLES CORP 4%/VAR PERP                                                                         | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | EP               | CORP              | US        |     1030000 | PA      | $941754.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                             | STANDARD CHARTERED PLC 3.864%/VAR 03/17/2033 REGS                                                       | CUSIP: N/A<br>LEI: U4LOSYZ7YG4W3S5F2G91       | Long             | DBT              | CORP              | GB        |      900000 | PA      | $1066293.68     | 0.00%             | 2033-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                            | DARLING INGREDIENTS INC 5.25% 04/15/2027 144A                                                           | CUSIP: 237266AH4<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      410000 | PA      | $409053.02      | 0.00%             | 2027-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.75% 10/15/2031                                                                              | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    17905000 | PA      | $17904757.57    | 0.02%             | 2031-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9568                                                                          | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    29721873 | PA      | $24060349.41    | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 04/01/2041#AH9677                                                                        | CUSIP: 3138ABXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5091 | PA      | $5170.27        | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.53 08/01/2029                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    67400000 | NC      | $2678868.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2055#CC0577                                                                          | CUSIP: 3140Y6UB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    34454886 | PA      | $35849203.32    | 0.04%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/31 #596248                                                                                 | CUSIP: 31387WL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         156 | PA      | $164.69         | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AS0203                                                                        | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      215632 | PA      | $197202.58      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 2.493% 02/15/2027                                                                   | CUSIP: 14448CAP9<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      518000 | PA      | $506820.60      | 0.00%             | 2027-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.625% 06/15/2035                                                                   | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    17000000 | PA      | $15351000.00    | 0.02%             | 2035-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 8.00% 3/37 #922475                                                                                 | CUSIP: 31412D2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2628 | PA      | $2836.22        | 0.00%             | 2037-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2047#Q48095                                                                        | CUSIP: 3132WM7H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      386059 | PA      | $379526.94      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                        | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       50504 | PA      | $46616.00       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/29 #520975                                                                                | CUSIP: 31384DXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $62.30          | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.15% 09/30/2030                                     | CUSIP: 00774MBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    10400000 | PA      | $11148923.24    | 0.01%             | 2030-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                             | IPALCO ENTERPRISES INC 4.25% 05/01/2030                                                                 | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |     8967000 | PA      | $8758125.30     | 0.01%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7846                                                                        | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      175244 | PA      | $160823.37      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/44#AW6267                                                                             | CUSIP: 3138XV6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22230 | PA      | $22581.76       | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605529                                                                                | CUSIP: 36200NVW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1200 | PA      | $1245.04        | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 12/31/2031                                                                               | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   106500000 | PA      | $110269101.03   | 0.13%             | 2031-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 12/01/2054#QX2185                                                                        | CUSIP: 31425WNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5790916 | PA      | $5826318.89     | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 06/01/2036#BR2059                                                                        | CUSIP: 3140L0JD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      970220 | PA      | $869696.32      | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.784% 03/14/2032 144A                                                      | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    16472000 | PA      | $15471990.97    | 0.02%             | 2032-03-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#BA2698                                                                        | CUSIP: 3140E67L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63611 | PA      | $60922.43       | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 06/01/2035#QN2443                                                                          | CUSIP: 3133G8WC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6567406 | PA      | $6081494.51     | 0.01%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 03/01/2054#FS8634                                                                          | CUSIP: 3140XQSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2426332 | PA      | $2429849.99     | 0.00%             | 2054-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.64% 4/36 #1J0058                                                                             | CUSIP: 3128LUB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7180 | PA      | $7427.08        | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2052#CB3509                                                                          | CUSIP: 3140QN3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    52413958 | PA      | $49494301.70    | 0.06%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/25 #250410                                                                                | CUSIP: 31371FDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.23           | 0.00%             | 2025-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #462543                                                                                 | CUSIP: 36208VZG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1164 | PA      | $1178.60        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                               | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                               | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     5791000 | PA      | $5668010.68     | 0.01%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2049#FS4660                                                                        | CUSIP: 3140XLFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3979618 | PA      | $3663248.99     | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.75% 04/01/2040                                                                           | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $830691.37      | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                                                      | DLLAD 2023-1A 4.79% 01/20/2028 144A                                                                     | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8434922 | PA      | $8466101.55     | 0.01%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 09/01/2055 #TBA                                                                            | CUSIP: 01F020695<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  2591175000 | PA      | $2057352527.67  | 2.45%             | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.53 08/01/2029                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    67400000 | NC      | $1654073.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE4597                                                                        | CUSIP: 36180XDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10222 | PA      | $9669.19        | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                                | CUSIP: 312946FC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21140 | PA      | $20651.80       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 10/20/2040#004828                                                                        | CUSIP: 36202FLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      145845 | PA      | $143039.72      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B                                     | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B 5.41% 05/17/2027 144A                                    | CUSIP: 44934FAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7243000 | PA      | $7297273.97     | 0.01%             | 2027-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.25% 6/36 #886983                                                                             | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2583 | PA      | $2651.92        | 0.00%             | 2036-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                       | VERISIGN INC 5.25% 06/01/2032                                                                           | CUSIP: 92343EAQ5<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |     2514000 | PA      | $2563734.34     | 0.00%             | 2032-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #556007                                                                                | CUSIP: 36213JU86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         617 | PA      | $638.20         | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 07/20/2039#004488                                                                        | CUSIP: 36202E6Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2414 | PA      | $2391.75        | 0.00%             | 2039-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21524                                                                        | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7426 | PA      | $7216.01        | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/39 #782604                                                                                 | CUSIP: 36241K3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1928 | PA      | $1983.84        | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2052#BV6767                                                                        | CUSIP: 3140MLQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1367726 | PA      | $1248844.66     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                            | ACHV ABS TRUST 2024-3AL 5.01% 12/26/2031 144A                                                           | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2260644 | PA      | $2277623.02     | 0.00%             | 2031-12-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3233                                                                          | CUSIP: 3140QNSX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      381665 | PA      | $335062.09      | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2044#Q24349                                                                        | CUSIP: 3132M4QA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27299 | PA      | $26370.16       | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046                                                         | CUSIP: 3136AWGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1416660 | PA      | $1309093.26     | 0.00%             | 2046-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | FX Forward: USD/AUD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $5227.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                   | CCO HLDGS LLC/CAP CORP 5% 02/01/2028 144A                                                               | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3546000 | PA      | $3517119.60     | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2047#ZM4388                                                                        | CUSIP: 3131XX2V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      176563 | PA      | $163795.38      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP6486                                                                                | CUSIP: 3138MAF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8018 | PA      | $7543.37        | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#FS0840                                                                          | CUSIP: 3140XF5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10020398 | PA      | $8774942.76     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR2880                                                                        | CUSIP: 3138W0FW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14266 | PA      | $13167.97       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1                                    | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 4.8% 12/11/2037 144A                                    | CUSIP: 36271NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      750000 | PA      | $760714.50      | 0.00%             | 2037-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B23 MTG TR                                                          | BENCHMARK 2021-B23 MTG TR 1.766% 02/15/2054                                                             | CUSIP: 08162RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3513000 | PA      | $3300378.49     | 0.00%             | 2054-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                         | VOLKSWAGEN INTL FINANCE NV 3.748%/VAR PERP REGS                                                         | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |      500000 | PA      | $581490.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.1% 03/15/2052                                                                             | CUSIP: 30161NBH3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      379000 | PA      | $287716.58      | 0.00%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5% 08/01/2053#RA9615                                                                          | CUSIP: 3133KRVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7451437 | PA      | $7406354.46     | 0.01%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#CB2420                                                                          | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6407036 | PA      | $5630714.35     | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644809                                                                                 | CUSIP: 31390FKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1155 | PA      | $1214.60        | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LN EXTD NT TR 2021-1                                                   | TOYOTA AUTO LN EXTD NT TR 2021-1 1.07% 02/27/2034 144A                                                  | CUSIP: 89237MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    57735000 | PA      | $56845107.35    | 0.07%             | 2034-02-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 02/01/2036#QN5328                                                                          | CUSIP: 3133GB4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      559373 | PA      | $516587.79      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                     | CVR ENERGY INC 8.5% 01/15/2029 144A                                                                     | CUSIP: 12662PAF5<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |      750000 | PA      | $758079.75      | 0.00%             | 2029-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                                                                    | 180 MEDICAL INC 3.875% 10/15/2029 144A                                                                  | CUSIP: 682357AA6<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |     1520000 | PA      | $1457895.69     | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 03/01/2051#QC0031                                                                        | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      190021 | PA      | $145941.51      | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LTD                                                             | SIRIUS REAL ESTATE LTD 4% 01/22/2032 REGS                                                               | CUSIP: N/A<br>LEI: 213800NURUF5W8QSK566       | Long             | DBT              | CORP              | GG        |      800000 | PA      | $927487.76      | 0.00%             | 2032-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 11/20/2054#MB0025                                                                            | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    78111051 | PA      | $77323011.74    | 0.09%             | 2054-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.557%/VAR 07/25/2034                                                            | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    18660000 | PA      | $19374712.89    | 0.02%             | 2034-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2052#SD8257                                                                        | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18987966 | PA      | $18346275.62    | 0.02%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                                                               | VOLKSWAGEN BANK GMBH 3.5% 06/19/2031 REGS                                                               | CUSIP: N/A<br>LEI: 529900GJD3OQLRZCKW37       | Long             | DBT              | CORP              | DE        |      700000 | PA      | $818382.71      | 0.00%             | 2031-06-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZIGGO BV                                                                           | ZIGGO BV 4.875% 01/15/2030 144A                                                                         | CUSIP: 98955DAA8<br>LEI: 213800TQASLF9JXH5J59 | Long             | DBT              | CORP              | NL        |      670000 | PA      | $628768.94      | 0.00%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #250990                                                                                 | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          16 | PA      | $16.45          | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9394                                                                        | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61374 | PA      | $60201.21       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#CB0850                                                                          | CUSIP: 3140QK5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6275157 | PA      | $5503049.44     | 0.01%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2050#SD0265                                                                          | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1420132 | PA      | $1252052.88     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 11/01/2044#AL7307                                                                        | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      172419 | PA      | $174672.19      | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2042#G07492                                                                        | CUSIP: 3128M9UR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1804 | PA      | $1804.17        | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2043#Q16049                                                                        | CUSIP: 3132J7EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20621 | PA      | $20064.70       | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2046#AS7000                                                                          | CUSIP: 3138WGX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      356389 | PA      | $320779.43      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                     | EUROPEAN UNION 3.375% 12/12/2035 REGS                                                                   | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |      340000 | PA      | $404092.07      | 0.00%             | 2035-12-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07441                                                                                 | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10876 | PA      | $10582.23       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/42#G07240                                                                            | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59625 | PA      | $54839.67       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                                                            | VEOLIA ENVIRONNEMENT SA 3.324% 06/17/2032 REGS                                                          | CUSIP: N/A<br>LEI: 969500LENY69X51OOT31       | Long             | DBT              | CORP              | FR        |     2200000 | PA      | $2567481.24     | 0.00%             | 2032-06-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #449219                                                                                 | CUSIP: 36208FAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          28 | PA      | $27.73          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOTHEBYS                                                                           | SOTHEBYS 7.375% 10/15/2027 144A                                                                         | CUSIP: 835898AH0<br>LEI: 549300P5BAAMQQ7VL735 | Long             | DBT              | CORP              | US        |     1490000 | PA      | $1473599.27     | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.5% 02/15/2044                                                             | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2975000 | PA      | $2851583.97     | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323968                                                                                | CUSIP: 31374TZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          63 | PA      | $66.29          | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#SD2175                                                                          | CUSIP: 3132DPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3411939 | PA      | $3403024.49     | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                                       | WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050                                                     | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1272752 | PA      | $19780.98       | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.3% 06/01/2033                                                                         | CUSIP: 126650DY3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    14500000 | PA      | $14694024.50    | 0.02%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AL6554                                                                             | CUSIP: 3138EPH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53183 | PA      | $51140.36       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVI LTD / MAGNETITE XXVI LLC                                            | MAGNETITE XXVI LTD / MAGNETITE XXVI LLC AR2 TSFR3M+115 01/25/2038 144A                                  | CUSIP: 55954YAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10650000 | PA      | $10654611.45    | 0.01%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                                                   | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      130917 | PA      | $4197.34        | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #254058                                                                                 | CUSIP: 31371KE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          38 | PA      | $40.18          | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94341                                                                          | CUSIP: 3132LQWA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      249251 | PA      | $243211.68      | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 8/53 #RA9560                                                                             | CUSIP: 3133KRTR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8789584 | PA      | $8953189.33     | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#QD1240                                                                          | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4753375 | PA      | $4165539.61     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C01385                                                                                 | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1947 | PA      | $2040.77        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 11/25/2047                                                          | CUSIP: 3136BLRR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    14023206 | PA      | $12682434.44    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#FS8627                                                                        | CUSIP: 3140XQSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7801258 | PA      | $8172622.89     | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5% 09/01/2055 #TBA                                                                            | CUSIP: 01F050692<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    11750000 | PA      | $11587978.08    | 0.01%             | 2055-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 8.875% 04/12/2029                                                        | CUSIP: 105340AS2<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    22481000 | PA      | $24440781.18    | 0.03%             | 2029-04-12      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8934                                                                        | CUSIP: 3138MQ4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6906 | PA      | $6345.93        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                           | BX TRUST 0.8% 06/15/2023 144A                                                                           | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    35148590 | PA      | $35137605.76    | 0.04%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2030                                                                    | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    15417000 | PA      | $16029779.50    | 0.02%             | 2030-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ERO COPPER CORP                                                                    | ERO COPPER CORP 6.5% 02/15/2030 144A                                                                    | CUSIP: 296006AA7<br>LEI: 549300KL8A21SEIO8I47 | Long             | DBT              | CORP              | CA        |     1040000 | PA      | $1014000.00     | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS INC                                                             | ADVANCE AUTO PARTS INC 5.95% 03/09/2028                                                                 | CUSIP: 00751YAJ5<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     5301000 | PA      | $5397939.39     | 0.01%             | 2028-03-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2050#CA5122                                                                          | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4992910 | PA      | $4401976.20     | 0.01%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                                  | CEDAR FUNDING LTD AR2 TSFR3M+136 10/20/2037 144A                                                        | CUSIP: 15033XAU0<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |     9231000 | PA      | $9259394.56     | 0.01%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fidelity Advisor Series I                                                          | FIDELITY ADVISOR FLOATING RATE HIGH INCOME FUNDZ                                                        | CUSIP: 315806703<br>LEI: C7J4FOV6ELAVE39B7M82 | Long             | EC               | RF                | US        |   140976153 | NS      | $1288522039.41  | 1.53%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AU1687                                                                          | CUSIP: 3138X02V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9655 | PA      | $9315.91        | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                               | VERISK ANALYTICS INC 4.5% 08/15/2030                                                                    | CUSIP: 92345YAM8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     6743000 | PA      | $6770139.09     | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 2                                                         | BAYVIEW COML ASSET TR 06 2 TSFR1M+74.448 07/25/2036 144A                                                | CUSIP: 07324YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4501 | PA      | $4261.52        | 0.00%             | 2036-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565952                                                                                 | CUSIP: 36213VWM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         371 | PA      | $382.70         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 04/01/2033#ZT1970                                                                        | CUSIP: 3132AEFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3137630 | PA      | $3103118.32     | 0.00%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #582178                                                                                 | CUSIP: 36201FXF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8748 | PA      | $9083.27        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 1/1/43 #AR1183                                                                           | CUSIP: 3138NXJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54221 | PA      | $49770.37       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3415 PC 5% 12/37                                                                                    | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       27988 | PA      | $28407.12       | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON RR CLO 30 LTD                                                             | FLATIRON RR CLO 30 LTD E TSFR3M+525 04/15/2038 144A                                                     | CUSIP: 33882NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      200000 | PA      | $201925.80      | 0.00%             | 2038-04-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG BACKED SECS 2003-I TR                                              | WELLS FARGO MORTGAGE BACKED SECURITIES 2003-I TRUST VAR 09/25/2033                                      | CUSIP: 949802AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        3720 | PA      | $3687.17        | 0.00%             | 2033-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2047#MA4900                                                                          | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21517 | PA      | $19930.82       | 0.00%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT3345                                                                        | CUSIP: 3138WQWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5041 | PA      | $4589.68        | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #481133                                                                                 | CUSIP: 36209TPS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         125 | PA      | $125.27         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 3.7% 03/22/2061                                                              | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     7473000 | PA      | $5120520.00     | 0.01%             | 2061-03-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B31 MORTGAGE TRUST                                                  | BENCHMARK 2021-B31 MORTGAGE TRUST 2.669% 12/15/2054                                                     | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3205000 | PA      | $2848724.19     | 0.00%             | 2054-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2033#J40168                                                                          | CUSIP: 31307YFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      105271 | PA      | $102593.89      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 2.359%/VAR 07/29/2032                                                              | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     8448000 | PA      | $7268282.17     | 0.01%             | 2032-07-29      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/41 #A96807                                                                                 | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      155591 | PA      | $151723.03      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2040#FM5042                                                                          | CUSIP: 3140X8S81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2797708 | PA      | $2439565.96     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2025-1                                                      | MARLETTE FUNDING TRUST 2025-1A A 4.75% 07/16/2035 144A                                                  | CUSIP: 570920AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3723470 | PA      | $3727233.20     | 0.00%             | 2035-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                               | TTM TECHNOLOGIES INC 4% 03/01/2029 144A                                                                 | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |      860000 | PA      | $822717.54      | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #396096                                                                                 | CUSIP: 31378D7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         246 | PA      | $251.48         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 7%/VAR 03/10/2055                                                                       | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     1420000 | PA      | $1478373.36     | 0.00%             | 2055-03-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER   | PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER 7% 02/01/2030 144A     | CUSIP: 70052LAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $309774.30      | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 4.677% 06/15/2027 144A                                                          | CUSIP: 83368RBM3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     4831000 | PA      | $4871659.53     | 0.01%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/36 #901643                                                                                | CUSIP: 31410YWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         510 | PA      | $543.25         | 0.00%             | 2036-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                                     | FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A                                                    | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    39470000 | PA      | $39652209.31    | 0.05%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.125% 12/15/2026                                                                 | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1748000 | PA      | $1748497.67     | 0.00%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHAMPION IRON CANADA INC                                                           | CHAMPION IRON CANADA INC 7.875% 07/15/2032 144A                                                         | CUSIP: 15853BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      410000 | PA      | $427891.17      | 0.00%             | 2032-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| JYSKE BANK                                                                         | JYSKE BANK AS 5.125%/VAR 05/01/2035 REGS                                                                | CUSIP: N/A<br>LEI: 3M5E1GQGKL17HI6CPN30       | Long             | DBT              | CORP              | DK        |      665000 | PA      | $822524.95      | 0.00%             | 2035-05-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+206.198 21 10/15/2036 144A                                 | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11390000 | PA      | $11347386.59    | 0.01%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 5.125% 05/15/2029                                                                 | CUSIP: 23311VAH0<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     8391000 | PA      | $8574162.69     | 0.01%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 5.6% 02/15/2041                                                                               | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     4709000 | PA      | $4776806.35     | 0.01%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 06/20/2051#MA7418                                                                          | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    14346053 | PA      | $12223951.90    | 0.01%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2042#796180                                                                          | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10415 | PA      | $10067.82       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                                             | BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A                                    | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    35367883 | PA      | $35445250.48    | 0.04%             | 2040-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS INC                                                          | QXO BUILDING PRODUCTS INC 6.75% 04/30/2032 144A                                                         | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |      595000 | PA      | $614518.83      | 0.00%             | 2032-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SA                                                            | ENFRAGEN ENERGIA SUR SA 5.375% 12/30/2030 144A                                                          | CUSIP: 29280LAA1<br>LEI: 2549002TO75PYMY3VY07 | Long             | DBT              | CORP              | ES        |     1180000 | PA      | $1082650.00     | 0.00%             | 2030-12-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP NEW                                                            | PILGRIMS PRIDE CORP NEW 3.5% 03/01/2032                                                                 | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $948794.70      | 0.00%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                              | VENTURE GLOBAL PLAQUE 6.75% 01/15/2036 144A                                                             | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      820000 | PA      | $860549.00      | 0.00%             | 2036-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-66 SA SOFR30A+3891.312 7/37                                                                    | CUSIP: 31396WYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       14867 | PA      | $20082.78       | 0.00%             | 2037-07-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AR2466                                                                        | CUSIP: 3138NYW43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24582 | PA      | $21762.10       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 12/20/2054#MB0093                                                                            | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    58778571 | PA      | $59934645.13    | 0.07%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     2900000 | NC      | $-38923.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2020-IV                                                            | BARINGS CLO LTD 2020-IV AR TSFR3M+137 10/20/2037 144A                                                   | CUSIP: 06762BAS9<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |    11089000 | PA      | $11141251.37    | 0.01%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.625% 02/15/2053                                                           | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   244816000 | PA      | $195957994.99   | 0.23%             | 2053-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 6.312%/VAR 06/08/2029                                                              | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    12000000 | PA      | $12594872.40    | 0.02%             | 2029-06-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-7 FC SOFR30A+86.448 1/32                                                                       | CUSIP: 31392B2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1180 | PA      | $1181.85        | 0.00%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.00% 5/32 #003238                                                                              | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14894 | PA      | $15372.12       | 0.00%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#798467                                                                        | CUSIP: 36177TMR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30270 | PA      | $29234.66       | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 8/26 #C90997                                                                            | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         811 | PA      | $815.51         | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2051#BR5017                                                                          | CUSIP: 3140L3SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      744458 | PA      | $652160.15      | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2046#AS7024                                                                          | CUSIP: 3138WGYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115739 | PA      | $110593.66      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUVEEN LLC                                                                         | NUVEEN LLC 5.85% 04/15/2034 144A                                                                        | CUSIP: 67080LAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4183329.12     | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/29 #487563                                                                                 | CUSIP: 36210BTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         846 | PA      | $875.65         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM3                                                                     | MSRM 2025-NQM3 VAR 05/25/2070 144A                                                                      | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    18611178 | PA      | $18737019.50    | 0.02%             | 2070-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2033#SB0621                                                                          | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      667486 | PA      | $653771.04      | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 8.407%/VAR 11/14/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |      550000 | PA      | $793310.21      | 0.00%             | 2032-11-14      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/40 #732376                                                                                 | CUSIP: 3620AKT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         564 | PA      | $571.35         | 0.00%             | 2040-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LO 30YR 5.5% 09/01/2054#QJ3953                                                             | CUSIP: 3133CUMA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6644600 | PA      | $6685222.21     | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2041#AH5464                                                                        | CUSIP: 3138A7CA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1530 | PA      | $1526.05        | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 04/01/2047#SD0978                                                                        | CUSIP: 3132DNCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7216149 | PA      | $6121172.58     | 0.01%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 4.065 05/02/30                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    10870000 | NC      | $377737.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRAPEZA CDO XII LTD / TRAPEZA CDO XII INC                                          | TRAP 2007-12A B TSFR3M+82.161 4/42                                                                      | CUSIP: 89413GAG3<br>LEI: 5493000R4ICCD2N68609 | Long             | ABS-CBDO         | CORP              | KY        |     1380000 | PA      | $1085069.16     | 0.00%             | 2042-04-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9538                                                                          | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      748108 | PA      | $605606.02      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                | US LBM TERM B 1LN 06/06/2031                                                                            | CUSIP: 50179JAK4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |      843349 | PA      | $833440.00      | 0.00%             | 2031-06-06      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 3.4% 01/15/2028                                                                      | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     2874000 | PA      | $2837405.56     | 0.00%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                  | GEO GROUP INC/THE 8.625% 04/15/2029                                                                     | CUSIP: 36162JAG1<br>LEI: 5493003VOR6NTY465495 | Long             | DBT              | CORP              | US        |      580000 | PA      | $613740.34      | 0.00%             | 2029-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2050#FM2439                                                                          | CUSIP: 3140X5V91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6897562 | PA      | $6094137.85     | 0.01%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 05/01/2041#1B8124                                                                         | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8253 | PA      | $8609.36        | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 4.375% 05/15/2047                                                                          | CUSIP: 65473QBF9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     3114000 | PA      | $2568599.81     | 0.00%             | 2047-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AA9055                                                                                 | CUSIP: 31416TBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         829 | PA      | $828.49         | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 09/20/2046#MA3939                                                                          | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7922 | PA      | $7873.43        | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.75% 04/01/2028                                                                     | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     6305000 | PA      | $6373552.75     | 0.01%             | 2028-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/39 #710868                                                                                 | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68614 | PA      | $70678.97       | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #728451                                                                                | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12292 | PA      | $12486.33       | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AGCO CORP                                                                          | AGCO CORP 5.8% 03/21/2034                                                                               | CUSIP: 001084AS1<br>LEI: LYOM0B2GCF1JWXK5ZG04 | Long             | DBT              | CORP              | US        |     7687000 | PA      | $7913504.53     | 0.01%             | 2034-03-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 5.625% 02/15/2027 144A                                                         | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1015000 | PA      | $1015411.08     | 0.00%             | 2027-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AB9376                                                                        | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      315294 | PA      | $296160.35      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/41 #783307                                                                                 | CUSIP: 36241LU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4313 | PA      | $4185.42        | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2055#CC0715                                                                        | CUSIP: 3140Y6YM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20649250 | PA      | $20807756.15    | 0.02%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/40 #737442                                                                                 | CUSIP: 3620ARHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2498 | PA      | $2426.50        | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2051#RA5263                                                                          | CUSIP: 3133KLZ42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      916784 | PA      | $807132.27      | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/39#G05497                                                                             | CUSIP: 3128M7NN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3165 | PA      | $3166.93        | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 11/01/2054#DC2702                                                                        | CUSIP: 3140AQAC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9477838 | PA      | $9545556.67     | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.623%/VAR 05/09/2029                                                       | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    38563000 | PA      | $38997989.48    | 0.05%             | 2029-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 01/20/2032#MA4170                                                                          | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4668509 | PA      | $4555378.54     | 0.01%             | 2032-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESSEX WATER SERVS FIN PLC                                                         | WESSEX WATER SERVS FIN PLC 6.125% 09/19/2034 REGS                                                       | CUSIP: N/A<br>LEI: 213800B9BFRCA1YMEI57       | Long             | DBT              | CORP              | GB        |      850000 | PA      | $1149186.90     | 0.00%             | 2034-09-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 01/20/2055#MB0145                                                                          | CUSIP: 3618N5ET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4093418 | PA      | $3941561.23     | 0.00%             | 2055-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+632.552 05/25/2037                                               | CUSIP: 31396VYS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       14293 | PA      | $1350.28        | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2042#794559                                                                          | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4868 | PA      | $4712.61        | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464694                                                                                 | CUSIP: 36208YGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          17 | PA      | $17.28          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2048#G08830                                                                        | CUSIP: 3128MJ4Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      147529 | PA      | $135745.89      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2023-53 FP SOFR30A+155 11/25/2053                                        | CUSIP: 3136BQTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    46238265 | PA      | $46639765.55    | 0.06%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 07/25/2040                                                          | CUSIP: 3136BA6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    20639877 | PA      | $17434580.41    | 0.02%             | 2040-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9239                                                                        | CUSIP: 31417GHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23159 | PA      | $21213.25       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR0532                                                                        | CUSIP: 3138NWSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7989 | PA      | $7334.78        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/31 #253907                                                                                 | CUSIP: 31371KAG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          61 | PA      | $63.88          | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                      | BAT INTL FINANCE PLC 5.931% 02/02/2029                                                                  | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     6000000 | PA      | $6305349.00     | 0.01%             | 2029-02-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/27 #780618                                                                                 | CUSIP: 36225AVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          18 | PA      | $17.95          | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| X CORP                                                                             | X TERM 1LN 10/26/2029                                                                                   | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      815000 | PA      | $800590.80      | 0.00%             | 2029-10-26      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 09/01/2055 #TBA                                                                              | CUSIP: 21H040699<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    41150000 | PA      | $38374366.66    | 0.05%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #748482                                                                                 | CUSIP: 3620C4RB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18515 | PA      | $18810.03       | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 06/01/2054#CB8729                                                                        | CUSIP: 3140QUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11129973 | PA      | $11558060.66    | 0.01%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMM 2017-COR2                                                                     | COMM 2017-COR2 3.317% 09/10/2050                                                                        | CUSIP: 12595EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      423804 | PA      | $420027.92      | 0.00%             | 2050-09-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 5.4% 02/15/2034                                                                            | CUSIP: 00206RMT6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5154478.20     | 0.01%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/29 #501931                                                                                 | CUSIP: 36210TSU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           7 | PA      | $7.32           | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC          | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028 144A         | CUSIP: 03969YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      885000 | PA      | $836379.78      | 0.00%             | 2028-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                        | SUNOCO LP / SUNOCO FIN CORP 4.5% 05/15/2029                                                             | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      340000 | PA      | $331412.65      | 0.00%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AON CORP / AON GLOBAL HOLDINGS PLC                                                 | AON CORP / AON GLOBAL HOLDINGS PLC 2.6% 12/02/2031                                                      | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2057000 | PA      | $1839613.01     | 0.00%             | 2031-12-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 4.3% 04/06/2029                                                                | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     6975000 | PA      | $6902436.63     | 0.01%             | 2029-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 02/01/2041#A96961                                                                        | CUSIP: 312945WW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5570 | PA      | $5664.23        | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13425                                                                        | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       68062 | PA      | $65960.58       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #469082                                                                                 | CUSIP: 36209ECT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          32 | PA      | $32.83          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 03/15/2042#773367                                                                        | CUSIP: 36176Q6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7713 | PA      | $7468.49        | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.259% 05/01/2027                                                                             | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      649000 | PA      | $667832.11      | 0.00%             | 2027-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.9 07/08/26                                                                              | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    35000000 | NC      | $1174386.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027                                                        | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    27454000 | PA      | $27079074.45    | 0.03%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2049#SD7509                                                                          | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11748603 | PA      | $10398489.23    | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 2.95% 07/15/2030                                                            | CUSIP: 136385BA8<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     8571000 | PA      | $7990369.52     | 0.01%             | 2030-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                         | AVIATION CAPITAL GROUP LLC 6.25% 04/15/2028 144A                                                        | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6785653.49     | 0.01%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.25% 11/25/2047                                                         | CUSIP: 3136BLHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    16602662 | PA      | $14836799.43    | 0.02%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 09/01/2055 #TBA                                                                          | CUSIP: 01F062697<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   148425000 | PA      | $153799602.83   | 0.18%             | 2055-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #303780                                                                                 | CUSIP: 31373UM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $5.18           | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                         | DAVITA INC 6.75% 07/15/2033 144A                                                                        | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     1545000 | PA      | $1601281.26     | 0.00%             | 2033-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAIN SYS INC DEL                                                         | ADVANCED DRAIN SYS INC DEL 5% 09/30/2027 144A                                                           | CUSIP: 00790RAA2<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1638275.27     | 0.00%             | 2027-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-3 LTD                                              | PALMER SQUARE LOAN FUNDING 2024-3 LTD A1 TSFR3M+108 08/08/2032 144A                                     | CUSIP: 69690EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7373413 | PA      | $7377852.09     | 0.01%             | 2032-08-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 09/20/2052#MA8263                                                                            | CUSIP: 36179XFC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      113304 | PA      | $92854.98       | 0.00%             | 2052-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2034#752919                                                                        | CUSIP: 31403MPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1323 | PA      | $1325.37        | 0.00%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VISTA MANAGEMENT HOLDING INC                                                       | VISTAJET TERM B 1LN 04/01/2031                                                                          | CUSIP: 92842EAB4<br>LEI: 5299005VABKD28UWHI65 | Long             | LON              | CORP              | US        |       25000 | PA      | $25117.25       | 0.00%             | 2031-04-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6342                                                                          | CUSIP: 3140XABL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      613129 | PA      | $563166.21      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/29 #500286                                                                                 | CUSIP: 31383DXP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         536 | PA      | $563.34         | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 03/01/2041#MA4287                                                                          | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4309934 | PA      | $3738504.75     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2976                                                                        | CUSIP: 3138EKJW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95652 | PA      | $90936.31       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 3.25% 06/06/2032                                                                 | CUSIP: 718172DW6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     2575000 | PA      | $2988445.74     | 0.00%             | 2032-06-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2039#                                                                              | CUSIP: 312938BB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1063 | PA      | $1062.84        | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 10/01/2055 #TBA                                                                            | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  1731525000 | PA      | $1375074475.57  | 1.64%             | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #527248                                                                                | CUSIP: 31384LWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          61 | PA      | $63.65          | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2049                                                          | CUSIP: 3136BKND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    14702806 | PA      | $12895867.59    | 0.02%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #401093                                                                                | CUSIP: 31378KRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         206 | PA      | $210.60         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                | BROWN and BROWN INC 4.2% 03/17/2032                                                                     | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     3550000 | PA      | $3400177.82     | 0.00%             | 2032-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                          | COREBRIDGE GBL FUNDING 4.9% 12/03/2029 144A                                                             | CUSIP: 00138CBC1<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1785072.03     | 0.00%             | 2029-12-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                    | PENNYMAC FINANCIAL SERVICES INC 6.875% 05/15/2032 144A                                                  | CUSIP: 70932MAG2<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      810000 | PA      | $829307.97      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 04/01/2036#FM9743                                                                        | CUSIP: 3140XDZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3196318 | PA      | $3086905.14     | 0.00%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 1/41 #AB2068                                                                                 | CUSIP: 31416XJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5837 | PA      | $5541.80        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                        | GSMS 2021-IP B TSFR1M+126.448 10/15/2036 144A                                                           | CUSIP: 36262MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1654000 | PA      | $1645749.35     | 0.00%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                                   | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    13215339 | PA      | $13230782.57    | 0.02%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885802 12/15/56 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1400000 | NC      | $176540.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/31 #622219                                                                                | CUSIP: 31389DG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         555 | PA      | $583.73         | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #553437                                                                                 | CUSIP: 36213FZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         203 | PA      | $209.18         | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                                 | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                      | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      784925 | PA      | $764037.90      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 01/01/2033#ZS7938                                                                        | CUSIP: 3132A8ZB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      973733 | PA      | $937276.86      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #401788                                                                                | CUSIP: 31378LJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          25 | PA      | $25.19          | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTERNATIONAL INC                                                       | SOMNIGROUP INTERNATIONAL INC 4% 04/15/2029 144A                                                         | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |      590000 | PA      | $567121.10      | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2052#QE5393                                                                          | CUSIP: 3133BE7E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       81721 | PA      | $77603.12       | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                                           | GS MTG SECS TR 2020-GC45 2.8428% 02/13/2053                                                             | CUSIP: 36258YBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5624160 | PA      | $5455105.04     | 0.01%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARLSBERG BREWERIES A/S                                                            | CARLSBERG BREWERIES A/S 3.25% 02/28/2032 REGS                                                           | CUSIP: N/A<br>LEI: 5493008YL42784DMWN61       | Long             | DBT              | CORP              | DK        |      925000 | PA      | $1079446.00     | 0.00%             | 2032-02-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #570131                                                                                | CUSIP: 36200RLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         486 | PA      | $503.56         | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 05/36#MA4328                                                                             | CUSIP: 31418DY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      478761 | PA      | $429456.45      | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#CB2906                                                                        | CUSIP: 3140QNGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7009594 | PA      | $6380611.32     | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #843567                                                                                | CUSIP: 31407XFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1171 | PA      | $1233.78        | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC                                                              | ELLUCIAN TERM B 1LN 10/9/2029                                                                           | CUSIP: N/A<br>LEI: 549300RP8NIJ7FY7OS79       | Long             | LON              | CORP              | US        |       10000 | PA      | $10006.30       | 0.00%             | 2029-10-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #733155                                                                                 | CUSIP: 3620ALQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5347 | PA      | $5431.75        | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                                          | CUSIP: 3137H5J24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3289119 | PA      | $2883780.12     | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 3.25% 01/15/2031                                                                     | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     1828000 | PA      | $1728245.86     | 0.00%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6239                                                                          | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5715641 | PA      | $4619761.72     | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                              | EG GLOBAL FINANCE PLC 12% 11/30/2028 144A                                                               | CUSIP: 28228PAC5<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |     1280000 | PA      | $1413251.84     | 0.00%             | 2028-11-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2051#FM8276                                                                          | CUSIP: 3140XCFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      848088 | PA      | $744002.82      | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                            | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    70500000 | PA      | $42143027.52    | 0.05%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#CB0858                                                                          | CUSIP: 3140QK5U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1499996 | PA      | $1300902.18     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2049#FM1534                                                                        | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9459769 | PA      | $9287888.34     | 0.01%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 09/20/2052#MA8266                                                                          | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    66531921 | PA      | $60723012.51    | 0.07%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 04/01/2054#                                                                                | CUSIP: 3140QUH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1482247 | PA      | $1518954.22     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2052#RA7312                                                                        | CUSIP: 3133KPDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12885792 | PA      | $11761742.41    | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #544721                                                                                 | CUSIP: 36212VD22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         102 | PA      | $105.33         | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7457                                                                          | CUSIP: 3133B5JA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      665271 | PA      | $579880.88      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 06/20/2039#004461                                                                        | CUSIP: 36202E5W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11415 | PA      | $11205.21       | 0.00%             | 2039-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2047#FP0111                                                                          | CUSIP: 3140XTDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22424806 | PA      | $20474361.44    | 0.02%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/43#AL7261                                                                          | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      245889 | PA      | $232170.85      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2054#CB9365                                                                        | CUSIP: 3140QVMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22794240 | PA      | $22983456.86    | 0.03%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                             | MARVELL TECHNOLOGY INC 5.45% 07/15/2035                                                                 | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2988000 | PA      | $3038798.21     | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.125% 05/15/2032                                                                    | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    14187000 | PA      | $14236480.85    | 0.02%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                                                   | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                                                | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1874548 | PA      | $1761099.62     | 0.00%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                                             | HILTON USA TR 2016-HHV B CSTR 11/05/2038 144A                                                           | CUSIP: 43300LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1750000 | PA      | $1734640.95     | 0.00%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2047#BJ0197                                                                          | CUSIP: 3140H1GF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9496 | PA      | $9085.93        | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS9607                                                                          | CUSIP: 3140XRU94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2260638 | PA      | $1830023.89     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #417739                                                                                | CUSIP: 31379FBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          91 | PA      | $91.57          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   115454000 | PA      | $117057916.99   | 0.14%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                                   | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    23879000 | PA      | $21575984.35    | 0.03%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/41 #005055                                                                              | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      769452 | PA      | $765347.82      | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGEAN PLC                                                                       | ENERGEAN PLC 6.5% 04/30/2027 144A                                                                       | CUSIP: 29280EAA7<br>LEI: 549300RVMKU0CYUZBB05 | Long             | DBT              | CORP              | GB        |     1620000 | PA      | $1602058.50     | 0.00%             | 2027-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.5% 05/15/2035                                                                            | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2388000 | PA      | $2284768.29     | 0.00%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AE3713                                                                                | CUSIP: 31419EDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2974 | PA      | $2970.97        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC B TSFR1M+141.448 04/15/2034 144A                                  | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4437000 | PA      | $4384310.63     | 0.01%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                       | ING GROEP NV 1.726%/VAR 04/01/2027                                                                      | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     1250000 | PA      | $1231395.39     | 0.00%             | 2027-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2020-2                                                    | ONEMAIN FINL ISSUANCE TR 2020-2 1.75% 09/14/2035 144A                                                   | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3000000 | PA      | $2944746.00     | 0.00%             | 2035-09-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2042#RB0806                                                                        | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235287 | PA      | $210056.46      | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0388                                                                        | CUSIP: 3140QKNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5820333 | PA      | $4886229.09     | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.11% 4/38 #1B3803                                                                             | CUSIP: 3128JPDH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5848 | PA      | $6100.55        | 0.00%             | 2038-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                                 | TEACHERS INS and ANNUITY ASSN AMER 4.9% 09/15/2044 144A                                                 | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     1484000 | PA      | $1334071.93     | 0.00%             | 2044-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-17 BH 3% 05/25/2047                                                   | CUSIP: 3136BMRP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6615192 | PA      | $6305702.55     | 0.01%             | 2047-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2052#QE0889                                                                          | CUSIP: 3133B97A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      141544 | PA      | $134411.02      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                                                 | AVIS BUDGET RENTCAR FDG AE LLC 4.8% 08/20/2029 144A                                                     | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |     4510000 | PA      | $4568582.65     | 0.01%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #779843                                                                                | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11346 | PA      | $10990.10       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BCRED BSL STATIC CLO 2025-1 LTD / LLC                                              | BCRED BSL STATIC CLO 2025-1 A AR LTD / LLC AR TSFR3M+125 07/15/2035 144A                                | CUSIP: 05556KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11631000 | PA      | $11609191.88    | 0.01%             | 2035-07-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                                | SIRIUS XM RADIO INC 5.5% 07/01/2029 144A                                                                | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      400000 | PA      | $399429.04      | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 3/42 #Q07242                                                                                 | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32727 | PA      | $31780.15       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.239%/VAR 07/21/2032                                                                    | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4900000 | PA      | $4304943.80     | 0.01%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE III LLC                                                  | LYB INTERNATIONAL FINANCE III LLC 1.25% 10/01/2025                                                      | CUSIP: 50249AAF0<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |     1661000 | PA      | $1656275.75     | 0.00%             | 2025-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2048#FS3717                                                                        | CUSIP: 3140XKDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2373472 | PA      | $2371329.59     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 MTG TR                                                                 | CD 2017-CD6 ASB MTG TR 3.332% 11/13/2050                                                                | CUSIP: 125039AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7381175 | PA      | $7308463.66     | 0.01%             | 2050-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 02/01/2036#SB8088                                                                        | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      840777 | PA      | $754189.74      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/32 #254383                                                                                 | CUSIP: 31371KRC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         148 | PA      | $157.98         | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4% 11/15/2052                                                               | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   177678000 | PA      | $152483813.96   | 0.18%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 7%/VAR PERP 144A                                                                           | CUSIP: 225401BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EP               | CORP              | CH        |      220000 | PA      | $223171.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/34 #605311                                                                                 | CUSIP: 36200NN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7022 | PA      | $7313.32        | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96766                                                                                 | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9174 | PA      | $9167.42        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 1/31 #435013                                                                                 | CUSIP: 36207LGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         862 | PA      | $895.64         | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                            | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                                  | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    20325000 | PA      | $20391082.27    | 0.02%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.627% 6/1/41#1B8372                                                                           | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7937 | PA      | $8278.28        | 0.00%             | 2041-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                       | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                            | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7638103 | PA      | $7427749.24     | 0.01%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                 | VORNADO REALTY LP 2.15% 06/01/2026                                                                      | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |     4402000 | PA      | $4306204.56     | 0.01%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 3.375% 05/06/2037                                                                          | CUSIP: 02079KAR8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      290000 | PA      | $331917.90      | 0.00%             | 2037-05-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#BQ6858                                                                          | CUSIP: 3140KSTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      947417 | PA      | $754811.18      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 12/20/30 ALVGR B                                                                          | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     2700000 | NC      | $-36964.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    59592000 | PA      | $66236641.49    | 0.08%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 5.75% 08/01/2032 144A                                                                     | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      330000 | PA      | $335775.00      | 0.00%             | 2032-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2048#BJ9308                                                                        | CUSIP: 3140HBKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      108662 | PA      | $100533.34      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.355% 03/15/2032                                                            | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    21895000 | PA      | $19007561.84    | 0.02%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-H03 FA TSFR1M+66.448 3/60                                                                      | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      105269 | PA      | $105375.08      | 0.00%             | 2060-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2041#BQ6743                                                                          | CUSIP: 3140KSP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7836592 | PA      | $6753560.69     | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 5.25% 06/15/2037                                                                     | CUSIP: 15135UAP4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |      657000 | PA      | $625861.46      | 0.00%             | 2037-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                                                | ALA TRUST 2025-OANA A 6.04263% 06/15/2030 144A                                                          | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    41328000 | PA      | $41508810.00    | 0.05%             | 2040-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DESIGNATED ACTIVITY CO                                        | ICON INVESTMENTS SIX DESIGNATED ACTIVITY CO 5.849% 05/08/2029                                           | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |     7434000 | PA      | $7774497.72     | 0.01%             | 2029-05-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.4% 10/29/2033                                      | CUSIP: 00774MAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     2691000 | PA      | $2391899.55     | 0.00%             | 2033-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                                | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                                   | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |     2395000 | PA      | $2414855.27     | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                                             | UBS COMMERCIAL MORTGAGE TRUST 2018-C12 ASB 4.1945% 08/15/2051                                           | CUSIP: 90353DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      673828 | PA      | $671780.07      | 0.00%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 02/20/2052#MA7880                                                                            | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    29605662 | PA      | $24246270.56    | 0.03%             | 2052-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 5.6% 03/15/2053                                                                             | CUSIP: 30161NBL4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $6441846.58     | 0.01%             | 2053-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #397256                                                                                | CUSIP: 31378FH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         115 | PA      | $117.53         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6% 03/01/2055#RJ3645                                                                    | CUSIP: 3142GUBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14239980 | PA      | $14749491.82    | 0.02%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #773473                                                                                 | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8051 | PA      | $7815.63        | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030007 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2800000 | NC      | $330201.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #474760                                                                                 | CUSIP: 36209LMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         198 | PA      | $204.09         | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 09/01/2034#FM1577                                                                        | CUSIP: 3140X4XF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3437318 | PA      | $3370507.29     | 0.00%             | 2034-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2033#688077                                                                        | CUSIP: 31400HM26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4906 | PA      | $4911.23        | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS6967                                                                          | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22884 | PA      | $21118.63       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                   | CARLISLE COS INC 2.75% 03/01/2030                                                                       | CUSIP: 142339AJ9<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |     6227000 | PA      | $5820073.40     | 0.01%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2052#SD2298                                                                          | CUSIP: 3132DPRT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4673980 | PA      | $3783664.29     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2042#C04320                                                                          | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      720742 | PA      | $663059.08      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/33 #A16699                                                                                | CUSIP: 31296RNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6357 | PA      | $6450.96        | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                                                          | CUSIP: 3136A7HT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         345 | PA      | $3.00           | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2017-134 BA 2.5% 11/46                                                                              | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       87141 | PA      | $79789.99       | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2051#                                                                              | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2884185 | PA      | $2409586.17     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 04/01/2032#                                                                              | CUSIP: 31287SCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         192 | PA      | $201.11         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 2.159%/VAR 09/15/2029 144A                                                                  | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     7271000 | PA      | $6804072.89     | 0.01%             | 2029-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 01/33#J38270                                                                             | CUSIP: 31307VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11136 | PA      | $10714.86       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 2017-1A A23 4.118% 07/25/2047 144A                                         | CUSIP: 25755TAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    28168980 | PA      | $27933633.81    | 0.03%             | 2047-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 12/20/2049#BR8987                                                                          | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60087 | PA      | $55131.48       | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2035#CA5427                                                                        | CUSIP: 3140QDA53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7436230 | PA      | $7054566.19     | 0.01%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048                                                   | CUSIP: 3137H5BQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    38540248 | PA      | $34279199.26    | 0.04%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #466901                                                                                 | CUSIP: 36209BU22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          73 | PA      | $73.46          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A97152                                                                                 | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19946 | PA      | $19948.07       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DPABS 2018-1A A2I 4.116% 07/25/2048 144A                                                                | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11594558 | PA      | $11580150.10    | 0.01%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#MB0249                                                                        | CUSIP: 3138MTH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11452 | PA      | $10500.92       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2042#AO6386                                                                        | CUSIP: 3138LXCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6140 | PA      | $5789.55        | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2046#G60393                                                                        | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44856 | PA      | $41721.74       | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #830810                                                                                 | CUSIP: 31407HAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         409 | PA      | $428.84         | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1100000 | NC      | $175899.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3239                                                                          | CUSIP: 3140QNS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21420058 | PA      | $18911672.49    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 10/01/2034#C91793                                                                        | CUSIP: 3128P77E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3449046 | PA      | $3374565.65     | 0.00%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778882                                                                                 | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74367 | PA      | $69947.63       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 3.126%/VAR 08/13/2030 144A                                                                 | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     5359000 | PA      | $5110043.53     | 0.01%             | 2030-08-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 08/31/2031                                                                              | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    51900000 | PA      | $51695238.41    | 0.06%             | 2031-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION CO LLC                                                    | FLORIDA GAS TRANSMISSION CO LLC 5.75% 07/15/2035 144A                                                   | CUSIP: 340711BC3<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |    13350000 | PA      | $13752770.03    | 0.02%             | 2035-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 0.88%/VAR 09/09/2033 REGS                                                                 | CUSIP: N/A<br>LEI: ZP5ILWVSYE4LJGMMVD57       | Long             | DBT              | CORP              | HK        |      705000 | PA      | $771577.71      | 0.00%             | 2033-09-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 5.125% 04/30/2031 144A                               | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      525000 | PA      | $449864.01      | 0.00%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                                                     | BANK 2017-BNK8 A3 3.229% 11/15/2050                                                                     | CUSIP: 06650AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3740736 | PA      | $3681616.51     | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/28 #C00680                                                                                | CUSIP: 31292GXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         120 | PA      | $123.00         | 0.00%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AQ9994                                                                        | CUSIP: 3138MSC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95973 | PA      | $88193.99       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                  | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 3.5% 07/25/2058                                       | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2973957 | PA      | $2844273.44     | 0.00%             | 2058-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AI9692                                                                                 | CUSIP: 3138APXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9238 | PA      | $8950.52        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNCL 2011-39 ZA 6% 11/32                                                                                | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       55277 | PA      | $57084.94       | 0.00%             | 2032-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW FLYER HOLDINGS INC                                                             | NEW FLYER HOLDINGS INC 9.25% 07/01/2030 144A                                                            | CUSIP: 64438WAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      215000 | PA      | $230629.64      | 0.00%             | 2030-07-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| REWE INT FINANCE                                                                   | REWE INT FINANCE 4.875% 09/13/2030 REGS                                                                 | CUSIP: N/A<br>LEI: 5299003XLG8J4YTHLX44       | Long             | DBT              | CORP              | NL        |      300000 | PA      | $377972.19      | 0.00%             | 2030-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9539                                                                          | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18742725 | PA      | $15149118.49    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.55% 06/01/2034        | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12270000 | PA      | $13015894.28    | 0.02%             | 2034-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 3.5% 02/12/2034                                                            | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1035000 | PA      | $883113.75      | 0.00%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AB1898                                                                                | CUSIP: 31416XDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17850 | PA      | $17836.95       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.972%/VAR 02/04/2033                                                       | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    38682000 | PA      | $34935281.59    | 0.04%             | 2033-02-04      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #450596                                                                                 | CUSIP: 36208GRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           9 | PA      | $8.65           | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                                                    | BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A                                         | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11246276 | PA      | $10503173.02    | 0.01%             | 2061-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1                        | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.49% 04/16/2029 144A                       | CUSIP: 39154GAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8800000 | PA      | $8851150.88     | 0.01%             | 2029-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #830991                                                                                 | CUSIP: 31407HF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         445 | PA      | $473.31         | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 04/01/2036#BR6332                                                                          | CUSIP: 3140L5BA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2432247 | PA      | $2235567.58     | 0.00%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #436093                                                                                 | CUSIP: 36207MNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         101 | PA      | $102.08         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 4.964%/VAR 08/15/2030                                                                 | CUSIP: 639057AS7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     8200000 | PA      | $8371261.18     | 0.01%             | 2030-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21255                                                                        | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48679 | PA      | $46964.90       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR 21-BMR E TSFR1M+186.448 6 03/15/2036 144A                                          | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1733200 | PA      | $1718034.50     | 0.00%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 09/17/26                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      104000 | NC      | $129.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 07/20/2044#MA2074                                                                          | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       83026 | PA      | $79785.15       | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2050#SD0517                                                                          | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22449862 | PA      | $19715648.74    | 0.02%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2020-RPL2                                                 | BRAVO RESIDENTIAL FDG TR 2020-RPL2 2% 05/25/2059 144A                                                   | CUSIP: 10569BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      624773 | PA      | $583261.57      | 0.00%             | 2059-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #782918                                                                                 | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      117582 | PA      | $119439.30      | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                          | SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A                                                        | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12884704 | PA      | $12307340.85    | 0.01%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#SD0785                                                                          | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      474460 | PA      | $384083.19      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 06/01/2027#                                                                              | CUSIP: 31292GSM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          46 | PA      | $46.77          | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WIN WASTE INNOVATIONS HOLDINGS INC                                                 | WIN WASTE TERM B 1LN 3/24/2028                                                                          | CUSIP: 38723BAJ0<br>LEI: 549300DJBUN7Z75R2S83 | Long             | LON              | CORP              | US        |      368126 | PA      | $367732.29      | 0.00%             | 2028-03-24      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 11/01/2041#QK1167                                                                        | CUSIP: 3133D4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1659734 | PA      | $1486985.02     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #462554                                                                                 | CUSIP: 36208VZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          18 | PA      | $18.50          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 8/46#BC1509                                                                                | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1498697 | PA      | $1340989.97     | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CBRE OPEN-ENDED FUNDS SCA SICAV-SIF                                                | CBRE OPEN-ENDED FUNDS SCA SICAV-SIF 4.75% 03/27/2034 REGS                                               | CUSIP: N/A<br>LEI: 529900J5H3JGJ83AUZ88       | Long             | DBT              | CORP              | LU        |      450000 | PA      | $555914.90      | 0.00%             | 2034-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                                                 | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                                                  | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4208604 | PA      | $4186186.14     | 0.00%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/42 #AK1411                                                                                 | CUSIP: 3138E5R91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2006 | PA      | $1983.17        | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                   | ALTRIA GROUP INC 4.8% 02/14/2029                                                                        | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     2374000 | PA      | $2411722.41     | 0.00%             | 2029-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                              | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 6.5% 12/01/2052                                   | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     4982000 | PA      | $5084081.18     | 0.01%             | 2052-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2019-BROOK                                       | J P MORGAN CHASE COML MTG SECS TR 2019-BROOK TSFR1M+136.448 09/15/2029 144A                             | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2806374 | PA      | $2750387.66     | 0.00%             | 2029-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2041#A97673                                                                        | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      172843 | PA      | $172849.64      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2053#FS6037                                                                        | CUSIP: 3140XMV78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      902549 | PA      | $752622.58      | 0.00%             | 2053-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #443711                                                                                 | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         499 | PA      | $505.91         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                                                 | PRPM 2025-RCF3 A1 LLC VAR 07/25/2055 144A                                                               | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8885917 | PA      | $8916247.12     | 0.01%             | 2055-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #464920                                                                                 | CUSIP: 36208YPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         216 | PA      | $218.43         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 01/01/2036#MA4228                                                                        | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    25963135 | PA      | $23329901.92    | 0.03%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 07/25/2048                                  | CUSIP: 3137H3QP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     4365812 | PA      | $3880158.89     | 0.00%             | 2048-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                          | IQVIA INC 6.25% 06/01/2032 144A                                                                         | CUSIP: 46266TAG3<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     1225000 | PA      | $1262750.83     | 0.00%             | 2032-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #724223                                                                                 | CUSIP: 3620AASL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      114224 | PA      | $113878.18      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#741529                                                                        | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5375 | PA      | $5381.95        | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #396837                                                                                | CUSIP: 36205PZA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          12 | PA      | $12.28          | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP 12/15/56 S                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     5400000 | NC      | $-72478.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                                                                | CHURCHILL DOWNS INC 6.75% 05/01/2031 144A                                                               | CUSIP: 171484AJ7<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |      810000 | PA      | $832497.73      | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#FS7061                                                                          | CUSIP: 3140XNZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13269392 | PA      | $11512298.52    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                     | HOME DEPOT INC 5.95% 04/01/2041                                                                         | CUSIP: 437076AV4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      527000 | PA      | $557191.42      | 0.00%             | 2041-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.6% 01/25/2028                                                          | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    51490000 | PA      | $51069615.04    | 0.06%             | 2028-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                                        | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                                                | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12055000 | PA      | $12051232.81    | 0.01%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SL0417                                                                          | CUSIP: 31427MPB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16130001 | PA      | $14135252.17    | 0.02%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC                                                               | FIESTA PURCHASER INC 7.875% 03/01/2031 144A                                                             | CUSIP: 31659AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      395000 | PA      | $419195.73      | 0.00%             | 2031-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723224                                                                                | CUSIP: 3620A9PH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13001 | PA      | $13204.01       | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTACT FINANCIAL CORP                                                              | INTACT FINL CORP 5.459% 09/22/2032 144A                                                                 | CUSIP: 45823TAL0<br>LEI: 5493009LXGE7Y4U9OY43 | Long             | DBT              | CORP              | CA        |     7368000 | PA      | $7532618.07     | 0.01%             | 2032-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                          | STELLANTIS FINANCE US INC 2.691% 09/15/2031 144A                                                        | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |     6943000 | PA      | $5918935.76     | 0.01%             | 2031-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2884                                                                        | CUSIP: 3138EKF26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39833 | PA      | $36589.13       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 12/40 #C03633                                                                                | CUSIP: 31292LBA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4643 | PA      | $4528.01        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                             | STANDARD CHARTERED PLC 5.545%/VAR 01/21/2029 144A                                                       | CUSIP: 85325C2D3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     5880000 | PA      | $6027514.50     | 0.01%             | 2029-01-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2051#RA5267                                                                          | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2810008 | PA      | $2461624.25     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTURY CMNTYS INC                                                                 | CENTURY COMMUNITIES INC 3.875% 08/15/2029 144A                                                          | CUSIP: 156504AM4<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |      450000 | PA      | $419175.54      | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 4.375% 05/01/2029 144A                                                         | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      630000 | PA      | $615766.66      | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2041#792596                                                                          | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2219 | PA      | $2149.96        | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.288%/VAR 04/25/2034                                                       | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    17000000 | PA      | $17437985.11    | 0.02%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 12/49#BR8986                                                                               | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18060 | PA      | $16530.46       | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.805 11/05/29                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    13900000 | NC      | $414988.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+71.448 04/25/2036 144A                                                     | CUSIP: 07324SDH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4774 | PA      | $4305.44        | 0.00%             | 2036-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2041#750185                                                                        | CUSIP: 3620C6NA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9503 | PA      | $9202.05        | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2047#CA1758                                                                        | CUSIP: 3140Q85U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      420090 | PA      | $389582.10      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN B TSFR1M+169.152 04/15/2029 144A                                                           | CUSIP: 05612HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6423977 | PA      | $6438029.40     | 0.01%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 5.5% 07/15/2034                                                                | CUSIP: 02666TAH0<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    10177000 | PA      | $10416447.10    | 0.01%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2041#AH0064                                                                        | CUSIP: 3138A1CA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1630 | PA      | $1627.30        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2031#CA3178                                                                          | CUSIP: 3140QAQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2075575 | PA      | $2039484.06     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/42 #AQ0206                                                                                | CUSIP: 3138MFGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27908 | PA      | $26258.26       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5%/VAR 01/31/2056                                  | CUSIP: 00774MBQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1225000 | PA      | $1260168.53     | 0.00%             | 2056-01-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2032#                                                                                | CUSIP: 31287NDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1913 | PA      | $1983.64        | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07351                                                                                 | CUSIP: 3132GSQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11121 | PA      | $10857.90       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AB9858                                                                        | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      748701 | PA      | $684132.50      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.449%/VAR 07/20/2029                                                                    | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    16012000 | PA      | $16522967.74    | 0.02%             | 2029-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD                                          | NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD AR2 TSFR3M+140 07/18/2038 144A                                | CUSIP: 64131JAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14150000 | PA      | $14188572.90    | 0.02%             | 2038-07-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                                       | TAPESTRY INC 3.05% 03/15/2032                                                                           | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    45138000 | PA      | $40421104.73    | 0.05%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                               | ENEL FINANCE INTL NV 5.5% 06/26/2034 144A                                                               | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     9385000 | PA      | $9628090.93     | 0.01%             | 2034-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.15%/VAR 04/23/2031                                                             | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    29061000 | PA      | $29929737.91    | 0.04%             | 2031-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 4.3% 03/15/2028                                                                    | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     2316000 | PA      | $2327767.55     | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030                                                          | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     7224000 | PA      | $7340502.10     | 0.01%             | 2030-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                 | CREDIT AGRICOLE SA 6.251%/VAR 01/10/2035 144A                                                           | CUSIP: 225313AQ8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     8000000 | PA      | $8357861.84     | 0.01%             | 2035-01-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                           | CONSTELLATION BRANDS INC 2.875% 05/01/2030                                                              | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     5370000 | PA      | $5022899.90     | 0.01%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#MA4549                                                                          | CUSIP: 31418EBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20622683 | PA      | $17975669.18    | 0.02%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                  | CBRE SERVICES INC 2.5% 04/01/2031                                                                       | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    10225000 | PA      | $9190133.07     | 0.01%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 2.75% 09/01/2031                                                                   | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    16949000 | PA      | $15106835.22    | 0.02%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02345                                                                        | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4335 | PA      | $4401.98        | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/51#QD3788                                                                               | CUSIP: 3133B1F55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1102107 | PA      | $965123.74      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 3/26 #D96943                                                                            | CUSIP: 3128E3WC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         123 | PA      | $122.89         | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/52#CB2764                                                                               | CUSIP: 3140QNCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3017045 | PA      | $2410292.08     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 MTG TR                                                               | CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A                                                             | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14590196 | PA      | $14708457.85    | 0.02%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.05% 7/34 #801635                                                                             | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         615 | PA      | $628.29         | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 6/1/31#MA2675                                                                            | CUSIP: 31418B6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      447918 | PA      | $433409.29      | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 5.2% 04/01/2045                                                                       | CUSIP: 37045VAJ9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     1619000 | PA      | $1408627.22     | 0.00%             | 2045-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0506                                                                        | CUSIP: 3140QKR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    35937206 | PA      | $30461644.72    | 0.04%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-104 GI SOFR30A+656.552 11/36                                                                   | CUSIP: 31396LMA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       36826 | PA      | $3208.27        | 0.00%             | 2036-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2047#Q53034                                                                        | CUSIP: 3132XVLQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      283746 | PA      | $261525.80      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#A96413                                                                          | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45214 | PA      | $44078.84       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                               | 1011778 BC ULC/NEW RED FIN INC 6.125% 06/15/2029 144A                                                   | CUSIP: 68245XAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     2190000 | PA      | $2243129.40     | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 02/01/2032#                                                                              | CUSIP: 31287PHP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13653 | PA      | $14541.48       | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CVR CHC LP                                                                         | CVR ENERGY TERM B 1LN 12/30/2027                                                                        | CUSIP: 12663SAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1072472 | PA      | $1072472.18     | 0.00%             | 2027-12-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2054#CB9500                                                                          | CUSIP: 3140QVRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4207588 | PA      | $4374902.12     | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/AUD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-32.24         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 1.25% 01/08/2026                                                               | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     5114000 | PA      | $5055064.47     | 0.01%             | 2026-01-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 03/01/2041#MA4286                                                                        | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2659699 | PA      | $2222430.16     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460837                                                                                 | CUSIP: 36208T4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          22 | PA      | $22.83          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY STEP 08/01/2027                                                                        | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1757096.92     | 0.00%             | 2027-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AS0407                                                                        | CUSIP: 3138W9NZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32411 | PA      | $29589.79       | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2044#AL7195                                                                        | CUSIP: 3138EP7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      304985 | PA      | $279591.33      | 0.00%             | 2044-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.976%/VAR 08/11/2033                                                          | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     6227000 | PA      | $6243244.87     | 0.01%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4% 09/01/2055 #TBA                                                                            | CUSIP: 01F040693<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   152300000 | PA      | $142144681.69   | 0.17%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22682                                                                        | CUSIP: 3132JP6T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12717 | PA      | $12263.85       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2051#FM7484                                                                        | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    57063268 | PA      | $48440169.40    | 0.06%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 6.5% 02/15/2037                                                             | CUSIP: 136385AJ0<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     6400000 | PA      | $6820217.79     | 0.01%             | 2037-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                              | VENTURE GLOBAL PLAQUE 7.5% 05/01/2033 144A                                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      965000 | PA      | $1058482.45     | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                                              | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      239788 | PA      | $246403.07      | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/40#AE3576                                                                               | CUSIP: 31419D6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94725 | PA      | $91934.76       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH4872                                                                        | CUSIP: 3138A6MW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3246 | PA      | $3156.11        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.75% 06/24/2044                                                                       | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     2747000 | PA      | $2679672.54     | 0.00%             | 2044-06-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/40 #711483                                                                                 | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12570 | PA      | $12209.22       | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEBER-STEPHEN PRODUCTS LLC                                                         | WEBER-STEPHEN PRODUCTS TERM B 1LN 10/30/2027                                                            | CUSIP: 94767KAN1<br>LEI: 549300XU8TJBBGLK8V26 | Long             | LON              | CORP              | US        |      415995 | PA      | $414584.29      | 0.00%             | 2027-10-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2051#                                                                              | CUSIP: 3133B1GE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8541629 | PA      | $7772504.79     | 0.01%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                  | PIEDMONT OPERATING PARTNERSHIP LP 6.875% 07/15/2029                                                     | CUSIP: 720198AJ9<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    10020000 | PA      | $10602119.92    | 0.01%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/42 #AQ0170                                                                                | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30039 | PA      | $28212.61       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030                                                               | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    16847000 | PA      | $15930876.48    | 0.02%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 4.25% 12/01/2026                                                                           | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     1500000 | PA      | $1500181.76     | 0.00%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2052#FS8710                                                                          | CUSIP: 3140XQVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10078805 | PA      | $8885933.28     | 0.01%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                               | NEXTERA ENERGY OPERATING PARTNERS LP 7.25% 01/15/2029 144A                                              | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      610000 | PA      | $623014.35      | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 12/15/2042#AA5897                                                                        | CUSIP: 36178DRS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      158457 | PA      | $144146.78      | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2045#AZ7335                                                                          | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      197057 | PA      | $188727.99      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885802 12/15/56 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1100000 | NC      | $138710.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG'06 PTY LTD                                                       | FMG RES AUGUST 2006 PTY LTD 6.125% 04/15/2032 144A                                                      | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      160000 | PA      | $164213.60      | 0.00%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/1/42 #AQ7097                                                                          | CUSIP: 3138MN3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39347 | PA      | $37136.59       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #466888                                                                                 | CUSIP: 36209BUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         207 | PA      | $210.45         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 01/20/2055#MB0146                                                                            | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   109397455 | PA      | $108259590.63   | 0.13%             | 2055-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/26 #572166                                                                                | CUSIP: 31386STX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $24.13          | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRETE LLC                                                      | SMYRNA READY MIX LLC 8.875% 11/15/2031 144A                                                             | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |     1195000 | PA      | $1274780.59     | 0.00%             | 2031-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/28 #780977                                                                                | CUSIP: 36225BCN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          84 | PA      | $85.52          | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 02/15/2034                                                                                 | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    39379200 | PA      | $39148462.30    | 0.05%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                                | CUSIP: 31293TDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          47 | PA      | $47.93          | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/30 #535486                                                                                 | CUSIP: 31384V2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          16 | PA      | $16.93          | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2053#CB7123                                                                          | CUSIP: 3140QS4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7698427 | PA      | $7934785.92     | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7425                                                                        | CUSIP: 31417EHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21613 | PA      | $19862.17       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/28 #465701                                                                                 | CUSIP: 36209AKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           8 | PA      | $7.60           | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #447756                                                                                 | CUSIP: 36208DMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         127 | PA      | $128.52         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                        | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      223980 | PA      | $211028.58      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                | BROWN and BROWN INC 6.25% 06/23/2055                                                                    | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     5558000 | PA      | $5682382.20     | 0.01%             | 2055-06-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 10/01/2054#RJ2653                                                                        | CUSIP: 3142GS5P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19173144 | PA      | $19500067.36    | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #723740                                                                                 | CUSIP: 3620AABH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17881 | PA      | $17797.09       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 10/15/2041#775540                                                                          | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15710 | PA      | $15191.03       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE NATL ASSN MCLEAN VA                                                    | CAPITAL ONE NATL ASN MCLEAN VA 4.682%/VAR 08/09/2028                                                    | CUSIP: 25466AAN1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |     2954000 | PA      | $3021455.12     | 0.00%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2054#DC0900                                                                        | CUSIP: 3140ANAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7200616 | PA      | $7244637.54     | 0.01%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6% 11/35 #AD0687                                                                                   | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82577 | PA      | $86346.97       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/2051#CB0531                                                                          | CUSIP: 3140QKSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91126 | PA      | $79827.92       | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #704775                                                                                | CUSIP: 36296X6L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14841 | PA      | $15069.34       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                              | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                                             | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17233000 | PA      | $17379583.90    | 0.02%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTIONS INC                                                    | STANDARD BUILDING SOLUTIONS INC 6.25% 08/01/2033 144A                                                   | CUSIP: 853191AC8<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      415000 | PA      | $423553.47      | 0.00%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H13 FA TSFR1M+61.448 4/61                                                                      | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       53632 | PA      | $53644.60       | 0.00%             | 2061-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #471314                                                                                 | CUSIP: 36209GSB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         444 | PA      | $459.88         | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2037#G02671                                                                        | CUSIP: 3128M4JQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1052 | PA      | $1054.10        | 0.00%             | 2037-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 6.303%/VAR 10/23/2029                                                            | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    12800000 | PA      | $13567792.64    | 0.02%             | 2029-10-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.664%/VAR 04/17/2036                                                                    | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    10117000 | PA      | $10530545.63    | 0.01%             | 2036-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2042#794507                                                                        | CUSIP: 36177PAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7579 | PA      | $6914.72        | 0.00%             | 2042-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1300000 | NC      | $-17448.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 08/15/2043#AD5682                                                                          | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4357 | PA      | $4196.32        | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 02/01/2036#SB8510                                                                          | CUSIP: 3132D6N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      886977 | PA      | $815253.51      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                          | BALL CORP 3.125% 09/15/2031                                                                             | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      955000 | PA      | $860816.75      | 0.00%             | 2031-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CGMS COMMERCIAL MORTGAGE TRUST 2017-B1                                             | CGMS COMMERCIAL MORTGAGE TRUST 2017-B1 3.197% 08/15/2050                                                | CUSIP: 17326CAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      761274 | PA      | $745891.03      | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #489861                                                                                 | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3297 | PA      | $3187.90        | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.25% 10/01/2027                                                                  | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3379000 | PA      | $3398807.43     | 0.00%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VALLOUREC SA                                                                       | VALLOUREC SA 7.5% 04/15/2032 144A                                                                       | CUSIP: 92023RAA8<br>LEI: 969500P2Q1B47H4MCJ34 | Long             | DBT              | CORP              | FR        |      975000 | PA      | $1035340.80     | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 14-R LTD                                                        | OHA CREDIT FUNDING 14-R LTD A TSFR3M+123 04/20/2038 144A                                                | CUSIP: 67706QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7584000 | PA      | $7595376.00     | 0.01%             | 2038-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.49%/VAR 09/13/2029                                                                       | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     8000000 | PA      | $8479950.56     | 0.01%             | 2029-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 5.95% 04/05/2054                                                                           | CUSIP: 29250NCD5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    12809000 | PA      | $12635616.99    | 0.02%             | 2054-04-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| M2S GROUP INTERMEDIATE HOLDINGS INC                                                | M2S GROUP TERM B 1LN 8/25/2031                                                                          | CUSIP: 55287CAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      883735 | PA      | $869648.21      | 0.00%             | 2031-08-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                        | GARTNER INC 3.75% 10/01/2030 144A                                                                       | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      255000 | PA      | $239930.93      | 0.00%             | 2030-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569840                                                                                 | CUSIP: 36200RBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         655 | PA      | $676.15         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 01/01/2055#DC7845                                                                        | CUSIP: 3140AVWF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9700590 | PA      | $9759895.60     | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #394197                                                                                 | CUSIP: 31378B3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          61 | PA      | $62.12          | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 02/01/2054#SD5078                                                                        | CUSIP: 3132DSUB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12247954 | PA      | $12830996.05    | 0.02%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2040#A95150                                                                          | CUSIP: 312943WK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       87614 | PA      | $85355.93       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 2.259% 03/25/2028                                                                      | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     7192000 | PA      | $6851887.30     | 0.01%             | 2028-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #313711                                                                                 | CUSIP: 31374GN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          27 | PA      | $27.03          | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #783532                                                                                 | CUSIP: 36241L4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26017 | PA      | $24477.91       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TR 2024-A                                                 | HYUNDAI AUTO RECEIVABLES TR 2024-A 4.99% 02/15/2029                                                     | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1845000 | PA      | $1862408.50     | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                            | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    19300000 | PA      | $19368396.50    | 0.02%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 1.323%/VAR 01/13/2027 144A                                                                  | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     7967000 | PA      | $7873960.42     | 0.01%             | 2027-01-13      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                           | OAK HILL CREDIT PARTNERS A1 TSFR3M+150 04/20/2037 144A                                                  | CUSIP: 67706JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    18840000 | PA      | $18893599.80    | 0.02%             | 2037-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0988                                                                        | CUSIP: 3138NXC21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10645 | PA      | $9749.88        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045                                                  | CUSIP: 38380T6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      808372 | PA      | $754180.18      | 0.00%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2042 #AB5652                                                                       | CUSIP: 31417CH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18038 | PA      | $16547.22       | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #530552                                                                                 | CUSIP: 36212DL98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4095 | PA      | $4199.56        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DLLAD LLC                                                                          | DLLAD LLC 4.42% 09/20/2030 144A                                                                         | CUSIP: 23347BAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10300000 | PA      | $10386871.23    | 0.01%             | 2030-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#FA1625                                                                          | CUSIP: 3140W1YX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18422418 | PA      | $16149929.95    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 07/25/2050                                                            | CUSIP: 3137FUAS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6219497 | PA      | $5246705.44     | 0.01%             | 2050-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                              | FIRST CITIZENS BANK and TRUST CO 6.125% 03/09/2028                                                      | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    40920000 | PA      | $42490043.11    | 0.05%             | 2028-03-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.75% 11/15/2029 144A                                                       | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     6000000 | PA      | $6230832.30     | 0.01%             | 2029-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #733812                                                                                 | CUSIP: 3620AMGV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1846 | PA      | $1732.14        | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.3% 09/30/2035                                                                        | CUSIP: 969457CS7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8006968.08     | 0.01%             | 2035-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                              | QUIKRETE HOLDINGS INC 6.375% 03/01/2032 144A                                                            | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     1005000 | PA      | $1036507.76     | 0.00%             | 2032-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS7527                                                                          | CUSIP: 3140XPLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10510012 | PA      | $8504744.54     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 7.125%/VAR PERP                                                                      | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |     1210000 | PA      | $1241680.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2050#MA4184                                                                          | CUSIP: 31418DUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1838094 | PA      | $1610782.03     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 11/01/2034#FM7876                                                                        | CUSIP: 3140XBXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      986503 | PA      | $971027.80      | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.224% 4/41#1B8179                                                                             | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         587 | PA      | $612.81         | 0.00%             | 2041-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 2.625% 04/15/2026                                                                      | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2931000 | PA      | $2897669.84     | 0.00%             | 2026-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2044#V80950                                                                        | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35711 | PA      | $34429.14       | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2047#ZM4038                                                                        | CUSIP: 3131XXPX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      518765 | PA      | $481253.40      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #443834                                                                                | CUSIP: 36207WBB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         119 | PA      | $120.59         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6233                                                                                 | CUSIP: 3138A74T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18533 | PA      | $18026.05       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2054#CB8711                                                                          | CUSIP: 3140QUVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    34782770 | PA      | $35622418.67    | 0.04%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 08/01/2038#FM8189                                                                          | CUSIP: 3140XCC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49496 | PA      | $47347.01       | 0.00%             | 2038-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2048#ZM5585                                                                        | CUSIP: 3131Y0F23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      493706 | PA      | $457388.97      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 5.695% 10/01/2054 144A                                              | CUSIP: 19828TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5090000 | PA      | $4701840.16     | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2052#CB5259                                                                        | CUSIP: 3140QQZZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6693564 | PA      | $6507100.47     | 0.01%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                                            | GS MTG SECS TR 2017-GS6 3.164% 05/10/2050                                                               | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3972643 | PA      | $3923290.01     | 0.00%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.468%/VAR 01/23/2035                                                       | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    29000000 | PA      | $29965885.31    | 0.04%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 7.375% 11/01/2031                                                                           | CUSIP: 012873AK1<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |      648000 | PA      | $717467.58      | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 05/01/2040#FM3359                                                                          | CUSIP: 3140X6WV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4271017 | PA      | $4151893.10     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #468965                                                                                 | CUSIP: 36209D6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         892 | PA      | $907.34         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2040#AE6222                                                                        | CUSIP: 31419G4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3991 | PA      | $3882.24        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                             | MARVELL TECHNOLOGY INC 4.75% 07/15/2030                                                                 | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2698000 | PA      | $2722592.24     | 0.00%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q01871                                                                        | CUSIP: 3132GFCG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7840 | PA      | $7973.53        | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 08/01/2054#CB9061                                                                          | CUSIP: 3140QVB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    45994275 | PA      | $47090194.83    | 0.06%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 09/01/2026#                                                                              | CUSIP: 3128FGB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $5.30           | 0.00%             | 2026-09-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ7222                                                                        | CUSIP: 3140E0AY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103128 | PA      | $98769.49       | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2040#MA3889                                                                        | CUSIP: 31418DKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      204658 | PA      | $184891.19      | 0.00%             | 2040-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                     | FAIRFAX FINANCIAL HLDGS LTD 6.5% 05/20/2055 144A                                                        | CUSIP: 303901BW1<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     5000000 | PA      | $5145630.55     | 0.01%             | 2055-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #733726                                                                                 | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      308223 | PA      | $313092.02      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 08/01/2050#FM3828                                                                        | CUSIP: 3140X7HE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68608 | PA      | $52285.39       | 0.00%             | 2050-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2011-67 AI IO 4% 7/26                                                                               | CUSIP: 31397U4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |          85 | PA      | $0.02           | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                             | SAMMONS FINANCIAL GROUP GLOBAL FUNDING 5.1% 12/10/2029 144A                                             | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    15100000 | PA      | $15494154.85    | 0.02%             | 2029-12-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                                              | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                                             | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7420000 | PA      | $7465644.13     | 0.01%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                        | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 7.875% 12/01/2030 144A                                      | CUSIP: 34960PAE1<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      465000 | PA      | $494272.22      | 0.00%             | 2030-12-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.367%/VAR 02/25/2031                                                                      | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    17084000 | PA      | $17620636.63    | 0.02%             | 2031-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/34 #781813                                                                                | CUSIP: 36241KAN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1076 | PA      | $1090.51        | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 02/01/2042#FS1810                                                                        | CUSIP: 3140XHAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9260947 | PA      | $8290782.17     | 0.01%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2034#G16737                                                                          | CUSIP: 3128MFV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43180 | PA      | $42047.24       | 0.00%             | 2034-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4% 09/15/2025                                                            | CUSIP: 3137A1XM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        8452 | PA      | $8435.96        | 0.00%             | 2025-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                                | MAGNETITE XXIII LTD AR TSFR3M+139.161 01/25/2035 144A                                                   | CUSIP: 55954NAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9420000 | PA      | $9448062.18     | 0.01%             | 2035-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.482%/VAR 08/23/2028                                                     | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3138000 | PA      | $3151844.76     | 0.00%             | 2028-08-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2035#                                                                                | CUSIP: 3140XC4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      919097 | PA      | $900210.18      | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 5.45% 03/15/2034                                                                            | CUSIP: 30161NBN0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $7420845.24     | 0.01%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2043#AD2150                                                                        | CUSIP: 36180DL70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       77594 | PA      | $72759.13       | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 12/20/2054#787773                                                                            | CUSIP: 3622ADQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4211963 | PA      | $4173747.75     | 0.00%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2053#SD4977                                                                          | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      449539 | PA      | $444993.16      | 0.00%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #593193                                                                                 | CUSIP: 36201T7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          46 | PA      | $46.34          | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIX LTD / MAGNETITE XXIX LLC                                            | MAGNETITE XXIX LTD / MAGNETITE XXIX LLC AR TSFR3M+135 07/15/2037 144A                                   | CUSIP: 55955KAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13105000 | PA      | $13143502.49    | 0.02%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#SD0786                                                                          | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      334528 | PA      | $270805.91      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 6.375% 05/04/2028 144A                                                      | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    28614000 | PA      | $29927319.36    | 0.04%             | 2028-05-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2053#FS5067                                                                          | CUSIP: 3140XLTZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4200583 | PA      | $4347927.97     | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 05/20/2055#MB0368                                                                          | CUSIP: 3618N5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    74208986 | PA      | $76436227.92    | 0.09%             | 2055-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 9/42 #AA5658                                                                                 | CUSIP: 36178DJB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12300 | PA      | $11517.96       | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: EUR/USD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $890.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XVIII LTD                                                         | SIXTH STREET CLO XVIII LTD 2021-18A A1R TSFR3M+125 10/17/2038 144A                                      | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11630000 | PA      | $11630000.00    | 0.01%             | 2038-10-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722701                                                                                | CUSIP: 3620A83J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13746 | PA      | $13696.29       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA PWR CO                                                                 | MONONGAHELA PWR CO 5.85% 02/15/2034 144A                                                                | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6875000 | PA      | $7229679.74     | 0.01%             | 2034-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.65% 05/01/2042#AO3781                                                                       | CUSIP: 3138LUFX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6470 | PA      | $6116.46        | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 9/35 #A37119                                                                                 | CUSIP: 31297S4C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18053 | PA      | $18343.28       | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/38 #A78486                                                                                 | CUSIP: 3128LCNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1133 | PA      | $1151.54        | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2052#QD8711                                                                          | CUSIP: 3133B6VC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      817612 | PA      | $650372.57      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 3.474% 01/15/2046 144A                                         | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      663736 | PA      | $659788.78      | 0.00%             | 2046-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #582029                                                                                 | CUSIP: 36201FSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         271 | PA      | $278.60         | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                                                    | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                                                   | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9250000 | PA      | $9273682.78     | 0.01%             | 2028-04-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                                                 | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      239173 | PA      | $221375.64      | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2050#SD0450                                                                        | CUSIP: 3132DMQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11704964 | PA      | $9873989.56     | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB10                                                                     | CFMT 2022-HB10 3.5% 11/25/2035 144A                                                                     | CUSIP: 12529GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4956516 | PA      | $4939076.40     | 0.01%             | 2035-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS LLC                                                       | FORTITUDE GROUP HOLDINGS LLC 6.25% 04/01/2030 144A                                                      | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |    10817000 | PA      | $11239286.92    | 0.01%             | 2030-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 5.3% 03/26/2034 144A                                                                    | CUSIP: 05523RAL1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    11900000 | PA      | $12210801.11    | 0.01%             | 2034-03-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                      | FORD MOTOR CO 3.25% 02/12/2032                                                                          | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     6850000 | PA      | $5872474.45     | 0.01%             | 2032-02-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 09/17/40                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -104000 | NC      | $-1397.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                          | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1512000 | PA      | $1514835.00     | 0.00%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                | RHP HOTEL PPTYS LP and RHP FIN CORP 6.5% 06/15/2033 144A                                                | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      440000 | PA      | $454461.92      | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO LLC                                                        | BEACH ACQUISITION BIDCO LLC PIK VAR 07/15/2033 144A                                                     | CUSIP: 07337JAC1<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |      620000 | PA      | $658102.10      | 0.00%             | 2033-07-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2048#CA2797                                                                        | CUSIP: 3140QADB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10565157 | PA      | $10379795.34    | 0.01%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/41 #768137                                                                                 | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9400 | PA      | $9113.85        | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4.5% 05/20/2041#783578                                                                          | CUSIP: 36241L6P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16120 | PA      | $16035.53       | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY LLC                                                                 | RYAN SPECIALTY LLC 5.875% 08/01/2032 144A                                                               | CUSIP: 78351GAA3<br>LEI: 549300K52N7QBO3PYY45 | Long             | DBT              | CORP              | US        |      795000 | PA      | $800437.80      | 0.00%             | 2032-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB3769                                                                        | CUSIP: 36178QFJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5776 | PA      | $5461.09        | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                   | GLENCORE FDG LLC 6.375% 10/06/2030 144A                                                                 | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5390449.70     | 0.01%             | 2030-10-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      600000 | NC      | $70757.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZM5477                                                                        | CUSIP: 3131Y0CN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41201 | PA      | $38222.22       | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                   | ABN AMRO BANK NV 4.988%/VAR 12/03/2028 144A                                                             | CUSIP: 00084DBD1<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     7500000 | PA      | $7601880.08     | 0.01%             | 2028-12-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/51#QC4163                                                                               | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1327404 | PA      | $1073725.81     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 11/01/2033#ZT1410                                                                        | CUSIP: 3132ADR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1279231 | PA      | $1254866.09     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #458872                                                                                 | CUSIP: 36208RW91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         364 | PA      | $368.85         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460857                                                                                 | CUSIP: 36208T5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1001 | PA      | $1015.96        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.869% 5/36 #995608                                                                            | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3522 | PA      | $3630.11        | 0.00%             | 2036-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                   | VIRGIN MEDIA SECD FIN PLC 5.5% 05/15/2029 144A                                                          | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      415000 | PA      | $408619.50      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #727692                                                                                | CUSIP: 3620AENH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1890 | PA      | $1978.77        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33623                                                                        | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10314 | PA      | $9744.55        | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2041#Q03517                                                                        | CUSIP: 3132GJSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2208 | PA      | $2208.36        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                               | VERISK ANALYTICS INC 5.125% 02/15/2036                                                                  | CUSIP: 92345YAN6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    13301000 | PA      | $13213551.51    | 0.02%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                                    | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     8239000 | PA      | $8127646.04     | 0.01%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 11/27 #412362                                                                                | CUSIP: 36206JB78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          38 | PA      | $38.88          | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                        | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                      | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |     1000000 | PA      | $1003131.15     | 0.00%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 05/15/2044                                                           | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1535000 | PA      | $1493147.27     | 0.00%             | 2044-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 5.253%/VAR 03/05/2031                                                        | CUSIP: 174610BJ3<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     8950000 | PA      | $9150324.00     | 0.01%             | 2031-03-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XLI LTD                                                                  | MAGNETITE XLI LTD A TSFR3M+129 01/25/2038 144A                                                          | CUSIP: 55956AAA3<br>LEI: 529900IDXPZZY6034K03 | Long             | ABS-CBDO         | CORP              | KY        |     9690000 | PA      | $9713275.38     | 0.01%             | 2038-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 4.57% 01/18/2040 144A                                                  | CUSIP: 96328GCE5<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     9640000 | PA      | $9713494.40     | 0.01%             | 2040-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/EUR settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $1546782.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2043#666409                                                                        | CUSIP: 36295CKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4652 | PA      | $4353.05        | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.375% 05/31/2033 144A                                                                    | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     1240000 | PA      | $1256478.36     | 0.00%             | 2033-05-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02067                                                                        | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13361 | PA      | $13585.96       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #554247                                                                                 | CUSIP: 36213GWG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         685 | PA      | $708.97         | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2049#FM4216                                                                        | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1568475 | PA      | $1443785.20     | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 08/20/2031#MA3850                                                                          | CUSIP: 36179SH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      491110 | PA      | $479789.60      | 0.00%             | 2031-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 07/20/2054#MA9844                                                                            | CUSIP: 36179Y5D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      756518 | PA      | $618977.39      | 0.00%             | 2054-07-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2043#Q19744                                                                        | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36067 | PA      | $35112.35       | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/31 #604935                                                                                | CUSIP: 31388HBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          85 | PA      | $89.82          | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2054#CB9502                                                                          | CUSIP: 3140QVRY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    30011223 | PA      | $31110828.62    | 0.04%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 07/20/2045#MA2961                                                                          | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      210837 | PA      | $195151.27      | 0.00%             | 2045-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 03/01/2033#BK4845                                                                          | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85488 | PA      | $83337.15       | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 7/32 #G01433                                                                                 | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         191 | PA      | $200.48         | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #643105                                                                                 | CUSIP: 31390DNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         241 | PA      | $256.25         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/CAD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $107.57         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 4% 11/23/2051                                                                     | CUSIP: 46817MAN7<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |     3736000 | PA      | $2580318.61     | 0.00%             | 2051-11-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #719262                                                                                 | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19301 | PA      | $19607.07       | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513653                                                                                 | CUSIP: 36211HTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          42 | PA      | $42.85          | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030005 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    11300000 | NC      | $-7542.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2052#RA7409                                                                          | CUSIP: 3133KPGS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6829001 | PA      | $6817560.71     | 0.01%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 07/01/2036#MA2672                                                                          | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      423162 | PA      | $403758.21      | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2032#                                                                                | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         524 | PA      | $545.02         | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3123 LO 0% 3/36                                                                                     | CUSIP: 31396JPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       32308 | PA      | $27142.00       | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MACYS RETAIL HOLDINGS LLC                                                          | MACYS RETAIL HOLDINGS LLC 7.375% 08/01/2033 144A                                                        | CUSIP: 55617LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      580000 | PA      | $595532.98      | 0.00%             | 2033-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34623                                                                          | CUSIP: 31307RD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8575 | PA      | $8384.75        | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 09/30/2030                                                                             | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   156000000 | PA      | $162495936.72   | 0.19%             | 2030-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #459593                                                                                 | CUSIP: 36208SRN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         377 | PA      | $382.42         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 05/31/2030                                                                              | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   250733800 | PA      | $251399811.66   | 0.30%             | 2030-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                       | US FOODS INC 7.25% 01/15/2032 144A                                                                      | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      560000 | PA      | $587998.32      | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.5%/VAR 02/15/2056                                                                  | CUSIP: 29273VBG4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      420000 | PA      | $417262.41      | 0.00%             | 2056-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                                  | HERC HOLDINGS INC 7% 06/15/2030 144A                                                                    | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      605000 | PA      | $629656.17      | 0.00%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/33 #A11628                                                                                 | CUSIP: 31296KYZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1077 | PA      | $1078.13        | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2045#MA3310                                                                          | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1206295 | PA      | $1119256.01     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #779846                                                                                | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6651 | PA      | $6455.19        | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2035#CA5428                                                                        | CUSIP: 3140QDA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6770412 | PA      | $6420805.41     | 0.01%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 05/01/2036#FM6899                                                                          | CUSIP: 3140XAUZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      714999 | PA      | $661203.83      | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2025-1                                                       | OPORTUN FUNDING TRUST 2025-1 A 4.96% 08/16/2032 144A                                                    | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2324139 | PA      | $2323457.94     | 0.00%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.574%/VAR 07/25/2029                                                            | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    25500000 | PA      | $26435846.69    | 0.03%             | 2029-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/40 #711495                                                                                 | CUSIP: 36297GNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      273659 | PA      | $265760.84      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2056 Z 6% 5/28                                                                                      | CUSIP: 3133TDZM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        8921 | PA      | $9073.62        | 0.00%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 2.55% 12/01/2033                                                                           | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    18825000 | PA      | $15845025.28    | 0.02%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                                                  | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                                                 | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8882361 | PA      | $8926448.44     | 0.01%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3036                                                                          | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5588553 | PA      | $4513547.50     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                             | ROPER TECHNOLOGIES INC 4.5% 10/15/2029                                                                  | CUSIP: 776696AG1<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $6853880.28     | 0.01%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.65% 08/15/2032                                                                       | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    22370000 | PA      | $22085894.74    | 0.03%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 02/01/2042#RB5145                                                                          | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2390592 | PA      | $2056392.18     | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2401                                                                        | CUSIP: 3140QMU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      414091 | PA      | $344657.64      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/27 #780499                                                                                 | CUSIP: 36225ARU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           8 | PA      | $8.41           | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.183% 11/25/2027                                                           | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6909000 | PA      | $6904403.79     | 0.01%             | 2027-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/27 #357002                                                                                 | CUSIP: 31376JRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          23 | PA      | $23.28          | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 11/20/2054#MB0024                                                                          | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   176697531 | PA      | $170266677.49   | 0.20%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737035                                                                                 | CUSIP: 3620AQY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1960 | PA      | $1953.55        | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/44#Q28370                                                                          | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41204 | PA      | $39765.50       | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #717997                                                                                | CUSIP: 3620A3UW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8060 | PA      | $8187.26        | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/29 #527286                                                                                | CUSIP: 31384LXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         479 | PA      | $503.91         | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-81 PC 5.5% 9/35                                                                                | CUSIP: 31394FCS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       24540 | PA      | $25253.28       | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2051#RA4349                                                                        | CUSIP: 3133KKZN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24289 | PA      | $20383.15       | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #735701                                                                                 | CUSIP: 3620APKN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5276 | PA      | $5360.25        | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2053#CB6636                                                                        | CUSIP: 3140QSLS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12731937 | PA      | $12956987.53    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 08/20/2048#MA5398                                                                            | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2877378 | PA      | $2732838.33     | 0.00%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/EUR settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3151.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                                  | TELUS CORPORATION 7%/VAR 10/15/2055                                                                     | CUSIP: 87971MCM3<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |      495000 | PA      | $507959.60      | 0.00%             | 2055-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                             | VENTURE GLOBAL LNG INC 7% 01/15/2030 144A                                                               | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     1510000 | PA      | $1555973.46     | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD                                                                  | MAGNETITE CLO LTD A1 TSFR3M+115 04/15/2038 144A                                                         | CUSIP: 55956CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8033000 | PA      | $8035409.90     | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AU2287                                                                          | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15879 | PA      | $14653.88       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                                                              | BELRON UK FINANCE PLC 5.75% 10/15/2029 144A                                                             | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |      690000 | PA      | $698681.58      | 0.00%             | 2029-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V9 MORTGAGE TRUST                                                   | BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057                                                     | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15300000 | PA      | $15932359.71    | 0.02%             | 2057-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 11/30/2030                                                                             | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    41344800 | PA      | $42593219.05    | 0.05%             | 2030-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY                                                             | SMURFIT KAPPA TREASURY 5.438% 04/03/2034                                                                | CUSIP: 83272GAE1<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |    10500000 | PA      | $10777158.00    | 0.01%             | 2034-04-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 07/01/2053#BY4776                                                                          | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      641833 | PA      | $633792.43      | 0.00%             | 2053-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2031#FS1234                                                                          | CUSIP: 3140XGLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2288067 | PA      | $2244664.64     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #447984                                                                                 | CUSIP: 36208DUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         203 | PA      | $206.36         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 2/35 #A47133                                                                                 | CUSIP: 3128K74S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8746 | PA      | $8859.55        | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C47                                                   | WELLS FARGO COML MTG TR 2018-C47 ASB 4.365% 09/15/2061                                                  | CUSIP: 95002DBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5585235 | PA      | $5601550.38     | 0.01%             | 2061-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                                | CUSIP: 31297R6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         326 | PA      | $331.24         | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #722705                                                                                | CUSIP: 3620A83N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         996 | PA      | $1012.08        | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                             | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    19755000 | PA      | $19617263.40    | 0.02%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#FM7694                                                                          | CUSIP: 3140XBRQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3791321 | PA      | $3335492.01     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EASTERN GAS TRANSMISSION and STORAGE INC                                           | EASTERN GAS TRANSMISSION and STORAGE INC 3.9% 11/15/2049                                                | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |     4359000 | PA      | $3126845.26     | 0.00%             | 2049-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                                | CUSIP: 31297RYJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1020 | PA      | $1036.25        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #563407                                                                                 | CUSIP: 36213S3Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         658 | PA      | $680.83         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6089                                                                          | CUSIP: 3140X9XT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      682593 | PA      | $629956.10      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #743475                                                                                 | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8551 | PA      | $8686.03        | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #698214                                                                                 | CUSIP: 36296QVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2003 | PA      | $2034.23        | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                   | VODAFONE GROUP PLC BPSW5+NA 10/03/2078 REGS                                                             | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |     1100000 | PA      | $1485780.92     | 0.00%             | 2078-10-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                                            | CAN 10YR BOND FUT DEC25 CNZ5                                                                            | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |          52 | NC      | $28656.60       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRSTENERGY CORP                                                                   | FIRSTENERGY CORP 1.6% 01/15/2026                                                                        | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      199000 | PA      | $196642.79      | 0.00%             | 2026-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                                                     | RCI BANQUE S A 4.75%/VAR 03/24/2037 REGS                                                                | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |      400000 | PA      | $473679.58      | 0.00%             | 2037-03-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.75% 03/02/2063                                                                              | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     1373000 | PA      | $1319581.64     | 0.00%             | 2063-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 07/01/2033#709252                                                                          | CUSIP: 31401H5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3541 | PA      | $3584.76        | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 4.875% 02/01/2035                                             | CUSIP: 46188BAG7<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     8722000 | PA      | $8520282.38     | 0.01%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2041#CB0471                                                                        | CUSIP: 3140QKQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1965011 | PA      | $1766246.36     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                           | LAMB WESTON HOLDINGS INC 4.875% 05/15/2028 144A                                                         | CUSIP: 513272AC8<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |      415000 | PA      | $412436.55      | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/20/2045#MA2826                                                                          | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8590 | PA      | $7955.14        | 0.00%             | 2045-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 5.75% 06/06/2028                                     | CUSIP: 00774MBC8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    16700000 | PA      | $17321167.19    | 0.02%             | 2028-06-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                               | NEPTUNE BIDCO US INC 9.29% 04/15/2029 144A                                                              | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |     1110000 | PA      | $1101675.00     | 0.00%             | 2029-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22486                                                                        | CUSIP: 3132JPXP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11825 | PA      | $11464.45       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 3.75% 06/01/2026                                                                         | CUSIP: 00914AAB8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4972090.10     | 0.01%             | 2026-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8701                                                                        | CUSIP: 31417FU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5554 | PA      | $5093.53        | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH 1.38% 07/15/2038 144A                                                    | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3590780 | PA      | $3589658.66     | 0.00%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A                        | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    33555000 | PA      | $33555000.00    | 0.04%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/50#FM3269                                                                               | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      759541 | PA      | $669645.93      | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/32 #659161                                                                                 | CUSIP: 31390XJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4594 | PA      | $4880.23        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 03/01/2041#CA9362                                                                        | CUSIP: 3140QHML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2173432 | PA      | $1959526.12     | 0.00%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-39 FD SOFR30A+111.448 3/32                                                                     | CUSIP: 31392DPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2303 | PA      | $2322.32        | 0.00%             | 2032-03-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #458387                                                                                 | CUSIP: 36208RF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          87 | PA      | $88.44          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 4% 11/13/2030                                                                  | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    16400000 | PA      | $15249491.62    | 0.02%             | 2030-11-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.375% 10/15/2028                                                                     | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     3698000 | PA      | $3718053.03     | 0.00%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ2387                                                                                | CUSIP: 3138ATUM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5908 | PA      | $5745.13        | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 5.75% 08/15/2042                                                                             | CUSIP: 91529YAJ5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     1539000 | PA      | $1497038.13     | 0.00%             | 2042-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H21 FA TSFR1M+71.448 10/61                                                                     | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       62667 | PA      | $62767.99       | 0.00%             | 2061-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/42#G60517                                                                             | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      441527 | PA      | $441578.50      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                                      | BRAND INDUSTRIAL SERVICES INC 10.375% 08/01/2030 144A                                                   | CUSIP: 104931AA8<br>LEI: 549300B658W2BPDQMW42 | Long             | DBT              | CORP              | US        |      905000 | PA      | $888515.78      | 0.00%             | 2030-08-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2031#                                                                              | CUSIP: 31292HMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         378 | PA      | $400.00         | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                         | VMWARE INC 1.4% 08/15/2026                                                                              | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |      925000 | PA      | $899376.38      | 0.00%             | 2026-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 6% 01/09/2028                                                                  | CUSIP: 37045XEB8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1968071.76     | 0.00%             | 2028-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 10/01/2031#G15963                                                                        | CUSIP: 3128MEZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      113318 | PA      | $109678.87      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 3.616% 08/01/2027 144A                                                         | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     2736000 | PA      | $2682899.11     | 0.00%             | 2027-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24971                                                                        | CUSIP: 3132M5FL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19710 | PA      | $19098.61       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/35 #745092                                                                                 | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6265 | PA      | $6577.16        | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VFH PARENT LLC / VALOR CO-ISSUER INC                                               | VFH PARENT LLC / VALOR CO-ISSUER INC 7.5% 06/15/2031 144A                                               | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      985000 | PA      | $1033922.98     | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2054#DB6172                                                                        | CUSIP: 3140AF2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      428897 | PA      | $431787.64      | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3433                                                                          | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2182937 | PA      | $1763031.01     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AR3062                                                                          | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23553 | PA      | $21735.72       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #719230                                                                                 | CUSIP: 3620A5A74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4372 | PA      | $4356.06        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#CB2896                                                                          | CUSIP: 3140QNGE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12129891 | PA      | $10523687.30    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 4.025 04/23/30                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   108700000 | NC      | $3717500.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #460654                                                                                | CUSIP: 36208TWP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         104 | PA      | $106.09         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.875% 10/31/2030                                                                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   205200000 | PA      | $216165375.00   | 0.26%             | 2030-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2052#RA6799                                                                        | CUSIP: 3133KNRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5770583 | PA      | $5263598.69     | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888544                                                                                 | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45903 | PA      | $48073.56       | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 02/01/2055#QX6712                                                                        | CUSIP: 31426CN67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1011935 | PA      | $1020018.74     | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BE3663                                                                        | CUSIP: 3140FPB99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      720703 | PA      | $707608.11      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2023-HB1                                                          | OCWEN LN INVT TR 2023-HB1 A 3% 06/25/2036 144A                                                          | CUSIP: 67578KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      963679 | PA      | $955944.47      | 0.00%             | 2036-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/40 #746823                                                                                | CUSIP: 3620C2VQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8438 | PA      | $8215.08        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/GBP settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-3535.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.24% 6/33 #847147                                                                             | CUSIP: 3128HD5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14223 | PA      | $14470.87       | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 2/36 #745575                                                                                 | CUSIP: 31403DJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         188 | PA      | $199.04         | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                             | EXTRA SPACE STORAGE LP 4.95% 01/15/2033                                                                 | CUSIP: 30225VAV9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    10409000 | PA      | $10442660.83    | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q12211                                                                                | CUSIP: 3132HNN47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4296 | PA      | $4048.69        | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.875%/VAR PERP 144A                                                                       | CUSIP: 902613AJ7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EP               | CORP              | CH        |     4770000 | PA      | $4691940.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.1% 03/22/2028                                                              | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     2703000 | PA      | $2573630.91     | 0.00%             | 2028-03-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.08% 6/33 #1B0891                                                                             | CUSIP: 31336SRL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2515 | PA      | $2585.13        | 0.00%             | 2033-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #422973                                                                                 | CUSIP: 36206V2E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         141 | PA      | $143.36         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96695                                                                                 | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20209 | PA      | $20185.76       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #768127                                                                                 | CUSIP: 36176KD87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5353 | PA      | $5200.47        | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #416823                                                                                 | CUSIP: 31379EAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          92 | PA      | $96.23          | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #379287                                                                                 | CUSIP: 31377KJ89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $2.33           | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #569213                                                                                 | CUSIP: 36200QK29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         313 | PA      | $324.73         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+652.552 12/25/2036                                               | CUSIP: 31396LZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       24068 | PA      | $2424.32        | 0.00%             | 2036-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #717956                                                                                 | CUSIP: 3620A3TM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3010 | PA      | $3057.07        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7145                                                                        | CUSIP: 3138WG5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1038618 | PA      | $1004978.52     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2041#                                                                                | CUSIP: 3132GK4R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6318 | PA      | $6199.50        | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP CDS 12/20/30 HEIGR B                                                                          | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |     2130000 | NC      | $-550074.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                       | UNIVISION COMMUNICATIONS INC 9.375% 08/01/2032 144A                                                     | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      415000 | PA      | $437033.18      | 0.00%             | 2032-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 08/01/2034#CA4090                                                                        | CUSIP: 3140QBRL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5014412 | PA      | $4916947.80     | 0.01%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                              | MASSACHUSETTS INSTITUTE OF TECHNOLOGY 3.885% 07/01/2116                                                 | CUSIP: 575718AF8<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |     4116000 | PA      | $2808593.35     | 0.00%             | 2116-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6241                                                                          | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22299078 | PA      | $17981789.45    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #495202                                                                                 | CUSIP: 36210LDF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          78 | PA      | $79.27          | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/26 #328952                                                                                 | CUSIP: 31375AL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $7.18           | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 06/20/2055#MB0424                                                                          | CUSIP: 3618N5PJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2927619 | PA      | $2950702.01     | 0.00%             | 2055-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2044#Q28059                                                                        | CUSIP: 3132M8TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9433 | PA      | $9096.18        | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKET COMPANIES INC                                                               | ROCKET COS INC 6.375% 08/01/2033 144A                                                                   | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1430000 | PA      | $1483946.84     | 0.00%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2045#AK8698                                                                        | CUSIP: 36183SUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       52168 | PA      | $46933.18       | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/40 #A91937                                                                                 | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49396 | PA      | $50231.59       | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                        | BAYVIEW COML ASST TR 2007 2 TSFR1M+43.448 07/25/2037 144A                                               | CUSIP: 07325XAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75109 | PA      | $69196.31       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2052#FS1647                                                                          | CUSIP: 3140XGZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      904301 | PA      | $854210.15      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FIN NETH III B V                                               | TEVA PHARMACEUTICAL FIN NETH III B V 6% 12/01/2032                                                      | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $205664.20      | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #436026                                                                                | CUSIP: 36207MLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          42 | PA      | $42.78          | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 4% 12/01/2033#ZT1557                                                                          | CUSIP: 3132ADWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      702548 | PA      | $705552.11      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/32 #545513                                                                                 | CUSIP: 31385JAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         119 | PA      | $124.80         | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49 ASB 3.933% 03/15/2052                                    | CUSIP: 95001WAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5792348 | PA      | $5768457.16     | 0.01%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 05/31/2029                                                                               | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      190000 | PA      | $195744.53      | 0.00%             | 2029-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 11/01/2052#QF3417                                                                          | CUSIP: 3133BQYN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1303247 | PA      | $1338372.88     | 0.00%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 10/01/2041#RB5132                                                                        | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4412309 | PA      | $3933807.16     | 0.00%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 08/15/2055                                                            | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   242990000 | PA      | $236459643.75   | 0.28%             | 2055-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                          | Phillips Edison Grocery Center Operating Partnership I LP 5.75% 07/15/2034                              | CUSIP: 71845JAB4<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |    12448000 | PA      | $12855155.28    | 0.02%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2048#FS8326                                                                        | CUSIP: 3140XQHC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2383268 | PA      | $2252014.02     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2121 MG 6% 2/29                                                                                     | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        5740 | PA      | $5861.29        | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                                  | HERC HOLDINGS INC 7.25% 06/15/2033 144A                                                                 | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      575000 | PA      | $603166.95      | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063         | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2304000 | PA      | $1885867.02     | 0.00%             | 2063-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.299%/VAR 07/24/2029                                                             | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    11000000 | PA      | $11330775.94    | 0.01%             | 2029-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2023-C6 MTG TR                                                                 | BMO 2023-C6 MTG TR VAR 09/15/2056                                                                       | CUSIP: 055985AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   221635566 | PA      | $11402329.83    | 0.01%             | 2056-09-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 3/37 #A58828                                                                                 | CUSIP: 3128KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         730 | PA      | $780.58         | 0.00%             | 2037-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #581934                                                                                 | CUSIP: 36201FPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2168 | PA      | $2244.05        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #371593                                                                                 | CUSIP: 31377AXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         103 | PA      | $104.35         | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 08/01/2034#CA4087                                                                        | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      782371 | PA      | $767164.61      | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                              | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                             | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4954000 | PA      | $4879938.20     | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/47#AS9616                                                                             | CUSIP: 3138WKVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7876 | PA      | $7752.15        | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B TSFR1M+101.328 21 10/15/2036 144A                               | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9701000 | PA      | $9670755.19     | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#                                                                                | CUSIP: 3140XF4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11956664 | PA      | $10373398.18    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 08/01/2036#                                                                              | CUSIP: 31418D3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      974916 | PA      | $873905.36      | 0.00%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 05/01/2054#QI6767                                                                        | CUSIP: 3133WDQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11817916 | PA      | $11923404.21    | 0.01%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5.5% 03/20/2054#787292                                                                          | CUSIP: 3622AC7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4139809 | PA      | $4204468.94     | 0.01%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                        | MATCH GROUP HLD II LLC 4.125% 08/01/2030 144A                                                           | CUSIP: 57665RAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      530000 | PA      | $499048.95      | 0.00%             | 2030-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 07/01/2041#AI6050                                                                         | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1641 | PA      | $1711.31        | 0.00%             | 2041-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                   | ABN AMRO BANK NV 5.515%/VAR 12/03/2035 144A                                                             | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    17600000 | PA      | $18012529.57    | 0.02%             | 2035-12-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/EUR settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-4222.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8                                            | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050                                           | CUSIP: 12532CAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19302898 | PA      | $18906103.94    | 0.02%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/26 #358466                                                                                 | CUSIP: 31376LFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          53 | PA      | $53.85          | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2051#MA4415                                                                          | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      824831 | PA      | $721280.43      | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2054#CB8330                                                                        | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3549334 | PA      | $3583234.41     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                                    | BX TR 2021-ACNT TSFR1M+136.448 11/15/2038 144A                                                          | CUSIP: 05609QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2451874 | PA      | $2450341.22     | 0.00%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 8/34 #G08018                                                                                 | CUSIP: 3128MJAU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         879 | PA      | $944.63         | 0.00%             | 2034-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2047#RA7377                                                                        | CUSIP: 3133KPFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6058204 | PA      | $5514591.35     | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                       | CAIXABANK SA 3.625%/VAR 09/19/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |     1700000 | PA      | $2011567.27     | 0.00%             | 2032-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#CB2662                                                                          | CUSIP: 3140QM5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      355894 | PA      | $311659.21      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2050#RA2677                                                                          | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18493524 | PA      | $14970815.02    | 0.02%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q11868                                                                        | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8984 | PA      | $8792.64        | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POLARIS NEWCO LLC                                                                  | SOLERA TERM B 1LN 06/02/2028                                                                            | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |      952798 | PA      | $903423.94      | 0.00%             | 2028-06-02      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                           | SNAP INC 6.875% 03/01/2033 144A                                                                         | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      165000 | PA      | $166715.01      | 0.00%             | 2033-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#QD9464                                                                        | CUSIP: 3133B7QR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1581242 | PA      | $1439354.11     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLMT 2024-1 LLC                                                                   | DLLMT 2024-1 LLC 4.84% 08/21/2028 144A                                                                  | CUSIP: 23347AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5572000 | PA      | $5626355.42     | 0.01%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #704931                                                                                 | CUSIP: 36296YEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3974 | PA      | $3961.08        | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 4.01 05/07/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    71330000 | NC      | $2417474.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD                                                     | MADISON PARK FUNDING XXIII LTD AR TSFR3M+123.161 07/27/2031 144A                                        | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1338087 | PA      | $1340078.52     | 0.00%             | 2031-07-27      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2048#Q58675                                                                        | CUSIP: 3132Y2T97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1062641 | PA      | $976106.33      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                          | CAESARS ENTERTAINMENT INC 6.5% 02/15/2032 144A                                                          | CUSIP: 12769GAC4<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1076443.20     | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2041#770680                                                                        | CUSIP: 36176M6R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12284 | PA      | $12000.30       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2052#SD7549                                                                          | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3240773 | PA      | $2624472.02     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 06/01/2051#CB0788                                                                        | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1800246 | PA      | $1382637.40     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CONSTANT CONTACT INC                                                               | CONSTANT CONTACT TERM B 1LN 02/10/2028                                                                  | CUSIP: 21031HAC5<br>LEI: 2549000JW50H0AI5B946 | Long             | LON              | CORP              | US        |      654965 | PA      | $624790.42      | 0.00%             | 2028-02-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 07/20/2047#MA4586                                                                          | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10246 | PA      | $9481.37        | 0.00%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC                                                       | BRITISH AMERICAN TOBACCO PLC 3%/VAR PERP REGS                                                           | CUSIP: N/A<br>LEI: 213800FKA5MF17RJKT63       | Long             | EP               | CORP              | GB        |     3000000 | PA      | $3489168.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2424 FM SOFR30A+111.448 3/32                                                                        | CUSIP: 31339WJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1261 | PA      | $1269.72        | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.55% 06/01/2031                                                                        | CUSIP: 126650EC0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $7731587.27     | 0.01%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #503025                                                                                 | CUSIP: 36210UYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          26 | PA      | $26.47          | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#CB3356                                                                        | CUSIP: 3140QNWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2066131 | PA      | $1724207.94     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #733255                                                                                 | CUSIP: 3620ALTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1489 | PA      | $1485.63        | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BW REAL ESTATE INC                                                                 | BW REAL ESTATE INC 9.5%/VAR PERP 144A                                                                   | CUSIP: 05614HAA7<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      615000 | PA      | $623635.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                                          | CUSIP: 3137H4HQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4336730 | PA      | $3794408.49     | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 5.813%/VAR 05/22/2033 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |      925000 | PA      | $1281270.74     | 0.00%             | 2033-05-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 06/20/2045#MA2893                                                                          | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1505034 | PA      | $1443423.63     | 0.00%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2423 FA SOFR30A+101.448 3/32                                                                        | CUSIP: 31339WBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1337 | PA      | $1343.02        | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                               | FRONTIER COMMUNICATIONS HOLDINGS LLC 5.875% 10/15/2027 144A                                             | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      435000 | PA      | $434875.81      | 0.00%             | 2027-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                                            | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.53% 03/15/2028                                                | CUSIP: 30167KAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $5001873.00     | 0.01%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE6775                                                                                | CUSIP: 31419HQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104348 | PA      | $101747.15      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2047#BH1303                                                                        | CUSIP: 3140GPNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85333 | PA      | $79135.76       | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.375% 03/22/2028                                                              | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     4320000 | PA      | $4337987.40     | 0.01%             | 2028-03-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A                                                      | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6556429 | PA      | $6528190.39     | 0.01%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #474770                                                                                 | CUSIP: 36209LMT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          35 | PA      | $35.32          | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #432896                                                                                 | CUSIP: 36207H3D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          43 | PA      | $44.09          | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2052#SD1733                                                                          | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18407179 | PA      | $18387847.63    | 0.02%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #399249                                                                                 | CUSIP: 36205SQA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          34 | PA      | $34.00          | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 12/31/2027                                                                             | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12621500 | PA      | $12697719.98    | 0.02%             | 2027-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2046#BD1238                                                                        | CUSIP: 3140F8LU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2768 | PA      | $2726.37        | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACCENTRO 2 WOHNEIGENTUM GMBH                                                       | ACCENTRO 2 WOHNEIGENTUM GMBH 20% 09/30/2025                                                             | CUSIP: N/A<br>LEI: 89450029G1XWU8H02364       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $116990.00      | 0.00%             | 2025-09-30      | Fixed         | 0.20%                 | No            |                  3 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | FX Forward: USD/EUR settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2452.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 6.484%/VAR 10/24/2029                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    18000000 | PA      | $19154699.64    | 0.02%             | 2029-10-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 5.15% 11/15/2031                                                                           | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    16700000 | PA      | $17267923.58    | 0.02%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.036% 11/15/2033 144A                                              | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11691000 | PA      | $12375751.57    | 0.01%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #741817                                                                                | CUSIP: 3620AWDW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38623 | PA      | $36400.24       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #724220                                                                                 | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       93600 | PA      | $93319.97       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                            | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                                | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |     5877000 | PA      | $6352058.77     | 0.01%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                                                                    | DOLLAR TREE INC 2.65% 12/01/2031                                                                        | CUSIP: 256746AJ7<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |     7473000 | PA      | $6653344.47     | 0.01%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 10/01/2040#SC0081                                                                        | CUSIP: 3132D9CS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4271799 | PA      | $3839991.96     | 0.00%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6558                                                                          | CUSIP: 3140XAJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      997410 | PA      | $793082.56      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 01/31/2029                                                                                 | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4350000 | PA      | $4404544.91     | 0.01%             | 2029-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #446732                                                                                 | CUSIP: 36208CHH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         150 | PA      | $151.27         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                               | TALOS PRODUCTION INC 9.375% 02/01/2031 144A                                                             | CUSIP: 87485LAE4<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |      200000 | PA      | $207256.00      | 0.00%             | 2031-02-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 4.78% 03/25/2038                                                                        | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     2165000 | PA      | $1992309.84     | 0.00%             | 2038-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                                  | JAPAN TOBACCO INC 5.21% 06/15/2030 144A                                                                 | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |    10408000 | PA      | $10808780.54    | 0.01%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                             | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                            | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    21030000 | PA      | $19662336.45    | 0.02%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #250799                                                                                 | CUSIP: 31371FRU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $5.01           | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                          | IQVIA INC 5% 05/15/2027 144A                                                                            | CUSIP: 46266TAA6<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |      415000 | PA      | $413325.81      | 0.00%             | 2027-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4% 09/01/2055 #TBA                                                                            | CUSIP: 01F040693<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -152300000 | PA      | $-142144681.69  | -0.17%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                        | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      929277 | PA      | $868263.86      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FM9585                                                                        | CUSIP: 3140XDUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4126823 | PA      | $3693012.42     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2046#Q40046                                                                        | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      398798 | PA      | $369936.09      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 02/15/2035                                                                             | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   272085400 | PA      | $281395835.89   | 0.34%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q31974                                                                        | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72281 | PA      | $67693.31       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.125% 12/15/2045                                                                    | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      650000 | PA      | $639526.28      | 0.00%             | 2045-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 10/01/2055 #TBA                                                                              | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    20575000 | PA      | $19182362.61    | 0.02%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 09/01/2041#AI9813                                                                         | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3006 | PA      | $3132.28        | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.85% 10/29/2041                                     | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     4396000 | PA      | $3539551.59     | 0.00%             | 2041-10-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     5900000 | NC      | $-79189.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 5.927% 08/15/2030 144A                                              | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4337000 | PA      | $4612231.01     | 0.01%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 12/31/2029                                                                             | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1400000 | PA      | $1439648.43     | 0.00%             | 2029-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/33 #623639                                                                                | CUSIP: 36291BZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         450 | PA      | $456.53         | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                       | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    10487000 | PA      | $10276669.48    | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                  | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3 MA 3.5% 08/25/2057                                    | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4289249 | PA      | $4120586.23     | 0.00%             | 2057-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 05/01/2035#SB8045                                                                        | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6965040 | PA      | $6594500.65     | 0.01%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                             | LOGICOR FINANCING SARL 4.25% 07/18/2029 REGS                                                            | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |     1200000 | PA      | $1451825.82     | 0.00%             | 2029-07-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #710849                                                                                 | CUSIP: 36297FWJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       75262 | PA      | $76435.30       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2040#A94862                                                                        | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23032 | PA      | $23034.89       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 09/01/2055 #TBA                                                                              | CUSIP: 21H030690<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -200000000 | PA      | $-177162840.00  | -0.21%            | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#                                                                              | CUSIP: 31418EBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37531 | PA      | $34015.73       | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/36 #AH8017                                                                                 | CUSIP: 3138A94B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10096 | PA      | $9911.95        | 0.00%             | 2036-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/32 #654060                                                                                 | CUSIP: 31390RTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         924 | PA      | $990.86         | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2042#ZA1228                                                                        | CUSIP: 31329JLH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4585224 | PA      | $4325759.06     | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.292%/VAR 09/12/2026                                                                 | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     1724000 | PA      | $1723894.28     | 0.00%             | 2026-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY PARTNERS LLC                                               | HOWARD MIDSTREAM ENERGY PARTNERS LLC 7.375% 07/15/2032 144A                                             | CUSIP: 442722AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      595000 | PA      | $620477.31      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 3.5% 11/15/2030                                                                        | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    18113000 | PA      | $17271725.78    | 0.02%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FS0002                                                                          | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10047653 | PA      | $8808229.75     | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 5.25% 08/19/2035                                                        | CUSIP: 62954HBH0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    21120000 | PA      | $20984888.18    | 0.02%             | 2035-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #759125                                                                                 | CUSIP: 36230UD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2630 | PA      | $2551.81        | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.45% 07/15/2030                                                               | CUSIP: 37045XFJ0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3080112.72     | 0.00%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2049#CA4628                                                                          | CUSIP: 3140QCEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1085110 | PA      | $1029412.50     | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.4% 10/25/2030                                                          | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14050000 | PA      | $14233226.05    | 0.02%             | 2030-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A23334                                                                                 | CUSIP: 31297AV35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1357 | PA      | $1377.93        | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 03/20/2052#                                                                                | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    41609549 | PA      | $35461068.00    | 0.04%             | 2052-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS6968                                                                          | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       47141 | PA      | $43503.97       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #255844                                                                                 | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25716 | PA      | $27019.52       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 5.339% 01/15/2027 144A                                                            | CUSIP: 04685A3R0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    26112000 | PA      | $26453489.86    | 0.03%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 5.8% 04/01/2047                                                                               | CUSIP: 42809HAH0<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    11931000 | PA      | $12058650.37    | 0.01%             | 2047-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 09/01/2055 #TBA                                                                              | CUSIP: 21H040699<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -41150000 | PA      | $-38374366.66   | -0.05%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT K141 A2 2.25% 02/25/2032                                                 | CUSIP: 3137H6ZM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    55000000 | PA      | $48952046.00    | 0.06%             | 2032-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1812                                                                        | CUSIP: 3138NYAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30076 | PA      | $27787.23       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2047#ZA4926                                                                        | CUSIP: 31329NPK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2903487 | PA      | $2697165.38     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 5/42 #766751                                                                                 | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18581 | PA      | $17481.34       | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2046#V82275                                                                          | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1177058 | PA      | $1057124.62     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTDE 2025-1 TR                                                                    | ALTDE 2025-1 TR 5.9% 08/15/2050 144A                                                                    | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12645646 | PA      | $12962124.42    | 0.02%             | 2050-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                             | LOGICOR FINANCING SARL 0.875% 01/14/2031 REGS                                                           | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |      600000 | PA      | $609438.30      | 0.00%             | 2031-01-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 3/31 #003053                                                                               | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         706 | PA      | $728.25         | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #574467                                                                                 | CUSIP: 36200WFG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          52 | PA      | $53.46          | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                      | METHANEX CORP 5.125% 10/15/2027                                                                         | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |      820000 | PA      | $816355.18      | 0.00%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #567102                                                                                 | CUSIP: 36213XAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         167 | PA      | $173.04         | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2048#Q58960                                                                        | CUSIP: 3132Y25W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2071294 | PA      | $1902620.12     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 09/01/2040#MA5829                                                                          | CUSIP: 31418FPP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1948996 | PA      | $1968991.92     | 0.00%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 06/01/2055#RJ4396                                                                  | CUSIP: 3142GU3E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18418961 | PA      | $19438222.18    | 0.02%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                            | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    40217000 | PA      | $40238465.02    | 0.05%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                                | GILEAD SCIENCES INC 5.6% 11/15/2064                                                                     | CUSIP: 375558CE1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8759656.89     | 0.01%             | 2064-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2052#SD1572                                                                          | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7144600 | PA      | $7137097.19     | 0.01%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2045#BA3904                                                                        | CUSIP: 3140E8KS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19760 | PA      | $18386.83       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                      | APPLOVIN CORP 5.375% 12/01/2031                                                                         | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    10700000 | PA      | $11025090.72    | 0.01%             | 2031-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/40 #AD7419                                                                                 | CUSIP: 31418VG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4201 | PA      | $4196.67        | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2135 JE 6% 3/29                                                                                     | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        3150 | PA      | $3222.76        | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #710924                                                                                | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9791 | PA      | $9945.32        | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 4 LTD / OHA CR FDG 4 LLC                                                | OHA CR FDG 4 LTD / OHA CR FDG 4 LLC AR2 TSFR3M+129 01/22/2038 144A                                      | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16000000 | PA      | $16052096.00    | 0.02%             | 2038-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                                | KINETIK HOLDINGS LP 5.875% 06/15/2030 144A                                                              | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |      445000 | PA      | $448811.43      | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9417                                                                        | CUSIP: 3138WKPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47311 | PA      | $46363.14       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVERSION ESCROW ISSUER LLC                                                        | INVERSION ESCROW ISSUER LLC 6.75% 08/01/2032 144A                                                       | CUSIP: 46150DAA0<br>LEI: 254900P6GHORGRVLKI95 | Long             | DBT              | CORP              | US        |      210000 | PA      | $207949.07      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2031#J34501                                                                        | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      356436 | PA      | $345522.17      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AA4740                                                                                | CUSIP: 31416NHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11357 | PA      | $11069.42       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                        | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       91166 | PA      | $88089.35       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2015-GC30                                                           | GS MTG SECS TR 2015-GC30 3.777% 05/10/2050                                                              | CUSIP: 36250GAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152320 | PA      | $148892.72      | 0.00%             | 2050-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 02/01/2041#MA4269                                                                        | CUSIP: 31418DW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5519376 | PA      | $4947958.35     | 0.01%             | 2041-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.3% 11/20/2026                                                                           | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1766000 | PA      | $1766302.16     | 0.00%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                            | BPCE SA 7.003%/VAR 10/19/2034 144A                                                                      | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     1150000 | PA      | $1269609.75     | 0.00%             | 2034-10-19      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.25% 01/31/2034 144A                                                                     | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      140000 | PA      | $143647.16      | 0.00%             | 2034-01-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16                                                                     | CFMT 2025-HB16 A VAR 03/25/2035 144A                                                                    | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2306191 | PA      | $2266458.21     | 0.00%             | 2035-03-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.544% 11/15/2053 144A                                              | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6291000 | PA      | $6508140.79     | 0.01%             | 2053-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 10/01/2055 #TBA                                                                            | CUSIP: 21H0326A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2575000 | PA      | $2337451.87     | 0.00%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94337                                                                          | CUSIP: 3132LQV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      352168 | PA      | $343634.50      | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                                        | OCWEN LOAN INVESTMENT TRUST HB1 A VAR 06/25/2038 144A                                                   | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8472411 | PA      | $8233488.93     | 0.01%             | 2038-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 02/28/2031                                                                              | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    76182300 | PA      | $78018412.27    | 0.09%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR7187                                                                        | CUSIP: 3138W46Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4684 | PA      | $4307.21        | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #436262                                                                                 | CUSIP: 36207MTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         124 | PA      | $125.26         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5210 TA 3.5% 11/25/2046                                                  | CUSIP: 3137H6WW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4115597 | PA      | $3923310.87     | 0.00%             | 2046-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #624486                                                                                 | CUSIP: 31389FXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         567 | PA      | $596.21         | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                              | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     8742000 | PA      | $8132362.03     | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 08/15/2042#AB2238                                                                        | CUSIP: 36178MPX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4409 | PA      | $4134.67        | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2043#AL3657                                                                        | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5439 | PA      | $5124.71        | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #549588                                                                                 | CUSIP: 36213BRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         219 | PA      | $226.39         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#MA4511                                                                          | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      861527 | PA      | $687189.59      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#RA2457                                                                          | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2816054 | PA      | $2482761.21     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#CB2166                                                                          | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12289199 | PA      | $10769430.82    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2050#SD7518                                                                          | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5686714 | PA      | $5024328.17     | 0.01%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                           | LAMB WESTON HOLDINGS INC 4.375% 01/31/2032 144A                                                         | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     1325000 | PA      | $1246435.72     | 0.00%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                               | SABRA HEALTH CARE LP 3.9% 10/15/2029                                                                    | CUSIP: 78572XAG6<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |     7857000 | PA      | $7596554.44     | 0.01%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 02/01/2035#CA5291                                                                        | CUSIP: 3140QC2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3390583 | PA      | $3319383.48     | 0.00%             | 2035-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2041#AL7018                                                                        | CUSIP: 3138EPYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      165283 | PA      | $165501.32      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 6.15% 04/01/2033                                                                | CUSIP: 958667AE7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4597110.85     | 0.01%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AON CORP2                                                                          | AON CORP 6.25% 09/30/2040                                                                               | CUSIP: 037389AU7<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |      142000 | PA      | $152658.40      | 0.00%             | 2040-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 7.875% 09/15/2031                                                             | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      100000 | PA      | $112880.62      | 0.00%             | 2031-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| QUIDELORTHO CORP                                                                   | QUIDELORTHO TERM B 1LN 08/16/2032                                                                       | CUSIP: 74840YAH7<br>LEI: 549300YU8CMO9HF53113 | Long             | LON              | CORP              | US        |      635000 | PA      | $627062.50      | 0.00%             | 2032-08-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                               | BWX TECHNOLOGIES INC 4.125% 06/30/2028 144A                                                             | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |      780000 | PA      | $761987.23      | 0.00%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2055#RJ4685                                                                          | CUSIP: 3142GVF30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10649606 | PA      | $10551062.00    | 0.01%             | 2055-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                           | VENTURE GLOBAL CALCASIEU 3.875% 11/01/2033 144A                                                         | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      235000 | PA      | $209339.57      | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 06/01/2036#MA4359                                                                        | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      952794 | PA      | $854670.71      | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/34 #629115                                                                                 | CUSIP: 36291H3Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         166 | PA      | $171.43         | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.137% 11/15/2035 144A                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     6850000 | PA      | $5795863.98     | 0.01%             | 2035-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DYCOM INDUSTRIES INC                                                               | DYCOM INDUSTRIES INC 4.5% 04/15/2029 144A                                                               | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |      420000 | PA      | $409708.74      | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD6323                                                                          | CUSIP: 3133B4AY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      755327 | PA      | $661445.86      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC                | COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC 7% 06/15/2027 144A                  | CUSIP: 19240CAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1010000 | PA      | $1006279.77     | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 3.068%/VAR 04/30/2041                                                            | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     7784000 | PA      | $5926101.41     | 0.01%             | 2041-04-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #436017                                                                                | CUSIP: 36207MK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          56 | PA      | $56.48          | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/30 #515294                                                                                 | CUSIP: 36211KNK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         635 | PA      | $648.95         | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     7050000 | NC      | $-94625.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 4.198%/VAR 06/01/2032 144A                                                          | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    17320000 | PA      | $16209611.51    | 0.02%             | 2032-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                         | TOLL BROS FIN CORP 4.875% 03/15/2027                                                                    | CUSIP: 88947EAS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      739000 | PA      | $744025.29      | 0.00%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ESAB CORP                                                                          | ESAB CORP 6.25% 04/15/2029 144A                                                                         | CUSIP: 29605JAA4<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |      780000 | PA      | $802006.92      | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2015-70 JC 3% 10/45                                                                                 | CUSIP: 3136AQCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      415301 | PA      | $397108.15      | 0.00%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 11/41 #005232                                                                             | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      293599 | PA      | $275550.86      | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #698480                                                                                 | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3059 | PA      | $3049.76        | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISSAN MASTER OWNER TR RECEIVABLE                                                  | NISSAN MASTER OWNER TR RECEIVABLE 5.05% 02/15/2029 144A                                                 | CUSIP: 65479VAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    22189000 | PA      | $22440274.89    | 0.03%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047                            | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     4579086 | PA      | $4032353.91     | 0.00%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2                                      | SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 5.33% 11/20/2029 144A                                     | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8985000 | PA      | $9083940.12     | 0.01%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028                                                          | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |           4 | PA      | $0.01           | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 04/01/2041#CB0116                                                                          | CUSIP: 3140QKDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1079647 | PA      | $944640.78      | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #560401                                                                                 | CUSIP: 36213PRW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1774 | PA      | $1835.71        | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                                        | MSC 2021-L6 XA 1.35631% 06/15/2054                                                                      | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    26750152 | PA      | $1075650.35     | 0.00%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2042#AO7372                                                                        | CUSIP: 3138LYFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18993 | PA      | $17894.96       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK1110                                                                                 | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23099 | PA      | $22379.25       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 09/01/2050#FM4342                                                                        | CUSIP: 3140X7ZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    29156884 | PA      | $24723515.68    | 0.03%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/28 #484261                                                                                 | CUSIP: 36209W5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         309 | PA      | $316.59         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1% 01/25/2051                                                            | CUSIP: 3137F85N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1545893 | PA      | $1193785.38     | 0.00%             | 2051-01-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34979                                                                        | CUSIP: 3132QRQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24659 | PA      | $22819.81       | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/40#V82128                                                                             | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      103840 | PA      | $97039.25       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #481378                                                                                | CUSIP: 36209TXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         325 | PA      | $331.10         | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT K545 A2 4.29% 07/25/2030                                                 | CUSIP: 3137HMCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7513000 | PA      | $7575260.98     | 0.01%             | 2030-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                            | BPCE SA 5.716%/VAR 01/18/2030 144A                                                                      | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      750000 | PA      | $774946.06      | 0.00%             | 2030-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                                                     | BANK 2017-BNKS 3.39% 06/15/2060                                                                         | CUSIP: 06541WAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10059000 | PA      | $9907553.71     | 0.01%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#CB2890                                                                          | CUSIP: 3140QNF80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38977 | PA      | $34132.26       | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 3.875% 09/15/2028                                                                  | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      650000 | PA      | $623089.29      | 0.00%             | 2028-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP INC                                                         | PERFORMANCE FOOD GROUP INC 4.25% 08/01/2029 144A                                                        | CUSIP: 71376LAE0<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |      845000 | PA      | $818276.11      | 0.00%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2054#DB3401                                                                        | CUSIP: 3140ACX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6907640 | PA      | $6954187.97     | 0.01%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2034#J40197                                                                          | CUSIP: 31307YGE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6189 | PA      | $6010.65        | 0.00%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 05/01/2053#SD2891                                                                        | CUSIP: 3132DQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17112510 | PA      | $17377558.78    | 0.02%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2049#SD7503                                                                        | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17775323 | PA      | $16345568.47    | 0.02%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2046#BC1130                                                                          | CUSIP: 3140EVHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      624187 | PA      | $596439.69      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.028% 07/30/2054 144A                                                            | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    40357035 | PA      | $40987032.53    | 0.05%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.502%/VAR 01/24/2036                                                             | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7227923.36     | 0.01%             | 2036-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 6.645%/VAR 04/25/2035                                                        | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    12968000 | PA      | $14103749.50    | 0.02%             | 2035-04-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5% 09/15/2032                                                                           | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     1227000 | PA      | $1232639.21     | 0.00%             | 2032-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.15% 03/02/2028                                                                              | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     1959000 | PA      | $2004766.04     | 0.00%             | 2028-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-1 A1                                                                    | FORDF 2025-1 A1 4.63% 04/15/2030                                                                        | CUSIP: 34529BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4985000 | PA      | $5058026.76     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #590208                                                                                 | CUSIP: 36201QU92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         824 | PA      | $852.56         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 8/40 #004771                                                                              | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3324 | PA      | $3307.62        | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2052#SD4751                                                                          | CUSIP: 3132DSH47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1725026 | PA      | $1620310.01     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                                                 | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                                               | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7578140 | PA      | $7429510.94     | 0.01%             | 2064-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2036#MA4360                                                                          | CUSIP: 31418DZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      777548 | PA      | $714672.71      | 0.00%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                               | PINE STR TR II 5.568% 02/15/2049 144A                                                                   | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7700000 | PA      | $7080264.73     | 0.01%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2049#MA3744                                                                          | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    42484856 | PA      | $37350369.61    | 0.04%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH C TSFR1M+181.448 07/15/2038 144A                                         | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4731831 | PA      | $4730353.48     | 0.01%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 05/15/2054                                                           | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    54200000 | PA      | $51636085.80    | 0.06%             | 2054-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 4% 04/15/2030                                                                              | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    19121000 | PA      | $18864635.57    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 09/01/2055 #TBA                                                                            | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   126400000 | PA      | $129145256.32   | 0.15%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                              | CUSIP: 31283G6U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.28          | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 03/01/2040#FM2646                                                                        | CUSIP: 3140X55G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1728590 | PA      | $1558505.48     | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                                       | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    22912783 | PA      | $22955242.87    | 0.03%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 2/39 #782562                                                                                 | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2335 | PA      | $2371.02        | 0.00%             | 2039-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                              | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7829 | PA      | $7841.17        | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/40 #734104                                                                                | CUSIP: 3620AMRZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1958 | PA      | $1849.49        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BJ5430                                                                          | CUSIP: 3140H7A80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      132441 | PA      | $125891.56      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMRLD BORROWER LP / EMERALD CO-ISSUER INC                                          | EMRLD BORROWER LP / EMERALD CO-ISSUER INC 6.625% 12/15/2030 144A                                        | CUSIP: 29103CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1078377.30     | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC D TSFR1M+201.448 04/15/2034 144A                                  | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3079000 | PA      | $3025117.50     | 0.00%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST                                           | CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST 2.5501% 03/15/2053                                             | CUSIP: 12597NAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6062148 | PA      | $5832126.23     | 0.01%             | 2053-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/46#BC1443                                                                            | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      561605 | PA      | $537341.69      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                                                | WHITBREAD GROUP PLC 2.375% 05/31/2027 REGS                                                              | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |     1260000 | PA      | $1629242.31     | 0.00%             | 2027-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2022D                                                        | FORD CR AUTO OWNER TR 2022D 5.27% 05/17/2027                                                            | CUSIP: 345295AD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      316731 | PA      | $317920.13      | 0.00%             | 2027-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                       | GALLAGHER (ARTHUR J.) and CO 5.55% 02/15/2055                                                           | CUSIP: 04316JAP4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     5362000 | PA      | $5052148.20     | 0.01%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2048#Q55992                                                                          | CUSIP: 3132XYUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1009691 | PA      | $961617.08      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.344% 7/35 #834917                                                                            | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         690 | PA      | $703.06         | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 02/01/2054#RJ0836                                                                        | CUSIP: 3142GQ4W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2911649 | PA      | $2939458.49     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                             | MARVELL TECHNOLOGY INC 4.875% 06/22/2028                                                                | CUSIP: 573874AN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6400000 | PA      | $6487320.06     | 0.01%             | 2028-06-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 3.649%/VAR 04/06/2028 144A                                                     | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     6943000 | PA      | $6880346.09     | 0.01%             | 2028-04-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                   | GLENCORE FDG LLC 5.186% 04/01/2030 144A                                                                 | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     4520000 | PA      | $4645775.92     | 0.01%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 03/01/2036#FM6804                                                                        | CUSIP: 3140XAR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284683 | PA      | $255365.47      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AJ0165                                                                                 | CUSIP: 3138ARFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20368 | PA      | $19790.89       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2044#BF9583                                                                          | CUSIP: 3617GGUG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      612854 | PA      | $574099.65      | 0.00%             | 2044-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 11/25/2053                                                   | CUSIP: 3137HAXC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    51795177 | PA      | $52177420.23    | 0.06%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #464768                                                                                 | CUSIP: 36208YJM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          43 | PA      | $44.20          | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #516134                                                                                 | CUSIP: 31383XLP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          21 | PA      | $22.13          | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 2.875% 03/25/2031                                                                           | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     7473000 | PA      | $6851621.92     | 0.01%             | 2031-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                          | STELLANTIS FINANCE US INC 5.75% 03/18/2030 144A                                                         | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |     9868000 | PA      | $9990496.71     | 0.01%             | 2030-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 07/31/2031                                                                             | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   653225000 | PA      | $663932010.98   | 0.79%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                     | PNC FINANCIAL SERVICES GRP INC 5.068%/VAR 01/24/2034                                                    | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    15132000 | PA      | $15309929.47    | 0.02%             | 2034-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061                                       | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |         260 | PA      | $259.62         | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #359551                                                                                | CUSIP: 31376ML83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          50 | PA      | $50.19          | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 10/20/44#MA2305                                                                            | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18315 | PA      | $18114.54       | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2028                                                                    | CUSIP: 15089QAW4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    12251000 | PA      | $12767820.69    | 0.02%             | 2028-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.571%/VAR 04/27/2033                                                       | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8718000 | PA      | $8627692.16     | 0.01%             | 2033-04-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2033#                                                                                | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3419 | PA      | $3554.64        | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SAU/ ENFRAGEN CHILE SPA/ ENFRAGEN SPAIN SAU                   | ENFRAGEN ENERGIA SUR SAU/ ENFRAGEN CHILE SPA/ ENFRAGEN SPAIN SAU 8.499% 06/30/2032 144A                 | CUSIP: 29281MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |      205000 | PA      | $211227.90      | 0.00%             | 2032-06-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.95% 09/01/2032                                                                                | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    13900000 | PA      | $13816947.08    | 0.02%             | 2032-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2052#CB2679                                                                        | CUSIP: 3140QM6R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3479761 | PA      | $3174041.12     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ4663                                                                        | CUSIP: 3138YWFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62505 | PA      | $59863.05       | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTIONS INC                                                    | STANDARD BUILDING SOLUTIONS INC 6.5% 08/15/2032 144A                                                    | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      600000 | PA      | $619267.20      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                                           | BENCHMARK 2018-B7 A4 4.51% 05/15/2053                                                                   | CUSIP: 08162TBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3112512 | PA      | $3120443.30     | 0.00%             | 2053-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2014-3R                                                                   | CSMC 2014 3R AA1 CSTR 05/37                                                                             | CUSIP: 12648GAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      402150 | PA      | $389310.94      | 0.00%             | 2037-05-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #729562                                                                                 | CUSIP: 3620AGQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4772 | PA      | $4847.39        | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 1.538%/VAR 07/20/2027                                                        | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     3276000 | PA      | $3196112.94     | 0.00%             | 2027-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP 12/17/57 B                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     2400000 | NC      | $-1602.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #719217                                                                                 | CUSIP: 3620A5AS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14628 | PA      | $14859.20       | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2041#                                                                              | CUSIP: 312945X52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8223 | PA      | $8225.26        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2032#                                                                                | CUSIP: 31288AFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2528 | PA      | $2617.98        | 0.00%             | 2032-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 6.421% 08/02/2033                                                                      | CUSIP: 054989AB4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8721991.92     | 0.01%             | 2033-08-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                             | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028                                                  | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4084000 | PA      | $4127808.66     | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027                                                        | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21500000 | PA      | $21212777.20    | 0.03%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 4/35 #003700                                                                              | CUSIP: 36202EDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      108201 | PA      | $107934.63      | 0.00%             | 2035-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9948                                                                                 | CUSIP: 3138EFBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19256 | PA      | $18642.32       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19988                                                                        | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26552 | PA      | $25622.92       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 22 LTD                                                          | OHA CREDIT FUNDING 22 LTD A1 TSFR3M+ 07/20/2038 144A                                                    | CUSIP: 67121HAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6319000 | PA      | $6336604.73     | 0.01%             | 2038-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                          | MILLICOM INTL CELLULAR SA 4.5% 04/27/2031 144A                                                          | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     6466000 | PA      | $6016645.33     | 0.01%             | 2031-04-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 05/20/2051#MA7366                                                                            | CUSIP: 36179WFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      109801 | PA      | $89941.43       | 0.00%             | 2051-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #593188                                                                                 | CUSIP: 36201T6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7211 | PA      | $7479.00        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 12/01/2034#FM2927                                                                        | CUSIP: 3140X6HD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2980113 | PA      | $2946994.31     | 0.00%             | 2034-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #476127                                                                                | CUSIP: 36209M4L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         198 | PA      | $202.22         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2049#QA0388                                                                        | CUSIP: 31334WND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      176926 | PA      | $163082.44      | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                               | JERSEY MIKES FDG LLC 5.61% 08/16/2055 144A                                                              | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8630000 | PA      | $8778541.29     | 0.01%             | 2055-08-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                                           | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   191130000 | PA      | $185411031.08   | 0.22%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#RA6434                                                                        | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16075454 | PA      | $13500532.75    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 12/01/2035#BQ9287                                                                          | CUSIP: 3140KVJ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      670823 | PA      | $619722.16      | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 12/20/2054#787741                                                                          | CUSIP: 3622ADP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4137634 | PA      | $4211311.16     | 0.01%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-AON                                         | J P MORGAN CHASE COML MTG SECS TR 2018-AON-D 4.6132% 07/05/2031 144A                                    | CUSIP: 46649XAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1846000 | PA      | $803674.56      | 0.00%             | 2031-07-05      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97661                                                                                 | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       78822 | PA      | $78831.72       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055                                                   | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     7960275 | PA      | $7942617.52     | 0.01%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/40 #724698                                                                                 | CUSIP: 3620ABDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12873 | PA      | $12531.89       | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PINE STR TR III                                                                    | PINE STR TR III 6.223% 05/15/2054 144A                                                                  | CUSIP: 72284KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12000000 | PA      | $11918612.88    | 0.01%             | 2054-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXUS BUYER LLC                                                                    | INTRAFI TERM B 1LN 07/31/2031                                                                           | CUSIP: 65343UAH5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      656704 | PA      | $655200.27      | 0.00%             | 2031-07-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 4.146 07/30/30                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    22330000 | NC      | $810085.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 1/41 #004922                                                                              | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      507266 | PA      | $491669.01      | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2003-118 S SOFR30A+798.552 12/33                                                                    | CUSIP: 31393UNH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       53749 | PA      | $6818.41        | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2054#MA9481                                                                            | CUSIP: 36179YRA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      369662 | PA      | $302454.80      | 0.00%             | 2054-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#                                                                              | CUSIP: 312941SD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14004 | PA      | $13999.05       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 04/01/2039#BT6634                                                                          | CUSIP: 3140LVLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      229695 | PA      | $232482.59      | 0.00%             | 2039-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS                                                                   | SMITHFIELD FOODS 3% 10/15/2030 144A                                                                     | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |     1317000 | PA      | $1203954.33     | 0.00%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2048#ZM6138                                                                        | CUSIP: 3131Y0ZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      390221 | PA      | $381667.22      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2052                                                          | CUSIP: 3136BLLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2551201 | PA      | $2346078.90     | 0.00%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.80% 7/34 #849923                                                                             | CUSIP: 31408FG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3671 | PA      | $3756.97        | 0.00%             | 2034-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2042#AB7059                                                                        | CUSIP: 31417DZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14358 | PA      | $12720.34       | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMPOWER FINANCE 2020 LP                                                            | EMPOWER FINANCE 2020 LP 1.357% 09/17/2027 144A                                                          | CUSIP: 29248HAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1474000 | PA      | $1390014.68     | 0.00%             | 2027-09-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2052#SD1862                                                                          | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8216931 | PA      | $8226275.93     | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2047#FS0976                                                                        | CUSIP: 3140XGCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      634076 | PA      | $538257.85      | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRAND CITY PROPERTIES SA                                                           | GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS                                                             | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | EP               | CORP              | LU        |     1500000 | PA      | $1702626.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 4/42 #AO1877                                                                                 | CUSIP: 3138LSCP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16995 | PA      | $16013.43       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 1.197%/VAR 10/24/2026                                                       | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6035000 | PA      | $6006761.93     | 0.01%             | 2026-10-24      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2023-C21                                                      | BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056                                                        | CUSIP: 05553WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13794000 | PA      | $14873875.70    | 0.02%             | 2056-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Securities Fund                                                           | FIDELITY REAL ESTATE INCOME FUNDZ                                                                       | CUSIP: 316389311<br>LEI: LIUMB3NDWOFJPXVROE85 | Long             | EC               | RF                | US        |   131266398 | NS      | $1608013380.93  | 1.92%             |  |  |  | No            |                  1 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 5.516% 03/25/2027 144A                                                            | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $7933642.78     | 0.01%             | 2027-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #560191                                                                                 | CUSIP: 36213PKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         176 | PA      | $181.90         | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 2.357%/VAR 08/18/2031                                                                 | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    15444000 | PA      | $13934202.90    | 0.02%             | 2031-08-18      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     4100000 | NC      | $272513.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2114 ZM 6% 1/29                                                                                     | CUSIP: 3133THQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         464 | PA      | $473.62         | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2051#CB2189                                                                          | CUSIP: 3140QMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      635667 | PA      | $604081.39      | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.375%/VAR PERP 144A                                                                       | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EP               | CORP              | CH        |     2239000 | PA      | $2007478.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745237                                                                                 | CUSIP: 3620C04W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1257 | PA      | $1252.36        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #511373                                                                                 | CUSIP: 31383SCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         159 | PA      | $167.67         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AY9025                                                                             | CUSIP: 3138YPA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47004 | PA      | $45166.57       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3121 KO 0 3/36                                                                                      | CUSIP: 31396JG74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        8527 | PA      | $7503.81        | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK1385                                                                                 | CUSIP: 3138E5RF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17801 | PA      | $17295.07       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 7/34 #G02115                                                                                 | CUSIP: 3128LXK41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5490 | PA      | $5730.82        | 0.00%             | 2034-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS8336                                                                          | CUSIP: 3140XQHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1459321 | PA      | $1168575.55     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2015-H13 HA 2.5% 08/64                                                                              | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        2215 | PA      | $2083.85        | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413578                                                                                 | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         116 | PA      | $118.91         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                       | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                                 | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7647321 | PA      | $7427307.82     | 0.01%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/26 #190273                                                                                 | CUSIP: 31368HJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $1.73           | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.75% 08/15/2032                                                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   125847100 | PA      | $116846082.49   | 0.14%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2038#AB8124                                                                        | CUSIP: 31417FA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5976 | PA      | $5981.71        | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                                                   | WELLS FARGO COML MTG TR 2024-GRP TSFR1M+229.06 10/15/2041 144A                                          | CUSIP: 95003YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3750000 | PA      | $3763352.25     | 0.00%             | 2041-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2055#RJ4672                                                                        | CUSIP: 3142GVFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10952516 | PA      | $10549865.37    | 0.01%             | 2055-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                                                               | KAISER ALUMINUM CORP 4.625% 03/01/2028 144A                                                             | CUSIP: 483007AJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1045000 | PA      | $1027155.27     | 0.00%             | 2028-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                                                       | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                                                      | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2983470 | PA      | $2985311.84     | 0.00%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/40 #737674                                                                                | CUSIP: 3620ARQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5059 | PA      | $5138.64        | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CNX MIDSTREAM PARTNERS LP                                                          | CNX MIDSTREAM PARTNERS LP 4.75% 04/15/2030 144A                                                         | CUSIP: 12654AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      750000 | PA      | $711436.73      | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 09/01/2054#DC3245                                                                        | CUSIP: 3140AQTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3258254 | PA      | $3278173.41     | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #772063                                                                                 | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63715 | PA      | $61718.42       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                               | NEXTERA ENERGY OPERATING PARTNERS LP 8.375% 01/15/2031 144A                                             | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      350000 | PA      | $366006.55      | 0.00%             | 2031-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                                  | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    14050000 | PA      | $14541439.78    | 0.02%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6556                                                                          | CUSIP: 3140XAJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8158734 | PA      | $6487348.54     | 0.01%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2045#Q34467                                                                        | CUSIP: 3132QQ6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       47534 | PA      | $45765.19       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 10/39 #680489                                                                                | CUSIP: 36295T7A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1736 | PA      | $1818.44        | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / ACRISURE FINANCE INC                                                | ACRISURE LLC / ACRISURE FINANCE INC 6.75% 07/01/2032 144A                                               | CUSIP: 004961AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      205000 | PA      | $210331.03      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                          | IQVIA INC 6.5% 05/15/2030 144A                                                                          | CUSIP: 46266TAD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     1005000 | PA      | $1042134.75     | 0.00%             | 2030-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97976                                                                                 | CUSIP: 3129462H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2632 | PA      | $2628.60        | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #704665                                                                                 | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11740 | PA      | $11923.95       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| C and S WHOLESALE GROCERS INC                                                      | C and S WHOLESALE GROCERS TERM B 1LN 08/06/2030                                                         | CUSIP: N/A<br>LEI: 54930093F8X1FEZBGJ91       | Long             | LON              | CORP              | US        |      510000 | PA      | $497571.30      | 0.00%             | 2030-08-06      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 02/01/2051#MA4254                                                                        | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19371787 | PA      | $14702498.43    | 0.02%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2026#                                                                              | CUSIP: 31292GQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          15 | PA      | $15.25          | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL FDG                                                       | JACKSON NATL LIFE GLOBAL FDG 4.6% 10/01/2029 144A                                                       | CUSIP: 46849LVB4<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    11326000 | PA      | $11408236.73    | 0.01%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2039#AL7550                                                                        | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      196282 | PA      | $198830.20      | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/28 #475895                                                                                 | CUSIP: 36209MUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         513 | PA      | $525.62         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #563613                                                                                 | CUSIP: 36213TDS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         117 | PA      | $120.73         | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 6.254%/VAR 03/09/2034                                                                 | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $215982.07      | 0.00%             | 2034-03-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRET 2022-RN1 LLC                                                                  | PRET 2022-RN1 LLC STEP 07/25/2051 144A                                                                  | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1269102 | PA      | $1272312.14     | 0.00%             | 2051-07-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                         | EATON VANCE CLO 2020-2 LTD AR2 TSFR3M+138 10/15/2037 144A                                               | CUSIP: 27829PAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11970000 | PA      | $11999841.21    | 0.01%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2049#RA1293                                                                          | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      161692 | PA      | $143363.07      | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.376%/VAR 04/27/2028                                                       | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3650000 | PA      | $3657991.60     | 0.00%             | 2028-04-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 09/17/29                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -464564000 | NC      | $-5325762.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.6% 02/15/2033 144A                                                                       | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    23971000 | PA      | $20717931.07    | 0.02%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2048#G61821                                                                        | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1649815 | PA      | $1615715.55     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AB3872                                                                                | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      301743 | PA      | $293316.78      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BH3647                                                                        | CUSIP: 3140GSBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8159 | PA      | $8031.29        | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #648070                                                                                 | CUSIP: 31390J6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         356 | PA      | $378.54         | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTST LINE CO                                                      | TRANS-ALLEGHENY INTST LINE CO 5.2% 01/15/2031 144A                                                      | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3410000 | PA      | $3493412.39     | 0.00%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2052#FS9743                                                                        | CUSIP: 3140XRZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6520044 | PA      | $5494019.02     | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.692%/VAR 09/13/2034                                                                      | CUSIP: 06738ECL7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    12500000 | PA      | $13693905.13    | 0.02%             | 2034-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H010 FA TSFR1M+44.448 5/60                                                                     | CUSIP: 38375BBV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       83867 | PA      | $83773.16       | 0.00%             | 2060-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.99% 07/15/2060 144A                                                           | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10001142 | PA      | $8484672.08     | 0.01%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B2 MTG TR                                                           | BENCHMARK 2018-B2 MTG TR 3.7802% 02/15/2051                                                             | CUSIP: 08161CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1556665 | PA      | $1544592.32     | 0.00%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 06/01/2054#SD5521                                                                        | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18691723 | PA      | $19717317.65    | 0.02%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                              | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     1482000 | PA      | $1308855.54     | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES XXXIV CLO LTD                                                                 | ARES XXXIV CLO LTD AR3 TSFR3M+132 04/17/2033 144A                                                       | CUSIP: 04015GAX7<br>LEI: 549300VDFIIXSFET0S73 | Long             | ABS-CBDO         | CORP              | KY        |    12294734 | PA      | $12294734.48    | 0.01%             | 2033-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                                | CUSIP: 3132GEHF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5498 | PA      | $5348.01        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 04/20/2048#BG3507                                                                            | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      224035 | PA      | $211450.47      | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/26 #313264                                                                                 | CUSIP: 31374F5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.30           | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 4.8% 09/19/2039 144A                                                   | CUSIP: 96328GBZ9<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     8600000 | PA      | $8670868.30     | 0.01%             | 2039-09-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2041#                                                                              | CUSIP: 3132GD2M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10028 | PA      | $10028.36       | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                                                       | VONTIER CORP 2.95% 04/01/2031                                                                           | CUSIP: 928881AF8<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |     8630000 | PA      | $7840309.26     | 0.01%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #552576                                                                                 | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         485 | PA      | $500.34         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/41 #783267                                                                                 | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      135789 | PA      | $131833.54      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#QD1841                                                                          | CUSIP: 3133AYBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      862984 | PA      | $689700.59      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                                                        | HOLOGIC INC 4.625% 02/01/2028 144A                                                                      | CUSIP: 436440AM3<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |       65000 | PA      | $64366.54       | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.805% 05/01/2050                                                                             | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     9895000 | PA      | $9515396.63     | 0.01%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/31 #781247                                                                                 | CUSIP: 36225BL48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          91 | PA      | $94.62          | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG TERM B 1LN 04/16/2031                                                                               | CUSIP: 62937NBC0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | LON              | CORP              | US        |       60000 | PA      | $60048.60       | 0.00%             | 2031-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/32 #648177                                                                                 | CUSIP: 31390KCN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          59 | PA      | $62.67          | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8226                                                                        | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3181524 | PA      | $3072708.95     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                      | INTERCONTINENTAL EXCHANGE INC 3.625% 09/01/2028                                                         | CUSIP: 45866FBB9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     6900000 | PA      | $6807093.57     | 0.01%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/26 #323242                                                                                | CUSIP: 31374TBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.32           | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #G05937                                                                                 | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1123 | PA      | $1123.12        | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 6.75% 11/01/2029                                                                  | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    10100000 | PA      | $10965136.21    | 0.01%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2044#AS2238                                                                        | CUSIP: 3138WBPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32420 | PA      | $29423.66       | 0.00%             | 2044-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2051#FM6540                                                                        | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19274581 | PA      | $16398048.29    | 0.02%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 09/01/2055 #TBA                                                                          | CUSIP: 01F042699<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   179125000 | PA      | $172295859.38   | 0.21%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2045#AZ5987                                                                        | CUSIP: 3138YXUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18904 | PA      | $17188.81       | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.1% 03/15/2028                                                                      | CUSIP: 756109CA0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     1631000 | PA      | $1554144.93     | 0.00%             | 2028-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #456862                                                                                 | CUSIP: 36208PQP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          74 | PA      | $74.54          | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                  | BERKSHIRE HATHAWAY ENERGY COMPANY 3.7% 07/15/2030                                                       | CUSIP: 084659AV3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      161000 | PA      | $157703.93      | 0.00%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                            | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 5% 03/27/2030 144A                                              | CUSIP: 29449WAT4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     7465000 | PA      | $7654224.16     | 0.01%             | 2030-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2053#QH0277                                                                        | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3887181 | PA      | $4091963.61     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2035#310165                                                                        | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93820 | PA      | $95114.21       | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | FX Forward: USD/EUR settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $10274.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 01/01/2055#DC7865                                                                        | CUSIP: 3140AVW31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1548991 | PA      | $1558460.46     | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE                                                       | BARCLAYS COMMERCIAL MORTGAGE 2.99% 11/15/2052                                                           | CUSIP: 05492JAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1526961 | PA      | $1497691.97     | 0.00%             | 2052-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745138                                                                                 | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38858 | PA      | $38725.57       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GSA1                                                           | GS MTG SECS TR 2019-GSA1 A4 3.0479% 11/10/2052                                                          | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $948094.30      | 0.00%             | 2052-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.3% 07/22/2027                                                                  | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    28701000 | PA      | $28807611.01    | 0.03%             | 2027-07-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                    | AASET 2019-2 B TR 4.458% 10/16/2039 144A                                                                | CUSIP: 00038RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      354755 | PA      | $345926.30      | 0.00%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 06/01/2051#FM8114                                                                          | CUSIP: 3140XCAQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      750999 | PA      | $598089.52      | 0.00%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L         | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A       | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    22610296 | PA      | $21310907.13    | 0.03%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2045#AY0356                                                                        | CUSIP: 3138YDME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39897 | PA      | $38337.92       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RAND PARENT LLC                                                                    | ATLAS AIR TERM B 1LN 03/18/2030                                                                         | CUSIP: 75223LAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      210000 | PA      | $209025.60      | 0.00%             | 2030-03-18      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2050#RA4142                                                                        | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3025150 | PA      | $2565169.03     | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     1080000 | NC      | $172701.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2054#DA7760                                                                        | CUSIP: 3140A8TS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2672721 | PA      | $2698248.31     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL FUNDING                                                    | WESTERN-SOUTHERN GLOBAL FUNDING 4.9% 05/01/2030 144A                                                    | CUSIP: 95954A2A0<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |     6469000 | PA      | $6594724.76     | 0.01%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AT2645                                                                          | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12518 | PA      | $11536.60       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 03/15/2043#AD2295                                                                        | CUSIP: 36180DRQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2572 | PA      | $2411.14        | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/01/2035#FM2518                                                                        | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      501877 | PA      | $475961.43      | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 5.24%/VAR 05/13/2031                                                                  | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     9220000 | PA      | $9477853.62     | 0.01%             | 2031-05-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552552                                                                                | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12607 | PA      | $12207.65       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER LLC                                                          | PANTHER ESCROW ISSUER LLC 7.125% 06/01/2031 144A                                                        | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      715000 | PA      | $741948.35      | 0.00%             | 2031-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR4132                                                                        | CUSIP: 3138W1SW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5772 | PA      | $5270.70        | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#FM8864                                                                        | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1667295 | PA      | $1412737.43     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 11/39 #A89870                                                                                | CUSIP: 3129366F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1239 | PA      | $1239.38        | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/36 #A51069                                                                                 | CUSIP: 3128KDFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         787 | PA      | $799.28         | 0.00%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 03/01/2055#CC0116                                                                          | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16056645 | PA      | $16661263.92    | 0.02%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                     | CARMAX AUTO OWNER TRUST 2024-4 4.67% 12/15/2027                                                         | CUSIP: 14290DAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6937164 | PA      | $6949300.09     | 0.01%             | 2027-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MTG LN TR 2020-1                                                         | OCEANVIEW MTG LN TR 2020-1 1.73291% 05/28/2050 144A                                                     | CUSIP: 676477AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       28674 | PA      | $26992.49       | 0.00%             | 2050-05-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2040#V81886                                                                        | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      139735 | PA      | $132707.17      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 02/01/2035#QN1578                                                                        | CUSIP: 3133G7XF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      708849 | PA      | $672246.02      | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                                          | CHESAPEAKE FUNDING II LLC 5.52% 05/15/2036 144A                                                         | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |    11224120 | PA      | $11362750.35    | 0.01%             | 2036-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                 | VORNADO REALTY LP 3.4% 06/01/2031                                                                       | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    12870000 | PA      | $11475833.05    | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 06/01/2041#Q01604                                                                        | CUSIP: 3132GEX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12347 | PA      | $12555.15       | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                           | CSX CORP 3.8% 04/15/2050                                                                                | CUSIP: 126408HS5<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |       78000 | PA      | $58338.39       | 0.00%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+101.448 07/25/2037 144A                                             | CUSIP: 07325YAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24546 | PA      | $26073.05       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                                                     | JOHN LEWIS PLC 4.25% 12/18/2034 REGS                                                                    | CUSIP: N/A<br>LEI: 213800JSUFNZLZLCVJ25       | Long             | DBT              | CORP              | GB        |      600000 | PA      | $654618.90      | 0.00%             | 2034-12-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 04/01/2032#                                                                                | CUSIP: 31283HRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          40 | PA      | $42.41          | 0.00%             | 2032-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CHEVRON PHIL CHEM LLC /CHEV LP                                                     | CHEVRON PHIL CHEM LLC /CHEV LP 4.75% 05/15/2030 144A                                                    | CUSIP: 166754AX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2309000 | PA      | $2355815.28     | 0.00%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                                            | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       77449 | PA      | $70868.28       | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 4.352% 05/20/2049                                                                     | CUSIP: 233046AL5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     7994700 | PA      | $7910516.61     | 0.01%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                      | ANGLIAN WATER SVCS FINANC PLC 6.293% 07/30/2030 REGS                                                    | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $1400638.49     | 0.00%             | 2030-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                                                   | MORGAN STANLEY CAP I TR 2018-BOP A TSFR1M+89.7 06/15/2035 144A                                          | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      134441 | PA      | $109837.96      | 0.00%             | 2033-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DOTDASH MEREDITH INC                                                               | DOTDASH MEREDITH INC 7.625% 06/15/2032 144A                                                             | CUSIP: 25849JAA8<br>LEI: 549300R2AA7U9CJUQO13 | Long             | DBT              | CORP              | US        |      420000 | PA      | $411474.77      | 0.00%             | 2032-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 1.631% 05/15/2051 144A                                                                     | CUSIP: 78403DAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5173000 | PA      | $5003290.42     | 0.01%             | 2051-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2050#CA6328                                                                        | CUSIP: 3140QEA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32591 | PA      | $27666.34       | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562346 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     7449509 | NC      | $-24866.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 2.129%/VAR 11/24/2026                                                    | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     3386000 | PA      | $3366765.35     | 0.00%             | 2026-11-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2412 FK SOFR30A+91.448 1/32                                                                         | CUSIP: 31339DTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         970 | PA      | $972.47         | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 4.25% 07/23/2032                                                                           | CUSIP: N/A<br>LEI: 54930042CRNE713E3Q67       | Long             | DBT              | CORP              | US        |      300000 | PA      | $363788.15      | 0.00%             | 2032-07-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #733234                                                                                 | CUSIP: 3620ALSX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         826 | PA      | $822.25         | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#CB3296                                                                        | CUSIP: 3140QNUW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18258034 | PA      | $15390569.65    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2042#AK2717                                                                          | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3535 | PA      | $3426.89        | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                                    | AMMC CLO 24 LTD ER TSFR3M+650 01/20/2035 144A                                                           | CUSIP: 00177MAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      150000 | PA      | $149986.50      | 0.00%             | 2035-01-20      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                        | BAYVIEW COML ASST TR 2007 2 TSFR1M+60.448 07/25/2037 144A                                               | CUSIP: 07325XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25116 | PA      | $21784.12       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 06/44#MA1997                                                                               | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19083 | PA      | $18956.94       | 0.00%             | 2044-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2034#FM0046                                                                          | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      741485 | PA      | $715847.59      | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/45#AZ3341                                                                               | CUSIP: 3138YUWB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99988 | PA      | $96162.88       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/01/2051#RA5288                                                                          | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2671145 | PA      | $2143137.57     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2052#RA7311                                                                        | CUSIP: 3133KPDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15937065 | PA      | $14526926.53    | 0.02%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 6.25%/VAR PERP                                                              | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |     1450000 | PA      | $1451294.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/32 #574355                                                                                 | CUSIP: 36200WBY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         285 | PA      | $291.35         | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3244 SG SOFR30A+654.552 11/36                                                                       | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       81163 | PA      | $7537.83        | 0.00%             | 2036-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 3/41 #004977                                                                              | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       71191 | PA      | $68989.72       | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-2                                                                       | CARMX 2025-2 4.59% 07/17/2028                                                                           | CUSIP: 14320AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5160000 | PA      | $5179397.47     | 0.01%             | 2028-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 5YR NOTE (CBT) FUT DEC25 FVZ5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         616 | NC      | $327305.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2023-B                                              | WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028                                                  | CUSIP: 98164QAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9535193 | PA      | $9553474.36     | 0.01%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                | US LBM TERM B 1LN 06/06/2031                                                                            | CUSIP: 50179JAH1<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |      458841 | PA      | $444993.48      | 0.00%             | 2031-06-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS                                                                       | NEW FORTRESS 12% 11/15/2029 144A                                                                        | CUSIP: 62909BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      294395 | PA      | $108190.16      | 0.00%             | 2029-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #456362                                                                                 | CUSIP: 36208N5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2655 | PA      | $2691.93        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DRYDEN 68 CLO LTD                                                                  | DRYDEN 68 CLO LTD ARR TSFR3M+110 07/15/2035 144A                                                        | CUSIP: 26252QAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5800000 | PA      | $5804251.40     | 0.01%             | 2035-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                                | BANCO BILBAO VIZ ARGENTARIA SA 6.033%/VAR 03/13/2035                                                    | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     1400000 | PA      | $1470853.62     | 0.00%             | 2035-03-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 02/20/2044#MA1677                                                                          | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2439 | PA      | $2269.44        | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 1.305%/VAR 02/02/2027 144A                                                                 | CUSIP: 225401AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     3100000 | PA      | $3059993.45     | 0.00%             | 2027-02-02      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q12050                                                                                | CUSIP: 3132HNH36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      257373 | PA      | $242913.80      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02763                                                                                 | CUSIP: 3132GGB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11190 | PA      | $11178.94       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/39 #A88585                                                                                 | CUSIP: 312935RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46216 | PA      | $46299.78       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 11/46#MA4126                                                                                 | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    19135579 | PA      | $17187659.23    | 0.02%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                     | CARMAX AUTO OWNER TRUST 2024-4 4.6% 10/15/2029                                                          | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5440000 | PA      | $5486305.82     | 0.01%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                                           | AGREE LP 5.625% 06/15/2034                                                                              | CUSIP: 008513AE3<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    18770000 | PA      | $19306178.38    | 0.02%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 01/01/2054#SD4622                                                                        | CUSIP: 3132DSD33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11260038 | PA      | $11834935.22    | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL4 LLC                                                                 | PRPM 2024-RPL4 A1 LLC STEP 12/25/2054 144A                                                              | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1108362 | PA      | $1086237.96     | 0.00%             | 2054-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.717%/VAR 09/14/2033                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    65636000 | PA      | $68907633.64    | 0.08%             | 2033-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                           | GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051                                                          | CUSIP: 36250SAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1093062 | PA      | $1085622.07     | 0.00%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #722964                                                                                 | CUSIP: 3620A9FD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1921 | PA      | $1950.79        | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                            | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     4282000 | PA      | $4051921.93     | 0.00%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #441655                                                                                 | CUSIP: 36207TTL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         132 | PA      | $132.81         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.283 6/1/41                                                                                   | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2299 | PA      | $2395.87        | 0.00%             | 2041-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #557611                                                                                 | CUSIP: 36213LN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         280 | PA      | $287.02         | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2050#FM6195                                                                          | CUSIP: 3140X93D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5018737 | PA      | $4441998.80     | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.125% 09/01/2026                                                                  | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |     2628000 | PA      | $2587572.64     | 0.00%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                                                       | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    16250362 | PA      | $16315903.15    | 0.02%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2049#QA4396                                                                        | CUSIP: 31339U3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      270432 | PA      | $227621.96      | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 4.95% 06/15/2030                                                               | CUSIP: 02666TAK3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     2538000 | PA      | $2588023.98     | 0.00%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#FS0208                                                                        | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      455134 | PA      | $385218.40      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL HOTELS GROUP PLC NEW                                              | INTERCONTINENT HTL GRP PLC NEW 3.375% 10/08/2028 REGS                                                   | CUSIP: N/A<br>LEI: 2138007ZFQYRUSLU3J98       | Long             | DBT              | CORP              | GB        |      875000 | PA      | $1133414.25     | 0.00%             | 2028-10-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #773363                                                                                 | CUSIP: 36176Q5Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6329 | PA      | $5942.52        | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 11/15/2053                                                            | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   120000000 | PA      | $116653125.60   | 0.14%             | 2053-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5517 HF SOFR30A+135 03/25/2055                                           | CUSIP: 3137HKGX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    12517302 | PA      | $12536788.85    | 0.01%             | 2055-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 5% 09/01/2040 #TBA                                                                            | CUSIP: 01F050494<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -15900000 | PA      | $-16064590.44   | -0.02%            | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ5748                                                                                | CUSIP: 3138AXL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12697 | PA      | $12336.80       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 2.045% 11/20/2051 144A                                                                | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     9419025 | PA      | $9126259.10     | 0.01%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2052#SD1082                                                                          | CUSIP: 3132DNFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8783532 | PA      | $7691809.41     | 0.01%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#RA5117                                                                               | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3501907 | PA      | $2826097.22     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                       | AMPRION GMBH 3.125% 08/27/2030 REGS                                                                     | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |     1400000 | PA      | $1647781.05     | 0.00%             | 2030-08-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEXION HOLDINGS CORPORATION                                                        | HEXION TERM 1LN 03/15/2029                                                                              | CUSIP: 00217XAE6<br>LEI: 549300LBB370MUHGLV84 | Long             | LON              | CORP              | US        |     1026489 | PA      | $1024138.72     | 0.00%             | 2029-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/51#MA4468                                                                             | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3119977 | PA      | $2841965.88     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404971                                                                                | CUSIP: 31378P2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.01          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 8/41 #005139                                                                              | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8469 | PA      | $8197.18        | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                              | AMERICAN AIRLINES INC 3.75% 04/15/2027                                                                  | CUSIP: 023771S41<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     1119925 | PA      | $1116880.53     | 0.00%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 06/20/2048#MA5266                                                                            | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2617471 | PA      | $2639527.79     | 0.00%             | 2048-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2041#                                                                              | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23155 | PA      | $23143.87       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2053#FS4919                                                                        | CUSIP: 3140XLPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1171127 | PA      | $977317.61      | 0.00%             | 2053-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                           | RTX CORP 6.4% 03/15/2054                                                                                | CUSIP: 75513ECX7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $7356639.02     | 0.01%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                         | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A                        | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16435000 | PA      | $16392637.14    | 0.02%             | 2031-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2045#Q33769                                                                        | CUSIP: 3132QQFK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      138735 | PA      | $137167.76      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 2.379% 06/15/2028                                                                      | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     6588000 | PA      | $6251324.87     | 0.01%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                              | NORTHROP GRUMMAN CORP 4.03% 10/15/2047                                                                  | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     3355000 | PA      | $2660749.25     | 0.00%             | 2047-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#CB8867                                                                        | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3423885 | PA      | $3605330.26     | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 3% 06/01/2052#FA0115                                                                     | CUSIP: 3140W0DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      614010 | PA      | $542490.22      | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 04/20/2048#BG7744                                                                            | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      235759 | PA      | $222516.25      | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC                                           | SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC 3.375% 09/04/2032 REGS                                         | CUSIP: N/A<br>LEI: 549300ECJZDA7203MK64       | Long             | DBT              | CORP              | GB        |     1050000 | PA      | $1230549.61     | 0.00%             | 2032-09-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP PAY 4.146 07/30/30                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    22330000 | NC      | $772300.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#CB5128                                                                          | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13651600 | PA      | $13667126.38    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK15                                                                    | BANK 2018-BNK15 4.285% 11/15/2061                                                                       | CUSIP: 06036FBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      775181 | PA      | $774325.83      | 0.00%             | 2061-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2029#                                                                                | CUSIP: 31293HR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         109 | PA      | $111.84         | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.194%/VAR 07/23/2030                                                       | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    10561000 | PA      | $10142859.91    | 0.01%             | 2030-07-23      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3.25% 07/25/2046                                                         | CUSIP: 3136BMGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    11123433 | PA      | $10642316.84    | 0.01%             | 2046-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2014-3R                                                                   | CSMC SER 2014-3R VAR 05/27/2037                                                                         | CUSIP: 12648GAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      556406 | PA      | $55.64          | 0.00%             | 2037-05-27      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| MADISON PK FDG L LTD / MADISON PK FDG L LLC                                        | MADISON PK FDG L LTD / MADISON PK FDG L LLC A TSFR3M+140.161 04/19/2034 144A                            | CUSIP: 55821FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9810000 | PA      | $9820712.52     | 0.01%             | 2034-04-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTH WEST WATER FINANCE PLC                                                       | SOUTH WEST WATER FINANCE PLC 5.75% 12/11/2032 REGS                                                      | CUSIP: N/A<br>LEI: 213800OV68U446W4NV89       | Long             | DBT              | CORP              | GB        |      225000 | PA      | $308667.23      | 0.00%             | 2032-12-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REXFORD INDUSTRIAL REALTY LP                                                       | REXFORD INDUSTRIAL REALTY LP 2.15% 09/01/2031                                                           | CUSIP: 76169XAB0<br>LEI: 549300028US163ELJN70 | Long             | DBT              | CORP              | US        |     2886000 | PA      | $2503117.76     | 0.00%             | 2031-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#BH0886                                                                        | CUSIP: 3140GN6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26116 | PA      | $25608.59       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.679% 02/01/2039#AL8741                                                                      | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54212 | PA      | $56320.96       | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2042#AJ7531                                                                        | CUSIP: 3138E0LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65203 | PA      | $61565.21       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ6625                                                                        | CUSIP: 3138MNLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5138 | PA      | $4680.92        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-6                                                  | VERUS SECURITIZATION TRUST 2025-6 A1 STEP 07/25/2070 144A                                               | CUSIP: 92540YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13560750 | PA      | $13665708.97    | 0.02%             | 2070-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 4% 05/01/2033#ZS8702                                                                          | CUSIP: 3132A9U39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      372310 | PA      | $374251.18      | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 8/42 #AO9892                                                                                 | CUSIP: 3138M17E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67475 | PA      | $63815.94       | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/30/2031                                                                             | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   110000000 | PA      | $111632812.50   | 0.13%             | 2031-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+155 11/25/2053                                                   | CUSIP: 3136BQPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    32526335 | PA      | $32810342.14    | 0.04%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2052#CB4075                                                                          | CUSIP: 3140QPQ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15015207 | PA      | $13130167.53    | 0.02%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                          | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 6.75% 05/15/2028 144A                                         | CUSIP: 18060TAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      460000 | PA      | $470267.20      | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #738885                                                                                | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36018 | PA      | $34927.18       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-17 PG 6% 4/29                                                                                  | CUSIP: 31359VSD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       10360 | PA      | $10519.21       | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.889% 3/33 #847126                                                                            | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         105 | PA      | $107.09         | 0.00%             | 2033-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #Q03090                                                                                 | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      110449 | PA      | $110453.78      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP PAY 3.795 10/30/29                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    10100000 | NC      | $364620.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 6.05% 11/01/2035                                                                  | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $7774943.35     | 0.01%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2043#Q19747                                                                        | CUSIP: 3132JBHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21599 | PA      | $20856.16       | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 10/34 #A45794                                                                                | CUSIP: 3128K6NK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2160 | PA      | $2233.58        | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                           | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    38342430 | PA      | $36851039.84    | 0.04%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2550                                                                        | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      839936 | PA      | $710909.56      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                        | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46804 | PA      | $45199.38       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 09/01/2055 #TBA                                                                            | CUSIP: 01F030694<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    28000000 | PA      | $24259373.60    | 0.03%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 2/37 #908771                                                                                 | CUSIP: 31411HT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1096 | PA      | $1166.76        | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/29 #323688                                                                                 | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         170 | PA      | $173.11         | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                                                           | EUROPEAN INVESTMENT BANK 2.375% 05/15/2030 REGS                                                         | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |      415000 | PA      | $484822.81      | 0.00%             | 2030-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 06/01/2051#FM7507                                                                        | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24676871 | PA      | $20916987.36    | 0.02%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 1.122%/VAR 01/28/2027                                                                     | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1973129.88     | 0.00%             | 2027-01-28      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 07/01/2053#RA9383                                                                          | CUSIP: 3133KRM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9344021 | PA      | $9663024.28     | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                                   | ESSENT GROUP LTD 6.25% 07/01/2029                                                                       | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |     8400000 | PA      | $8810596.37     | 0.01%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                                                       | KREDITANSTALT FUR WIEDER(UNGTD 0.75% 01/15/2029 REGS                                                    | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |     1485000 | PA      | $1655756.05     | 0.00%             | 2029-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FINANCE DAC                                                  | SMBC AVIATION CAPITAL FINANCE DAC 5.7% 07/25/2033 144A                                                  | CUSIP: 78448TAK8<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     6000000 | PA      | $6210326.04     | 0.01%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 03/01/2032#                                                                              | CUSIP: 31287P6S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         389 | PA      | $407.29         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2041#AJ7242                                                                        | CUSIP: 3138E0BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99019 | PA      | $98800.18       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-XL2                                                                        | BX TRUST 21-XL2 A TSFR1M+80.298 10/15/2036 144A                                                         | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7731720 | PA      | $7729304.20     | 0.01%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#Q49393                                                                        | CUSIP: 3132WPNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      228043 | PA      | $224185.00      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/41 #783501                                                                                 | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      199267 | PA      | $202395.74      | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2051#QC2481                                                                          | CUSIP: 3133ALXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      635755 | PA      | $555940.70      | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#QE0768                                                                        | CUSIP: 3133B9Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      249043 | PA      | $225528.77      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 5.373%/VAR 01/10/2029                                                    | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $5828773.89     | 0.01%             | 2029-01-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #482878                                                                                | CUSIP: 36209VM35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2901 | PA      | $2955.96        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2044                                                          | CUSIP: 3137F8N25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3259892 | PA      | $2840889.34     | 0.00%             | 2044-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                     | NISSAN MOTOR ACCEPTANCE CO LLC 2.45% 09/15/2028 144A                                                    | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       70000 | PA      | $63596.96       | 0.00%             | 2028-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 4.5% 07/25/2048                                                                              | CUSIP: 3136BM7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    14034045 | PA      | $13963564.21    | 0.02%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2032#J38057                                                                          | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28151 | PA      | $27453.28       | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #830779                                                                                 | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2525 | PA      | $2685.37        | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERN PIPELINE LP                                                       | PLAINS ALL AMERN PIPELINE LP FRN TSFR3M+437.161 PERP                                                    | CUSIP: 726503AE5<br>LEI: 5521FA2ITF25TVH63740 | Long             | EP               | CORP              | US        |     1030000 | PA      | $1030373.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/47#BM1277                                                                               | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      575812 | PA      | $549315.26      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.963%/VAR 01/25/2033                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     9341000 | PA      | $8473423.05     | 0.01%             | 2033-01-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2048#Q54192                                                                          | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36735 | PA      | $34985.69       | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NYT MORTGAGE TRUST 2019                                                            | NYT MORTGAGE TRUST 2019 TSFR1M+124.7 12/15/2035 144A                                                    | CUSIP: 62954PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20822000 | PA      | $20566486.99    | 0.02%             | 2035-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                     | VIRGINIA ELECTRIC AND POWER CO 5.55% 08/15/2054                                                         | CUSIP: 927804GS7<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     2334000 | PA      | $2248139.98     | 0.00%             | 2054-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2048#Q54900                                                                        | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      337624 | PA      | $310657.14      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                                | AVANTOR FUNDING INC 3.875% 11/01/2029 144A                                                              | CUSIP: 05352TAB5<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |      175000 | PA      | $166276.27      | 0.00%             | 2029-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.994%/VAR 04/12/2029                                                                    | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    11745000 | PA      | $11963164.31    | 0.01%             | 2029-04-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #458859                                                                                 | CUSIP: 36208RWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          95 | PA      | $95.57          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR3124                                                                          | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31178 | PA      | $28772.56       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C40                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C40 3.395% 10/15/2050                                        | CUSIP: 95000YAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      389820 | PA      | $386533.22      | 0.00%             | 2050-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                       | FIRSTENERGY TRANSMISSION LLC 4.55% 01/15/2030                                                           | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3124828.06     | 0.00%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2052#QE2327                                                                          | CUSIP: 3133BBSQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13273133 | PA      | $11507249.01    | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2041#AH7495                                                                        | CUSIP: 3138A9KH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6812 | PA      | $6609.26        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 2.987% 11/01/2063                                                                          | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     6248000 | PA      | $3475148.72     | 0.00%             | 2063-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2046#BM4548                                                                        | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      547079 | PA      | $546542.05      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.95% 09/10/2034                                     | CUSIP: 00774MBM6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     8350000 | PA      | $8236395.91     | 0.01%             | 2034-09-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2042#AB5542                                                                        | CUSIP: 31417CEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73339 | PA      | $67514.85       | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SW FINANCE I PLC                                                                   | SW FINANCE I PLC 6.875% 08/07/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |      700000 | PA      | $953867.47      | 0.00%             | 2032-08-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2041#770824                                                                        | CUSIP: 36176ND57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16677 | PA      | $16166.02       | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 03/20/2053#MA8794                                                                            | CUSIP: 36179XXX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1882745 | PA      | $1540448.64     | 0.00%             | 2053-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EASTERN GAS TRANSMISSION and STORAGE INC                                           | EASTERN GAS TRANSMISSION and STORAGE INC 3% 11/15/2029                                                  | CUSIP: 276480AH3<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |     6572000 | PA      | $6259139.48     | 0.01%             | 2029-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2047#ZA4942                                                                        | CUSIP: 31329NP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4466635 | PA      | $4149236.91     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ6832                                                                        | CUSIP: 3138MNSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7779 | PA      | $7243.64        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                             | BX COMMERCIAL MORTGAGE TRUST 2021-SOAR E TSFR1M+191.448 06/15/2038 144A                                 | CUSIP: 05608WAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4945678 | PA      | $4944132.46     | 0.01%             | 2038-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #710839                                                                                 | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34114 | PA      | $34004.91       | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                                | JAZZ SECURITIES DAC 4.375% 01/15/2029 144A                                                              | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |      425000 | PA      | $416052.35      | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                                  | JAPAN TOBACCO INC 5.856% 06/15/2035 144A                                                                | CUSIP: 471105AE6<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |     8260000 | PA      | $8723391.86     | 0.01%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     8200000 | NC      | $-110060.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2043#AU3732                                                                        | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5319 | PA      | $4681.90        | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 351 12 5.5% 4/34                                                                                    | CUSIP: 3136FCJB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        5915 | PA      | $890.30         | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 4.6% 07/15/2030                                                                            | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    10250000 | PA      | $10348615.35    | 0.01%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                               | ENEL FINANCE INTL NV 5.125% 06/26/2029 144A                                                             | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     9300000 | PA      | $9532248.25     | 0.01%             | 2029-06-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                               | VERIZON MASTER TRUST 5.16% 06/20/2029                                                                   | CUSIP: 92348KBS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10390000 | PA      | $10469073.10    | 0.01%             | 2029-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #520104                                                                                 | CUSIP: 36211QX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         339 | PA      | $348.10         | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                       | ROCKIES EXPRESS PIPELINE LLC 6.75% 03/15/2033 144A                                                      | CUSIP: 77340RAU1<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      345000 | PA      | $360379.07      | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 08/01/2052#CB4404                                                                          | CUSIP: 3140QP3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23279 | PA      | $23167.47       | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 05/01/2034#C91764                                                                        | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      220284 | PA      | $215746.96      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#CA0983                                                                        | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21527 | PA      | $21061.68       | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 5.75% 11/20/2025                                                                          | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      703000 | PA      | $704079.55      | 0.00%             | 2025-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5831                                                                          | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43758 | PA      | $41328.00       | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                             | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 6.5% 10/01/2031 144A                             | CUSIP: 01883LAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      245000 | PA      | $250445.37      | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.786%/VAR 03/04/2029                                                                     | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4457553.85     | 0.01%             | 2029-03-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-2                                    | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-2 5.77% 08/11/2036 144A                                   | CUSIP: 36268DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9800000 | PA      | $10295591.88    | 0.01%             | 2036-08-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                               | WEC ENERGY GROUP INC 2.2% 12/15/2028                                                                    | CUSIP: 92939UAG1<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     3114000 | PA      | $2926514.41     | 0.00%             | 2028-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                             | LOGICOR FINANCING SARL 3.75% 07/14/2032 REGS                                                            | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |      800000 | PA      | $927055.17      | 0.00%             | 2032-07-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2052#RA8306                                                                          | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2766319 | PA      | $2863353.85     | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A23124                                                                                 | CUSIP: 31297APH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         295 | PA      | $299.22         | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #755971                                                                                | CUSIP: 31403R2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $46.24          | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2052#QE9881                                                                        | CUSIP: 3133BK6S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1798024 | PA      | $1636122.79     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2053#FS9322                                                                          | CUSIP: 3140XRLC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    36280451 | PA      | $34236817.00    | 0.04%             | 2053-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL PLC                                                         | ANGLO AMERICAN CAPITAL PLC 3.875% 03/16/2029 144A                                                       | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     6227000 | PA      | $6118027.50     | 0.01%             | 2029-03-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #466842                                                                                 | CUSIP: 36209BS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          57 | PA      | $58.18          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2044#AV7161                                                                        | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50828 | PA      | $49143.45       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #692706                                                                                 | CUSIP: 36296JR31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17834 | PA      | $17781.73       | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A           | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      580000 | PA      | $571208.13      | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3832 PE 5% 3/41                                                                                     | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      282416 | PA      | $287395.96      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #251570                                                                                 | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          84 | PA      | $86.29          | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 10/35 #835556                                                                                | CUSIP: 31407NH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3509 | PA      | $3731.83        | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 08/15/2048                                                            | CUSIP: 3137F95R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4088786 | PA      | $3511588.93     | 0.00%             | 2048-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #C03856                                                                                 | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      310436 | PA      | $301975.27      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.745% 01/25/2026                                                        | CUSIP: 3137BNGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22791327 | PA      | $22621322.16    | 0.03%             | 2026-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#CB1638                                                                        | CUSIP: 3140QLZC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21029649 | PA      | $19155766.48    | 0.02%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH2365                                                                                 | CUSIP: 3138A3TX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4310 | PA      | $4194.19        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP CDS 12/20/30 AVLN B                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DCR              | CORP              | US        |     2100000 | NC      | $-2314.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACURIS FIN US/ACURIS FIN                                                           | ACURIS FIN US/ACURIS FIN 9% 08/01/2029 144A                                                             | CUSIP: 00511BAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      470000 | PA      | $484100.00      | 0.00%             | 2029-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.5% 01/15/2026 144A                                                        | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1754000 | PA      | $1756839.80     | 0.00%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                          | BALL CORP 2.875% 08/15/2030                                                                             | CUSIP: 058498AW6<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      965000 | PA      | $872965.06      | 0.00%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE PLC                                                        | YORKSHIRE WATER FINANCE PLC 6% 07/22/2033 REGS                                                          | CUSIP: N/A<br>LEI: 213800O8BDOGHJMTCP32       | Long             | DBT              | CORP              | GB        |      850000 | PA      | $1142023.52     | 0.00%             | 2033-07-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | Fidelity Sustainability Bond Index Fund                                                                 | CUSIP: 31635T401<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |     2649981 | NS      | $24777320.55    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2048#CA1495                                                                        | CUSIP: 3140Q8UV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106796 | PA      | $98439.55       | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #843693                                                                                | CUSIP: 31407XKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2818 | PA      | $2967.38        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 05/01/2033#MA3363                                                                          | CUSIP: 31418CWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      758600 | PA      | $738240.98      | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2047#ZM3810                                                                        | CUSIP: 3131XXGT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      350820 | PA      | $325890.88      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 3/41 #AH8776                                                                                 | CUSIP: 3138AAXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         655 | PA      | $654.92         | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2051#QC9161                                                                          | CUSIP: 3133AUFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      275951 | PA      | $241048.99      | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS1402                                                                          | CUSIP: 3140XGRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      901125 | PA      | $718774.46      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.75% 02/15/2051 144A                                                                      | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1693000 | PA      | $1264284.20     | 0.00%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #781584                                                                                 | CUSIP: 36225BXM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         376 | PA      | $388.22         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GROUP PLC                                                    | MOTABILITY OPERATIONS GRP PLC 3.625% 01/22/2033 REGS                                                    | CUSIP: N/A<br>LEI: AZ3NL8JCZDCNUXFWI720       | Long             | DBT              | CORP              | GB        |     1275000 | PA      | $1499326.14     | 0.00%             | 2033-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2040#MA4204                                                                          | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3784793 | PA      | $3289717.48     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.25% 03/15/2026                                                             | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     3486000 | PA      | $3436745.05     | 0.00%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #252646                                                                                 | CUSIP: 31371HTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          34 | PA      | $36.04          | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2024-A                                                    | TOYOTA LEASE OWNER TRUST 2024-A 5.25% 04/20/2027 144A                                                   | CUSIP: 89238GAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1148627 | PA      | $1154267.35     | 0.00%             | 2027-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #738119                                                                                 | CUSIP: 3620ASAU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6110 | PA      | $6207.87        | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745192                                                                                 | CUSIP: 3620C02Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15846 | PA      | $15791.84       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#RA6010                                                                        | CUSIP: 3133KMVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1352828 | PA      | $1236509.93     | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2051#CB2460                                                                          | CUSIP: 3140QMWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      352801 | PA      | $335132.94      | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 5.4% 03/15/2033                                                                       | CUSIP: 125523CS7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8287138.96     | 0.01%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/47#BH1302                                                                             | CUSIP: 3140GPNU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      303292 | PA      | $281739.90      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 06/01/2055#QY9986                                                                        | CUSIP: 31426VCY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4999257 | PA      | $5043880.73     | 0.01%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 2.6% 03/15/2031                                                                        | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     7660000 | PA      | $6930425.52     | 0.01%             | 2031-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2020-VIV4                                                           | BX COMMERCIAL MORTGAGE TRUST 2020-VIV4 2.843% 03/09/2044 144A                                           | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8497000 | PA      | $7857017.86     | 0.01%             | 2044-03-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 6.3% 08/15/2037                                                            | CUSIP: 209111ES8<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5478905.95     | 0.01%             | 2037-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AP1206                                                                        | CUSIP: 3138M4KU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11178 | PA      | $10228.45       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2043#MA1521                                                                          | CUSIP: 36179NVN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44836 | PA      | $41744.98       | 0.00%             | 2043-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 09/01/2055 #TBA                                                                              | CUSIP: 21H020691<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -543900000 | PA      | $-445247853.12  | -0.53%            | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6560                                                                          | CUSIP: 3140XAJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      195337 | PA      | $156785.99      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2033#J38387                                                                          | CUSIP: 31307VJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       91664 | PA      | $89187.16       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.91% 3/36 #865849                                                                             | CUSIP: 31409A5J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1036 | PA      | $1068.31        | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SUPERNOVA INVEST GMBH                                                              | SUPERNOVA INVEST GMBH 5% 06/24/2030 REGS                                                                | CUSIP: N/A<br>LEI: 5299008Z5M2L56PLUX74       | Long             | DBT              | CORP              | AT        |      275000 | PA      | $326457.23      | 0.00%             | 2030-06-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/33 #693335                                                                                 | CUSIP: 31400PHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         728 | PA      | $776.23         | 0.00%             | 2033-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP5129                                                                                 | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65555 | PA      | $61827.52       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#FM3591                                                                          | CUSIP: 3140X67D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26023362 | PA      | $24097937.47    | 0.03%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745068                                                                                 | CUSIP: 3620C0W53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5061 | PA      | $5043.82        | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2045#G61807                                                                          | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1291036 | PA      | $1256562.44     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/35#BO9279                                                                             | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      276472 | PA      | $262281.77      | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/32 #545759                                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15163 | PA      | $15832.70       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTERNATIONAL INC                                                       | SOMNIGROUP INTERNATIONAL INC 3.875% 10/15/2031 144A                                                     | CUSIP: 88023UAJ0<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |      880000 | PA      | $805063.95      | 0.00%             | 2031-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#RA6987                                                                        | CUSIP: 3133KNXQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10465558 | PA      | $9546334.73     | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 06/01/2051#BQ7411                                                                          | CUSIP: 3140KTGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      437221 | PA      | $348198.95      | 0.00%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3432                                                                          | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1406676 | PA      | $1129056.49     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 03/01/2054#CB8113                                                                        | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7380399 | PA      | $7667151.30     | 0.01%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 05/20/2052#MA8042                                                                          | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    71770846 | PA      | $61165548.23    | 0.07%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3155                                                                          | CUSIP: 3140QNQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      523618 | PA      | $417659.14      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB8881                                                                             | CUSIP: 31417F2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87338 | PA      | $80142.21       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 3.75% 05/15/2030                                                                     | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    40278000 | PA      | $39047446.28    | 0.05%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C5                                                            | UBS COML MTG TR 2017-C5 3.345% 11/15/2050                                                               | CUSIP: 90276TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      962341 | PA      | $951271.30      | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                      | BAT INTL FINANCE PLC 4.448% 03/16/2028                                                                  | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     4764000 | PA      | $4781131.96     | 0.01%             | 2028-03-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 10/01/2052#CB4893                                                                          | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21617199 | PA      | $21594496.51    | 0.03%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2947 XZ 6% 3/35                                                                                     | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      113474 | PA      | $117383.55      | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4.5% 04/20/2053#MA8799                                                                          | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    88555630 | PA      | $85872314.55    | 0.10%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2025-2 LTD / PALMER SQUARE LN FDG 2025-2 LLC                  | PALMER SQUARE LN FDG LTD 2025-2A A1 TSFR3M+94 07/15/2033 144A                                           | CUSIP: 69704AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    24840000 | PA      | $24845613.84    | 0.03%             | 2033-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 3.5% 01/15/2027                                                                    | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      840000 | PA      | $822061.13      | 0.00%             | 2027-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                     | FAIRFAX FINANCIAL HLDGS LTD 5.75% 05/20/2035 144A                                                       | CUSIP: 303901BV3<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     7000000 | PA      | $7148998.71     | 0.01%             | 2035-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #567034                                                                                 | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4504 | PA      | $4610.98        | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 05/01/2041#SC0167                                                                        | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20940764 | PA      | $18817743.61    | 0.02%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/39 #AC0435                                                                                | CUSIP: 31417JPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9185 | PA      | $9174.10        | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCUBS COML MTG TR 2017-C1                                                          | CCUBS COML MTG TR 2017-C1 3.462% 11/15/2050                                                             | CUSIP: 12508GAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      580075 | PA      | $574129.59      | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2032#SB0030                                                                          | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1396856 | PA      | $1364817.86     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #483639                                                                                 | CUSIP: 36209WHQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          25 | PA      | $24.88          | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3119 PO 0 2/36                                                                                      | CUSIP: 31396HSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       58876 | PA      | $48755.34       | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                                                   | WELLS FARGO COML MTG TR 2019-C54 3.146% 12/15/2052                                                      | CUSIP: 95001YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2390000 | PA      | $2271496.39     | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TGS ASA                                                                            | TGS ASA 8.5% 01/15/2030 144A                                                                            | CUSIP: 87243KAA7<br>LEI: 549300NUPLAXPB0WYH90 | Long             | DBT              | CORP              | NO        |      955000 | PA      | $974519.46      | 0.00%             | 2030-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SCIH SALT HLDGS INC                                                                | SCIH SALT HLDGS INC 6.625% 05/01/2029 144A                                                              | CUSIP: 78433BAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      620000 | PA      | $622492.40      | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735366                                                                                 | CUSIP: 3620AN6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6888 | PA      | $6869.05        | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#CA9140                                                                          | CUSIP: 3140QHEN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2261689 | PA      | $2088696.42     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A                                                         | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7832452 | PA      | $7795737.62     | 0.01%             | 2030-03-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                                | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     1236000 | PA      | $1243162.20     | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.65% 7/37 #942609                                                                             | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13069 | PA      | $13581.80       | 0.00%             | 2037-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AL2537                                                                                 | CUSIP: 3138EJZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119056 | PA      | $112174.42      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.876% 07/16/2030 144A                                                                 | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     9993000 | PA      | $10147268.84    | 0.01%             | 2030-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI SHORT-TERM BOND FUND                                                                       | CUSIP: 31635T674<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |    59515913 | NS      | $582660791.65   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 03/20/2046#MA3523                                                                          | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       52848 | PA      | $52420.95       | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                            | ALABAMA POWER CO 5.1% 04/02/2035                                                                        | CUSIP: 010392GC6<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     8723000 | PA      | $8831335.73     | 0.01%             | 2035-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                           | BUILDERS FIRSTSOURCE INC 6.75% 05/15/2035 144A                                                          | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      805000 | PA      | $839496.99      | 0.00%             | 2035-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ILPT TRUST 2019-SURF                                                               | ILPT TRUST 2019-SURF 4.145% 02/11/2041 144A                                                             | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14619000 | PA      | $14351197.46    | 0.02%             | 2041-02-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-1                                         | VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-1 5.02% 06/20/2028                                             | CUSIP: 92867WAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4603894 | PA      | $4629529.32     | 0.01%             | 2028-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34759                                                                        | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       70768 | PA      | $64062.23       | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 1/28 #459649                                                                                 | CUSIP: 36208STE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         188 | PA      | $190.94         | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AT3998                                                                        | CUSIP: 3138WRNQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6601 | PA      | $6172.76        | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                  | EURO-BOBL FUTURE SEP25 OEU5                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          30 | NC      | $1059.21        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2052#SD8208                                                                          | CUSIP: 3132DWDM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      569366 | PA      | $535158.93      | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP/SEALED AIR CORP US                                                 | SEALED AIR CORP/SEALED AIR CORP US 6.125% 02/01/2028 144A                                               | CUSIP: 812127AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      270000 | PA      | $273888.81      | 0.00%             | 2028-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H17 FA TSFR1M+64.448 6/61                                                                      | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       52795 | PA      | $52827.49       | 0.00%             | 2061-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP PAY 4.03 04/25/30                                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    81400000 | NC      | $2860560.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/39 #G08368                                                                                | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      190820 | PA      | $190946.01      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18481                                                                        | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41456 | PA      | $40054.86       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLUEBERRY PARK CLO LTD                                                             | BLUEBERRY PARK CLO LTD A TSFR3M+135 10/20/2037 144A                                                     | CUSIP: 09609QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    12672000 | PA      | $12703680.00    | 0.02%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8010                                                                        | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      722756 | PA      | $698556.05      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL FUNDING                                                   | EQUITABLE AMERICA GLOBAL FUNDING 4.65% 06/09/2028 144A                                                  | CUSIP: 29446Q2A0<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |     3603000 | PA      | $3638236.15     | 0.00%             | 2028-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                              | ENTERPRISE FLEET FINANCING 2024-3 LLC 4.98% 08/21/2028 144A                                             | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8040000 | PA      | $8153529.62     | 0.01%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2048#BJ1581                                                                          | CUSIP: 3140H2XK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18097 | PA      | $17190.33       | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #782495                                                                                | CUSIP: 36241KXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         668 | PA      | $687.21         | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 11/25/2047                                                            | CUSIP: 3136BFP49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     4877161 | PA      | $4379512.65     | 0.01%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.29% 3/36 #1G1852                                                                             | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13748 | PA      | $14100.11       | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                            | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    25667000 | PA      | $25393330.23    | 0.03%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/44 #AG9361                                                                                 | CUSIP: 36182EMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51427 | PA      | $47894.04       | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                       | HUDSON PACIFIC PROPERTIES LP 4.65% 04/01/2029                                                           | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    10668000 | PA      | $9804781.71     | 0.01%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 08/35#MA4095                                                                               | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      618431 | PA      | $572674.33      | 0.00%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 08/01/2039#FM1353                                                                        | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      139016 | PA      | $139313.82      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 5.71%/VAR 01/21/2033 144A                                                      | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     1870000 | PA      | $1967176.94     | 0.00%             | 2033-01-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 05/01/2051#SD3984                                                                          | CUSIP: 3132E0M90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30218 | PA      | $24027.37       | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/42 #AJ8222                                                                                 | CUSIP: 3138E1D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5568 | PA      | $5391.05        | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                                             | CUSIP: 3136AA4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       57352 | PA      | $53593.00       | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                              | CPI PROPERTY GROUP SA 1.5% 01/27/2031 REGS                                                              | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |      400000 | PA      | $386581.76      | 0.00%             | 2031-01-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5210 AB 3% 01/25/2042                                                    | CUSIP: 3137H6W84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     7227411 | PA      | $6795986.36     | 0.01%             | 2042-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #252805                                                                                | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          80 | PA      | $84.63          | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 03/01/2055#CC0136                                                                        | CUSIP: 3140Y6EJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11755563 | PA      | $12386801.23    | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 11/31 #003161                                                                              | CUSIP: 36202DQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         557 | PA      | $576.82         | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 5% 02/01/2040#SB8363                                                                          | CUSIP: 3132D6JG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2999999 | PA      | $3030777.49     | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Summer Street Trust                                                       | Fidelity Advisor New Markets Income Fund - Class Z                                                      | CUSIP: 31641Q755<br>LEI: P1TJ3M056NR1SYX5LY49 | Long             | EC               | RF                | US        |   124704810 | NS      | $1658573976.17  | 1.98%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #433571                                                                                 | CUSIP: 36207JT45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          89 | PA      | $89.56          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.95% 01/28/2060                                                                    | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    32166000 | PA      | $24912567.00    | 0.03%             | 2060-01-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/32 #781548                                                                                | CUSIP: 36225BWH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         616 | PA      | $635.21         | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                     | HOME DEPOT INC 4.95% 06/25/2034                                                                         | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    15500000 | PA      | $15765700.38    | 0.02%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMPOWER FINANCE 2020 LP                                                            | EMPOWER FINANCE 2020 LP 3.075% 09/17/2051 144A                                                          | CUSIP: 29248HAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3522000 | PA      | $2208035.31     | 0.00%             | 2051-09-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #737311                                                                                 | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22194 | PA      | $22546.43       | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANDISK CORP/DE                                                                    | SANDISK TERM B 1LN 2/20/2032                                                                            | CUSIP: 80004YAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      540000 | PA      | $537975.00      | 0.00%             | 2032-02-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1730000 | NC      | $276642.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/41 #Q00753                                                                                 | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28943 | PA      | $28923.27       | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2045#Q30829                                                                        | CUSIP: 3132QL4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16185 | PA      | $16027.20       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2051#QC3699                                                                        | CUSIP: 3133ANDC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8904894 | PA      | $7509143.80     | 0.01%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 10/01/2033#BM5114                                                                          | CUSIP: 3140J9VG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38102 | PA      | $37135.30       | 0.00%             | 2033-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                                              | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                                             | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11432176 | PA      | $10108720.75    | 0.01%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| THOR INDUSTRIES INC                                                                | THOR INDUSTRIES INC 4% 10/15/2029 144A                                                                  | CUSIP: 885160AA9<br>LEI: 254900XZO1228PDSG060 | Long             | DBT              | CORP              | US        |      885000 | PA      | $835694.44      | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                    | XCEL ENERGY INC 3.5% 12/01/2049                                                                         | CUSIP: 98389BAX8<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     4570000 | PA      | $3118573.35     | 0.00%             | 2049-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD0745                                                                        | CUSIP: 36180BZJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13147 | PA      | $11989.47       | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS3863                                                                          | CUSIP: 3140XKJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15543101 | PA      | $12582397.98    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7272                                                                        | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5160 | PA      | $4737.26        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                                  | ILIAD HOLDING SAS 7% 04/15/2032 144A                                                                    | CUSIP: 449691AG9<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |      405000 | PA      | $416580.98      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#MA4465                                                                          | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191706 | PA      | $153211.88      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2045#MA3105                                                                          | CUSIP: 36179RNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35100 | PA      | $32470.54       | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS 7.05%/VAR PERP                                                                            | CUSIP: 404280FA2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | EP               | CORP              | GB        |      815000 | PA      | $840769.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      220000 | NC      | $35179.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    23400000 | NC      | $-314074.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 9/34 #574764                                                                                 | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2710 | PA      | $2823.46        | 0.00%             | 2034-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 5.25% 02/15/2034                                                                      | CUSIP: 125523CV0<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7138398.54     | 0.01%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #622547                                                                                 | CUSIP: 31389DTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1202 | PA      | $1263.30        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                            | BPCE SA 2.277%/VAR 01/20/2032 144A                                                                      | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     7519000 | PA      | $6603698.37     | 0.01%             | 2032-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2116                                                                        | CUSIP: 3138MHK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8235 | PA      | $7558.58        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 12/20/2054#MB0092                                                                          | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    13105552 | PA      | $13208885.71    | 0.02%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BMP 2024-MF23 C TSFR1M+194.113 06/15/2041 144A                                                          | CUSIP: 05593JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3540000 | PA      | $3549956.25     | 0.00%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    50039000 | PA      | $49826943.22    | 0.06%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNNOVA ENERGY CORP                                                                | SUNNOVA ENERGY CORP 5.875% 09/01/2026 144A                                                              | CUSIP: 86745GAF0<br>LEI: 549300TH3GCD8YQUDR46 | Long             | DBT              | CORP              | US        |      760000 | PA      | $2280.00        | 0.00%             | 2026-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                             | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                                 | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4191000 | PA      | $4180191.41     | 0.00%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.95 04/29/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    25780000 | NC      | $945215.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-56 FJ SOFR30A+80 09/25/2052                                           | CUSIP: 3136BNY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    38472602 | PA      | $37863138.01    | 0.05%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03358                                                                                 | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49581 | PA      | $48269.04       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/41 #AL0913                                                                                 | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104628 | PA      | $110621.85      | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                                       | WESTF 2025-A 5.582% 06/15/2050 144A                                                                     | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    18383535 | PA      | $18662082.71    | 0.02%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#BU1307                                                                        | CUSIP: 3140M2NZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3042838 | PA      | $2769798.63     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6302                                                                          | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11685921 | PA      | $9386910.35     | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 4                                                         | BAYVIEW COML ASSET TR 06 4 TSFR1M+54.948 12/25/2036 144A                                                | CUSIP: 07325BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7730 | PA      | $7445.08        | 0.00%             | 2036-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3704                                                                  | CUSIP: 3142GUDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6465905 | PA      | $6813105.14     | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.125% 03/15/2027                                                                               | CUSIP: 404119CH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     4517000 | PA      | $4443920.59     | 0.01%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.875% 02/15/2041                                                           | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7454500 | PA      | $5122930.39     | 0.01%             | 2041-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2039#                                                                              | CUSIP: 312933CQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1272 | PA      | $1272.99        | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                                                                     | OHIO EDISON CO 4.95% 12/15/2029 144A                                                                    | CUSIP: 677347CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4124000 | PA      | $4214921.21     | 0.01%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#740830                                                                        | CUSIP: 3620AVA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23760 | PA      | $22213.60       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #418755                                                                                | CUSIP: 36206RE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           4 | PA      | $3.69           | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                              | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    13560000 | PA      | $12970863.29    | 0.02%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #581769                                                                                 | CUSIP: 36201FJN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         991 | PA      | $1028.05        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.103%/VAR 04/22/2031                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    14073000 | PA      | $14518997.58    | 0.02%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 7.75% 10/15/2031 144A                                                          | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1525000 | PA      | $1620283.53     | 0.00%             | 2031-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/28 #251822                                                                                 | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         165 | PA      | $170.23         | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                         | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     1896000 | PA      | $1818143.04     | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.13% 03/15/2029 144A                                                  | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7800000 | PA      | $7908923.88     | 0.01%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q20358                                                                        | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20284 | PA      | $19571.28       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/51#BQ1010                                                                               | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2065418 | PA      | $1666181.44     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC C TSFR1M+171.448 04/15/2034 144A                                  | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2933000 | PA      | $2889005.00     | 0.00%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #726916                                                                                | CUSIP: 3620ADSD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12289 | PA      | $12245.09       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                                                       | NNN REIT INC 5.6% 10/15/2033                                                                            | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    12000000 | PA      | $12480036.84    | 0.01%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737007                                                                                 | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26730 | PA      | $26645.65       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #743877                                                                                 | CUSIP: 3620AYM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1974 | PA      | $1965.92        | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2015-H13 FL TSFR1M+39.448 05/63                                                                     | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        2618 | PA      | $2606.76        | 0.00%             | 2063-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2003-21 SK SOFR30A+798.552 3/33                                                                     | CUSIP: 31392JY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        3482 | PA      | $386.54         | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 07/15/2028                                                                             | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    61166700 | PA      | $61639786.50    | 0.07%             | 2028-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.497% 08/15/2043 144A                                              | CUSIP: 19828TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10495000 | PA      | $10908964.26    | 0.01%             | 2043-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                                  | WASTE PRO USA INC 7% 02/01/2033 144A                                                                    | CUSIP: 94107JAC7<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |      600000 | PA      | $627378.60      | 0.00%             | 2033-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33347                                                                        | CUSIP: 3132QPWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22899 | PA      | $21380.73       | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #455273                                                                                 | CUSIP: 36208MXA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          55 | PA      | $55.43          | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2055#CC0736                                                                        | CUSIP: 3140Y6ZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5460482 | PA      | $5774596.60     | 0.01%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/27 #256630                                                                                 | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         416 | PA      | $418.36         | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP STEP 02/01/2030                                                                 | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    20164000 | PA      | $19605656.62    | 0.02%             | 2030-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                         | HESS MIDSTREAM PARTNERS LP 5.5% 10/15/2030 144A                                                         | CUSIP: 428102AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1235000 | PA      | $1241713.46     | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 3.678% 07/16/2033 REGS                                                                 | CUSIP: N/A<br>LEI: 3538007PR116187GD960       | Long             | DBT              | CORP              | JP        |      600000 | PA      | $710625.71      | 0.00%             | 2033-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9089                                                                        | CUSIP: 3138W7C36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121535 | PA      | $111642.66      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 1.5% 08/25/2040                                                              | CUSIP: 3136BBLA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    22726285 | PA      | $19184409.23    | 0.02%             | 2040-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 2/29 #C22365                                                                                 | CUSIP: 31293KTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $30.05          | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C50                                                   | WELLS FARGO COML MTG TR 2019-C50 3.635% 05/15/2052                                                      | CUSIP: 95001XAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3618400 | PA      | $3575689.45     | 0.00%             | 2052-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 1.64%/VAR 10/13/2027                                                         | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     4211000 | PA      | $4090348.53     | 0.00%             | 2027-10-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2040#V81750                                                                        | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      250162 | PA      | $237781.16      | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                          | MYLAN INC 4.55% 04/15/2028                                                                              | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     3354000 | PA      | $3333193.90     | 0.00%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                        | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                      | CUSIP: 00255JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17901736 | PA      | $18552394.28    | 0.02%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      360000 | NC      | $57567.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/40 #AB1611                                                                                | CUSIP: 31416WYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8362 | PA      | $7936.80        | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                                                       | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                                                      | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13950000 | PA      | $13979331.27    | 0.02%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+121.308 21 10/15/2036 144A                                 | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10186000 | PA      | $10147892.14    | 0.01%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 02/01/2041#                                                                                | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31605 | PA      | $27432.53       | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/41 #759100                                                                                 | CUSIP: 36230UDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5348 | PA      | $5047.72        | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.375% 09/15/2027                                                                             | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5630000 | PA      | $5603609.38     | 0.01%             | 2027-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 05/01/2051#MA4343                                                                        | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30246 | PA      | $22955.77       | 0.00%             | 2051-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 3.4% 04/15/2030 144A                                                                    | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    11997000 | PA      | $11584324.07    | 0.01%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                                                  | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    29106576 | PA      | $25533167.54    | 0.03%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #781277                                                                                | CUSIP: 36225BM21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          35 | PA      | $35.23          | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                         | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    11294000 | PA      | $11385302.28    | 0.01%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                                | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     1823000 | PA      | $1821177.40     | 0.00%             | 2026-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES A GE CO LLC / BAKER HUGHES CO-OBLIGOR INC                             | BAKER HUGHES A GE CO LLC / CO-OBLIGOR INC 2.061% 12/15/2026                                             | CUSIP: 05724BAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      656000 | PA      | $638460.91      | 0.00%             | 2026-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                                    | CANO HEALTH LLC                                                                                         | CUSIP: N/A<br>LEI: 254900OGI2T8V1NXN639       | Long             | EC               | CORP              | US        |       22175 | NS      | $268317.50      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 01/01/2042#RB5142                                                                        | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9026256 | PA      | $8031704.12     | 0.01%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #251410                                                                                 | CUSIP: 31371GGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         107 | PA      | $109.09         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP PAY 3.837 07/22/26                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    64790000 | NC      | $1500349.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                                | AVANTOR FUNDING INC 4.625% 07/15/2028 144A                                                              | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |     1515000 | PA      | $1491043.31     | 0.00%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #456151                                                                                 | CUSIP: 36208NWL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         102 | PA      | $102.84         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMER SPORTS CO                                                                     | AMER SPORTS CO 6.75% 02/16/2031 144A                                                                    | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |      435000 | PA      | $453432.69      | 0.00%             | 2031-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 02/34#G30703                                                                             | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1807832 | PA      | $1776681.98     | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                                    | TAYLOR MORRISON COMMUNITIES INC 5.75% 01/15/2028 144A                                                   | CUSIP: 87724RAB8<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |      655000 | PA      | $663256.28      | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2046                                                          | CUSIP: 3136ARGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     9789542 | PA      | $8499304.63     | 0.01%             | 2046-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                     | WHIRLPOOL CORP 6.125% 06/15/2030                                                                        | CUSIP: 963320BD7<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      230000 | PA      | $232556.68      | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2032#BM5109                                                                          | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5201197 | PA      | $5081914.65     | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2047#CA0324                                                                        | CUSIP: 3140Q7LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106114 | PA      | $104020.49      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 6.95% 03/06/2026                                                               | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      195000 | PA      | $196588.65      | 0.00%             | 2026-03-06      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROJECT SILVER 2019                                                                | SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A                                          | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4511827 | PA      | $4367312.95     | 0.01%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97717                                                                        | CUSIP: 312946SE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1571 | PA      | $1578.80        | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2051#                                                                              | CUSIP: 3140QMCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44008 | PA      | $40086.57       | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                            | UBSCM 2017-C7 XA CSTR 12/50                                                                             | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    25117560 | PA      | $470060.06      | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A                                    | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      767000 | PA      | $559910.00      | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.572%/VAR 04/22/2036                                                             | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    16715000 | PA      | $17377480.64    | 0.02%             | 2036-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 08/01/2041#FM8393                                                                          | CUSIP: 3140XCKF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4995958 | PA      | $4312182.57     | 0.01%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738429                                                                                 | CUSIP: 3620ASLJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12549 | PA      | $12749.27       | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #471517                                                                                 | CUSIP: 36209GYN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          28 | PA      | $27.81          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 11/01/2054#SD6971                                                                        | CUSIP: 3132DUW86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17752856 | PA      | $18111039.06    | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/28 #482668                                                                                 | CUSIP: 36209VFH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         488 | PA      | $493.80         | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DOLLAR GEN CORP NEW                                                                | DOLLAR GEN CORP NEW 3.5% 04/03/2030                                                                     | CUSIP: 256677AG0<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |     6956000 | PA      | $6686845.16     | 0.01%             | 2030-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 5.247%/VAR 07/26/2030                                                              | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    19853000 | PA      | $20416605.82    | 0.02%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 05/01/2035#BP5830                                                                          | CUSIP: 3140KDPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14881194 | PA      | $13780160.00    | 0.02%             | 2035-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7376                                                                          | CUSIP: 31419JFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46976 | PA      | $45689.82       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/32 #656362                                                                                 | CUSIP: 31390UFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1161 | PA      | $1232.06        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 4.65% 01/15/2031                                                                 | CUSIP: 91324PFP2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    11510000 | PA      | $11665291.54    | 0.01%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34669                                                                          | CUSIP: 31307RFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11131 | PA      | $10886.29       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 04/01/2036#MA4302                                                                        | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1717735 | PA      | $1540835.04     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 2/1/43 #Q15635                                                                             | CUSIP: 3132J6V50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11141 | PA      | $10197.88       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 04/01/2036#BR0968                                                                          | CUSIP: 3140KYCE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2935432 | PA      | $2698063.51     | 0.00%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                                                        | HOLOGIC INC 3.25% 02/15/2029 144A                                                                       | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |      945000 | PA      | $902821.06      | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2046#Q40085                                                                        | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      273932 | PA      | $254449.48      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01208                                                                                 | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18931 | PA      | $18942.46       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORP                                                                  | VERTIV GROUP CORP 4.125% 11/15/2028 144A                                                                | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |      635000 | PA      | $619845.15      | 0.00%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC                                   | MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC A1 TSFR3M+117 04/15/2038 144A                          | CUSIP: 617921AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13700000 | PA      | $13725372.40    | 0.02%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#CB2765                                                                          | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17996546 | PA      | $14416656.51    | 0.02%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      770000 | NC      | $123129.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS0898                                                                          | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    38700133 | PA      | $33890015.96    | 0.04%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 08/01/2032#                                                                              | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2881 | PA      | $3013.02        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2048#ZM6780                                                                          | CUSIP: 3131Y1Q94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2292757 | PA      | $2175788.98     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.375% 05/15/2033                                                                             | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   221200000 | PA      | $212015015.07   | 0.25%             | 2033-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 4                                                         | BAYVIEW COML ASSET TR 06 4 TSFR1M+62.448 12/25/2036 144A                                                | CUSIP: 07325BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5239 | PA      | $5226.85        | 0.00%             | 2036-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 09/17/27                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -692560000 | NC      | $-3061041.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PEACHTREE CORNERS FUNDING TRUST II                                                 | PEACHTREE CORNERS FUNDING TRUST II 6.012% 05/15/2035 144A                                               | CUSIP: 70470BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    24600000 | PA      | $25597566.90    | 0.03%             | 2035-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                                                            | SSE PLC 3.74%/VAR PERP REGS                                                                             | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |     1135000 | PA      | $1520223.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REINSURANCE GROUP OF AMERICA INC                                                   | REINSURANCE GRP OF AMERICA INC 6% 09/15/2033                                                            | CUSIP: 759351AR0<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |      500000 | PA      | $527983.15      | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2050#FM3663                                                                          | CUSIP: 3140X7B99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    36463755 | PA      | $34500954.48    | 0.04%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #739706                                                                                 | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14006 | PA      | $14228.35       | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD FINANCE CO INC                                      | GO DADDY OPERATING CO LLC / GD FINANCE CO INC 3.5% 03/01/2029 144A                                      | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1530000 | PA      | $1449515.57     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS L P / ARCHROCK PARTNERS FIN CORP                                 | ARCHROCK PARTNERS LP / FIN CORP 6.625% 09/01/2032 144A                                                  | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1010000 | PA      | $1035337.87     | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2048#BM3877                                                                          | CUSIP: 3140J8JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      236658 | PA      | $225102.17      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2 LTD                                              | PALMER SQUARE LOAN FUNDING 2024-2 LTD A1N TSFR3M+100 01/15/2033 144A                                    | CUSIP: 69703RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11702469 | PA      | $11716511.62    | 0.01%             | 2033-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 7.1% 11/15/2027                                                                           | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    17330000 | PA      | $18276853.66    | 0.02%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                        | ROYAL CARIBBEAN CRUISES LTD 5.625% 09/30/2031 144A                                                      | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      905000 | PA      | $919460.09      | 0.00%             | 2031-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7679                                                                          | CUSIP: 31419JQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125007 | PA      | $121529.88      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                       | ARI FLEET LEASE TRUST 2025-A 4.7% 01/17/2034 144A                                                       | CUSIP: 04033CAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1250000 | PA      | $1261258.75     | 0.00%             | 2034-01-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0404                                                                        | CUSIP: 3140QKNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    69248346 | PA      | $58697342.14    | 0.07%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2050#RA3913                                                                        | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8532229 | PA      | $7234884.89     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.65% 04/05/2027                                                               | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     1888000 | PA      | $1870637.71     | 0.00%             | 2027-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2030#ZS8591                                                                          | CUSIP: 3132A9RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      687481 | PA      | $673014.34      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #587033                                                                                 | CUSIP: 36201MEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         502 | PA      | $517.49         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931506                                                                                 | CUSIP: 31412P3P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19143 | PA      | $19134.31       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.898% 5/35 #995272                                                                            | CUSIP: 31416BT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7765 | PA      | $7970.49        | 0.00%             | 2035-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#FS5034                                                                        | CUSIP: 3140XLSY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1122760 | PA      | $933446.03      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 06/25/2051                                                            | CUSIP: 3137H6K95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9816393 | PA      | $8660333.87     | 0.01%             | 2051-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #476306                                                                                 | CUSIP: 36209NDK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          83 | PA      | $84.27          | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                          | FLATIRON CLO 20 LTD / LLC AR TSFR3M+138 05/20/2036 144A                                                 | CUSIP: 33883MAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    31066000 | PA      | $31118812.20    | 0.04%             | 2036-05-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#BE8189                                                                        | CUSIP: 3140FUC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9162 | PA      | $9021.74        | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2053#FS8875                                                                          | CUSIP: 3140XQ2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      987546 | PA      | $858321.59      | 0.00%             | 2053-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20882                                                                        | CUSIP: 3132JM6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7002 | PA      | $6756.61        | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                                | CUSIP: 31296PYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6652 | PA      | $6745.58        | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#734089                                                                        | CUSIP: 3620AMRJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6759 | PA      | $6555.21        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/40 #A94662                                                                                | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25383 | PA      | $25367.71       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 5.85% 05/17/2027                                                               | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6564929.35     | 0.01%             | 2027-05-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.375% 03/01/2029 144A                                                                    | CUSIP: 893647BU0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2047666.00     | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-2                                             | CITIZENS AUTO RECEIVABLES TRUST 2024-2 5.33% 08/15/2028 144A                                            | CUSIP: 17331XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14161000 | PA      | $14274476.34    | 0.02%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#MA4042                                                                          | CUSIP: 31418DP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    36001015 | PA      | $33337361.10    | 0.04%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 09/20/2051#785619                                                                          | CUSIP: 3622ABDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16717387 | PA      | $14119131.86    | 0.02%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 4% 05/01/2031 144A                                                     | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     1370000 | PA      | $1290592.06     | 0.00%             | 2031-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 09/01/2034#FM1578                                                                        | CUSIP: 3140X4XG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2342884 | PA      | $2297345.86     | 0.00%             | 2034-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 04/20/2055#MB0308                                                                          | CUSIP: 3618N5KW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25000 | PA      | $25196.64       | 0.00%             | 2055-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562349 11/18/64 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      200000 | NC      | $28243.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                                          | DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A                                                        | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9373000 | PA      | $9635120.63     | 0.01%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 5.5% 03/26/2054 144A                                                                    | CUSIP: 05523RAM9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     1703000 | PA      | $1662673.03     | 0.00%             | 2054-03-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2029#                                                                                | CUSIP: 31293R3X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         180 | PA      | $184.26         | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BEECHWOOD PARK CLO LTD                                                             | BEECHWOOD PARK CLO LTD A1R TSFR3M+130 01/17/2035 144A                                                   | CUSIP: 07355TAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16732000 | PA      | $16771838.89    | 0.02%             | 2035-01-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/40 #741269                                                                                 | CUSIP: 3620AVQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4212 | PA      | $4194.00        | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413862                                                                                 | CUSIP: 31379AWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         337 | PA      | $343.82         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H05 FA TSFR1M+61.448 12/60                                                                     | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       48529 | PA      | $48539.31       | 0.00%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2053#CB6642                                                                        | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2553099 | PA      | $2604610.68     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2041#BU7091                                                                          | CUSIP: 3140M82Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4031619 | PA      | $3469381.84     | 0.00%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC NV                                                      | GOLDEN NUGGET TERM B 1LN 01/29/2029                                                                     | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1231817 | PA      | $1230437.37     | 0.00%             | 2029-01-29      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2048#G67716                                                                        | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37293 | PA      | $36708.39       | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4% 10/01/2055 #TBA                                                                            | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    81600000 | PA      | $76130245.92    | 0.09%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                     | WALT DISNEY CO 6.65% 11/15/2037                                                                         | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     5862000 | PA      | $6724510.65     | 0.01%             | 2037-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CROWDSTRIKE HOLDINGS INC                                                           | CROWDSTRIKE HOLDINGS INC 3% 02/15/2029                                                                  | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |      655000 | PA      | $617295.51      | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 11/01/2034#FS1799                                                                          | CUSIP: 3140XG7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1333390 | PA      | $1305333.47     | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2053#BX3830                                                                          | CUSIP: 3140N8HG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63567 | PA      | $59410.42       | 0.00%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 03/01/2055#DD4419                                                                        | CUSIP: 3140B44D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1782478 | PA      | $1793375.78     | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.00% 11/31 #003160                                                                             | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3156 | PA      | $3250.15        | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                               | WYNN RESORTS FIN LLC / CAP CORP 7.125% 02/15/2031 144A                                                  | CUSIP: 983133AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      505000 | PA      | $543590.59      | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-63 FN SOFR30A+111.448 10/32                                                                    | CUSIP: 31392ED23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2886 | PA      | $2907.47        | 0.00%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.125% 02/21/2030                                                                       | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    14148000 | PA      | $14487240.89    | 0.02%             | 2030-02-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                       | AMPRION GMBH 3.625% 05/21/2031 REGS                                                                     | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |      300000 | PA      | $359630.17      | 0.00%             | 2031-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                      | PG and E CORP 7.375%/VAR 03/15/2055                                                                     | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     1850000 | PA      | $1835911.14     | 0.00%             | 2055-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MERCEDES-AUTO RECEIVABLES TR 2023-1                                                | MERCEDES-BENZ AUTO RECEIVABLES TR 2023-1 4.31% 04/16/2029                                               | CUSIP: 58770AAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4500000 | PA      | $4509148.05     | 0.01%             | 2029-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #719739                                                                                | CUSIP: 3620A5S42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4975 | PA      | $5214.35        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                                       | JDE PEETS BV 1.375% 01/15/2027 144A                                                                     | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |     3516000 | PA      | $3370336.13     | 0.00%             | 2027-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.859% 11/25/2028                                                        | CUSIP: 3137FKSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4600000 | PA      | $4587401.52     | 0.01%             | 2028-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7567                                                                        | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7715 | PA      | $7085.82        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH0358                                                                                 | CUSIP: 3138A1MG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2429 | PA      | $2366.34        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.7% 03/25/2043                                                          | CUSIP: 3136AHBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7388516 | PA      | $6739563.54     | 0.01%             | 2043-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 5.875% 11/07/2029                                                              | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    15700000 | PA      | $15868774.53    | 0.02%             | 2029-11-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-150 ZC 4.75% 01/41                                                                             | CUSIP: 31397QAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      564704 | PA      | $559271.42      | 0.00%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 03/01/2051#BQ7764                                                                        | CUSIP: 3140KTTW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      929856 | PA      | $705727.87      | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                         | HILCORP ENERGY I LP/FIN CO 6% 02/01/2031 144A                                                           | CUSIP: 431318AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      170000 | PA      | $163581.09      | 0.00%             | 2031-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2050#MA3964                                                                        | CUSIP: 31418DMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16824232 | PA      | $14160919.22    | 0.02%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/44#AW5410                                                                             | CUSIP: 3138XVAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7270 | PA      | $7384.57        | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#FM1681                                                                        | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14348572 | PA      | $13857308.85    | 0.02%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                                          | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |          39 | PA      | $0.37           | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2049#MA3870                                                                        | CUSIP: 31418DJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3313685 | PA      | $2789121.58     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AT1323                                                                          | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31081 | PA      | $28682.60       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35372                                                                                   | CUSIP: 3132QR6J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30111 | PA      | $27146.45       | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPEN TR 2023-AIR                                                                   | OPEN TR 2023-AIR TSFR1M+383.799 10/15/2028 144A                                                         | CUSIP: 68373BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9703200 | PA      | $9709257.71     | 0.01%             | 2040-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #486531                                                                                 | CUSIP: 36210APQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         740 | PA      | $751.95         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/40 #004696                                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19253 | PA      | $19159.38       | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/2052#BV8477                                                                          | CUSIP: 3140MNM37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      587788 | PA      | $513261.47      | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#Q40647                                                                        | CUSIP: 3132WDWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23086 | PA      | $21414.80       | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 08/01/2050#SD7523                                                                        | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    38390820 | PA      | $32553411.10    | 0.04%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                     | PNC FINANCIAL SERVICES GRP INC 4.812%/VAR 10/21/2032                                                    | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $13650734.25    | 0.02%             | 2032-10-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US ULTRA BOND CBT FUT DEC25 WNZ5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -74 | NC      | $32225.52       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                        | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                      | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1035056 | PA      | $1018433.07     | 0.00%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 4                                                         | BAYVIEW COML ASSET TR 06 4 TSFR1M+51.948 12/25/2036 144A                                                | CUSIP: 07325BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       96178 | PA      | $90918.41       | 0.00%             | 2036-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/27 #361825                                                                                 | CUSIP: 31376P4J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.60          | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2046#CB0573                                                                        | CUSIP: 3140QKT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      205417 | PA      | $174375.27      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADMIRAL GROUP PLC                                                                  | ADMIRAL GROUP PLC 8.5% 01/06/2034 REGS                                                                  | CUSIP: N/A<br>LEI: 213800FGVM7Z9EJB2685       | Long             | DBT              | CORP              | GB        |      800000 | PA      | $1228382.38     | 0.00%             | 2034-01-06      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2052#                                                                              | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      889667 | PA      | $809557.53      | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                          | TEGNA INC 4.625% 03/15/2028                                                                             | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |      465000 | PA      | $461146.22      | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.84% 01/23/2030                                                                    | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     1434000 | PA      | $1425396.00     | 0.00%             | 2030-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 6.4% 01/09/2033                                                                | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5301650.20     | 0.01%             | 2033-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7273                                                                        | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25074 | PA      | $23029.16       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2045#Q37045                                                                          | CUSIP: 3132QTZK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22178 | PA      | $21268.06       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR0530                                                                        | CUSIP: 3138NWSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25417 | PA      | $23314.42       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5.4% 06/30/2033                                                                            | CUSIP: 65473PAP0<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5145268.85     | 0.01%             | 2033-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.73% 06/15/2028 144A                                                  | CUSIP: 361886CT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5700000 | PA      | $5748040.74     | 0.01%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2048#784850                                                                          | CUSIP: 3622AAH31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1143138 | PA      | $1064211.35     | 0.00%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                                 | PEACE PARK CLO LTD A TSFR3M+139.161 10/20/2034 144A                                                     | CUSIP: 70470MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14148000 | PA      | $14148000.00    | 0.02%             | 2034-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#CB2610                                                                          | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      900386 | PA      | $721280.59      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 07/01/2036#MA4382                                                                        | CUSIP: 31418D2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      680298 | PA      | $609812.81      | 0.00%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                                    | GEN DIGITAL INC 6.25% 04/01/2033 144A                                                                   | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |      565000 | PA      | $580990.63      | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #AE0746                                                                                 | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36198 | PA      | $37890.70       | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026                                                           | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |      999000 | PA      | $996962.75      | 0.00%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #454037                                                                                 | CUSIP: 36208LLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          93 | PA      | $93.95          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                        | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38217 | PA      | $36914.61       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/42#AP5393                                                                             | CUSIP: 3138M87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35996 | PA      | $33919.75       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2047#G08793                                                                          | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12015837 | PA      | $11424957.02    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2050#RA3524                                                                          | CUSIP: 3133KJ4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      923354 | PA      | $745450.64      | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                                             | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                                            | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10700000 | PA      | $10769747.95    | 0.01%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #398926                                                                                 | CUSIP: 31378HD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          66 | PA      | $66.38          | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                  | ICAHN ENTERPRISES LP/FIN CORP 6.25% 05/15/2026                                                          | CUSIP: 451102BT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      819000 | PA      | $817641.28      | 0.00%             | 2026-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #412598                                                                                 | CUSIP: 31378YKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          13 | PA      | $13.28          | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#CB2838                                                                          | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1176211 | PA      | $951059.51      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/15/2032                                                                             | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    68157900 | PA      | $68919351.88    | 0.08%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                                                       | AJAXM 2021-C 5.115% 01/25/2061 144A                                                                     | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1898919 | PA      | $1900529.63     | 0.00%             | 2061-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 4.5% 06/30/2028 144A                                                        | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     3100000 | PA      | $3119734.54     | 0.00%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #734392                                                                                 | CUSIP: 3620AM2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17735 | PA      | $18023.90       | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/30 BMW B                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     4300000 | NC      | $-116186.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GILEAD AVIATION LLC                                                                | GILEAD AVIATION LLC 0% 03/15/2050 144A                                                                  | CUSIP: 37556TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21463952 | PA      | $21935227.65    | 0.03%             | 2050-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/40 #AD0732                                                                                 | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46014 | PA      | $48670.40       | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2047#BH6709                                                                        | CUSIP: 3140GVN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      449463 | PA      | $417524.00      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2052#FS1443                                                                        | CUSIP: 3140XGS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115593 | PA      | $105220.96      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                             | WESCO DISTRIBUTION INC 6.375% 03/15/2033 144A                                                           | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |      605000 | PA      | $627515.68      | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #682568                                                                                | CUSIP: 36295WJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67012 | PA      | $65078.06       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#BQ5806                                                                        | CUSIP: 3140KRNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9721931 | PA      | $8735913.12     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 03/31/2032                                                                             | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    85700000 | PA      | $86854941.19    | 0.10%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #395754                                                                                 | CUSIP: 31378DTK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          10 | PA      | $9.99           | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 6.2% 03/15/2054                                                                     | CUSIP: 14448CBD5<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     1748000 | PA      | $1858524.82     | 0.00%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13654                                                                        | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23344 | PA      | $22601.29       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| YUM BRANDS INC                                                                     | YUM BRANDS INC 3.625% 03/15/2031                                                                        | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     3568000 | PA      | $3310768.61     | 0.00%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | Fidelity Sai Us Treasury Bond Index Fund                                                                | CUSIP: 31635V786<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   626305234 | NS      | $5555327422.03  | 6.62%             |  |  |  | No            |                  1 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-1                                                      | CHASE AUTO OWNER TRUST 2024-1 5.13% 05/25/2029 144A                                                     | CUSIP: 16144BAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15195000 | PA      | $15333762.26    | 0.02%             | 2029-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 2.937% 11/01/2056                                                                          | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     1612000 | PA      | $928110.43      | 0.00%             | 2056-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                          | BALL CORP 6% 06/15/2029                                                                                 | CUSIP: 058498AZ9<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      395000 | PA      | $404201.13      | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2032#                                                                                | CUSIP: 31287NUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1189 | PA      | $1233.27        | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.50% 11/34 #310105                                                                                | CUSIP: 31374CNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      236897 | PA      | $243886.81      | 0.00%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                      | LGI HOMES INC 8.75% 12/15/2028 144A                                                                     | CUSIP: 50187TAH9<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      445000 | PA      | $466127.71      | 0.00%             | 2028-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2041#                                                                                | CUSIP: 3132GEQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2674 | PA      | $2641.44        | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/1/42 #AL3046                                                                          | CUSIP: 3138EKL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156123 | PA      | $143629.26      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                              | TENET HEALTHCARE CORP 4.625% 06/15/2028                                                                 | CUSIP: 88033GDH0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     2785000 | PA      | $2753394.98     | 0.00%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#MA4475                                                                        | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5996536 | PA      | $5345906.94     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FS8772                                                                        | CUSIP: 3140XQXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26157834 | PA      | $21984294.08    | 0.03%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SD0803                                                                          | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      198037 | PA      | $173422.47      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 11/15/2042#AB9201                                                                          | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6095 | PA      | $5891.34        | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 01/31/2030                                                                              | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    49495300 | PA      | $50661146.45    | 0.06%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                                                          | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      114592 | PA      | $117149.92      | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2042#ZL3774                                                                        | CUSIP: 3131XKFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5815406 | PA      | $5479749.76     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2041#CB1074                                                                        | CUSIP: 3140QLFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1997565 | PA      | $1792302.51     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 09/20/2051#MA7588                                                                            | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      703729 | PA      | $576555.98      | 0.00%             | 2051-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                                                | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3586488 | PA      | $3593212.80     | 0.00%             | 2040-12-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2044#Q30272                                                                        | CUSIP: 3132QLJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4952 | PA      | $4913.01        | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 6.75% 09/15/2037 144A                                                             | CUSIP: 23311RAA4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     1198000 | PA      | $1272569.15     | 0.00%             | 2037-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 10/15/2040#705890                                                                        | CUSIP: 36297AF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72283 | PA      | $70158.46       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 2% 08/15/2031                                                 | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     2893000 | PA      | $2484602.22     | 0.00%             | 2031-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.714% 08/15/2063 144A                                              | CUSIP: 19828TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3766000 | PA      | $3977002.39     | 0.00%             | 2063-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2048#SD4470                                                                        | CUSIP: 3132E06F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9118551 | PA      | $8393650.39     | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#CB3114                                                                          | CUSIP: 3140QNN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24932332 | PA      | $21981478.64    | 0.03%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2                                         | VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2 5.48% 12/20/2028                                             | CUSIP: 92867YAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7500000 | PA      | $7606185.75     | 0.01%             | 2028-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2054#SD6620                                                                        | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22211244 | PA      | $23436891.65    | 0.03%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #445661                                                                                 | CUSIP: 36207YB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          99 | PA      | $100.36         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                       | UNIVISION COMMUNICATIONS INC 7.375% 06/30/2030 144A                                                     | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      145000 | PA      | $145791.74      | 0.00%             | 2030-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                                          | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                                         | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     3533110 | PA      | $3580054.02     | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #678655                                                                                 | CUSIP: 36295R5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31424 | PA      | $31266.22       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 21-GS5                                                 | LEGACY MORTGAGE ASSET TRUST 21-GS5 VAR 07/25/2067 144A                                                  | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1845027 | PA      | $1844611.14     | 0.00%             | 2067-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 4/32 #C01343                                                                                 | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         897 | PA      | $937.52         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                                                   | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6090402 | PA      | $5099431.78     | 0.01%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2047#FS1789                                                                        | CUSIP: 3140XG7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14074636 | PA      | $13268443.76    | 0.02%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.264% 08/01/2041#AL6552                                                                      | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      164866 | PA      | $166954.01      | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 19-23 FC SOFR30A+56.448 05/25/2049                                       | CUSIP: 3136B4LD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6988067 | PA      | $6843485.33     | 0.01%             | 2049-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.268% 07/30/2054 144A                                                            | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21146205 | PA      | $21645274.47    | 0.03%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 09/25/2048                                                          | CUSIP: 3136BKUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     9695832 | PA      | $8633041.24     | 0.01%             | 2048-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 2.646% 10/04/2031 144A                                                            | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     3414000 | PA      | $3033617.28     | 0.00%             | 2031-10-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2051#QC9148                                                                        | CUSIP: 3133AUEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8615959 | PA      | $7241263.88     | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2622                                                                        | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      676306 | PA      | $572415.31      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 01/01/2054#SD4623                                                                        | CUSIP: 3132DSD41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2871814 | PA      | $3008521.24     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                        | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2665066 | PA      | $2228441.62     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 4.4% 07/01/2046                                                                        | CUSIP: 842587CX3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     8095000 | PA      | $6724596.24     | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 10/45#MA3174                                                                               | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3977 | PA      | $3809.60        | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #667416                                                                                 | CUSIP: 36295DN96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4761 | PA      | $4835.53        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AL5059                                                                        | CUSIP: 3138EMTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      246713 | PA      | $226338.91      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2054#FS8620                                                                        | CUSIP: 3140XQSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8521861 | PA      | $8961749.90     | 0.01%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/36 #745154                                                                                 | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2456 | PA      | $2581.70        | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                                                     | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                                               | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6192000 | PA      | $6191997.52     | 0.01%             | 2030-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2054#FS8456                                                                        | CUSIP: 3140XQME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15158297 | PA      | $15388340.73    | 0.02%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AASET 2025-1 LTD / AASET 2025-1 LLC                                                | AASET 2025-1 LTD / AASET 2025-1 LLC 5.943% 02/16/2050 144A                                              | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11616463 | PA      | $11905143.25    | 0.01%             | 2050-02-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2031#V61246                                                                        | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      368903 | PA      | $357190.66      | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H07 FA TSFR1M+74.448 3/20/62                                                                   | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       39162 | PA      | $39213.90       | 0.00%             | 2062-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES HOLDING CO LLC                                                  | COLUMBIA PIPELINES HOLDING CO LLC 5.097% 10/01/2031 144A                                                | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8090000 | PA      | $8216518.22     | 0.01%             | 2031-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5% 04/48#784805                                                                                 | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2829179 | PA      | $2870702.86     | 0.00%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 01/01/2055#CB9828                                                                        | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6445994 | PA      | $6792125.00     | 0.01%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                                                          | CUSIP: 31394EWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      192115 | PA      | $199554.55      | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2048#BK5486                                                                        | CUSIP: 3140HKCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      420297 | PA      | $389379.64      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #555999                                                                                | CUSIP: 36213JUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         215 | PA      | $222.43         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                                         | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2255000 | PA      | $2267129.19     | 0.00%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2041#FS0106                                                                          | CUSIP: 3140XFDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13739512 | PA      | $11847264.19    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2044#AW5937                                                                        | CUSIP: 3138XVS35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1988 | PA      | $1971.07        | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#AA6309                                                                        | CUSIP: 36178EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54900 | PA      | $51299.11       | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 15-1A A2II 4.474% 10/25/2045 144A                                          | CUSIP: 25755TAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7146388 | PA      | $7141057.01     | 0.01%             | 2045-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 05/01/2036#SB8512                                                                          | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      851967 | PA      | $786801.81      | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #678648                                                                                | CUSIP: 36295R5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41157 | PA      | $40972.00       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 08/15/2040#747723                                                                        | CUSIP: 3620C3VQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5018 | PA      | $5098.55        | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                                | GILEAD SCIENCES INC 5.5% 11/15/2054                                                                     | CUSIP: 375558CD3<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8752530.51     | 0.01%             | 2054-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #251500                                                                                 | CUSIP: 31371GKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          19 | PA      | $19.46          | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 1                                                       | BAYVIEW COML ASSET TR 2007 1 TSFR1M+51.948 03/25/2037 144A                                              | CUSIP: 07325MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24032 | PA      | $22749.20       | 0.00%             | 2037-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #313947                                                                                 | CUSIP: 31374GWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          16 | PA      | $16.83          | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                                        | GERMANY FEDERAL REPUBLIC OF 3.25% 07/04/2042 REGS                                                       | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |       95000 | PA      | $113197.93      | 0.00%             | 2042-07-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2035#FM2286                                                                          | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7085363 | PA      | $6840378.48     | 0.01%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                      | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    20383000 | PA      | $20201509.97    | 0.02%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/40 #A93142                                                                                 | CUSIP: 312941P35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31787 | PA      | $31806.70       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                                  | TAMPA ELECTRIC CO 6.55% 05/15/2036                                                                      | CUSIP: 875127AV4<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |      280000 | PA      | $308203.86      | 0.00%             | 2036-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL CORP                                                       | SOUTHERN CO GAS CAP 3.15% 09/30/2051                                                                    | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     3046000 | PA      | $1924324.94     | 0.00%             | 2051-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 08/45#AS5634                                                                                  | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      108190 | PA      | $97825.63       | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 04/01/2054#SD5961                                                                          | CUSIP: 3132DTTS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2638473 | PA      | $2641474.22     | 0.00%             | 2054-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2052#QD6619                                                                          | CUSIP: 3133B4K87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       68336 | PA      | $64892.87       | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                           | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15325394 | PA      | $12805098.10    | 0.02%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #441653                                                                                 | CUSIP: 36207TTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          57 | PA      | $57.90          | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 07/01/2041#FM8066                                                                          | CUSIP: 3140XB6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2575124 | PA      | $2221292.13     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #722204                                                                                 | CUSIP: 3620A8KR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18524 | PA      | $18469.54       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #468613                                                                                 | CUSIP: 36209DSA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         409 | PA      | $422.63         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2054#CB9149                                                                          | CUSIP: 3140QVEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17656186 | PA      | $18352762.97    | 0.02%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.69% 07/15/2060 144A                                                           | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28230948 | PA      | $24438693.28    | 0.03%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2033#ZS8686                                                                          | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49982 | PA      | $48650.14       | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 4.93% 07/25/2055 144A                                                      | CUSIP: 25755TAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10440000 | PA      | $10482412.50    | 0.01%             | 2055-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.417% 12/01/2040#848392                                                                       | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      107544 | PA      | $111472.62      | 0.00%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARRY CALLEBAUT SVCS NV                                                            | BARRY CALLEBAUT SVCS NV 4.25% 08/19/2031 REGS                                                           | CUSIP: N/A<br>LEI: 213800R1F1EJYM4ICO85       | Long             | DBT              | CORP              | BE        |     1500000 | PA      | $1768696.16     | 0.00%             | 2031-08-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #578193                                                                                 | CUSIP: 36201BKE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1189 | PA      | $1210.90        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                                | NOVA CHEMICALS CORP 5.25% 06/01/2027 144A                                                               | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |      204000 | PA      | $204514.90      | 0.00%             | 2027-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.603%/VAR 10/22/2030                                                             | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    17730000 | PA      | $17923455.93    | 0.02%             | 2030-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATURAL GAS SYSTEM LLC                                                  | GULFSTREAM NAT GAS SYS LLC 5.6% 07/23/2035 144A                                                         | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8514000 | PA      | $8608604.25     | 0.01%             | 2035-07-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2025-VTT                                                   | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                                                  | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8466000 | PA      | $8502846.57     | 0.01%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562346 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    10419313 | NC      | $-34779.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 04/15/2029                                                                     | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2564000 | PA      | $2636498.33     | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 339 5 5.5% 8/33                                                                                     | CUSIP: 3136FAZ78<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       12230 | PA      | $1722.05        | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #438075                                                                                 | CUSIP: 36207PT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         264 | PA      | $267.99         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6186                                                                          | CUSIP: 3140X92U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      472440 | PA      | $436451.77      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 10/20/2050#MA6930                                                                            | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   144203327 | PA      | $118098790.00   | 0.14%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 1.794%/VAR 02/13/2032                                                                    | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     7317000 | PA      | $6346592.53     | 0.01%             | 2032-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2357 ZB 6.5% 9/31                                                                                   | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       37960 | PA      | $39087.23       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720075                                                                                 | CUSIP: 3620A56L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3240 | PA      | $3229.67        | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                            | BRISTOL-MYERS SQUIBB CO 5.65% 02/22/2064                                                                | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     6900000 | PA      | $6608846.43     | 0.01%             | 2064-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.75% 02/15/2033                                                                     | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     7491000 | PA      | $7786845.06     | 0.01%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONTOURGLOBAL PWR HLDGS S A                                                        | CONTOURGLOBAL PWR HLDGS S A 6.75% 02/28/2030 144A                                                       | CUSIP: 21220LAB9<br>LEI: 549300O5AGIFK0PQ1516 | Long             | DBT              | CORP              | LU        |      605000 | PA      | $624662.50      | 0.00%             | 2030-02-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX Trust 2025-ROIC VAR 03/15/2030 144A                                                                  | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    73811125 | PA      | $73718890.99    | 0.09%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#SD7540                                                                        | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11226589 | PA      | $9516053.07     | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2101 PD 6% 11/28                                                                                    | CUSIP: 3133TGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1027 | PA      | $1045.69        | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 1.734%/VAR 07/22/2027                                                       | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $24429735.00    | 0.03%             | 2027-07-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B17 MORTGAGE TRUST                                                  | BENCHMARK 2020-B17 MORTGAGE TRUST CSTR 03/15/2053                                                       | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    25273544 | PA      | $1075748.18     | 0.00%             | 2053-03-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE6390                                                                                 | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      350742 | PA      | $341440.39      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 01/01/2043#Q15247                                                                        | CUSIP: 3132J6HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45226 | PA      | $41265.64       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 7.5%/VAR PERP REGS                                                                 | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | EP               | CORP              | CH        |     4925000 | PA      | $418625.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2044#Q30263                                                                        | CUSIP: 3132QLJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28107 | PA      | $27833.18       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #255896                                                                                 | CUSIP: 31371MGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         338 | PA      | $359.77         | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                               | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                                    | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    26025000 | PA      | $23515305.93    | 0.03%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                         | HESS MIDSTREAM PARTNERS LP 6.5% 06/01/2029 144A                                                         | CUSIP: 428102AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1355000 | PA      | $1401015.80     | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 3.875% 05/06/2045                                                                          | CUSIP: 02079KAS6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      300000 | PA      | $340386.83      | 0.00%             | 2045-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                  | BLACKSTONE PROP PARTNERS EUR HOLD 1% 05/04/2028 REGS                                                    | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |     2271000 | PA      | $2538443.95     | 0.00%             | 2028-05-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 5.087%/VAR 11/26/2028                                                          | CUSIP: 53944YBC6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     5700000 | PA      | $5795305.08     | 0.01%             | 2028-11-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2051                                                            | CUSIP: 3136BHV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     8112454 | PA      | $7145653.98     | 0.01%             | 2051-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/48#G61343                                                                               | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      518933 | PA      | $494387.87      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ITC HLDGS CORP                                                                     | ITC HLDGS CORP 5.65% 05/09/2034 144A                                                                    | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    11700000 | PA      | $12112471.80    | 0.01%             | 2034-05-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #Q00114                                                                                 | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26752 | PA      | $26719.55       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/26 #250440                                                                                 | CUSIP: 31371FEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.10           | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 11/27 #780795                                                                                | CUSIP: 36225A3C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $19.09          | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 5.171% 07/16/2032 144A                                                                 | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    16350000 | PA      | $16658390.27    | 0.02%             | 2032-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #457923                                                                                | CUSIP: 36208QVQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         164 | PA      | $166.64         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9488                                                                          | CUSIP: 3140XDRJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12532493 | PA      | $10164843.03    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                                 | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                      | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15842618 | PA      | $15377954.27    | 0.02%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#FS3295                                                                          | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8450485 | PA      | $8428406.61     | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#Q01212                                                                        | CUSIP: 3132GEKZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7643 | PA      | $7639.65        | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2043#AD5680                                                                        | CUSIP: 36180HJZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1793 | PA      | $1726.89        | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                                                         | TRONOX INC 4.625% 03/15/2029 144A                                                                       | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |      430000 | PA      | $317439.93      | 0.00%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 4.03 04/25/30                                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    81400000 | NC      | $2783296.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#BU1308                                                                        | CUSIP: 3140M2N24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1751649 | PA      | $1597207.11     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 3% 10/15/2030                                                                              | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     9668000 | PA      | $8543488.82     | 0.01%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.47% 09/25/2027                                                         | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19600000 | PA      | $18655080.08    | 0.02%             | 2027-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE9416                                                                                | CUSIP: 31419LPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3538 | PA      | $3418.40        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                                             | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                                                 | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17920503 | PA      | $17954103.52    | 0.02%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020                                    | JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 2.1798% 05/13/2053                                      | CUSIP: 46652JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1266018.15     | 0.00%             | 2053-05-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2051#CB1872                                                                          | CUSIP: 3140QMCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6814292 | PA      | $5973718.26     | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 2.7% 02/15/2031                                                                     | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     6352000 | PA      | $5837888.43     | 0.01%             | 2031-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 3% 06/01/2034                                                                      | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      435000 | PA      | $309348.14      | 0.00%             | 2034-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE9771                                                                          | CUSIP: 31419L2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96243 | PA      | $93680.77       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB6821                                                                        | CUSIP: 36178TSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5389 | PA      | $5048.04        | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 5.625% 08/15/2030 144A                                                                        | CUSIP: 852234AT0<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      390000 | PA      | $398658.54      | 0.00%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                  | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3 M55D 4% 08/25/2057                                    | CUSIP: 35563PGL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      260674 | PA      | $243346.17      | 0.00%             | 2057-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2053#SD6787                                                                          | CUSIP: 3132DURG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    26118986 | PA      | $24598762.13    | 0.03%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03561                                                                                 | CUSIP: 3132GJTS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9208 | PA      | $8986.16        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 09/01/2055 #TBA                                                                            | CUSIP: 01F020695<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -2483325000 | PA      | $-1971721310.13 | -2.35%            | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 9/36 #C02622                                                                                 | CUSIP: 31292J4F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9457 | PA      | $9984.13        | 0.00%             | 2036-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781019                                                                                 | CUSIP: 36225BDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          20 | PA      | $20.62          | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2042#AP8794                                                                        | CUSIP: 3138MCXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9321 | PA      | $8779.78        | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #466882                                                                                 | CUSIP: 36209BUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         132 | PA      | $134.61         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #608317                                                                                 | CUSIP: 31388LYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          52 | PA      | $54.47          | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 7.2%/VAR 06/27/2054                                                                        | CUSIP: 29250NCF0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     5400000 | PA      | $5615200.80     | 0.01%             | 2054-06-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2020-REV2                                                    | FORD CR AUTO OWNER TR 2020-REV2 A 1.06% 04/15/2033 144A                                                 | CUSIP: 34532JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $4979552.00     | 0.01%             | 2033-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2052#RA6623                                                                        | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10871665 | PA      | $9174437.95     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2049#ZA6262                                                                          | CUSIP: 31329P5X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25312 | PA      | $23965.07       | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.956%/VAR 05/13/2031                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    11536000 | PA      | $10769424.15    | 0.01%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                                                    | CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056                                                         | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18910628 | PA      | $568827.90      | 0.00%             | 2056-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                            | DARLING INGREDIENTS INC 6% 06/15/2030 144A                                                              | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      815000 | PA      | $823837.05      | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                           | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                               | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     1245000 | PA      | $1237746.56     | 0.00%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP NEW                                                            | PILGRIMS PRIDE CORP NEW 4.25% 04/15/2031                                                                | CUSIP: 72147KAJ7<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |      475000 | PA      | $457355.27      | 0.00%             | 2031-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 04/30/2030                                                                               | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   143600000 | PA      | $142494953.48   | 0.17%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.125% 08/15/2044                                                           | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1300000 | PA      | $1180917.97     | 0.00%             | 2044-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2982                                                                        | CUSIP: 3138EKJ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105319 | PA      | $100272.05      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS CO                                                                      | BOSTON GAS CO 4.487% 02/15/2042 144A                                                                    | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     1118000 | PA      | $940455.29      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/40 #G05898                                                                                 | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31564 | PA      | $32095.05       | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/31 #C01258                                                                                | CUSIP: 31292HMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1292 | PA      | $1340.96        | 0.00%             | 2031-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 3.75% 07/21/2026                                                               | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     4206000 | PA      | $4178906.25     | 0.00%             | 2026-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                            | GA GLOBAL FUNDING TRUST 5.4% 01/13/2030 144A                                                            | CUSIP: 36143L2R5<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    13580000 | PA      | $14086725.21    | 0.02%             | 2030-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                        | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19634 | PA      | $18967.20       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 6.125% 07/27/2027 144A                                                      | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     1197000 | PA      | $1235968.66     | 0.00%             | 2027-07-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 08/01/2034#C91782                                                                        | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      370125 | PA      | $362360.91      | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69706                                                                                | CUSIP: 3128L1YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28515 | PA      | $30226.89       | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                               | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     4886000 | PA      | $4906311.10     | 0.01%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 6% 05/13/2030                                                              | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     3370000 | PA      | $3523335.00     | 0.00%             | 2030-05-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 01/01/2039#K94441                                                                          | CUSIP: 3132LQZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      122028 | PA      | $118880.46      | 0.00%             | 2039-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                        | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       73082 | PA      | $68456.67       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#BT6809                                                                          | CUSIP: 3140LVR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10090686 | PA      | $8064517.76     | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COML MTG SE 2021                                                   | JP MORGAN CHASE COML MTG SE 2021 1.97387% 01/05/2040 144A                                               | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24200000 | PA      | $22047291.42    | 0.03%             | 2040-01-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 07/15/2045#AN5744                                                                        | CUSIP: 36186NLZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       39660 | PA      | $38106.16       | 0.00%             | 2045-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                                             | BOFA AUTO TRUST 2025-1 4.52% 11/22/2027 144A                                                            | CUSIP: 05594BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17620000 | PA      | $17645228.32    | 0.02%             | 2027-11-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2039#AS3482                                                                          | CUSIP: 3138WC2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1292 | PA      | $1258.79        | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                                          | CUSIP: 3137H2UY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4386631 | PA      | $3727606.77     | 0.00%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/01/2035#FM6733                                                                        | CUSIP: 3140XAPT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1768192 | PA      | $1708321.79     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2052#MA7826                                                                            | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10751662 | PA      | $8805332.99     | 0.01%             | 2052-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.65% 05/01/2045 144A                                                                          | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     8429000 | PA      | $8309405.30     | 0.01%             | 2045-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 09/30/2031                                                                             | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   428584700 | PA      | $423763122.13   | 0.50%             | 2031-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2035#MA4013                                                                        | CUSIP: 31418DN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19463568 | PA      | $18428107.97    | 0.02%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/40 #A92350                                                                                 | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25167 | PA      | $25590.98       | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #604620                                                                                 | CUSIP: 31388GVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         108 | PA      | $114.00         | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2043#AD7475                                                                          | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2866 | PA      | $2776.26        | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE7472                                                                                | CUSIP: 31419JJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5215 | PA      | $5099.38        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#QD7445                                                                          | CUSIP: 3133B5HW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42027 | PA      | $36803.31       | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2041#738107                                                                          | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6198 | PA      | $6016.80        | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.05% 09/25/2028                                                         | CUSIP: 3137FJXV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9405000 | PA      | $9431794.85     | 0.01%             | 2028-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                     | SEMT 2004-6 A3B TSFR6M+130.826 7/34                                                                     | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1400 | PA      | $1303.04        | 0.00%             | 2034-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2047#AS9990                                                                        | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100991 | PA      | $98998.31       | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AC2222                                                                        | CUSIP: 36179BPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22476 | PA      | $20636.78       | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.228% 7/41#AI3469                                                                             | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3402 | PA      | $3549.19        | 0.00%             | 2041-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 3.625% 02/15/2031 144A                                                                   | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1080000 | PA      | $996203.23      | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEADRILL FINANCE LTD                                                               | SEADRILL FINANCE LTD 8.375% 08/01/2030 144A                                                             | CUSIP: 81172QAA2<br>LEI: 213800WMN3OHFUDHD642 | Long             | DBT              | CORP              | BM        |     1275000 | PA      | $1324110.45     | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720064                                                                                 | CUSIP: 3620A55Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22729 | PA      | $22670.98       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                                           | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    58746457 | PA      | $1087649.53     | 0.00%             | 2042-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AC9633                                                                        | CUSIP: 36179KV27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4386 | PA      | $4116.82        | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 03/01/2041#SC0136                                                                          | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2555502 | PA      | $2228363.31     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 9/26 #G30299                                                                            | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1074 | PA      | $1082.13        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE4598                                                                        | CUSIP: 36180XDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19651 | PA      | $18343.42       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.567% 07/16/2027 144A                                                                 | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     3278000 | PA      | $3298791.31     | 0.00%             | 2027-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 06/01/2031#AS7346                                                                        | CUSIP: 3138WHEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      887610 | PA      | $858858.92      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2042#AQ3314                                                                        | CUSIP: 3138MJVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36780 | PA      | $36691.55       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2040#A93375                                                                        | CUSIP: 312941XC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1750 | PA      | $1750.37        | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5857                                                                          | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42237 | PA      | $39891.54       | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 07/15/2040#739708                                                                        | CUSIP: 3620ATYD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         906 | PA      | $920.64         | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.4% 06/01/2029                                                                         | CUSIP: 126650EB2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6718423.34     | 0.01%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2049#FM3160                                                                        | CUSIP: 3140X6QN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3791065 | PA      | $3707966.14     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                        | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17680693 | PA      | $16072073.75    | 0.02%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH4471                                                                                 | CUSIP: 3138A56H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13751 | PA      | $13381.89       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.3% 08/15/2031                                                                               | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     3686000 | PA      | $4249517.26     | 0.01%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#AL9776                                                                        | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1711354 | PA      | $1582258.58     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0739                                                                        | CUSIP: 3138NWZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47830 | PA      | $43805.68       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                                | SIRIUS XM RADIO INC 4.125% 07/01/2030 144A                                                              | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9298054.60     | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 4.35% 04/20/2028                                                                 | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     5724000 | PA      | $5745976.15     | 0.01%             | 2028-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1150000 | NC      | $135618.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 06/30/2030                                                                             | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   224000000 | PA      | $225837498.88   | 0.27%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#FS0599                                                                          | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95566 | PA      | $77421.96       | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 02/15/2045#777576                                                                        | CUSIP: 36176VT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       71982 | PA      | $64783.89       | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 04/01/2041#AI1360                                                                        | CUSIP: 3138AEQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11753 | PA      | $11937.06       | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORP                                                         | PINNACLE WEST CAPITAL CORP 4.9% 05/15/2028                                                              | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     1765000 | PA      | $1791366.05     | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HLDGS FIN LLC                                                           | BLACKSTONE HLDGS FIN LLC 3.5% 09/10/2049 144A                                                           | CUSIP: 09256BAM9<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     4614000 | PA      | $3242132.53     | 0.00%             | 2049-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/40 #723739                                                                                 | CUSIP: 3620AABG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21714 | PA      | $21069.66       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 7/33 #003426                                                                              | CUSIP: 36202DYX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1081 | PA      | $1062.93        | 0.00%             | 2033-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/40#V81744                                                                             | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      127150 | PA      | $120766.66      | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2053#SD7561                                                                          | CUSIP: 3132DVMJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4258259 | PA      | $4019727.09     | 0.00%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 03/01/2040#FM6134                                                                          | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      317049 | PA      | $300429.94      | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KBC GROUPE SA/NV                                                                   | KBC GROUPE SA/NV 6.324%/VAR 09/21/2034 144A                                                             | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     9860000 | PA      | $10677197.69    | 0.01%             | 2034-09-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 10/01/2045#AL7413                                                                        | CUSIP: 3138EQGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53395 | PA      | $51322.24       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROBLOX CORP                                                                        | ROBLOX CORP 3.875% 05/01/2030 144A                                                                      | CUSIP: 771049AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1070000 | PA      | $1017312.34     | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13121                                                                        | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       78874 | PA      | $76572.94       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2055#SL0430                                                                          | CUSIP: 31427MPQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5058197 | PA      | $5254593.51     | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.771% 12/25/2028                                                        | CUSIP: 3137FKUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1125000 | PA      | $1118967.30     | 0.00%             | 2028-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 3.091%/VAR 05/14/2032 144A                                                                 | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     5293000 | PA      | $4871856.69     | 0.01%             | 2032-05-14      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2052#QD7533                                                                          | CUSIP: 3133B5LN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48023 | PA      | $45603.31       | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #475908                                                                                 | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         233 | PA      | $235.71         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 09/15/2039#713871                                                                        | CUSIP: 36297KCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16492 | PA      | $16442.20       | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                      | BAT INTL FINANCE PLC 4.125% 04/12/2032 REGS                                                             | CUSIP: N/A<br>LEI: 21380041YBGOQDFAC823       | Long             | DBT              | CORP              | GB        |     2615000 | PA      | $3157199.26     | 0.00%             | 2032-04-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2052#QF1727                                                                        | CUSIP: 3133BN4L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      665532 | PA      | $605344.96      | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OHACP 2024-17A                                                                     | OHACP 2024-17A A TSFR3M+132 01/18/2038 144A                                                             | CUSIP: 67120MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9640000 | PA      | $9663666.20     | 0.01%             | 2038-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C52                                                   | WELLS FARGO COML MTG TR 2019-C52 2.892% 08/15/2052                                                      | CUSIP: 95002MAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3829000 | PA      | $3605059.02     | 0.00%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                             | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.78% 09/15/2027                                                 | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2018878 | PA      | $2025344.52     | 0.00%             | 2027-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #738106                                                                                 | CUSIP: 3620ASAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10341 | PA      | $10507.11       | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    29580000 | NC      | $105328.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43#AR5355                                                                            | CUSIP: 3138W25R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19811 | PA      | $18531.91       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                              | TENET HEALTHCARE CORP 5.125% 11/01/2027                                                                 | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $997095.20      | 0.00%             | 2027-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 7/40 #004923                                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       70136 | PA      | $69771.36       | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19606                                                                        | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35093 | PA      | $34026.35       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FIN CORP                                                             | CDW LLC / CDW FIN CORP 2.67% 12/01/2026                                                                 | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5350000 | PA      | $5233983.65     | 0.01%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2050#RA2976                                                                        | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11388071 | PA      | $9624460.87     | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#BV4367                                                                        | CUSIP: 3140MHZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      533126 | PA      | $446731.55      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 5.25% 06/15/2029 144A                                                                    | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      484000 | PA      | $482564.21      | 0.00%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#727029                                                                        | CUSIP: 31402EVW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1081 | PA      | $1081.11        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON POWER NETWORKS PLC                                                          | LONDON POWER NETWORKS PLC 3.837% 06/11/2037 REGS                                                        | CUSIP: N/A<br>LEI: 213800JDI3GTKPG4XI38       | Long             | DBT              | CORP              | GB        |      750000 | PA      | $878742.19      | 0.00%             | 2037-06-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 8.3% 03/15/2028                                                          | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    16730000 | PA      | $17790799.11    | 0.02%             | 2028-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                                       | JDE PEETS BV 2.25% 09/24/2031 144A                                                                      | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |     2660000 | PA      | $2314547.56     | 0.00%             | 2031-09-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#MA4564                                                                          | CUSIP: 31418ECA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31364 | PA      | $27338.54       | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/39 #935695                                                                                | CUSIP: 31412U7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9590 | PA      | $9577.89        | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/36 #888342                                                                                 | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25262 | PA      | $26389.87       | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                        | BAYVIEW COML ASST TR 2007 2 TSFR1M+52.448 07/25/2037 144A                                               | CUSIP: 07325XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16669 | PA      | $16191.37       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7367                                                                          | CUSIP: 3133B5FG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      879332 | PA      | $768114.27      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL4 TR                                                                  | CSMC 2020-RPL4 TR 2% 01/25/2060 144A                                                                    | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      201628 | PA      | $181025.01      | 0.00%             | 2060-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2050#QB3577                                                                          | CUSIP: 3133A96N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4920521 | PA      | $3947877.35     | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                                | NOVA CHEMICALS CORP 8.5% 11/15/2028 144A                                                                | CUSIP: 66977WAT6<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |      970000 | PA      | $1016114.77     | 0.00%             | 2028-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2171                                                                        | CUSIP: 3138MHMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38730 | PA      | $35539.25       | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC                                                              | ELLUCIAN TERM 2LN 11/22/2032                                                                            | CUSIP: 28917XAE0<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |      200000 | PA      | $205500.00      | 0.00%             | 2032-11-22      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GENESEE and WYOMING INC                                                            | GENESEE and WYOMING TERM B 1LN 04/10/2031                                                               | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |      794000 | PA      | $790117.34      | 0.00%             | 2031-04-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| C and W SENIOR FINANCE LTD                                                         | C and W SENIOR FINANCE LTD 9% 01/15/2033 144A                                                           | CUSIP: 12665MAA0<br>LEI: 213800CG16G1YMJRCG10 | Long             | DBT              | CORP              | KY        |     1230000 | PA      | $1291336.41     | 0.00%             | 2033-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                        | MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A                                                       | CUSIP: 588926AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9840315 | PA      | $9907410.10     | 0.01%             | 2036-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2013-133 IB 3% 04/32                                                                                | CUSIP: 3136AHQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1193 | PA      | $5.36           | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2052#                                                                              | CUSIP: 3133B3Q42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5861215 | PA      | $5333446.36     | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A                                      | HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A A TSFR3M+134 10/20/2037 144A                              | CUSIP: 407907AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    11370000 | PA      | $11401892.85    | 0.01%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2045#AN5671                                                                        | CUSIP: 36186NJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14539 | PA      | $14004.34       | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | FX Forward: USD/EUR settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4968.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 2.726% 03/25/2031                                                                      | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     9590000 | PA      | $8723182.92     | 0.01%             | 2031-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2033#                                                                                | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23070 | PA      | $24035.34       | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3366 FD SOFR30A+36.448 5/37                                                                         | CUSIP: 31397KMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       62591 | PA      | $61821.43       | 0.00%             | 2037-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60561                                                                        | CUSIP: 31335ATS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9167 | PA      | $8526.63        | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #520559                                                                                | CUSIP: 31384DJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         863 | PA      | $903.34         | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #778681                                                                                | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43398 | PA      | $42009.02       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2348                                                                          | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11419457 | PA      | $9229965.44     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/35 #AD0723                                                                                | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51837 | PA      | $54288.39       | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2047#Q48759                                                                        | CUSIP: 3132WNWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      560181 | PA      | $550703.70      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2043#AT0162                                                                        | CUSIP: 3138WMFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18728 | PA      | $16546.84       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7382                                                                          | CUSIP: 31419JFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31946 | PA      | $31275.49       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.0% 07/01/2035#MA2320                                                                        | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103598 | PA      | $99269.42       | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                              | CUSIP: 3132GESV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12023 | PA      | $12012.25       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2048#BJ2757                                                                        | CUSIP: 3140H4B37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      738949 | PA      | $684591.95      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/43#AQ1113                                                                            | CUSIP: 3138MGGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73516 | PA      | $67789.02       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#BQ6318                                                                        | CUSIP: 3140KSAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10206613 | PA      | $9171437.48     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                        | BAYVIEW COML ASST TR 2007 2 TSFR1M+38.448 07/25/2037 144A                                               | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80245 | PA      | $74083.88       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #833016                                                                                 | CUSIP: 31407KN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          56 | PA      | $58.48          | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 6/41 #005082                                                                              | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      501690 | PA      | $498970.83      | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                           | EQT CORP 5.7% 04/01/2028                                                                                | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2186000 | PA      | $2259294.20     | 0.00%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HEXCEL CORPORATION                                                                 | HEXCEL CORPORATION 5.875% 02/26/2035                                                                    | CUSIP: 428291AP3<br>LEI: S6Q7LW43WUBUHXY2QP69 | Long             | DBT              | CORP              | US        |     2383000 | PA      | $2429909.69     | 0.00%             | 2035-02-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19690                                                                        | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       73933 | PA      | $71700.92       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2025-1 LTD                                              | PALMER SQUARE LOAN FUNDING 2025-1 LTD A1 TSFR3M+80 02/15/2033 144A                                      | CUSIP: 69704CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12212515 | PA      | $12174069.54    | 0.01%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2051#CB1421                                                                        | CUSIP: 3140QLSK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17340646 | PA      | $15790059.54    | 0.02%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 12/20/2051#MA7766                                                                            | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1736351 | PA      | $1422026.71     | 0.00%             | 2051-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                                               | ALPHA GENERATION LLC 6.75% 10/15/2032 144A                                                              | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |      800000 | PA      | $824780.80      | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 10/01/2055 #TBA                                                                            | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   445075000 | PA      | $447958596.42   | 0.53%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAPS 2021-1 TR                                                                     | MAPS 2021-1 TR 2.521% 06/15/2046 144A                                                                   | CUSIP: 55292RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9204860 | PA      | $8726523.55     | 0.01%             | 2046-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                               | ENEL FINANCE INTL NV 7.5% 10/14/2032 144A                                                               | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     1105000 | PA      | $1267673.83     | 0.00%             | 2032-10-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #416921                                                                                 | CUSIP: 31379ED20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          15 | PA      | $16.04          | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 12/15/2041#778657                                                                        | CUSIP: 36176WZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6021 | PA      | $5674.97        | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0414                                                                        | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191167 | PA      | $160486.71      | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 11/01/2032#C73584                                                                          | CUSIP: 31288B6V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10545 | PA      | $10946.77       | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/46#AS7008                                                                               | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33755 | PA      | $31160.94       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 2/41 #AH5581                                                                                 | CUSIP: 3138A7FX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4130 | PA      | $4125.02        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/40 #723743                                                                                 | CUSIP: 3620AABL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9642 | PA      | $9375.48        | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                         | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     7005000 | PA      | $6254652.49     | 0.01%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #474767                                                                                 | CUSIP: 36209LMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          73 | PA      | $75.43          | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 9/33 #C01622                                                                                 | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7915 | PA      | $8026.76        | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 03/01/2037#FS7773                                                                          | CUSIP: 3140XPT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      599451 | PA      | $553038.22      | 0.00%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                    | SEALED AIR CORP 6.875% 07/15/2033 144A                                                                  | CUSIP: 81211KAK6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |      390000 | PA      | $421309.20      | 0.00%             | 2033-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.625% 03/15/2032                                                                               | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2557000 | PA      | $2378116.09     | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 4/1/43 #AB9017                                                                           | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16418 | PA      | $15052.62       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #737191                                                                                 | CUSIP: 3620AQ7C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5111 | PA      | $5191.45        | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2016-C4                                                     | JPMDB COML MTG SECS TR 2016-C4 ASB 2.9941% 12/15/2049                                                   | CUSIP: 46646RAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      335524 | PA      | $332733.42      | 0.00%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BCP TR 2021-330N                                                                   | BCP TR 2021-330N TSFR1M+91.348 5 06/15/2038 144A                                                        | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4207067 | PA      | $3804309.33     | 0.00%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                                           | MHC COML MTG TR 2021-MHC A TSFR1M+91.544 096 04/15/2026 144A                                            | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2433064 | PA      | $2433063.74     | 0.00%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.9025 04/14/26                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    15330000 | NC      | $476597.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/27 #780631                                                                                 | CUSIP: 36225AVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          13 | PA      | $13.61          | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3                                  | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3 5.45% 06/16/2028                                      | CUSIP: 36267KAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1648402 | PA      | $1660445.69     | 0.00%             | 2028-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0454                                                                        | CUSIP: 3140QKQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    47186182 | PA      | $39687014.15    | 0.05%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-62 KP PO 0% 4/36                                                                               | CUSIP: 31395N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       24444 | PA      | $20742.87       | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2048                                                            | CUSIP: 3136BL6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     3766096 | PA      | $3475709.03     | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.9025 04/14/26                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    15330000 | NC      | $238295.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                   | GGAM FINANCE LTD 7.75% 05/15/2026 144A                                                                  | CUSIP: 36170JAB2<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |     1335000 | PA      | $1339581.72     | 0.00%             | 2026-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2040#                                                                                | CUSIP: 312940LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6948 | PA      | $7062.98        | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2052#BV3829                                                                          | CUSIP: 3140MHHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82899 | PA      | $78721.16       | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 05/20/2043#MA1014                                                                          | CUSIP: 36179NDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4596 | PA      | $4571.97        | 0.00%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/31 #551661                                                                                 | CUSIP: 36213DZ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         752 | PA      | $782.12         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                             | OREILLY AUTOMOTIVE INC 4.2% 04/01/2030                                                                  | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |      193000 | PA      | $192516.92      | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP CDS 06/20/30 ISPIM B                                                                          | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |     1900000 | NC      | $-9898.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2029#                                                                              | CUSIP: 31292G6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         167 | PA      | $174.54         | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1280                                                                        | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27759568 | PA      | $23295768.63    | 0.03%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 4/34 #574566                                                                                 | CUSIP: 36200WJK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         720 | PA      | $736.21         | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                                                          | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      118171 | PA      | $117434.65      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      300000 | NC      | $35378.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2040#V81771                                                                        | CUSIP: 3132L66G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43396 | PA      | $41206.75       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6453                                                                          | CUSIP: 3133KNE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      327310 | PA      | $261587.47      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #460912                                                                                 | CUSIP: 36208UAM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         122 | PA      | $122.98         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24546                                                                        | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35941 | PA      | $34718.38       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT0648                                                                           | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      252778 | PA      | $237603.24      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047                                                            | CUSIP: 38380UVE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      729837 | PA      | $685465.27      | 0.00%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047       | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    49708000 | PA      | $42240491.93    | 0.05%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INEOS US PETROCHEM LLC                                                             | INEOS QUATTRO TERM B 1LN 04/02/2029                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      264773 | PA      | $237633.54      | 0.00%             | 2029-04-02      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 12/01/2035#SB8078                                                                        | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10254284 | PA      | $9214273.95     | 0.01%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2048#MA3307                                                                        | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89558 | PA      | $87622.96       | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3703                                                                  | CUSIP: 3142GUDH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5882981 | PA      | $6200717.95     | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B6 MORTGAGE TRUST                                                   | BENCHMARK 2018-B6 MORTGAGE TRUST 3.995% 10/10/2051                                                      | CUSIP: 08162CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4700000 | PA      | $4642014.22     | 0.01%             | 2051-10-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2041#AI9851                                                                        | CUSIP: 3138AP5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103320 | PA      | $103093.70      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KOBE US MIDCO 2 INC                                                                | KOBE US MIDCO 2 INC PIK VAR 11/01/2026 144A                                                             | CUSIP: 499894AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      561447 | PA      | $498284.21      | 0.00%             | 2026-11-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.45% 04/01/2031                                                                                | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4670878.41     | 0.01%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS8288                                                                          | CUSIP: 3140XQF69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      879132 | PA      | $702606.03      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA 3.375%/VAR 03/05/2033 REGS                                                          | CUSIP: N/A<br>LEI: L3I9ZG2KFGXZ61BMYR72       | Long             | DBT              | CORP              | CA        |     3700000 | PA      | $4327334.28     | 0.01%             | 2033-03-05      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2048#BJ3670                                                                        | CUSIP: 3140H5CG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      863880 | PA      | $799253.71      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552550                                                                                | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22369 | PA      | $21660.05       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE2683                                                                                | CUSIP: 31419C6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4688 | PA      | $4571.87        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#FS1294                                                                          | CUSIP: 3140XGNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3701234 | PA      | $3211127.61     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 02/01/2051#SD8127                                                                        | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    24141695 | PA      | $18322689.64    | 0.02%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                         | DAVITA INC 4.625% 06/01/2030 144A                                                                       | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      655000 | PA      | $630584.48      | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2047#AS9602                                                                        | CUSIP: 3138WKU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43069 | PA      | $42219.10       | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #303856                                                                                 | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          67 | PA      | $66.61          | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HARVEST MIDSTREAM I LP                                                             | HARVEST MIDSTREAM I LP 7.5% 05/15/2032 144A                                                             | CUSIP: 417558AB9<br>LEI: 549300DW5M17KJOXCY66 | Long             | DBT              | CORP              | US        |     1190000 | PA      | $1225239.47     | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 1.7% 09/15/2028                                                                           | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1606646.27     | 0.00%             | 2028-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#CB1801                                                                          | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28940620 | PA      | $23391736.72    | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 07/01/2053#RA9382                                                                          | CUSIP: 3133KRM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10624173 | PA      | $10993520.01    | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #486599                                                                                | CUSIP: 36210ARU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          79 | PA      | $79.63          | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS4758                                                                          | CUSIP: 36193PJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24991 | PA      | $23062.75       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#BC8334                                                                          | CUSIP: 3140F4HL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37893 | PA      | $36208.37       | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#QD1230                                                                          | CUSIP: 3133AXLK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      332409 | PA      | $291404.79      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                                                   | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7163020 | PA      | $6605055.54     | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 3.65% 09/15/2059                                                                           | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2396000 | PA      | $1586095.10     | 0.00%             | 2059-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #G06719                                                                                 | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       82220 | PA      | $82204.96       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUCKHORN PARK CLO LTD                                                              | BUCKHORN PARK CLO LTD ARR TSFR3M+107 07/18/2034 144A                                                    | CUSIP: 118382BA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6900000 | PA      | $6899951.70     | 0.01%             | 2034-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                     | MORGAN STANLEY PRIVATE BANK NA 4.734%/VAR 07/18/2031                                                    | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     7760000 | PA      | $7869010.85     | 0.01%             | 2031-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2032#J36729                                                                          | CUSIP: 31307TPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11777 | PA      | $11520.20       | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 5.258%/VAR 04/17/2030                                                        | CUSIP: 606822DE1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     6000000 | PA      | $6191473.98     | 0.01%             | 2030-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AQ7316                                                                        | CUSIP: 3138MPDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103873 | PA      | $91775.33       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                                 | CANADIAN IMPERIAL BK OF COMM 6.092% 10/03/2033                                                          | CUSIP: 13607LWW9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    11192000 | PA      | $12081584.03    | 0.01%             | 2033-10-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #339493                                                                                 | CUSIP: 31375NC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $11.69          | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AA6286                                                                        | CUSIP: 36178D6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15759 | PA      | $14359.23       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 08/01/2042#Q10217                                                                          | CUSIP: 3132HLG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9063 | PA      | $8348.82        | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 12/20/2039#004592                                                                        | CUSIP: 36202FC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       57796 | PA      | $56708.80       | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2037#AB8009                                                                        | CUSIP: 31417E3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3451 | PA      | $3450.90        | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RAND PARENT LLC                                                                    | RAND PARENT LLC 8.5% 02/15/2030 144A                                                                    | CUSIP: 753272AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1360000 | PA      | $1409437.36     | 0.00%             | 2030-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#RA6506                                                                          | CUSIP: 3133KNGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      722964 | PA      | $579603.03      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.0% 12/20/2042#AA5872                                                                          | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      228233 | PA      | $209716.59      | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2019-NQM4                                                | NEW RESIDENTIAL MTG LN TR 2019-NQM4 3.5% 08/25/2059 144A                                                | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      285699 | PA      | $267429.03      | 0.00%             | 2059-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #582105                                                                                 | CUSIP: 36201FU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         514 | PA      | $532.22         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 11/20/2044#MA2372                                                                          | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1381946 | PA      | $1326918.24     | 0.00%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #711174                                                                                 | CUSIP: 36297GCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12802 | PA      | $12768.13       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACCENTRO EAST HOLDING GMBH                                                         | ACCENTRO EAST HOLDING GMBH PIK 6% 06/30/2027                                                            | CUSIP: N/A<br>LEI: 89450079WA652Y9PWZ14       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $116990.00      | 0.00%             | 2027-06-30      | Fixed         | 0.06%                 | No            |                  3 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #572541                                                                                 | CUSIP: 36200UBJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1590 | PA      | $1645.23        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 11/26 #C91010                                                                           | CUSIP: 3128P7DP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         141 | PA      | $141.92         | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 04/01/2052#RA7142                                                                          | CUSIP: 3133KN5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11820874 | PA      | $9547029.24     | 0.01%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                              | VENTURE GLOBAL PLAQUE 7.75% 05/01/2035 144A                                                             | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      940000 | PA      | $1046637.36     | 0.00%             | 2035-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 5% 09/01/2040 #TBA                                                                            | CUSIP: 01F050494<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    15900000 | PA      | $16064590.44    | 0.02%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #446830                                                                                 | CUSIP: 36208CLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         153 | PA      | $155.29         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21835                                                                        | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       61938 | PA      | $59994.74       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/EUR settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1281.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#CA7323                                                                          | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8874995 | PA      | $7206643.53     | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                                | CUSIP: 31293L6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          88 | PA      | $89.75          | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/01/2055 #TBA                                                                            | CUSIP: 21H032696<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -5150000 | PA      | $-4687175.17    | -0.01%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 09/17/55                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     3297000 | NC      | $-14776.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL SPA                                                                           | ENEL SPA 3.375%/VAR PERP REGS                                                                           | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |      671000 | PA      | $787102.24      | 0.00%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                       | CAIXABANK SA 5.673%/VAR 03/15/2030 144A                                                                 | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     9690000 | PA      | $10073297.16    | 0.01%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/31 #253895                                                                                 | CUSIP: 31371J7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          35 | PA      | $37.30          | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #451506                                                                                | CUSIP: 36208HR32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          18 | PA      | $17.84          | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#C03486                                                                        | CUSIP: 31292K2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12451 | PA      | $12453.92       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                                      | NORDSTROM INC 4.375% 04/01/2030                                                                         | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |      405000 | PA      | $372978.03      | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2017-1R                                          | CASTLELAKE AIRCRAFT SECURITIZATION TRUST 2.741% 08/15/2041 144A                                         | CUSIP: 14856JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1934694 | PA      | $1915354.85     | 0.00%             | 2041-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                                             | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    43944767 | PA      | $44054628.69    | 0.05%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22677                                                                        | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35712 | PA      | $34432.20       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2043#AU1335                                                                        | CUSIP: 3138X0PV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20451 | PA      | $19159.88       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552554                                                                                | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63323 | PA      | $61416.38       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 4.4% 04/05/2052                                                                | CUSIP: 21871XAM1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     5916000 | PA      | $4724246.82     | 0.01%             | 2052-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2036#CB2246                                                                        | CUSIP: 3140QMP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99609 | PA      | $93563.21       | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2042#MA1028                                                                        | CUSIP: 31418AEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15048 | PA      | $14596.19       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                                                   | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                                                   | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    38610092 | PA      | $36496251.42    | 0.04%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H14 FC TSFR1M+61.448 5/61                                                                      | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       54170 | PA      | $54180.29       | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2054#SD6419                                                                          | CUSIP: 3132DUDY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    37155146 | PA      | $38621001.90    | 0.05%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8185                                                                          | CUSIP: 31419KCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52547 | PA      | $50984.20       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#RA6926                                                                          | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2703048 | PA      | $2367080.75     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #735744                                                                                 | CUSIP: 31402RLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1302 | PA      | $1366.27        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 04/01/2038#FM7607                                                                          | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148942 | PA      | $144133.59      | 0.00%             | 2038-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 12/01/2027#                                                                              | CUSIP: 31283G6V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           6 | PA      | $6.22           | 0.00%             | 2027-12-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5% 03/01/2032 144A                                                                             | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    13403000 | PA      | $13679941.36    | 0.02%             | 2032-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 104 CLO LTD / DRYDEN 104 CLO LLC                                            | DRYDEN 104 CLO LTD / DRYDEN 104 CLO LLC A1R TSFR3M+129 08/20/2034 144A                                  | CUSIP: 26253BAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6800000 | PA      | $6812076.80     | 0.01%             | 2034-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 09/17/37                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -105000 | NC      | $-1736.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#                                                                                | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      114719 | PA      | $91684.24       | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2047#Q46222                                                                        | CUSIP: 3132WK4G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      158018 | PA      | $155393.64      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #443819                                                                                 | CUSIP: 31380MAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         198 | PA      | $207.75         | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2041#MA4312                                                                        | CUSIP: 31418DYJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5253067 | PA      | $4707608.49     | 0.01%             | 2041-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                                                | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                                               | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    20575435 | PA      | $20631836.57    | 0.02%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FIN CORP                                                             | CDW LLC / CDW FIN CORP 5.1% 03/01/2030                                                                  | CUSIP: 12513GBK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    18200000 | PA      | $18504319.65    | 0.02%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.95% 06/15/2028                                                                     | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     3824000 | PA      | $3883521.86     | 0.00%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FDG II                                                           | MASSMUTUAL GLOBAL FDG II 4.85% 01/17/2029 144A                                                          | CUSIP: 57629W5B2<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $7975280.59     | 0.01%             | 2029-01-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AB2079                                                                                 | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      423654 | PA      | $412438.75      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/32 #545762                                                                                 | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3040 | PA      | $3173.16        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 09/01/2054#RJ2412                                                                        | CUSIP: 3142GSVE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4563389 | PA      | $4645477.63     | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD0793                                                                        | CUSIP: 36180B3A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4769 | PA      | $4333.22        | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                     | VIRGINIA ELECTRIC AND POWER CO 3.75% 05/15/2027                                                         | CUSIP: 927804GH1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1990021.62     | 0.00%             | 2027-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR TSFR1M+151.448 03/15/2026 144A                                                     | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1983800 | PA      | $1971401.24     | 0.00%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#RA4527                                                                        | CUSIP: 3133KLA49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       74301 | PA      | $62376.17       | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 4.25% 04/15/2027                                                                     | CUSIP: 15135UAM1<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     5693000 | PA      | $5689105.08     | 0.01%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15893                                                                        | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38366 | PA      | $37148.16       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #829377                                                                                 | CUSIP: 31407FM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2026 | PA      | $2133.06        | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.605%/VAR 04/23/2036                                                            | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    16834000 | PA      | $17477648.33    | 0.02%             | 2036-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AR2887                                                                        | CUSIP: 3138W0F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26280 | PA      | $23253.51       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#BP5605                                                                          | CUSIP: 3140KDGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16103696 | PA      | $14912210.92    | 0.02%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #451321                                                                                 | CUSIP: 36208HLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          16 | PA      | $15.64          | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H01 FA TSFR1M+81.448 11/61                                                                     | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       66269 | PA      | $66441.68       | 0.00%             | 2061-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/45#AZ5847                                                                             | CUSIP: 3138YXP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21167 | PA      | $19208.41       | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/32 #646424                                                                                 | CUSIP: 31390HD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          83 | PA      | $87.88          | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 12/01/2061         | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    18290000 | PA      | $12419735.61    | 0.01%             | 2061-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 2.5% 02/25/2052                                                                              | CUSIP: 3136BMM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    12698059 | PA      | $12067994.82    | 0.01%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                                                      | DLLAA 2023-1A 5.93% 07/20/2026 144A                                                                     | CUSIP: 23292HAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1497 | PA      | $1498.16        | 0.00%             | 2026-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                                     | FORD CR FLOORPLN MAST OWN TR A 5.48% 04/15/2029 144A                                                    | CUSIP: 34528QJC9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |     6500000 | PA      | $6594326.70     | 0.01%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9195                                                                        | CUSIP: 3138W7GD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7531 | PA      | $6907.92        | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PARKLAND CORP                                                                      | PARKLAND CORP 6.625% 08/15/2032 144A                                                                    | CUSIP: 70137WAN8<br>LEI: 549300UY5C6HUV0XLS53 | Long             | DBT              | CORP              | CA        |     1120000 | PA      | $1153518.24     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                    | MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC ARR TSFR3M+108 07/15/2034 144A                          | CUSIP: 55820BAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13160000 | PA      | $13172317.76    | 0.02%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BK3839                                                                          | CUSIP: 3140HHHR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66567 | PA      | $63274.83       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2045#G61829                                                                          | CUSIP: 31335CA61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1744361 | PA      | $1691426.92     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4645                                                                                | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24281 | PA      | $23702.11       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                | EMERA US FINANCE LP 2.639% 06/15/2031                                                                   | CUSIP: 29103DAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7893000 | PA      | $7024409.84     | 0.01%             | 2031-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 12/40 #004881                                                                             | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      231882 | PA      | $218304.68      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #353838                                                                                 | CUSIP: 36203NBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          29 | PA      | $29.91          | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD1736                                                                        | CUSIP: 36180C4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      338766 | PA      | $318542.55      | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030008 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     2800000 | NC      | $186106.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7946                                                                        | CUSIP: 31417EZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5304 | PA      | $4875.01        | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2046#BE0183                                                                        | CUSIP: 3140FKFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23656 | PA      | $21960.68       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 04/30/2032                                                                                 | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   204580000 | PA      | $205762728.13   | 0.25%             | 2032-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2047#BE8498                                                                        | CUSIP: 3140FUNQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5536 | PA      | $5450.99        | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28                        | MSBAM 2016-C28 3.272% 01/15/49                                                                          | CUSIP: 61766LBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4258553 | PA      | $4239211.95     | 0.01%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.125%/VAR 06/09/2033 REGS                                                                 | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |      730000 | PA      | $887870.89      | 0.00%             | 2033-06-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#BV8738                                                                          | CUSIP: 3140MNV86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2711022 | PA      | $2374911.25     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2047#CA0257                                                                        | CUSIP: 3140Q7JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3425198 | PA      | $3177522.42     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #625027                                                                                 | CUSIP: 31389GLG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          93 | PA      | $98.60          | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 08/01/2032#J37406                                                                          | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25995 | PA      | $25389.18       | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 10/01/2034#FM1579                                                                        | CUSIP: 3140X4XH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      175669 | PA      | $172254.69      | 0.00%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW GOLD INC                                                                       | NEW GOLD INC 6.875% 04/01/2032 144A                                                                     | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |      405000 | PA      | $422158.64      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 02/20/2051#MA7192                                                                            | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10257593 | PA      | $8402305.21     | 0.01%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ACCENTRO 2 WOHNEIGENTUM GMBH                                                       | ACCENTRO 2 WOHNEIGENTUM GMBH 20% 09/30/2025                                                             | CUSIP: N/A<br>LEI: 89450029G1XWU8H02364       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $116990.00      | 0.00%             | 2025-09-30      | Fixed         | 0.20%                 | No            |                  3 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD2180                                                                        | CUSIP: 36180DM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14187 | PA      | $13314.18       | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2036#CA9439                                                                        | CUSIP: 3140QHPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17170673 | PA      | $16230365.29    | 0.02%             | 2036-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3700                                                                  | CUSIP: 3142GUDE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1862523 | PA      | $1973157.22     | 0.00%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2048#ZM8154                                                                          | CUSIP: 3131Y3BX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      257909 | PA      | $244912.66      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 04/20/2031#MA3572                                                                          | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1503975 | PA      | $1470793.07     | 0.00%             | 2031-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 4.9% 09/15/2030                                                                          | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     9737000 | PA      | $9885994.41     | 0.01%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/36 #A79236                                                                                 | CUSIP: 3128LDHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46384 | PA      | $47112.48       | 0.00%             | 2036-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #747153                                                                                 | CUSIP: 3620C3BW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2395 | PA      | $2432.75        | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO 2017-1 LTD / TCI-SYMPHONY CLO 2017-1 LLC                          | TCI-SYMPHONY CLO 2017-1 LTD / TCI-SYMPHONY CLO 2017-1 LLC AR TSFR3M+119.161 07/15/2030 144A             | CUSIP: 87232BAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1330669 | PA      | $1331298.15     | 0.00%             | 2030-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2055#CC0730                                                                          | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    39827350 | PA      | $40882117.96    | 0.05%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2042#Q06232                                                                        | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      165302 | PA      | $160541.37      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL FUNDING                                                   | EQUITABLE AMERICA GLOBAL FUNDING 4.95% 06/09/2030 144A                                                  | CUSIP: 29446Q2B8<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    16856000 | PA      | $17194358.58    | 0.02%             | 2030-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q12215                                                                        | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6205 | PA      | $5997.90        | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #446822                                                                                 | CUSIP: 36208CLB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $19.04          | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WAND NEWCO 3 INC                                                                   | CALIBER COLLISION TERM B 1LN 01/30/2031                                                                 | CUSIP: 93369PAM6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | LON              | CORP              | US        |      164573 | PA      | $164182.49      | 0.00%             | 2031-01-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/20/2046#AS9183                                                                          | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11787 | PA      | $10877.17       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.21% 3/36 #1G1851                                                                             | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13598 | PA      | $13834.85       | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                           | CSX CORP 4.3% 03/01/2048                                                                                | CUSIP: 126408HK2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     5524000 | PA      | $4555796.48     | 0.01%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#SD0861                                                                          | CUSIP: 3132DM5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6459014 | PA      | $5656210.38     | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                        | AUST 10Y BOND FUT SEP25 XMU5                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |          29 | NC      | $1118.11        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/36 #654552                                                                                | CUSIP: 36294NEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1692 | PA      | $1768.22        | 0.00%             | 2036-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                     | WELLS FARGO TR 2013-LC12 4.245% 01/15/2052                                                              | CUSIP: 95001RAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4500277 | PA      | $4497497.78     | 0.01%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/40 #AE3014                                                                                 | CUSIP: 31419DK42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6541 | PA      | $6538.98        | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#BA3906                                                                        | CUSIP: 3140E8KU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28880 | PA      | $26945.22       | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                           | BUILDERS FIRSTSOURCE INC 4.25% 02/01/2032 144A                                                          | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     1415000 | PA      | $1329986.52     | 0.00%             | 2032-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                  | STORE CAPITAL LLC 2.75% 11/18/2030                                                                      | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     4066000 | PA      | $3669386.83     | 0.00%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1                                                                  | OBX 2025-NQM14 STEP 08/25/2064 144A                                                                     | CUSIP: 673924AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6822650 | PA      | $6836585.34     | 0.01%             | 2065-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      400000 | NC      | $63963.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.804 08/25/26                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    21280000 | NC      | $639619.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD                                     | SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD 7.5%/VAR 03/01/2055                                      | CUSIP: 836720AJ1<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |      157000 | PA      | $164095.14      | 0.00%             | 2055-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2052#BU1413                                                                        | CUSIP: 3140M2SB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2085510 | PA      | $1898373.81     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2043#AT2008                                                                        | CUSIP: 3138WPGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      161121 | PA      | $142370.50      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 10/25/2054                                                   | CUSIP: 3137HFYT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8066682 | PA      | $8059165.70     | 0.01%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569880                                                                                 | CUSIP: 36200RCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          23 | PA      | $23.43          | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                           | WILLIS NORTH AMERICA INC 4.5% 09/15/2028                                                                | CUSIP: 970648AG6<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |     1897000 | PA      | $1913552.33     | 0.00%             | 2028-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2004-73 AL TSFR1M+708.552 8/34                                                                      | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       16731 | PA      | $1623.75        | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4113                                                                                | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111684 | PA      | $108835.94      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INSIGHT ENTERPRISES INC                                                            | INSIGHT ENTERPRISES INC 6.625% 05/15/2032 144A                                                          | CUSIP: 45765UAC7<br>LEI: 529900S8991TYW6YP792 | Long             | DBT              | CORP              | US        |      400000 | PA      | $411826.00      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2028#FS3865                                                                          | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3618279 | PA      | $3539705.53     | 0.00%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053        | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12482000 | PA      | $10202510.82    | 0.01%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 12/01/2050#CA8005                                                                        | CUSIP: 3140QF3P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156142 | PA      | $118701.48      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2020-C55                                                   | WELLS FARGO COML MTG TR 2020-C55 2.651% 02/15/2053                                                      | CUSIP: 95002EAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |      726222 | PA      | $704725.63      | 0.00%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                            | AEP TRANSMISSION CO LLC 5.375% 06/15/2035                                                               | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5122057.00     | 0.01%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15062                                                                        | CUSIP: 3132J6B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33240 | PA      | $30518.44       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7111                                                                        | CUSIP: 3138WG3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1140455 | PA      | $1103074.82     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #678637                                                                                 | CUSIP: 36295R4W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6070 | PA      | $5897.15        | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/35 #255816                                                                                 | CUSIP: 31371MDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         250 | PA      | $266.09         | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #579718                                                                                 | CUSIP: 36201DAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          82 | PA      | $85.32          | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01393                                                                                 | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32401 | PA      | $32418.56       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                                            | CUSIP: 3137H6UX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9043323 | PA      | $8368368.16     | 0.01%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                                            | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.4% 05/15/2030                                                 | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5315000 | PA      | $5330991.77     | 0.01%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                               | WESTPAC BANKING CORP 5.405%/VAR 08/10/2033                                                              | CUSIP: 961214FG3<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    12205000 | PA      | $12468468.85    | 0.01%             | 2033-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722700                                                                                | CUSIP: 3620A83H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10001 | PA      | $9965.91        | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1150                                                                        | CUSIP: 3138NXH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10058 | PA      | $9216.48        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC8195                                                                          | CUSIP: 3133ATC82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4262374 | PA      | $3437142.62     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9701                                                                                 | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30235 | PA      | $29328.00       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 03/31/2030                                                                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    92438400 | PA      | $92236191.00    | 0.11%             | 2030-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01181                                                                                 | CUSIP: 3132GEJ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1969 | PA      | $1967.53        | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                                           | AGREE LP 4.8% 10/01/2032                                                                                | CUSIP: 008513AD5<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |     6806000 | PA      | $6779820.18     | 0.01%             | 2032-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 3.95% 07/15/2030 144A                                                                          | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    21858000 | PA      | $21094540.50    | 0.03%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#BU5834                                                                          | CUSIP: 3140M7PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2987096 | PA      | $2394766.86     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 4.95% 05/28/2027                                                               | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    20213000 | PA      | $20164248.87    | 0.02%             | 2027-05-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA FINANCIAL INC                                                                 | VOYA FINANCIAL INC 4.7%/VAR 01/23/2048                                                                  | CUSIP: 929089AF7<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |     3132000 | PA      | $3039349.80     | 0.00%             | 2048-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 06/20/2043#MA1092                                                                          | CUSIP: 36179NF94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9398 | PA      | $9349.24        | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2031#AS8511                                                                        | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5809888 | PA      | $5607017.39     | 0.01%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.25% 04/25/2052                                                         | CUSIP: 3137H6RT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    17082770 | PA      | $16199522.73    | 0.02%             | 2052-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 10/01/2041#AL4242                                                                        | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      122930 | PA      | $124848.01      | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 2.2% 01/15/2027                                                                          | CUSIP: 00914AAR3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     3428000 | PA      | $3336226.27     | 0.00%             | 2027-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ4047                                                                                | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      466479 | PA      | $453431.76      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02189                                                                        | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6200 | PA      | $6278.20        | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569898                                                                                 | CUSIP: 36200RDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         336 | PA      | $347.76         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCP AEGIS CLO 2024-39 LTD                                                          | OCP AEGIS CLO 2024-39 LTD D1 TSFR3M+280 01/16/2037 144A                                                 | CUSIP: 67120EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250135.00      | 0.00%             | 2037-01-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                                            | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2039 144A                                                | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    75589123 | PA      | $75683526.23    | 0.09%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2320                                                                        | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12768145 | PA      | $10774849.70    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 06/01/2041#BR1090                                                                        | CUSIP: 3140KYF82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2024608 | PA      | $1815298.26     | 0.00%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 4.85% 08/19/2032                                                        | CUSIP: 62954HBG2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     8338000 | PA      | $8333450.79     | 0.01%             | 2032-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2035#                                                                                | CUSIP: 31297TTR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         804 | PA      | $816.69         | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK45                                                                    | BANK 2023-BNK45 5.203% 02/15/2056                                                                       | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8201000 | PA      | $8391676.53     | 0.01%             | 2056-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                              | TMTS 2003-4HE A TSFR1M+97.448 9/34                                                                      | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       43049 | PA      | $44843.60       | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 5.125% 02/15/2030                                                                | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     6162000 | PA      | $6376897.47     | 0.01%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2933 ZM 5.75% 02/15/2035                                                                            | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      287741 | PA      | $293436.81      | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H14 FB TSFR1M+61.448 5/61                                                                      | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       57839 | PA      | $57845.31       | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/41 #430360                                                                                 | CUSIP: 36207FB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4157 | PA      | $4142.80        | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#BQ6624                                                                          | CUSIP: 3140KSLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8379536 | PA      | $6772899.19     | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/40 #941592                                                                                 | CUSIP: 31413CRM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3549 | PA      | $3542.25        | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 5.65% 02/15/2036                                                                         | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    20671000 | PA      | $20877903.27    | 0.02%             | 2036-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                  | HEALTHPEAK OP LLC 4.75% 01/15/2033                                                                      | CUSIP: 42250GAB9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    22285000 | PA      | $22133041.48    | 0.03%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #455124                                                                                 | CUSIP: 36208MSM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           8 | PA      | $8.59           | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2032#ZT2011                                                                        | CUSIP: 3132AEGU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      174237 | PA      | $172145.26      | 0.00%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2047#CA0607                                                                        | CUSIP: 3140Q7U96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13088610 | PA      | $12076732.04    | 0.01%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                                    | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    75606000 | PA      | $64476040.74    | 0.08%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 09/17/28                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -1152213000 | NC      | $-10034585.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MTG TR 2021-8                                                            | ANGEL OAK MTG TR 2021-8 1.82% 12/01/2025 144A                                                           | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1524803 | PA      | $1355989.72     | 0.00%             | 2066-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.829%/VAR 05/09/2027                                                                      | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     4720000 | PA      | $4762786.56     | 0.01%             | 2027-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 6 LTD / OHA CR FDG 6 LLC                                                | OHA CR FDG 6 LTD / OHA CR FDG 6 LLC AR2 TSFR3M+133 10/20/2037 144A                                      | CUSIP: 67098UAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16110000 | PA      | $16148615.67    | 0.02%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #353726                                                                                 | CUSIP: 36203M4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         273 | PA      | $276.92         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 08/01/2050#BQ0233                                                                          | CUSIP: 3140KKHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2495064 | PA      | $2006696.67     | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1910                                                                        | CUSIP: 3138NYDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67074 | PA      | $61514.76       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 4.625% 07/15/2035                                                                | CUSIP: 91324PCQ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      418000 | PA      | $405901.01      | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #486804                                                                                 | CUSIP: 36210AX93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         107 | PA      | $109.07         | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2043#AQ9947                                                                        | CUSIP: 3138MSBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28172 | PA      | $26594.44       | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2041#                                                                              | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20807 | PA      | $20788.59       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2021-96 AH 2.5% 03/25/2049                                               | CUSIP: 3136BKXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    20273076 | PA      | $17836428.43    | 0.02%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC33                                                    | CGCMT 2015-GC33 XA CSTR 09/58                                                                           | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      235480 | PA      | $7.70           | 0.00%             | 2058-09-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.66% 8/35 #745071                                                                             | CUSIP: 31403CW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2758 | PA      | $2833.74        | 0.00%             | 2035-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.2% 06/15/2028                                                                      | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     1380000 | PA      | $1314396.10     | 0.00%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#QD2943                                                                        | CUSIP: 3133B0HU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19193227 | PA      | $16118909.97    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #830817                                                                                | CUSIP: 31407HAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         284 | PA      | $299.53         | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                              | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     4300000 | PA      | $4448092.00     | 0.01%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                                                           | ENGIE SA 4.25% 09/06/2034 REGS                                                                          | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |      600000 | PA      | $730971.91      | 0.00%             | 2034-09-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2050#SD8043                                                                        | CUSIP: 3132DV5C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1493394 | PA      | $1256986.36     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 4.75% 07/15/2045                                                                 | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     1023000 | PA      | $903137.84      | 0.00%             | 2045-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-3 LTD                                                          | INVESCO US CLO 2024-3 LTD A TSFR3M+151 07/20/2037 144A                                                  | CUSIP: 46148HAB4<br>LEI: 254900GU4U8LUX3GA959 | Long             | ABS-CBDO         | CORP              | JE        |    12220000 | PA      | $12264920.72    | 0.01%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/47#Q47942                                                                             | CUSIP: 3132WMZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      129171 | PA      | $127025.72      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 06/01/2031#AS7325                                                                        | CUSIP: 3138WHD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      914590 | PA      | $884281.20      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 1.642%/VAR 06/14/2027                                                                 | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     1207000 | PA      | $1181418.03     | 0.00%             | 2027-06-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4                                            | CFCRE 2016-C4 A4 3.283% 05/10/58                                                                        | CUSIP: 12531YAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5376000 | PA      | $5342214.53     | 0.01%             | 2058-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2041#G06800                                                                        | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33181 | PA      | $32303.35       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 10/30 #515513                                                                                | CUSIP: 36211KVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3043 | PA      | $3113.40        | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 4.025 04/23/30                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   108700000 | NC      | $3831927.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 02/01/2041#RB5100                                                                          | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4134446 | PA      | $3586082.68     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                                 | ATHENE HOLDING LTD T5Y+NA 06/28/2055                                                                    | CUSIP: 04686JAM3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     1025000 | PA      | $1033128.25     | 0.00%             | 2055-06-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA SOFR30A+593.552 01/25/2044                                   | CUSIP: 3136AHTW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       63694 | PA      | $7392.07        | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                     | EUROPEAN UNION 0.75% 04/04/2031 REGS                                                                    | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |      561000 | PA      | $595923.18      | 0.00%             | 2031-04-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT3659                                                                        | CUSIP: 3138WRB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4980 | PA      | $4549.29        | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #848099                                                                                | CUSIP: 31408DGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         445 | PA      | $465.44         | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 10/41 #Q04113                                                                                | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45679 | PA      | $44462.29       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053                                           | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9376486 | PA      | $9367247.40     | 0.01%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #357040                                                                                 | CUSIP: 31376JS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         300 | PA      | $312.78         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0851                                                                                | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5346 | PA      | $5197.49        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 8/39 #AC4495                                                                                 | CUSIP: 31417N7H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3478 | PA      | $3398.12        | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #250736                                                                                | CUSIP: 31371FPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.34           | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2042#779398                                                                        | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2482 | PA      | $2328.02        | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2050#RA2621                                                                          | CUSIP: 3133KH4E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1770852 | PA      | $1672762.08     | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 10/01/2055 #TBA                                                                            | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    38150000 | PA      | $38945786.11    | 0.05%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KRONOS ACQUISITION HOLDINGS INC                                                    | KRONOS ACQUISITION HOLDINGS INC 8.25% 06/30/2031 144A                                                   | CUSIP: 50106GAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      465000 | PA      | $345262.50      | 0.00%             | 2031-06-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                  | BERKSHIRE HATHAWAY ENERGY COMPANY 3.25% 04/15/2028                                                      | CUSIP: 084659AM3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     2069000 | PA      | $2030782.76     | 0.00%             | 2028-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                               | VERIZON MASTER TRUST 4.83% 12/22/2031 144A                                                              | CUSIP: 92348KCH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7800000 | PA      | $7986148.56     | 0.01%             | 2031-12-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5.35% 04/01/2034                                                                           | CUSIP: 65473PAQ8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     9500000 | PA      | $9717291.03     | 0.01%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2052#QE5493                                                                          | CUSIP: 3133BFC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      118690 | PA      | $112709.31      | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                                           | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6809802 | PA      | $6827466.48     | 0.01%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                               | WR GRACE HOLDING LLC 4.875% 06/15/2027 144A                                                             | CUSIP: 92943GAD3<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |      439000 | PA      | $435467.75      | 0.00%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#FS1030                                                                          | CUSIP: 3140XGEC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10220544 | PA      | $8867170.62     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                                               | CENT TRUST 2025-CITY VAR 07/10/2040 144A                                                                | CUSIP: 12517TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   258988000 | PA      | $1921095.29     | 0.00%             | 2040-07-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                  | BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053                                                       | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16258359 | PA      | $867869.58      | 0.00%             | 2053-07-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 06/01/2054#FS8226                                                                        | CUSIP: 3140XQD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15637687 | PA      | $16461502.75    | 0.02%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                                | MEDLINE BORROWER LP 3.875% 04/01/2029 144A                                                              | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      730000 | PA      | $700980.16      | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726956                                                                                 | CUSIP: 31402ETM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7844 | PA      | $7854.71        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 4.85% 03/15/2035                                                                       | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     4650000 | PA      | $4565568.04     | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.280% 3/35 #843014                                                                            | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1067 | PA      | $1085.83        | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #711450                                                                                 | CUSIP: 36297GL73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4410 | PA      | $4281.24        | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2041#Q04636                                                                        | CUSIP: 3132GKY91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2593 | PA      | $2523.85        | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1500000 | NC      | $239863.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AZULE ENERGY FINANCE PLC                                                           | AZULE ENERGY FINANCE PLC 8.125% 01/23/2030 144A                                                         | CUSIP: 05501YAA6<br>LEI: 2138006X6O82RJSQDB63 | Long             | DBT              | CORP              | GB        |      285000 | PA      | $288680.21      | 0.00%             | 2030-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                    | ALLEGRO CLO LTD 2021-1A A1R TSFR3M+134 07/20/2038 144A                                                  | CUSIP: 01750WAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8250000 | PA      | $8278487.25     | 0.01%             | 2038-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2050#SD8080                                                                          | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   136840742 | PA      | $109919597.49   | 0.13%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2051#MA4495                                                                        | CUSIP: 31418D7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20460387 | PA      | $18592472.67    | 0.02%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOLENIS HOLDINGS LTD                                                               | SOLENIS TERM B6 1LN 6/20/2031                                                                           | CUSIP: 68163YAJ4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      989651 | PA      | $985118.83      | 0.00%             | 2031-06-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                      | LGI HOMES INC 7% 11/15/2032 144A                                                                        | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1024017.75     | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                                              | HIGHTOWER HOLDING LLC 6.75% 04/15/2029 144A                                                             | CUSIP: 43118DAA8<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |     1385000 | PA      | $1380267.46     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#FS2040                                                                          | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      289172 | PA      | $230768.55      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                               | ROYAL BANK OF CANADA 3.125%/VAR 09/27/2031 REGS                                                         | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | DBT              | CORP              | CA        |     1440000 | PA      | $1685037.26     | 0.00%             | 2031-09-27      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.81% 1/36 #1J1262                                                                             | CUSIP: 3128NHMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3315 | PA      | $3368.48        | 0.00%             | 2036-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| US ACUTE CARE SOLUTIONS                                                            | US ACUTE CARE SOLUTIONS 9.75% 05/15/2029 144A                                                           | CUSIP: 90367UAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      395000 | PA      | $405358.88      | 0.00%             | 2029-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 4.5% 04/22/2029                                                            | CUSIP: 91087BAF7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     3114000 | PA      | $3102322.50     | 0.00%             | 2029-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                      | BABSON CLO LTD/CAYMAN ISLANDS A1R2 TSFR3M+126 01/15/2038 144A                                           | CUSIP: 06762LAR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7970000 | PA      | $7983429.45     | 0.01%             | 2038-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2047#Q45635                                                                        | CUSIP: 3132WKHM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32312 | PA      | $31775.78       | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2053#RA9278                                                                          | CUSIP: 3133KRJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10770761 | PA      | $11125008.75    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.16% 9/35 #850124                                                                             | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1203 | PA      | $1237.52        | 0.00%             | 2035-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 1.234%/VAR 05/22/2027                                                             | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     5448000 | PA      | $5327815.05     | 0.01%             | 2027-05-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1270                                                                        | CUSIP: 3138NXMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10212 | PA      | $9342.95        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2031#                                                                                | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         982 | PA      | $1015.56        | 0.00%             | 2031-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                        | GSMS 2021-IP A TSFR1M+106.448 10/15/2036 144A                                                           | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24827106 | PA      | $24811653.61    | 0.03%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2047#BH0937                                                                        | CUSIP: 3140GPBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17071 | PA      | $16803.07       | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 08/01/2042#Q10538                                                                        | CUSIP: 3132HLS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6982 | PA      | $6407.14        | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2044#Q29656                                                                        | CUSIP: 3132MAMD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4954 | PA      | $4914.60        | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #589983                                                                                 | CUSIP: 36201QM83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         287 | PA      | $297.97         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD                                               | BENEFIT STREET PARTNERS CLO XXII LTD AR2 TSFR3M+115 04/20/2035 144A                                     | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10670000 | PA      | $10687018.65    | 0.01%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 06/25/2049                                                            | CUSIP: 3136BMER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5571106 | PA      | $5184368.86     | 0.01%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                        | METLIFE INC 5.375% 07/15/2033                                                                           | CUSIP: 59156RCE6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    16000000 | PA      | $16746178.24    | 0.02%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2104 PG 6% 12/28                                                                                    | CUSIP: 3133THA56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1109 | PA      | $1131.67        | 0.00%             | 2028-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FINANCE SA                                                     | CONSOLIDATED ENERGY TERM B 1LN 11/15/2030                                                               | CUSIP: N/A<br>LEI: 549300PUNIS0USNSL750       | Long             | LON              | CORP              | LU        |     1182008 | PA      | $1117659.08     | 0.00%             | 2030-11-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2052#RA6773                                                                          | CUSIP: 3133KNQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13666900 | PA      | $11037956.65    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95324                                                                        | CUSIP: 3129434H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         885 | PA      | $885.03         | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 08/01/2041#FM8334                                                                          | CUSIP: 3140XCHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3968090 | PA      | $3427233.54     | 0.00%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SHURGARD LUXEMBOURG SARL                                                           | SHURGARD LUXEMBOURG SARL 4% 05/27/2035 REGS                                                             | CUSIP: N/A<br>LEI: 54930064DJ4U15OBV665       | Long             | DBT              | CORP              | LU        |     1300000 | PA      | $1520108.52     | 0.00%             | 2035-05-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI MUNICIPAL INCOME FUND                                                                      | CUSIP: 31635V158<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |    15944343 | NS      | $153862907.96   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 5.7% 03/08/2033                                                                            | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     8000000 | PA      | $8345552.40     | 0.01%             | 2033-03-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2048#ZA6085                                                                          | CUSIP: 31329PXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      204091 | PA      | $193360.00      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2033#720240                                                                        | CUSIP: 31401WEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         829 | PA      | $828.24         | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1                                    | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1 1.17% 06/12/2034 144A                                   | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $4848504.50     | 0.01%             | 2034-06-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN HLDGS LLLP / LADDER CAP FIN CORP                                    | LADDER CAP FIN HLDGS LLLP/CORP 4.25% 02/01/2027 144A                                                    | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      800000 | PA      | $786889.92      | 0.00%             | 2027-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.75% 02/25/2052                                                         | CUSIP: 3137H5WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    21529824 | PA      | $19235958.97    | 0.02%             | 2052-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2051#                                                                              | CUSIP: 31418D5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      490966 | PA      | $447217.82      | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AD5457                                                                        | CUSIP: 36180HB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8033 | PA      | $7517.97        | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                   | PACIFIC LIFECORP 5.125% 01/30/2043 144A                                                                 | CUSIP: 694476AD4<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |     3343000 | PA      | $3109338.67     | 0.00%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                       | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 12/31/2030 144A                         | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      930000 | PA      | $916234.33      | 0.00%             | 2030-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.75% 04/15/2031                                                             | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     8767000 | PA      | $7902305.79     | 0.01%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #582151                                                                                 | CUSIP: 36201FWL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         175 | PA      | $179.91         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITIBANK NA 5.803% 09/29/2028                                                                           | CUSIP: 17325FBB3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8385040.96     | 0.01%             | 2028-09-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                       | GALLAGHER (ARTHUR J.) and CO 5.15% 02/15/2035                                                           | CUSIP: 04316JAN9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $7420835.00     | 0.01%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AJ5385                                                                                | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      149268 | PA      | $144993.13      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 05/01/2041#Q00557                                                                        | CUSIP: 3132GDTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10032 | PA      | $10201.69       | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-12 BO 0% 10/35                                                                                 | CUSIP: 31394VS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       29047 | PA      | $26086.42       | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#CB8850                                                                          | CUSIP: 3140QUZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27876171 | PA      | $28897548.62    | 0.03%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 4.75% 06/09/2027                                                                          | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     3759000 | PA      | $3776993.54     | 0.00%             | 2027-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.61% 3/35 #1L0297                                                                             | CUSIP: 3128Q2KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31379 | PA      | $31994.26       | 0.00%             | 2035-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 12/20/2054#MB0091                                                                            | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    15323339 | PA      | $15163958.27    | 0.02%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                         | FISERV INC 4.55% 02/15/2031                                                                             | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    25300000 | PA      | $25295467.76    | 0.03%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #439558                                                                                 | CUSIP: 36207RJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           2 | PA      | $2.22           | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 2.7% 02/01/2027                                                                               | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1685111.13     | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.293% 3/35 #815586                                                                            | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2582 | PA      | $2642.65        | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #409486                                                                                 | CUSIP: 31378U2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         163 | PA      | $166.25         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                           | EQT CORP 5.75% 02/01/2034                                                                               | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    23624000 | PA      | $24457338.49    | 0.03%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #452939                                                                                 | CUSIP: 36208KEL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          14 | PA      | $14.04          | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 04/25/2045                                                            | CUSIP: 3137FVE99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    12389988 | PA      | $11493097.03    | 0.01%             | 2045-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #457826                                                                                | CUSIP: 36208QSP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         318 | PA      | $319.35         | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 10/40 #004834                                                                             | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14852 | PA      | $14776.26       | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.974%/VAR 02/07/2030                                                       | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2345000 | PA      | $2325495.84     | 0.00%             | 2030-02-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #832175                                                                                 | CUSIP: 31407JQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         950 | PA      | $1000.69        | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2045#Q31307                                                                        | CUSIP: 3132QMNZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14909 | PA      | $14018.20       | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                                       | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    35614000 | PA      | $36177838.71    | 0.04%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 28 LTD / FLATIRON CLO 28 LLC                                          | FLATIRON CLO 28 LTD / FLATIRON CLO 28 LLC A1R TSFR3M+108 07/15/2036 144A                                | CUSIP: 33884EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13800000 | PA      | $13800000.00    | 0.02%             | 2036-07-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| NUVEEN LLC                                                                         | NUVEEN LLC 5.55% 01/15/2030 144A                                                                        | CUSIP: 67080LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    16339000 | PA      | $17111792.87    | 0.02%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-39 TE 5% 5/35                                                                                  | CUSIP: 31394DTZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        9192 | PA      | $9360.50        | 0.00%             | 2035-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#MA4305                                                                          | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17821794 | PA      | $14271097.02    | 0.02%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2045#AX9831                                                                        | CUSIP: 3138YB4R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32992 | PA      | $29759.35       | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.6% 09/01/2034                                                                      | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2230000 | PA      | $2266377.74     | 0.00%             | 2034-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 3/1/43#AR6743                                                                            | CUSIP: 3138W4P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      118297 | PA      | $111056.22      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 09/01/2051#QC7086                                                                        | CUSIP: 3133AR2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6428380 | PA      | $5394682.45     | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 1.875%/VAR 09/15/2081                                                                  | CUSIP: N/A<br>LEI: 549300FC3G3YU2FBZD92       | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2700641.32     | 0.00%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 07/01/2035#FM3159                                                                          | CUSIP: 3140X6QM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      374784 | PA      | $347054.39      | 0.00%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723248                                                                                | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2658 | PA      | $2699.49        | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #476576                                                                                 | CUSIP: 36209NMZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         105 | PA      | $106.26         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                                                       | VONTIER CORP 2.4% 04/01/2028                                                                            | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |     7691000 | PA      | $7309850.96     | 0.01%             | 2028-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #581664                                                                                 | CUSIP: 36201FFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         134 | PA      | $136.35         | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AON CORP / AON GLOBAL HOLDINGS PLC                                                 | AON CORP / AON GLOBAL HOLDINGS PLC 5.35% 02/28/2033                                                     | CUSIP: 03740LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6209672.58     | 0.01%             | 2033-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2052#BU8858                                                                        | CUSIP: 3140MAZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7795872 | PA      | $7573828.74     | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2042#792254                                                                          | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12775 | PA      | $12357.38       | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                                               | WELLS FARGO COML MORTAGE TR 2024-MGP A12 TSFR1M+179.1 08/15/2041 144A                                   | CUSIP: 95003TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20000000 | PA      | $19986174.00    | 0.02%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 3.25% 02/15/2027 144A                                                       | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    11688000 | PA      | $11472725.97    | 0.01%             | 2027-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 10/45#MA3173                                                                               | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2179193 | PA      | $2021956.18     | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2051#RA5746                                                                        | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1790548 | PA      | $1636593.47     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2051#FM7031                                                                          | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      704487 | PA      | $666785.06      | 0.00%             | 2051-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 6/42 #AB5423                                                                                 | CUSIP: 31417CAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      244321 | PA      | $230533.42      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY LLC                                                                 | RYAN SPECIALTY LLC 4.375% 02/01/2030 144A                                                               | CUSIP: 78351MAA0<br>LEI: 549300K52N7QBO3PYY45 | Long             | DBT              | CORP              | US        |      650000 | PA      | $628226.63      | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#CB2886                                                                          | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12982367 | PA      | $11368762.22    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                                                       | KREDITANSTALT FUR WIEDER(UNGTD 3.25% 03/24/2031 REGS                                                    | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |     4460000 | PA      | $5426093.87     | 0.01%             | 2031-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.875% 02/01/2029                                                                               | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     9796000 | PA      | $10210899.69    | 0.01%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AE9338                                                                                 | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11386 | PA      | $11091.54       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+81.948 01/25/2036 144A                                                     | CUSIP: 07324SCU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5406 | PA      | $5056.19        | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/43 #MA1012                                                                              | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3356339 | PA      | $3121945.34     | 0.00%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#666342                                                                        | CUSIP: 36295CHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18583 | PA      | $16843.47       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                       | HUDSON PACIFIC PROPERTIES LP 5.95% 02/15/2028                                                           | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    17949000 | PA      | $17558636.17    | 0.02%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.8% 11/15/2029                                                                        | CUSIP: 969457CL2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     8200000 | PA      | $8345424.95     | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 09/01/2055 #TBA                                                                            | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   789150000 | PA      | $794971796.30   | 0.95%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 12/33 #G03583                                                                                | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6791 | PA      | $7223.23        | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.15% 05/01/2030                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    55693000 | PA      | $57126000.94    | 0.07%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/36 #839064                                                                                 | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         458 | PA      | $480.79         | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-67 FA SOFR30A+80 10/25/2052                                           | CUSIP: 3136BPBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    44888775 | PA      | $44176610.49    | 0.05%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #468593                                                                                 | CUSIP: 36209DRN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          96 | PA      | $99.75          | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 2YR NOTE (CBT) FUT DEC25 TUZ5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        7907 | NC      | $3006828.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #468122                                                                                 | CUSIP: 36209DAX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         258 | PA      | $262.17         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.47% 3/40 #AD0820                                                                             | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9620 | PA      | $9973.22        | 0.00%             | 2040-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.35%/VAR 06/01/2034                                                              | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    20000000 | PA      | $20647949.40    | 0.02%             | 2034-06-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2037#BM1257                                                                        | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6705418 | PA      | $6193102.25     | 0.01%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                                                | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                                             | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11833255 | PA      | $11070192.15    | 0.01%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG'06 PTY LTD                                                       | FMG RES AUGUST 2006 PTY LTD 4.5% 09/15/2027 144A                                                        | CUSIP: 30251GBA4<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      790000 | PA      | $782778.53      | 0.00%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP TSFR1M+144.348 9 11/15/2038 144A                                                      | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5225983 | PA      | $5224349.73     | 0.01%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479596                                                                                | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2745 | PA      | $2661.82        | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047                                                            | CUSIP: 38380UAT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      641012 | PA      | $583321.51      | 0.00%             | 2047-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF4 LLC                                                                 | PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A                                                               | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3851733 | PA      | $3786978.14     | 0.00%             | 2054-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/32 #663318                                                                                 | CUSIP: 31391C4B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3641 | PA      | $3892.78        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32328                                                                        | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       90409 | PA      | $84687.47       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.375% 05/15/2051                                                           | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   488726000 | PA      | $303678301.30   | 0.36%             | 2051-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2047#ZM5206                                                                        | CUSIP: 3131XYYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      269089 | PA      | $249630.81      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                                           | ALLISON TRANSMISSION INC 3.75% 01/30/2031 144A                                                          | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |      900000 | PA      | $830640.96      | 0.00%             | 2031-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #565867                                                                                 | CUSIP: 36213VTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         630 | PA      | $653.11         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.50% 5/34 #Z40042                                                                                 | CUSIP: 3132FCBK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      327270 | PA      | $337212.44      | 0.00%             | 2034-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2052#FS7176                                                                          | CUSIP: 3140XN6N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20091572 | PA      | $17562957.09    | 0.02%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH D TSFR1M+236.448 07/15/2038 144A                                         | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18706092 | PA      | $18700248.27    | 0.02%             | 2038-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 09/01/2040#AE3951                                                                        | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17110 | PA      | $16632.82       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                                                 | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                                         | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29530000 | PA      | $29534606.68    | 0.04%             | 2035-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB2330                                                                        | CUSIP: 36178MST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5744 | PA      | $5384.76        | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#RA6388                                                                        | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      855794 | PA      | $725133.72      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS INC                                                             | ADVANCE AUTO PARTS INC 1.75% 10/01/2027                                                                 | CUSIP: 00751YAF3<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     3120000 | PA      | $2909980.94     | 0.00%             | 2027-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6% 01/15/2033 144A                                                                        | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     1850000 | PA      | $1870769.95     | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 6/36 #885763                                                                                 | CUSIP: 31410DB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1714 | PA      | $1818.85        | 0.00%             | 2036-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                     | COMMERZBANK AG 8.625%/VAR 02/28/2033 REGS                                                               | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |      200000 | PA      | $290291.24      | 0.00%             | 2033-02-28      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 10/01/2042#AB6493                                                                        | CUSIP: 31417DGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47366 | PA      | $43430.40       | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 2.25% 02/01/2032                                                                           | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     8095000 | PA      | $7010732.39     | 0.01%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 6/33 #003401                                                                              | CUSIP: 36202DX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3821 | PA      | $3812.94        | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                      | DTE ENERGY CO 5.2% 04/01/2030                                                                           | CUSIP: 233331BN6<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |     9729000 | PA      | $10028250.22    | 0.01%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2047#CA1780                                                                        | CUSIP: 3140Q86S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19998 | PA      | $19603.78       | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 6.75% 06/15/2039                                                                  | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     5390000 | PA      | $5581127.68     | 0.01%             | 2039-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORPORATION                                                             | FAIR ISAAC CORPORATION 4% 06/15/2028 144A                                                               | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     1130000 | PA      | $1100949.40     | 0.00%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2021-2 LTD                                                       | PALMER SQUARE CLO 2021-2 LTD DR2 TSFR3M+414 02/15/2038 144A                                             | CUSIP: 69701XAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      100000 | PA      | $100959.20      | 0.00%             | 2038-02-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FA2169                                                                          | CUSIP: 3140W2MT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10881869 | PA      | $8778448.63     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC                | COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC 7% 06/15/2027 144A                  | CUSIP: 19240WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $124438.38      | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                        | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      202001 | PA      | $190309.66      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 4/42 #MA0023                                                                              | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      203091 | PA      | $196348.25      | 0.00%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                                            | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                                                          | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4083621 | PA      | $3994381.96     | 0.00%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST                                           | 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST 1.122% 11/15/2054                                              | CUSIP: 88581EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3563905 | PA      | $3490575.62     | 0.00%             | 2054-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.9% 12/01/2033                                                              | CUSIP: 22003BAP1<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    17416000 | PA      | $14648887.75    | 0.02%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 02/43 #Q15871                                                                                 | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57741 | PA      | $54839.43       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                      | UNICREDIT SPA 1.982%/VAR 06/03/2027 144A                                                                | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     6165000 | PA      | $6052343.32     | 0.01%             | 2027-06-03      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #356391                                                                                 | CUSIP: 31376H2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         123 | PA      | $124.79         | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2049#SD8016                                                                          | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12381768 | PA      | $10881506.63    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.592%/VAR 04/29/2031                                                       | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    15184000 | PA      | $14041728.94    | 0.02%             | 2031-04-29      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 03/20/44#MA1760                                                                            | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16890 | PA      | $15711.92       | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2043#ZS3684                                                                        | CUSIP: 3132A4CV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7303228 | PA      | $6889134.19     | 0.01%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 3.4% 05/01/2030                                                         | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     5200000 | PA      | $4977248.22     | 0.01%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 08/01/2052#QE8192                                                                          | CUSIP: 3133BJC59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59848 | PA      | $56831.85       | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #728319                                                                                | CUSIP: 3620AFDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5191 | PA      | $5272.73        | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5% 05/15/2050                                                                        | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    42639000 | PA      | $35387982.22    | 0.04%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2046#AX5803                                                                          | CUSIP: 36196HNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8408 | PA      | $7956.88        | 0.00%             | 2046-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 3.945%/VAR 02/18/2037 REGS                                                                  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |     2600000 | PA      | $3016320.28     | 0.00%             | 2037-02-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 3.625% 06/17/2031                                                              | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4501394.20     | 0.01%             | 2031-06-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 8/29 #781078                                                                                 | CUSIP: 36225BFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          62 | PA      | $63.59          | 0.00%             | 2029-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AE2144                                                                        | CUSIP: 36180ULZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9942 | PA      | $9319.87        | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                      | HEALTHCARE REALTY HOLDINGS LP 3.1% 02/15/2030                                                           | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     1868000 | PA      | $1755635.63     | 0.00%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2053#CB7297                                                                        | CUSIP: 3140QTDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20802911 | PA      | $21216131.78    | 0.03%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/32 #647416                                                                                 | CUSIP: 31390JGZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         941 | PA      | $1000.51        | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32                                     | WFCM 2016-C32 A3 3.294% 01/59                                                                           | CUSIP: 94989YAY9<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |     1602196 | PA      | $1596053.16     | 0.00%             | 2059-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2043#AT2887                                                                        | CUSIP: 3138WQF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10669 | PA      | $10041.09       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A                                  | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6654469 | PA      | $6612878.14     | 0.01%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #733919                                                                                 | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7957 | PA      | $8083.42        | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 03/20/2052#                                                                                  | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   102732325 | PA      | $84167216.89    | 0.10%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 09/01/2035#MA4122                                                                        | CUSIP: 31418DSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95208 | PA      | $85551.92       | 0.00%             | 2035-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 09/01/2036#MA4417                                                                        | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1010895 | PA      | $906156.63      | 0.00%             | 2036-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#FM3897                                                                          | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      925006 | PA      | $748808.10      | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #452535                                                                                | CUSIP: 36208JV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         268 | PA      | $272.44         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #757489                                                                                 | CUSIP: 36230SKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       47863 | PA      | $44855.91       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2054#CB8689                                                                        | CUSIP: 3140QUUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18367477 | PA      | $18531426.88    | 0.02%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2053#                                                                                | CUSIP: 3132DWFZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5581202 | PA      | $4839539.77     | 0.01%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2051#785791                                                                          | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10410050 | PA      | $8792095.84     | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/37 #940208                                                                                 | CUSIP: 31413BAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1315 | PA      | $1419.70        | 0.00%             | 2037-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#FS4654                                                                          | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8228651 | PA      | $6607228.82     | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2041#                                                                                | CUSIP: 3132GEVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15593 | PA      | $15150.76       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 6.125% 05/15/2030                                                                  | CUSIP: 682691AL4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      500000 | PA      | $507144.39      | 0.00%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                         | STANDARD INDUSTRIES INC/NJ 4.375% 07/15/2030 144A                                                       | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      435000 | PA      | $416851.89      | 0.00%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#MA4513                                                                          | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1311437 | PA      | $1143108.49     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 8% 11/01/2031                                                                             | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     8688000 | PA      | $9943027.56     | 0.01%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                            | SENSATA TECHNOLOGIES BV 4% 04/15/2029 144A                                                              | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |      275000 | PA      | $263402.26      | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 9.00% 10/30 #567024                                                                                | CUSIP: 31386L4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2432 | PA      | $2592.21        | 0.00%             | 2030-10-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2039#AB0050                                                                        | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106698 | PA      | $106853.15      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2045#G08676                                                                        | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4272 | PA      | $3965.20        | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#RA4575                                                                        | CUSIP: 3133KLCL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4464493 | PA      | $3747988.12     | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A                                                   | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21261276 | PA      | $21254632.25    | 0.03%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #571901                                                                                 | CUSIP: 36200TKN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         556 | PA      | $575.58         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #757488                                                                                 | CUSIP: 36230SJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60874 | PA      | $57064.66       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 06/01/2038#K94293                                                                          | CUSIP: 3132LQUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       62290 | PA      | $60780.52       | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                              | GFL ENVIRONMENTAL INC 6.75% 01/15/2031 144A                                                             | CUSIP: 36168QAQ7<br>LEI: 5493008HF9XC5H29ZX61 | Long             | DBT              | CORP              | CA        |      310000 | PA      | $323618.92      | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                        | NATIONWIDE BUILDING SOC(UNGTD) 6.557%/VAR 10/18/2027 144A                                               | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     6000000 | PA      | $6139988.52     | 0.01%             | 2027-10-18      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     3300000 | NC      | $219339.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT2721                                                                        | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      387395 | PA      | $354770.23      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #778796                                                                                 | CUSIP: 36176W7H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         742 | PA      | $697.31         | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACCENTRO REAL ESTATE AG                                                            | ACCENTRO REAL ESTATE AG STEP 02/13/2026 REGS                                                            | CUSIP: N/A<br>LEI: 391200VKLY50XNAFCM46       | Long             | DBT              | CORP              | DE        |     1314000 | PA      | $599526.96      | 0.00%             | 2026-02-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #734922                                                                                 | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4040 | PA      | $4045.79        | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2045#Q34458                                                                        | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      134847 | PA      | $129769.35      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 2021 SR1M+156.27 02/15/2039 144A                                           | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5089000 | PA      | $5084228.92     | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #460697                                                                                | CUSIP: 36208TX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         317 | PA      | $320.33         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 11/20/2050#MA6994                                                                            | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    45185384 | PA      | $37012716.99    | 0.04%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #737104                                                                                 | CUSIP: 3620AQ3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5851 | PA      | $5831.37        | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                   | CCO HLDGS LLC/CAP CORP 4.5% 08/15/2030 144A                                                             | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9205000 | PA      | $8713091.98     | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                      | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     5827000 | PA      | $5810183.74     | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 06/01/2053#RA9161                                                                        | CUSIP: 3133KRFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3884930 | PA      | $3953600.15     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 9/40 #004801                                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      164118 | PA      | $163284.48      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.999% 11/01/2049                                                                          | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      889000 | PA      | $669500.61      | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2047#ZM4241                                                                        | CUSIP: 3131XXWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       83333 | PA      | $77306.94       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/26 #256384                                                                                 | CUSIP: 31371MXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $5.00           | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #710771                                                                                 | CUSIP: 36297FT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2971 | PA      | $3018.35        | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2040#A90709                                                                        | CUSIP: 312938YE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14951 | PA      | $14961.48       | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 TERM B 1LN 3/29/2032                                                                            | CUSIP: 52729KAT3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |      145000 | PA      | $145574.20      | 0.00%             | 2032-03-29      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2023-1 LTD                                                                | VOYA CLO 2023-1 LTD A1 TSFR3M+180 01/20/2037 144A                                                       | CUSIP: 92920FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14610000 | PA      | $14651185.59    | 0.02%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                          | CAESARS ENTERTAINMENT INC 6% 10/15/2032 144A                                                            | CUSIP: 12769GAD2<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |      465000 | PA      | $455910.74      | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ACCENTRO 2 WOHNEIGENTUM GMBH                                                       | ACCENTRO 2 WOHNEIGENTUM GMBH 20% 09/30/2025                                                             | CUSIP: N/A<br>LEI: 89450029G1XWU8H02364       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $116990.00      | 0.00%             | 2025-09-30      | Fixed         | 0.20%                 | No            |                  3 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 06/01/2035#QN2404                                                                          | CUSIP: 3133G8U58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5591796 | PA      | $5178068.22     | 0.01%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 5% 07/01/2040#SB1550                                                                          | CUSIP: 3132CXWK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1876004 | PA      | $1895251.29     | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.875% 04/15/2030                                                                      | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    22430000 | PA      | $21970001.30    | 0.03%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 8% 11/14/2035                                                                      | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     4590000 | PA      | $4825237.50     | 0.01%             | 2035-11-14      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 5.55% 08/15/2035                                                                         | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    10800000 | PA      | $10878526.80    | 0.01%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 09/01/2053#CB7134                                                                        | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10705274 | PA      | $11222407.46    | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                         | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    11501000 | PA      | $10114848.99    | 0.01%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 2.5% 03/24/2028 144A                                                              | CUSIP: 04685A2V2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     6975000 | PA      | $6669422.46     | 0.01%             | 2028-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/29 #510903                                                                                 | CUSIP: 36211ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         209 | PA      | $213.11         | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 5.21%/VAR 08/11/2028                                                                  | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     8310000 | PA      | $8442317.14     | 0.01%             | 2028-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9238                                                                        | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20846 | PA      | $19087.18       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/39 #710513                                                                                | CUSIP: 36297FK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6384 | PA      | $6204.45        | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2346                                                                          | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6343203 | PA      | $5134927.78     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #824358                                                                                 | CUSIP: 31406YZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1149 | PA      | $1207.50        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO LTD                                                                    | INVESCO CLO LTD A TSFR3M+139.161 10/22/2034 144A                                                        | CUSIP: 46146JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9130000 | PA      | $9136527.95     | 0.01%             | 2034-10-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-10 LTD                                                         | CARLYLE US CLO 2021-10 LTD A1R TSFR3M+131 01/20/2038 144A                                               | CUSIP: 14316YAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16231000 | PA      | $16274223.15    | 0.02%             | 2038-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 02/15/2033                                                                               | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   260524000 | PA      | $252525100.37   | 0.30%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3% 10/29/2028                                        | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    31806000 | PA      | $30601336.62    | 0.04%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD6579                                                                          | CUSIP: 3133B4JY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      773961 | PA      | $674619.59      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 25YR 5.50% 7/35 #G05815                                                                            | CUSIP: 3128M7YL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29317 | PA      | $30270.00       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #713471                                                                                 | CUSIP: 36297JT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20426 | PA      | $20361.16       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                              | AIRCASTLE LTD / AIRCASTLE IRELAND DAC 5% 09/15/2030 144A                                                | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    10500000 | PA      | $10585148.60    | 0.01%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 07/01/2052#SD3019                                                                          | CUSIP: 3132DQK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10440211 | PA      | $9057749.74     | 0.01%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7280                                                                        | CUSIP: 31417ECS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67962 | PA      | $62392.56       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                                 | INGERSOLL RAND INC 5.7% 08/14/2033                                                                      | CUSIP: 45687VAB2<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |     4393000 | PA      | $4629777.82     | 0.01%             | 2033-08-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INC                                                | PUBLIC SVC ENTERPRISE GRP INC 4.9% 03/15/2030                                                           | CUSIP: 744573BA3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     2250000 | PA      | $2300476.88     | 0.00%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33801                                                                        | CUSIP: 3132QQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4284 | PA      | $3982.33        | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 08/01/2052#CB4352                                                                          | CUSIP: 3140QPZS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2122643 | PA      | $2125720.90     | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #449499                                                                                 | CUSIP: 36208FKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         290 | PA      | $293.59         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738404                                                                                 | CUSIP: 3620ASKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1760 | PA      | $1788.75        | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                                           | ACADIA HEALTHCARE CO INC 5% 04/15/2029 144A                                                             | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |      635000 | PA      | $620654.46      | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2035#                                                                                | CUSIP: 3128LXFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14727 | PA      | $14963.66       | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYMETRA LIFE INSURANCE CO                                                          | SYMETRA LIFE INSURANCE CO 6.55% 10/01/2055 144A                                                         | CUSIP: 87151KAA7<br>LEI: 2CKADF5K7JYB5EG0VY36 | Long             | DBT              | CORP              | US        |     3667000 | PA      | $3727355.92     | 0.00%             | 2055-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #A93367                                                                                 | CUSIP: 312941W45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1379 | PA      | $1400.93        | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                           | MSCI INC 5.25% 09/01/2035                                                                               | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    16672000 | PA      | $16538557.31    | 0.02%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP CDS 06/20/30 UCGIM B                                                                          | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |     1800000 | NC      | $-835.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 07/01/2043#AL3931                                                                        | CUSIP: 3138ELLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9815 | PA      | $9469.50        | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                                             | CUSIP: 3136AA2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       74770 | PA      | $69958.67       | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.296%/VAR 07/23/2036                                                                     | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | CORP              | US        |      600000 | PA      | $705311.45      | 0.00%             | 2036-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2034#BN5298                                                                          | CUSIP: 3140JM3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105303 | PA      | $102155.51      | 0.00%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/28 #252084                                                                                | CUSIP: 31371G6V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          15 | PA      | $15.30          | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 2.703% 04/15/2032                                                                 | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     2039000 | PA      | $1794804.08     | 0.00%             | 2032-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                                          | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                                     | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2683000 | PA      | $2609621.56     | 0.00%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 06/20/2055#MB0422                                                                          | CUSIP: 3618N5PG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1940005 | PA      | $1868034.61     | 0.00%             | 2055-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2053#FS4631                                                                        | CUSIP: 3140XLED6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18531790 | PA      | $18824612.67    | 0.02%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 5.841%/VAR 01/23/2030                                                        | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     6700000 | PA      | $6968290.78     | 0.01%             | 2030-01-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019                                                 | UBS COMMERCIAL MORTGAGE TRUST 2019-C18 ASB 2.9872% 12/15/2052                                           | CUSIP: 90278PAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3417159 | PA      | $3342419.86     | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2052#SD8193                                                                          | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10862569 | PA      | $8664436.89     | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 4.9% 07/15/2032                                                                            | CUSIP: 11135FCL3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    10200000 | PA      | $10325141.86    | 0.01%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.25% 01/30/2031                                                                        | CUSIP: 126650DX5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     5087000 | PA      | $5231086.27     | 0.01%             | 2031-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH9771                                                                                 | CUSIP: 3138AB2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8186 | PA      | $7955.25        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                            | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     2436323 | PA      | $2174097.21     | 0.00%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.194% 07/25/2027                                                        | CUSIP: 3137FAWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6723000 | PA      | $6625841.22     | 0.01%             | 2027-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2032#BM5345                                                                          | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2491816 | PA      | $2434384.43     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                           | ARES CLO AR2 TSFR3M+131 07/15/2038 144A                                                                 | CUSIP: 04017WAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21989000 | PA      | $22091094.93    | 0.03%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/37 #995073                                                                                | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44972 | PA      | $47408.26       | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #459933                                                                                 | CUSIP: 36208S4S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         339 | PA      | $344.12         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                                | KIMCO REALTY OP LLC 6.4% 03/01/2034                                                                     | CUSIP: 49447BAA1<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    20000000 | PA      | $21880359.60    | 0.03%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#BR3500                                                                          | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13561 | PA      | $10884.36       | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                            | BATH and BODY WORKS INC 6.875% 11/01/2035                                                               | CUSIP: 501797AL8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      885000 | PA      | $921736.35      | 0.00%             | 2035-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 12/26 #C91019                                                                           | CUSIP: 3128P7DY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         667 | PA      | $672.56         | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #460023                                                                                 | CUSIP: 36208TAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1770 | PA      | $1795.67        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2802 OB 6% 5/34                                                                                     | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       17165 | PA      | $17604.59       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK13                                                                    | BANK 2018-BNK13 3.953% 08/15/2061                                                                       | CUSIP: 06539LBA7<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |     6489939 | PA      | $6453828.33     | 0.01%             | 2061-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                                                 | BAUSCH and LOMB TERM B 1LN 1/15/2031                                                                    | CUSIP: N/A<br>LEI: 549300NY6OZM39SO6475       | Long             | LON              | CORP              | CA        |     1440000 | PA      | $1440259.20     | 0.00%             | 2031-01-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                              | AMRIZE FINANCE US LLC 4.7% 04/07/2028 144A                                                              | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     1949000 | PA      | $1973134.29     | 0.00%             | 2028-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/47#AL9779                                                                               | CUSIP: 3138ER2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96567 | PA      | $92364.71       | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/29 #506350                                                                                 | CUSIP: 31383LQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         234 | PA      | $244.44         | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK7441                                                                                 | CUSIP: 3138ECHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12353 | PA      | $11978.02       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FIN CORP                             | DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FIN CORP 8.625% 03/15/2029 144A                           | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1020000 | PA      | $1066213.14     | 0.00%             | 2029-03-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/41 #748183                                                                                 | CUSIP: 3620C4FY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2700 | PA      | $2627.59        | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2013-16 GP 3% 1/1/33                                                                                | CUSIP: 3136ACSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      164834 | PA      | $162318.27      | 0.00%             | 2033-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/31#G05173                                                                             | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3233 | PA      | $3230.88        | 0.00%             | 2031-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 05/15/2034                                                                             | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   105436400 | PA      | $107495704.69   | 0.13%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PBF HLDG CO LLC / PBF FIN CORP                                                     | PBF HLDG CO LLC / PBF FIN CORP 9.875% 03/15/2030 144A                                                   | CUSIP: 69318FAM0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      855000 | PA      | $882736.01      | 0.00%             | 2030-03-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                                                           | ENGIE SA 3.875% 03/06/2036 REGS                                                                         | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |      800000 | PA      | $943852.09      | 0.00%             | 2036-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA FHAL 7% 12/28#252285                                                                               | CUSIP: 31371HF29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          91 | PA      | $92.36          | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #631463                                                                                 | CUSIP: 31389PQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         165 | PA      | $174.77         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT3073                                                                           | CUSIP: 3138WQMX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33872 | PA      | $31842.09       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2046#AS7822                                                                        | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152357 | PA      | $141006.56      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2043#Q16131                                                                        | CUSIP: 3132J7HH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12050 | PA      | $11642.36       | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #772072                                                                                | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28377 | PA      | $27468.60       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                         | HILCORP ENERGY I LP/FIN CO 6% 04/15/2030 144A                                                           | CUSIP: 431318AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      640000 | PA      | $633372.29      | 0.00%             | 2030-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 10/01/2052#FS3047                                                                          | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7455787 | PA      | $7440967.63     | 0.01%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#MA4438                                                                        | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    44483588 | PA      | $37163716.08    | 0.04%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2052#SD8275                                                                        | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9764977 | PA      | $9434973.12     | 0.01%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                          | SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A                                                        | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      464719 | PA      | $426640.12      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                  | POST HLDGS INC 6.25% 02/15/2032 144A                                                                    | CUSIP: 737446AU8<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      515000 | PA      | $529041.99      | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 03/25/2043                                                            | CUSIP: 3136AGVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6636518 | PA      | $6389619.92     | 0.01%             | 2043-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #447102                                                                                 | CUSIP: 36208CU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          61 | PA      | $61.56          | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #930854                                                                                 | CUSIP: 31412PE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2931 | PA      | $2929.25        | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #780580                                                                                 | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         232 | PA      | $234.69         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-66 SB SOFR30A+3891.312 7/37                                                                    | CUSIP: 31396WYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2675 | PA      | $3073.73        | 0.00%             | 2037-07-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 5.962% 02/15/2055 144A                                              | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7300000 | PA      | $6952186.90     | 0.01%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#BT9396                                                                        | CUSIP: 3140LYNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1970922 | PA      | $1761702.57     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#                                                                              | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9441511 | PA      | $8594308.00     | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                         | DAVITA INC 6.875% 09/01/2032 144A                                                                       | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      275000 | PA      | $284496.30      | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2054#CB9216                                                                          | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    48736642 | PA      | $49897904.36    | 0.06%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                                   | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    32564606 | PA      | $32601205.03    | 0.04%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AC9627                                                                        | CUSIP: 36179KVU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12808 | PA      | $11980.93       | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.7% 05/01/2055 144A                                                                           | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    16810000 | PA      | $16392261.92    | 0.02%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2629                                                                        | CUSIP: 3140QM4P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4460234 | PA      | $3745806.26     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BHG 2025-2CON                                                                      | BHG 2025-2CON 4.84% 09/17/2036 144A                                                                     | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9133000 | PA      | $9206102.36     | 0.01%             | 2036-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                      | INTERCONTINENTAL EXCHANGE INC 4.35% 06/15/2029                                                          | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     3724000 | PA      | $3747378.53     | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 9/33 #003442                                                                                 | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      113287 | PA      | $114689.36      | 0.00%             | 2033-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.43% 01/25/2027                                                         | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6124002 | PA      | $6065809.90     | 0.01%             | 2027-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS9872                                                                          | CUSIP: 3140XR6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3852614 | PA      | $3118754.59     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 5.847%/VAR 03/02/2027                                                                 | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     6200000 | PA      | $6244026.20     | 0.01%             | 2027-03-02      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #455561                                                                                 | CUSIP: 36208NB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          12 | PA      | $11.58          | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 03/01/2054#CB8112                                                                          | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10654392 | PA      | $10918245.94    | 0.01%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 11/01/2053#DA1079                                                                        | CUSIP: 3140A1FV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1122654 | PA      | $1132323.83     | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2053#BU4106                                                                        | CUSIP: 3140M5R49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      325993 | PA      | $340798.29      | 0.00%             | 2053-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 04/20/2055#MB0306                                                                          | CUSIP: 3618N5KU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    43567851 | PA      | $41951579.88    | 0.05%             | 2055-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                     | BAUSCH HEALTH TERM B 1LN 10/08/2030                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | CA        |      770000 | PA      | $758665.60      | 0.00%             | 2030-10-08      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 3.668% 10/25/2049 144A                                                     | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    34443840 | PA      | $33117497.28    | 0.04%             | 2049-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                                      | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.67% 08/15/2029                                          | CUSIP: 80287NAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14300000 | PA      | $14392751.23    | 0.02%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 07/01/2041#CB1071                                                                          | CUSIP: 3140QLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13031557 | PA      | $11262724.95    | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORPORATION                                                             | FAIR ISAAC CORPORATION 6% 05/15/2033 144A                                                               | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     1020000 | PA      | $1033686.36     | 0.00%             | 2033-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 08/25/2048                                  | CUSIP: 3137H3S94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     4278037 | PA      | $3798282.77     | 0.00%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FIN                                                               | SMURFIT WESTROCK FIN 5.418% 01/15/2035                                                                  | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |     6624000 | PA      | $6744419.68     | 0.01%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.75% 10/25/2051                                 | CUSIP: 3137H3EQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    10979718 | PA      | $8609160.73     | 0.01%             | 2051-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #780545                                                                                 | CUSIP: 36225ATA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         108 | PA      | $108.86         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2046#BC4754                                                                          | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      400072 | PA      | $382662.24      | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIDELIDADE CO DE SEGUROS SAPORTUGAL                                                | FIDELIDADE CO DE SEGUROS SAPORTUGAL 4.25%/VAR 09/04/2031 REGS                                           | CUSIP: N/A<br>LEI: 529900FNLE8ZOPUOT704       | Long             | DBT              | CORP              | PT        |      800000 | PA      | $944375.83      | 0.00%             | 2031-09-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2034                                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  1056840000 | PA      | $1036198646.59  | 1.23%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 2.35% 02/26/2027                                                               | CUSIP: 37045XDR4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     1414000 | PA      | $1373281.58     | 0.00%             | 2027-02-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2042#778869                                                                        | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20428 | PA      | $19777.72       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 02/01/2055#QX5501                                                                        | CUSIP: 31426BDF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39870 | PA      | $40113.33       | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2050#CA7616                                                                          | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5022127 | PA      | $4043523.24     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 22 LTD / AIMCO CLO 22 LLC                                                | AIMCO CLO 22 LTD / AIMCO CLO 22 LLC A TSFR3M+150 04/19/2037 144A                                        | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    23550000 | PA      | $23627126.25    | 0.03%             | 2037-04-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                         | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10415000 | PA      | $10034267.07    | 0.01%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 09/01/2042#AP9959                                                                        | CUSIP: 3138MEB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34755 | PA      | $32558.08       | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                                           | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                                                | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17364437 | PA      | $17413241.00    | 0.02%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #495896                                                                                 | CUSIP: 36210L3D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         141 | PA      | $143.69         | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2035#CA5039                                                                          | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      255129 | PA      | $246785.63      | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/32 #254613                                                                                | CUSIP: 31371KYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          98 | PA      | $103.39         | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                       | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 09/01/2031 144A                         | CUSIP: 87470LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      270000 | PA      | $265265.98      | 0.00%             | 2031-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                                                 | TRAVIS PERKINS PLC 3.75% 02/17/2026 REGS                                                                | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |      467000 | PA      | $622349.73      | 0.00%             | 2026-02-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #254240                                                                                 | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3009 | PA      | $3174.83        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.83% 10/16/2028                                         | CUSIP: 30185AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2852512 | PA      | $2860939.73     | 0.00%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.35% 04/15/2032                                                                            | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    17604000 | PA      | $18210323.13    | 0.02%             | 2032-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 07/20/2049#MA6039                                                                          | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    36403239 | PA      | $33537707.34    | 0.04%             | 2049-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.8% 08/15/2038                                                                       | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     2697000 | PA      | $2531677.11     | 0.00%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 10/01/2032#                                                                                | CUSIP: 31283HTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         975 | PA      | $1014.11        | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 3.25% 02/01/2028                                                                              | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     4359000 | PA      | $4256913.88     | 0.01%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+69.948 01/25/2036 144A                                                     | CUSIP: 07324SCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44403 | PA      | $41958.12       | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2046#G08687                                                                        | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      142842 | PA      | $132593.99      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 1.35% 02/03/2027                                                                             | CUSIP: 444859BQ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     2069000 | PA      | $1987201.09     | 0.00%             | 2027-02-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2054#SD7569                                                                          | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    51625642 | PA      | $53533327.82    | 0.06%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #410455                                                                                 | CUSIP: 36206F5Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          98 | PA      | $98.91          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.85% 12/15/2032                                                                     | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     1998000 | PA      | $1776156.43     | 0.00%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                     | EUROPEAN UNION 4% 04/04/2044 REGS                                                                       | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |     1980000 | PA      | $2369447.61     | 0.00%             | 2044-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENPRO INC                                                                          | ENPRO INC 6.125% 06/01/2033 144A                                                                        | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |      610000 | PA      | $622453.76      | 0.00%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES HOLDING CO LLC                                                  | COLUMBIA PIPELINES HOLDING CO LLC 6.042% 08/15/2028 144A                                                | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5230564.10     | 0.01%             | 2028-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 08/15/2027                                                                              | CUSIP: 91282CLG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2290000 | PA      | $2294562.12     | 0.00%             | 2027-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2052#BX1748                                                                        | CUSIP: 3140N55J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1754995 | PA      | $1695685.87     | 0.00%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC                                           | ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC 4.125% 06/15/2028 144A                                         | CUSIP: 04916WAA2<br>LEI: 549300ITBBGKJ651R879 | Long             | DBT              | CORP              | GB        |     6227000 | PA      | $6030677.01     | 0.01%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#CB1799                                                                          | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21546291 | PA      | $17442080.21    | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 03/20/2055#MB0259                                                                          | CUSIP: 3618N5JD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3513001 | PA      | $3540700.20     | 0.00%             | 2055-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2052#QE9929                                                                          | CUSIP: 3133BLA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2294879 | PA      | $2278125.65     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY400081 08/17/61 S                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     2000000 | NC      | $10221.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                | EMERA US FINANCE LP 3.55% 06/15/2026                                                                    | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9123000 | PA      | $9046621.61     | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                              | TENET HEALTHCARE CORP 6.125% 06/15/2030                                                                 | CUSIP: 88033GDQ0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      970000 | PA      | $984814.81      | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#MA4548                                                                        | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1013502 | PA      | $845778.17      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2044#AL5512                                                                        | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      196694 | PA      | $195698.74      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI INTERMEDIATE TREASURY BOND INDEX FUND                                                      | CUSIP: 31635T179<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   381825704 | NS      | $3783892729.53  | 4.51%             |  |  |  | No            |                  1 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                | AFFIRM MASTER TRUST 4.67% 07/15/2033 144A                                                               | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21900000 | PA      | $22018503.09    | 0.03%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                    | PERMIAN RESOURCES OPERATING LLC 7% 01/15/2032 144A                                                      | CUSIP: 71424VAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1140491.00     | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/32 #641058                                                                                 | CUSIP: 31390BE79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         577 | PA      | $616.74         | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 2018-IV LTD / CIFC FDG 2018-IV LLC                                        | CIFC FDG 2018-IV LTD / CIFC FDG 2018-IV LLC D2R TSFR3M+375 01/17/2038 144A                              | CUSIP: 17181TAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      100000 | PA      | $100690.30      | 0.00%             | 2038-01-17      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                   | BAYER US FIN LLC 6.375% 11/21/2030 144A                                                                 | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     1480000 | PA      | $1588245.79     | 0.00%             | 2030-11-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AJ4287                                                                                 | CUSIP: 3138AVXR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7897 | PA      | $7658.43        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                       | DNB BANK ASA 1.535%/VAR 05/25/2027 144A                                                                 | CUSIP: 23329PAG5<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    51990000 | PA      | $50958227.78    | 0.06%             | 2027-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                  | STORE CAPITAL LLC 2.7% 12/01/2031                                                                       | CUSIP: 862121AD2<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     8095000 | PA      | $7045897.31     | 0.01%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 03/01/2033#AB0066                                                                          | CUSIP: 31416VCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4570 | PA      | $4622.87        | 0.00%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LN ADVISERS NBLA CLO 50 LTD / NEUBERGER BERMAN LN                 | NEUBERGER BERMAN LN ADVISERS NBLA CLO 50 LTD / NEUBERGER BERMAN LN AR TSFR3M+125 07/23/2036 144A        | CUSIP: 64134VAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     6704000 | PA      | $6713942.03     | 0.01%             | 2036-07-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 7/31 #003107                                                                               | CUSIP: 36202DNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         101 | PA      | $104.46         | 0.00%             | 2031-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                                           | BENCHMARK MORTGAGE TRUST 2018-B7 A2 4.377% 05/15/2053                                                   | CUSIP: 08162TAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      888240 | PA      | $885232.10      | 0.00%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR3691                                                                        | CUSIP: 3138W1C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31006 | PA      | $28270.49       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INSULET CORP                                                                       | INSULET CORP 6.5% 04/01/2033 144A                                                                       | CUSIP: 45784PAL5<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |      395000 | PA      | $409515.86      | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                          | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 6.75% 02/15/2030 144A                                         | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      335000 | PA      | $347133.70      | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                        | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2603445 | PA      | $2176990.50     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #250912                                                                                 | CUSIP: 31371FVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          16 | PA      | $16.63          | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02020                                                                        | CUSIP: 3132GFG50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5126 | PA      | $5212.71        | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                               | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     6910000 | PA      | $7714786.97     | 0.01%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 5.017%/VAR 07/20/2028                                                        | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     4690000 | PA      | $4763008.85     | 0.01%             | 2028-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#MA4326                                                                        | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15231023 | PA      | $12739003.79    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #560462                                                                                 | CUSIP: 36213PTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         177 | PA      | $181.82         | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3002 NE 5% 7/35                                                                                     | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       58897 | PA      | $60523.72       | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9340                                                                        | CUSIP: 31417GLW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6273 | PA      | $5751.41        | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2043#AR9126                                                                        | CUSIP: 3138W7D84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10432 | PA      | $9217.05        | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2045#AS4972                                                                        | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49532 | PA      | $44849.28       | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#AS9422                                                                        | CUSIP: 3138WKPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11483 | PA      | $11263.30       | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                                                   | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    15998784 | PA      | $16161688.53    | 0.02%             | 2053-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                       | CAIXABANK SA 6.037%/VAR 06/15/2035 144A                                                                 | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    11757000 | PA      | $12381431.55    | 0.01%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/37 #G02667                                                                                 | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3802 | PA      | $3861.97        | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 04/15/2028                                                                              | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    60280000 | PA      | $60510759.07    | 0.07%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/29 #524241                                                                                | CUSIP: 31384HLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          81 | PA      | $83.67          | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 08/01/2038#ZA2519                                                                        | CUSIP: 31329KYQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       90462 | PA      | $86917.18       | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 01/01/2037#FS2747                                                                        | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16533164 | PA      | $14820171.57    | 0.02%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                                             | CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A                                                            | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5510000 | PA      | $5532819.67     | 0.01%             | 2032-10-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2052#CB3109                                                                        | CUSIP: 3140QNN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17192103 | PA      | $14508162.67    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.818%/VAR 06/13/2029                                                          | CUSIP: 539439BD0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     5000000 | PA      | $5070711.15     | 0.01%             | 2029-06-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#CB2856                                                                        | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      476807 | PA      | $403562.59      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 2.4% 08/01/2031                                                                      | CUSIP: 05329WAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    23196000 | PA      | $20223764.30    | 0.02%             | 2031-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/27 #313644                                                                                 | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         319 | PA      | $335.58         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #727160                                                                                 | CUSIP: 31402EZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1816 | PA      | $1818.53        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2053#CB6539                                                                          | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14174095 | PA      | $14662425.40    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/25 #404665                                                                                | CUSIP: 36205YQS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          12 | PA      | $11.71          | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GROUP INC                                                      | PRINCIPAL FINL GROUP INC 3.7% 05/15/2029                                                                | CUSIP: 74251VAR3<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     1714000 | PA      | $1682218.09     | 0.00%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2053#CB5600                                                                        | CUSIP: 3140QRGJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6695494 | PA      | $6797105.70     | 0.01%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H07 FA TSFR1M+61.448 3/61                                                                      | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       53585 | PA      | $53594.51       | 0.00%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 9/35 #A47784                                                                                 | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18900 | PA      | $20040.77       | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 10/01/2055 #TBA                                                                          | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   160800000 | PA      | $145228787.28   | 0.17%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 04/01/2031#AS6933                                                                        | CUSIP: 3138WGV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      894555 | PA      | $865577.45      | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #840937                                                                                 | CUSIP: 31407UHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3251 | PA      | $3405.58        | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.45% 07/15/2028                                                                           | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    15813000 | PA      | $14608624.99    | 0.02%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                               | 1011778 BC ULC/NEW RED FIN INC 4% 10/15/2030 144A                                                       | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     1325000 | PA      | $1238899.65     | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2039#A90245                                                                        | CUSIP: 312938HW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         369 | PA      | $369.11         | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                                                   | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5794727 | PA      | $5844310.30     | 0.01%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 11/20/2052#MA8422                                                                            | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18904 | PA      | $15515.64       | 0.00%             | 2052-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.34% 06/15/2028 144A                                                  | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    18500000 | PA      | $18657490.50    | 0.02%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 6.85%/VAR PERP                                                            | CUSIP: 38141GC28<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |     1005000 | PA      | $1035022.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FLATIRON CLO 23 LLC                                                                | FLATIRON CLO 23-1A AR LLC TSFR3M+124 04/17/2036 144A                                                    | CUSIP: 33883DAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8102000 | PA      | $8110012.88     | 0.01%             | 2036-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                         | FIRST QUANTUM MINERALS LTD 8% 03/01/2033 144A                                                           | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     1145000 | PA      | $1189119.00     | 0.00%             | 2033-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745088                                                                                 | CUSIP: 3620C0XR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22770 | PA      | $22691.59       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 02/20/2052#MA7881                                                                          | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1607546 | PA      | $1370005.14     | 0.00%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #757487                                                                                 | CUSIP: 36230SJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       70052 | PA      | $65614.97       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #737454                                                                                 | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10718 | PA      | $10887.31       | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 11/39 #004577                                                                             | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23719 | PA      | $23608.46       | 0.00%             | 2039-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 03/01/2036#BR4700                                                                        | CUSIP: 3140L3GJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      877538 | PA      | $787165.16      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #444774                                                                                 | CUSIP: 36207XCK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         121 | PA      | $122.26         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.691% 02/01/2042#AK2344                                                                       | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9436 | PA      | $9842.45        | 0.00%             | 2042-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2021-1 A                                              | FORD CREDIT AUTO OWNER TRUST 2021-1 A 1.37% 10/17/2033 144A                                             | CUSIP: 345340AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $4908342.50     | 0.01%             | 2033-10-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#G61047                                                                        | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      163165 | PA      | $160965.36      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                                        | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                                       | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    16550000 | PA      | $16561242.42    | 0.02%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                                                | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      626375 | PA      | $617246.75      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.75%/VAR 02/15/2056                                                                 | CUSIP: 29273VBH2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      210000 | PA      | $208970.87      | 0.00%             | 2056-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ELASTIC NV                                                                         | ELASTIC NV 4.125% 07/15/2029 144A                                                                       | CUSIP: 28415LAA1<br>LEI: 2549003I48WHHH937I59 | Long             | DBT              | CORP              | NL        |     1510000 | PA      | $1451053.53     | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2051#QC7480                                                                          | CUSIP: 3133ASJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      150046 | PA      | $142637.85      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FM9919                                                                          | CUSIP: 3140XEAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26083726 | PA      | $22858030.02    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #488260                                                                                 | CUSIP: 36210CMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          21 | PA      | $20.99          | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2043#AS0076                                                                        | CUSIP: 3138W9CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39275 | PA      | $36992.11       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                                                   | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7883073 | PA      | $7934491.58     | 0.01%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323961                                                                                | CUSIP: 31374TZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         218 | PA      | $229.29         | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 5% 04/01/2035                                                                         | CUSIP: 37045VAH3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     1419000 | PA      | $1353780.93     | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/GBP settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1962.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 09/01/2051#MA4414                                                                        | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      832209 | PA      | $695266.95      | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                          | ROGERS COMMUNICATIONS INC 4.55% 03/15/2052                                                              | CUSIP: 775109CK5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     9856000 | PA      | $7937576.51     | 0.01%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-64 GF SOFR30A+80 10/25/2052                                           | CUSIP: 3136BPDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    12594147 | PA      | $12429162.26    | 0.01%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2053#CB6673                                                                        | CUSIP: 3140QSMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23028039 | PA      | $23427888.23    | 0.03%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1                        | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.52% 10/15/2027 144A                       | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10550000 | PA      | $10573598.24    | 0.01%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% #BM4385 08/48                                                                            | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      629002 | PA      | $628305.15      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #713740                                                                                 | CUSIP: 36297J4Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40338 | PA      | $40206.01       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     1100000 | NC      | $73113.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                               | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      470000 | PA      | $383164.77      | 0.00%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2042#C04038                                                                        | CUSIP: 31292LPX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5868 | PA      | $5548.84        | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP PAY 4.075 04/24/30                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    68910000 | NC      | $2369384.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#RA5077                                                                        | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1607673 | PA      | $1362720.22     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AI2509                                                                                 | CUSIP: 3138AFYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3615 | PA      | $3532.50        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 01/20/2043#MA0698                                                                          | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1106461 | PA      | $1013418.48     | 0.00%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H06 FA TSFR1M+74.448 1/62                                                                      | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       68942 | PA      | $69093.20       | 0.00%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1900000 | NC      | $-25501.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21258                                                                        | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55730 | PA      | $53951.54       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 06/36#SB8106                                                                             | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      951949 | PA      | $853913.13      | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 5.875% 06/15/2031 144A                                                                    | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      810000 | PA      | $830367.45      | 0.00%             | 2031-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 7% 03/15/2032 144A                                                                 | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      400000 | PA      | $397658.80      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2022                                                                | TOWD PT MTG TR 2022 3.75% 07/25/2062 144A                                                               | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    37929210 | PA      | $36024837.49    | 0.04%             | 2062-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #569780                                                                                 | CUSIP: 36200Q6R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         108 | PA      | $111.98         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                                 | ESSEX PORTFOLIO LP 5.5% 04/01/2034                                                                      | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |     4442000 | PA      | $4584432.95     | 0.01%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                              | AMERICAN AIRLINES INC 7.25% 02/15/2028 144A                                                             | CUSIP: 023771T32<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |      195000 | PA      | $200056.74      | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.412%/VAR 03/31/2031                                                                     | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    40428000 | PA      | $40338113.60    | 0.05%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#                                                                              | CUSIP: 312944YF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13910 | PA      | $13914.76       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #733989                                                                                | CUSIP: 3620AMNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6822 | PA      | $6625.58        | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 08/01/2040#DE8061                                                                          | CUSIP: 3140BL5X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      175531 | PA      | $177331.88      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI INFLATION-PROTECTED BOND INDEX FUND                                                        | CUSIP: 31635T187<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |    53937515 | NS      | $557713907.70   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2052#FS9729                                                                        | CUSIP: 3140XRY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3881350 | PA      | $3285117.97     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #794582                                                                                 | CUSIP: 36177PCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13785 | PA      | $12983.93       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #754005                                                                                 | CUSIP: 36230NNW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2818 | PA      | $2744.06        | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 4.7% 04/02/2027                                                                        | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     2181000 | PA      | $2192598.03     | 0.00%             | 2027-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6                                        | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049                                          | CUSIP: 17291EBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1134265 | PA      | $5209.90        | 0.00%             | 2049-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2053#CB6527                                                                        | CUSIP: 3140QSHD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17487747 | PA      | $17796862.46    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                                    | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    17450000 | PA      | $16350650.00    | 0.02%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 8.5% 04/25/2035                                                                    | CUSIP: 195325ES0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    15780000 | PA      | $17152860.00    | 0.02%             | 2035-04-25      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA8273                                                                                 | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17093 | PA      | $16045.75       | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2042#779220                                                                        | CUSIP: 36176XPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23301 | PA      | $21302.96       | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 3.75% 02/15/2052                                                                     | CUSIP: 15135UAX7<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     2379000 | PA      | $1616476.81     | 0.00%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLDGS INC                                                           | NATIONSTAR MTG HLDGS INC 6.5% 08/01/2029 144A                                                           | CUSIP: 63861CAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      670000 | PA      | $685950.69      | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                             | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+81.548 1 11/15/2036 144A                                  | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    65589508 | PA      | $65548514.81    | 0.08%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                                          | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 A1 VAR 09/25/2065 144A                                        | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11150354 | PA      | $11235015.64    | 0.01%             | 2065-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TELEFLEX INC                                                                       | TELEFLEX INC 4.25% 06/01/2028 144A                                                                      | CUSIP: 879369AG1<br>LEI: UUL85LWXB4NGSWWXIQ25 | Long             | DBT              | CORP              | US        |      845000 | PA      | $827819.80      | 0.00%             | 2028-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH LLC                                                          | CABLEVISION LIGHTPATH LLC 3.875% 09/15/2027 144A                                                        | CUSIP: 12687GAA7<br>LEI: 5493002ZVBLRLGES1R71 | Long             | DBT              | CORP              | US        |      685000 | PA      | $675801.61      | 0.00%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                          | LINCOLN NATIONAL CORP IND 3.4% 01/15/2031                                                               | CUSIP: 534187BK4<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    14811000 | PA      | $13923718.31    | 0.02%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-94 SA TSFR1M+598.552 07/41                                                                     | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       69304 | PA      | $7113.14        | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                                | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19377 | PA      | $19682.92       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                        | ROYAL CARIBBEAN CRUISES LTD 6.25% 03/15/2032 144A                                                       | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      430000 | PA      | $443794.40      | 0.00%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 08/01/2031#BM1283                                                                          | CUSIP: 3140J5M97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20702 | PA      | $20387.59       | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 1/39 #701582                                                                                 | CUSIP: 36296UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11965 | PA      | $12316.81       | 0.00%             | 2039-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 01/01/2052#FA0375                                                                   | CUSIP: 3140W0MZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9875493 | PA      | $8265889.26     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#SD7528                                                                          | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      252352 | PA      | $204440.81      | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 11/01/2050#QB6612                                                                        | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      783807 | PA      | $601250.01      | 0.00%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 01/01/2053#SD2186                                                                          | CUSIP: 3132DPNB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11543778 | PA      | $11510009.81    | 0.01%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #581935                                                                                 | CUSIP: 36201FPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         274 | PA      | $284.48         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 09/17/34                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -104000 | NC      | $-1961.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 08/20/2054#MA9851                                                                          | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    14702190 | PA      | $14821558.18    | 0.02%             | 2054-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                                 | INGERSOLL RAND INC 5.314% 06/15/2031                                                                    | CUSIP: 45687VAE6<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |     8500000 | PA      | $8873200.49     | 0.01%             | 2031-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #C03811                                                                                 | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1329482 | PA      | $1259888.85     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/31 #543785                                                                                 | CUSIP: 36212UCW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          29 | PA      | $30.03          | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                      | VOLKSWAGEN GROUP AMER FIN LLC 4.35% 06/08/2027 144A                                                     | CUSIP: 928668BS0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     3394000 | PA      | $3384553.65     | 0.00%             | 2027-06-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468084                                                                                 | CUSIP: 36209C6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          46 | PA      | $46.72          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 8.201%/VAR 11/16/2034 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $1482389.19     | 0.00%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                           | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   409400000 | PA      | $282310084.91   | 0.34%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE9065                                                                                | CUSIP: 31419LCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11194 | PA      | $10901.27       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9646                                                                          | CUSIP: 3140XDWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46844 | PA      | $37320.62       | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 43 LTD                                                                | SYMPHONY CLO 43 LTD A1 TSFR3M+152 04/15/2037 144A                                                       | CUSIP: 87170BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14100000 | PA      | $14151690.60    | 0.02%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      190000 | NC      | $30382.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                                                   | WELLS FARGO COML MTG TR 2019-C54 VAR 12/15/2052                                                         | CUSIP: 95001YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    57420255 | PA      | $1732661.95     | 0.00%             | 2052-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2043#BM1167                                                                          | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      916333 | PA      | $889680.56      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                                                  | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5063572 | PA      | $4667449.57     | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#                                                                              | CUSIP: 3132DWCL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10644629 | PA      | $9696121.13     | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #479545                                                                                 | CUSIP: 31382DWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          96 | PA      | $101.17         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2049#RA1171                                                                        | CUSIP: 3133KGJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9164102 | PA      | $8991866.78     | 0.01%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 09/01/2055 #TBA                                                                              | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   856650000 | PA      | $873742651.79   | 1.04%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                              | NORFOLK SOUTHERN CORP 3.155% 05/15/2055                                                                 | CUSIP: 655844CH9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1269863.58     | 0.00%             | 2055-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #680498                                                                                | CUSIP: 36295T7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2842 | PA      | $2977.67        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2996 ZD 5.5% 06/35                                                                                  | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      181661 | PA      | $184248.24      | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 04/30/2029                                                                             | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4210000 | PA      | $4353732.01     | 0.01%             | 2029-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.25% 10/21/2025                                                          | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    12215000 | PA      | $12209290.22    | 0.01%             | 2025-10-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#FM9068                                                                        | CUSIP: 3140XDCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5331652 | PA      | $4480975.60     | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN FINANCE SARL                                                            | AROUNDTOWN FINANCE SARL 7.875%/VAR PERP                                                                 | CUSIP: N/A<br>LEI: 8945006LEXV2KWSWVP51       | Long             | EP               | CORP              | LU        |     4750000 | PA      | $4642618.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#RA7575                                                                          | CUSIP: 3133KPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3730730 | PA      | $3737304.58     | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                        | MATCH GROUP HLD II LLC 3.625% 10/01/2031 144A                                                           | CUSIP: 57667JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      465000 | PA      | $419711.09      | 0.00%             | 2031-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                     | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                            | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3836000 | PA      | $3836857.35     | 0.00%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                     | PNC FINANCIAL SERVICES GRP INC 5.222%/VAR 01/29/2031                                                    | CUSIP: 693475CB9<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     6900000 | PA      | $7130238.10     | 0.01%             | 2031-01-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 04/01/2055#SL1111                                                                        | CUSIP: 31427NGV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11646355 | PA      | $11855856.40    | 0.01%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 4.693% 05/17/2033                                                              | CUSIP: 934423AB0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      477000 | PA      | $496303.30      | 0.00%             | 2033-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #741372                                                                                 | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16736 | PA      | $16675.98       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 4.95% 01/15/2033                                              | CUSIP: 46188BAH5<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    13634000 | PA      | $13603868.86    | 0.02%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/36 #745550                                                                                 | CUSIP: 31403DH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         903 | PA      | $949.14         | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL BRD ED                                                                  | CHICAGO IL BOE 1.75% 12/15/25                                                                           | CUSIP: 167505KK1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    15640000 | PA      | $15474414.63    | 0.02%             | 2025-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#SD7541                                                                               | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    54167817 | PA      | $43883601.80    | 0.05%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2047#ZM4140                                                                        | CUSIP: 3131XXS51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      100703 | PA      | $93421.24       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/28 #251615                                                                                 | CUSIP: 31371GN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         103 | PA      | $105.08         | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LII LTD / MADISON PK FDG LII LLC                                    | MADISON PK FDG LII LTD / MADISON PK FDG LII LLC A TSFR3M+136.161 01/22/2035 144A                        | CUSIP: 55822BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13837000 | PA      | $13836972.33    | 0.02%             | 2035-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 01/01/2041#A96537                                                                        | CUSIP: 312945HN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2458 | PA      | $2500.38        | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #710465                                                                                 | CUSIP: 36297FJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22527 | PA      | $22450.98       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2040#004799                                                                          | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      118840 | PA      | $111771.31      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+86.448 01/25/2036 144A                                                     | CUSIP: 07324SCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7867 | PA      | $7301.21        | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2054#CB8939                                                                        | CUSIP: 3140QU4Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7227223 | PA      | $7275924.07     | 0.01%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 12/25/2054                                                   | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    45654845 | PA      | $45710553.12    | 0.05%             | 2054-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                       | ROCKIES EXPRESS PIPELINE LLC 6.875% 04/15/2040 144A                                                     | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      105000 | PA      | $105712.85      | 0.00%             | 2040-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/47#BH0885                                                                             | CUSIP: 3140GN6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11169 | PA      | $10956.02       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/40 #737790                                                                                | CUSIP: 3620ARUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3800 | PA      | $3688.38        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP4091                                                                                 | CUSIP: 3138M7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11017 | PA      | $10386.28       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 A3FL TSFR1M+153.448 01/15/2059                           | CUSIP: 94989YBG7<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |     1986724 | PA      | $1989021.66     | 0.00%             | 2059-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.78% 10/35 #1N0063                                                                            | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         388 | PA      | $404.79         | 0.00%             | 2035-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                    | PERMIAN RESOURCES OPERATING LLC 6.25% 02/01/2033 144A                                                   | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      890000 | PA      | $906557.56      | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/39 #711476                                                                                | CUSIP: 36297GMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36440 | PA      | $35398.10       | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                             | ROPER TECHNOLOGIES INC 1.4% 09/15/2027                                                                  | CUSIP: 776743AN6<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1633715.59     | 0.00%             | 2027-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF1 LLC                                                                 | PRPM 2023-RCF1 A1 LLC 4% 06/25/2053 144A                                                                | CUSIP: 69381AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4797705 | PA      | $4732259.72     | 0.01%             | 2053-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HOLDINGS LTD                                                  | MACQUARIE AIRFINANCE HOLDINGS LTD 8.125% 03/30/2029 144A                                                | CUSIP: 55609NAB4<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |      635000 | PA      | $661963.37      | 0.00%             | 2029-03-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/26 #349356                                                                                 | CUSIP: 31376ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          99 | PA      | $99.92          | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 12/01/2033#C91737                                                                        | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      188660 | PA      | $185327.73      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                  | POST HLDGS INC 4.625% 04/15/2030 144A                                                                   | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      520000 | PA      | $501479.26      | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                              | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3% 02/02/2029                                     | CUSIP: 46590XAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     6524000 | PA      | $6240219.50     | 0.01%             | 2029-02-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2052#SD3489                                                                          | CUSIP: 3132DQ2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14568581 | PA      | $11702454.57    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AL1193                                                                                | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170528 | PA      | $165732.32      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 3/42 #Q06886                                                                                 | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35608 | PA      | $34640.35       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                                                   | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       41172 | PA      | $1480.84        | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.75% 04/01/2032                                                                          | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    19417000 | PA      | $18437528.66    | 0.02%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                         | NASDAQ INC 6.1% 06/28/2063                                                                              | CUSIP: 63111XAL5<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6152967.90     | 0.01%             | 2063-06-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96731                                                                                 | CUSIP: 312945PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67293 | PA      | $67309.45       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2044#AW9502                                                                        | CUSIP: 3138XZRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28628 | PA      | $27565.19       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/42#AQ6804                                                                             | CUSIP: 3138MNR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7843 | PA      | $7372.66        | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 01/20/2054#MA9422                                                                            | CUSIP: 36179YPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      802120 | PA      | $796095.92      | 0.00%             | 2054-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18564                                                                        | CUSIP: 3132J96A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14100 | PA      | $13608.43       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI ENHANCED CORE BOND FUND                                                                    | CUSIP: 31635T153<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   134226541 | NS      | $1350319006.56  | 1.61%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     2780000 | NC      | $-9899.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNMA 2017-H06 FA T1Y+35 08/66                                                                           | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      178827 | PA      | $178077.35      | 0.00%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2050#FM2653                                                                        | CUSIP: 3140X55P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19909624 | PA      | $18289532.46    | 0.02%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 5% 07/31/2027 144A                                                             | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     3190000 | PA      | $3181386.36     | 0.00%             | 2027-07-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.75% 04/01/2034                                                                     | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     4314000 | PA      | $4436485.42     | 0.01%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8603                                                                          | CUSIP: 31419KRZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72369 | PA      | $70452.25       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2050#CA7531                                                                          | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115462 | PA      | $102157.12      | 0.00%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                            | XPO INC 6.25% 06/01/2028 144A                                                                           | CUSIP: 98379KAA0<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |      630000 | PA      | $640941.21      | 0.00%             | 2028-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                                                   | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2146899 | PA      | $2096395.83     | 0.00%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                          | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4030908 | PA      | $3535505.95     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #787578                                                                                 | CUSIP: 31405E6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3633 | PA      | $3810.11        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                                       | WELLS FARGO COML MTG TR 2017-RC1 ASB 3.453% 01/15/2060                                                  | CUSIP: 95001FAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120783 | PA      | $120334.18      | 0.00%             | 2060-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 4795 FA SOFR30A+41.448 05/15/2048                | CUSIP: 3137F5PW3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      736186 | PA      | $710670.93      | 0.00%             | 2048-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 04/20/2052#                                                                                  | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    21394490 | PA      | $17528218.69    | 0.02%             | 2052-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 6.184% 08/29/2031                                                              | CUSIP: 345397H30<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      725000 | PA      | $980760.97      | 0.00%             | 2031-08-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 06/01/2041#MA4364                                                                          | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      176173 | PA      | $152447.52      | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2051#FM8088                                                                          | CUSIP: 3140XB7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1290460 | PA      | $1128453.21     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 4.125% 08/17/2027                                                              | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    19335000 | PA      | $18965113.52    | 0.02%             | 2027-08-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.5% 11/15/2054                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    75198700 | PA      | $70196223.79    | 0.08%             | 2054-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 3.85% 07/15/2029                                                                           | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     1991000 | PA      | $1958318.47     | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #331338                                                                                 | CUSIP: 31375DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         219 | PA      | $230.56         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                       | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                            | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    14626000 | PA      | $14668289.76    | 0.02%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT TR 2024-EXTR                                                                   | EQT TR 2024-EXTR A VAR 07/05/2041 144A                                                                  | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7260000 | PA      | $7432244.23     | 0.01%             | 2041-07-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#FS8908                                                                        | CUSIP: 3140XQ3S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7816908 | PA      | $6650314.97     | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.899%/VAR 03/03/2029                                                                 | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     6458000 | PA      | $6550571.10     | 0.01%             | 2029-03-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2040#AE8265                                                                        | CUSIP: 31419KFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2051 | PA      | $2004.75        | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #533932                                                                                 | CUSIP: 36212HED8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          43 | PA      | $43.13          | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                                                      | CORECIVIC INC 8.25% 04/15/2029                                                                          | CUSIP: 21871NAC5<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |      580000 | PA      | $613853.44      | 0.00%             | 2029-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                           | RR 7 LTD A1AB TSFR3M+134 01/15/2037 144A                                                                | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15740000 | PA      | $15760776.80    | 0.02%             | 2037-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #433882                                                                                 | CUSIP: 36207J6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          38 | PA      | $38.88          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2052#SD1863                                                                          | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    28444866 | PA      | $28406104.47    | 0.03%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24973                                                                        | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18985 | PA      | $18286.66       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE7364                                                                               | CUSIP: 31419JFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56156 | PA      | $54580.08       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C8                                              | UBS COMMERCIAL MORTGAGE TRUST 2018-C8 3.903% 02/15/2051                                                 | CUSIP: 90276VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1283953 | PA      | $1280332.62     | 0.00%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                    | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                                   | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6520243 | PA      | $6237424.09     | 0.01%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                   | FIRSTENERGY CORP 2.25% 09/01/2030                                                                       | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     5756000 | PA      | $5168891.11     | 0.01%             | 2030-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#QE4088                                                                          | CUSIP: 3133BDRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8776729 | PA      | $8762026.21     | 0.01%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UPGRADE RECEIVABLES TRUST 2024-1A                                                  | UPGRADE RECEIVABLES TRUST 2024-1A 5.37% 02/18/2031 144A                                                 | CUSIP: 91533NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2720005 | PA      | $2721758.32     | 0.00%             | 2031-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 03/01/2043#Q16470                                                                        | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25417 | PA      | $23367.89       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/39 #932130                                                                                | CUSIP: 31412QST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8078 | PA      | $8083.31        | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #353919                                                                                | CUSIP: 36203NDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          26 | PA      | $26.01          | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                             | CEDAR FUNDING LTD 2022 A TSFR3M+132 04/20/2035 144A                                                     | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14430000 | PA      | $14429855.70    | 0.02%             | 2035-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                     | PNC FINANCIAL SERVICES GRP INC 5.582%/VAR 06/12/2029                                                    | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     7240000 | PA      | $7510476.12     | 0.01%             | 2029-06-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.05% 04/15/2030                                                                            | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     4724000 | PA      | $4672692.40     | 0.01%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2040#721759                                                                        | CUSIP: 3620A7ZY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3169 | PA      | $3078.50        | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                                                   | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8645513 | PA      | $8624030.34     | 0.01%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 5.75% 11/17/2032                                                                 | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     5790000 | PA      | $6129761.60     | 0.01%             | 2032-11-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 6.2% 09/15/2055                                                                         | CUSIP: 126650EL0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     8290000 | PA      | $8159477.60     | 0.01%             | 2055-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AU2854                                                                          | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30950 | PA      | $29923.60       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMER CAP INC                                                              | ZF NORTH AMER CAP INC 6.75% 04/23/2030 144A                                                             | CUSIP: 98877DAF2<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      640000 | PA      | $623792.77      | 0.00%             | 2030-04-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                           | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9404100 | PA      | $8760931.03     | 0.01%             | 2051-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 6% 07/01/2039#SB1215                                                                          | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    60404611 | PA      | $62367785.48    | 0.07%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                       | HUDSON PACIFIC PROPERTIES LP 3.95% 11/01/2027                                                           | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     2573000 | PA      | $2459750.18     | 0.00%             | 2027-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 01/01/2042#AJ8357                                                                         | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21312 | PA      | $22194.63       | 0.00%             | 2042-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                            | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC A1R TSFR3M+118 04/20/2038 144A                                  | CUSIP: 01749WAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    12690000 | PA      | $12691713.15    | 0.02%             | 2038-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2031#                                                                                | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         334 | PA      | $345.62         | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                               | EDISON INTERNATIONAL 7.875%/VAR 06/15/2054                                                              | CUSIP: 281020AZ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      534000 | PA      | $527892.96      | 0.00%             | 2054-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 05/01/2054#                                                                                | CUSIP: 3140QUNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    31015193 | PA      | $31763894.00    | 0.04%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                              | KINDER MORGAN INC DEL 3.6% 02/15/2051                                                                   | CUSIP: 49456BAT8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    26000000 | PA      | $17674316.66    | 0.02%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19764                                                                        | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23372 | PA      | $22558.66       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                    | BANK 2019-BN21 A5 2.851% 10/17/2052                                                                     | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1112000 | PA      | $1040477.72     | 0.00%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #485009                                                                                | CUSIP: 36209XYE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         104 | PA      | $105.40         | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2022-2                                  | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2022-2 3.1% 02/16/2027                                       | CUSIP: 362585AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6757632 | PA      | $6744464.32     | 0.01%             | 2027-02-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #251569                                                                                 | CUSIP: 31371GMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.81          | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#MA4178                                                                        | CUSIP: 31418DUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      316944 | PA      | $284798.62      | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 04/51#MA7311                                                                                 | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4062403 | PA      | $3327637.04     | 0.00%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 08/01/2032#MA3090                                                                          | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      388274 | PA      | $378421.25      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 17 LTD / AIMCO CLO 17 LLC                                                | AIMCO CLO 17 LTD / AIMCO CLO 17 LLC A1R TSFR3M+135 07/20/2037 144A                                      | CUSIP: 00889JAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    14150000 | PA      | $14201633.35    | 0.02%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2051#CA8955                                                                        | CUSIP: 3140QG5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      179263 | PA      | $150493.25      | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 8.00% 8/30 #C41636                                                                                 | CUSIP: 31297YY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          22 | PA      | $23.07          | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2587 IM 6.5% 3/33                                                                                   | CUSIP: 31393NA66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1517 | PA      | $220.50         | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-37 OW 0% 5/36                                                                                  | CUSIP: 31395DMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        5344 | PA      | $4424.71        | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 03/01/2049#ZN6553                                                                          | CUSIP: 3131YDH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3508624 | PA      | $3324145.19     | 0.00%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 03/01/2053#SD7559                                                                        | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    57289888 | PA      | $58517386.68    | 0.07%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #436032                                                                                | CUSIP: 36207MLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          67 | PA      | $67.72          | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                                 | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    12748000 | PA      | $12180148.63    | 0.01%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.125% 08/15/2040                                                           | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3500000 | PA      | $2154687.50     | 0.00%             | 2040-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                        | ASBURY AUTOMOTIVE GROUP INC 4.625% 11/15/2029 144A                                                      | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      175000 | PA      | $169957.83      | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #741227                                                                                 | CUSIP: 3620AVPL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1516 | PA      | $1510.78        | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                              | AIRCASTLE LTD / AIRCASTLE IRELAND DAC 5.25% 03/15/2030 144A                                             | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    12185000 | PA      | $12433677.82    | 0.01%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 5.5% 02/01/2030 144A                                                        | CUSIP: 45262BAG8<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     8000000 | PA      | $8286936.80     | 0.01%             | 2030-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL CORP                                                                    | MURPHY OIL CORP 6% 10/01/2032                                                                           | CUSIP: 626717AP7<br>LEI: QBKYQD0ODE7DC7PDIN91 | Long             | DBT              | CORP              | US        |      460000 | PA      | $447996.35      | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                               | ZF EUROPE FINANCE BV 7% 06/12/2030 REGS                                                                 | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |      400000 | PA      | $477785.27      | 0.00%             | 2030-06-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 6.25% 05/15/2030                                                            | CUSIP: 912810FM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5440000 | PA      | $6036275.03     | 0.01%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873245 04/17/65 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      599960 | NC      | $-4956.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.5% 10/25/2044                                                          | CUSIP: 3137H9AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9818886 | PA      | $9781936.47     | 0.01%             | 2044-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AE9509                                                                        | CUSIP: 31419LR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3732 | PA      | $3638.87        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19597                                                                        | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       87087 | PA      | $84136.12       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #711059                                                                                | CUSIP: 36297F5U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5323 | PA      | $5408.37        | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #572392                                                                                | CUSIP: 36200T2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         626 | PA      | $640.72         | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 06/20/2054#MA9772                                                                            | CUSIP: 36179Y2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      395270 | PA      | $323406.79      | 0.00%             | 2054-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                           | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                           | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1260000 | PA      | $1247289.25     | 0.00%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 3.7% 04/30/2030                                                                        | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     9229000 | PA      | $9007133.36     | 0.01%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                                           | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                                           | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    27087078 | PA      | $27542428.49    | 0.03%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0938                                                                        | CUSIP: 3138NXBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3660 | PA      | $3336.53        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 01/20/2052#MA7827                                                                          | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8915154 | PA      | $7596403.67     | 0.01%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 5.125% 03/15/2035                                                          | CUSIP: 209111GM9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $9207722.25     | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6270                                                                          | CUSIP: 3140X96G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      454497 | PA      | $367780.96      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AQ1181                                                                                | CUSIP: 3138MGJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45298 | PA      | $42707.01       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 4.711%/VAR 07/08/2031                                                             | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    20356000 | PA      | $20590217.76    | 0.02%             | 2031-07-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#CB1109                                                                          | CUSIP: 3140QLGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      144239 | PA      | $115727.45      | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 06/01/2054#SD7571                                                                        | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    32585832 | PA      | $34302499.49    | 0.04%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026                                     | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     4254000 | PA      | $4250316.72     | 0.01%             | 2026-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AV6581                                                                          | CUSIP: 3138XJJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7693 | PA      | $7505.30        | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.6% 03/09/2026                                                                           | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    18593000 | PA      | $18609118.46    | 0.02%             | 2026-03-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     5300000 | NC      | $352272.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AS0205                                                                        | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90856 | PA      | $83025.87       | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2044#AS3651                                                                        | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      441003 | PA      | $436849.25      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #396994                                                                                 | CUSIP: 31378E7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          26 | PA      | $26.71          | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      500000 | NC      | $33233.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 03/01/2036#CA9437                                                                          | CUSIP: 3140QHPX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      925378 | PA      | $849970.29      | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                               | FX Forward: EUR/USD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $1781.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                                      | COHERENT CORP 5% 12/15/2029 144A                                                                        | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |     1685000 | PA      | $1655940.83     | 0.00%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35375                                                                                   | CUSIP: 3132QR6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16520 | PA      | $15026.07       | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2044#AX6333                                                                        | CUSIP: 3138Y8BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7578 | PA      | $7508.80        | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #569328                                                                                 | CUSIP: 36200QPM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         127 | PA      | $130.98         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 06/01/2036#SB8107                                                                          | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1852620 | PA      | $1702811.04     | 0.00%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3234                                                                          | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7653115 | PA      | $6704285.85     | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TR 20221                                        | AMERICREDIT AUTOMOBILE RECEIVABLES TR 20221 2.77% 04/19/2027                                            | CUSIP: 03066TAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3209251 | PA      | $3201990.07     | 0.00%             | 2027-04-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 4/31 #003068                                                                               | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          86 | PA      | $88.77          | 0.00%             | 2031-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 1/34 #609542                                                                                 | CUSIP: 36202UEP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         158 | PA      | $161.37         | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 4.75% 06/01/2030                                                                     | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1430000 | PA      | $1435087.78     | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 10/01/2053#RJ0002                                                                        | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6362115 | PA      | $6665469.65     | 0.01%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2043#AC3938                                                                        | CUSIP: 36179DLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2546 | PA      | $2390.34        | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 5.6% 10/15/2032                                                                       | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     3114000 | PA      | $3198937.15     | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#BU2527                                                                          | CUSIP: 3140M3YZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9063759 | PA      | $7325933.99     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #424092                                                                                 | CUSIP: 36206XC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         157 | PA      | $162.42         | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                        | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                      | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    16310720 | PA      | $16903551.44    | 0.02%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                | BROWN and BROWN INC 5.55% 06/23/2035                                                                    | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     5476000 | PA      | $5581601.92     | 0.01%             | 2035-06-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 3.375% 02/15/2030                                                                          | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     5275000 | PA      | $4807125.44     | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 5.165% 06/15/2030                                                                          | CUSIP: 053332BM3<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     1476000 | PA      | $1523395.81     | 0.00%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+54.948 07/25/2037 144A                                              | CUSIP: 07325YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25628 | PA      | $24071.46       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.8% 09/15/2030                                                          | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10658000 | PA      | $10283172.32    | 0.01%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 4.8% 02/15/2044                                                                            | CUSIP: 65473QBC6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     4982000 | PA      | $4416591.57     | 0.01%             | 2044-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.475%/VAR 01/21/2028                                                                    | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4880633.35     | 0.01%             | 2028-01-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BOSCH (ROBERT) GMBH                                                                | BOSCH (ROBERT) GMBH 4.375% 06/02/2043 REGS                                                              | CUSIP: N/A<br>LEI: 529900F0LT5OP4SV6122       | Long             | DBT              | CORP              | DE        |      500000 | PA      | $578221.71      | 0.00%             | 2043-06-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #678654                                                                                 | CUSIP: 36295R5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33714 | PA      | $32727.59       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA 4.5% 12/16/2025                                                                     | CUSIP: 064159HB5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     2207000 | PA      | $2207562.14     | 0.00%             | 2025-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885802 12/15/56 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      700000 | NC      | $88270.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                           | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                                 | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |     8545000 | PA      | $8896276.41     | 0.01%             | 2028-08-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#RA6347                                                                          | CUSIP: 3133KNBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2994948 | PA      | $2625507.85     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                                                | VIRGIN MONEY UK PLC 7.625%/VAR 08/23/2029 REGS                                                          | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |     1600000 | PA      | $2331855.45     | 0.00%             | 2029-08-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                       | ING GROEP NV 3%/VAR 08/17/2031 REGS                                                                     | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |     4700000 | PA      | $5442952.52     | 0.01%             | 2031-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 08/20/2043#MA1225                                                                          | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      118818 | PA      | $114549.21      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/33 #G01625                                                                                | CUSIP: 31283HYW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20919 | PA      | $21207.53       | 0.00%             | 2033-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2052#QE0452                                                                          | CUSIP: 3133B9QD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1546775 | PA      | $1355006.99     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                       | UNIVISION COMMUNICATIONS INC 8.5% 07/31/2031 144A                                                       | CUSIP: 914906AZ5<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     1060000 | PA      | $1092288.66     | 0.00%             | 2031-07-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 04/01/2052#SD7554                                                                        | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9060192 | PA      | $7668413.68     | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/30 DB B                                                                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     1500000 | NC      | $18490.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 05/01/2055#CC0404                                                                          | CUSIP: 3140Y6NW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22710179 | PA      | $23522758.74    | 0.03%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/29 #494945                                                                                 | CUSIP: 31382WZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1917 | PA      | $2015.31        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2033#684171                                                                        | CUSIP: 31400DCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         237 | PA      | $243.33         | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLAT 2025-30A                                                                      | FLAT 2025-30A A1 TSFR3M+116 04/15/2038 144A                                                             | CUSIP: 33882MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11507000 | PA      | $11499934.70    | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 12/38 #970918                                                                                | CUSIP: 31414NDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17999 | PA      | $19038.80       | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 3.073%/VAR 05/22/2028                                                                 | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     9914000 | PA      | $9724963.12     | 0.01%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.55% 07/15/2029                                                               | CUSIP: 37045XEU6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     8500000 | PA      | $8763342.50     | 0.01%             | 2029-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RR 34 LTD                                                                          | RR 34 LTD A1R TSFR3M+135 10/15/2039 144A                                                                | CUSIP: 74988WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13007000 | PA      | $13052524.50    | 0.02%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/44#Q28991                                                                          | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58762 | PA      | $56553.34       | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS7871                                                                          | CUSIP: 3140XPW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6257952 | PA      | $5062004.95     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/CAD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-657.79        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2050#SD8090                                                                          | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    55080316 | PA      | $44226965.96    | 0.05%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 3.477% 11/01/2051                                                                 | CUSIP: 595112BU6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     2229000 | PA      | $1518060.96     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2046#AS7844                                                                          | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1231870 | PA      | $1102240.90     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      500000 | NC      | $-6711.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 2                                                         | BAYVIEW COML ASSET TR 06 2 TSFR1M+57.948 07/25/2036 144A                                                | CUSIP: 07324YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6708 | PA      | $6406.04        | 0.00%             | 2036-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 12M+1.75 9/1/41 #1B8787                                                                        | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26231 | PA      | $27190.04       | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                               | HEIMSTADEN BOSTAD AB EUSA5+NA PERP REGS                                                                 | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | EP               | CORP              | SE        |      195000 | PA      | $223725.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3038                                                                          | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3981793 | PA      | $3195952.66     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #505740                                                                                 | CUSIP: 31383KZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         379 | PA      | $398.42         | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#QB5146                                                                          | CUSIP: 3133ABWF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28034 | PA      | $22510.02       | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AJ7139                                                                                | CUSIP: 3138AY4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6456 | PA      | $6251.39        | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 04/01/2041#                                                                                | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33430 | PA      | $28959.59       | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.25% 08/15/2054                                                            | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   152050000 | PA      | $136037234.38   | 0.16%             | 2054-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 7/30 #781205                                                                                 | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          72 | PA      | $74.21          | 0.00%             | 2030-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.246% 07/30/2054 144A                                                            | CUSIP: 864300AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    18341400 | PA      | $18328927.85    | 0.02%             | 2054-07-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 3/41 #004978                                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18224 | PA      | $18128.44       | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                | JAPAN GOVERNMENT OF 0.9% 09/20/2034                                                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   170000000 | PA      | $1094822.90     | 0.00%             | 2034-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18363                                                                        | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12882 | PA      | $12434.53       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.49% 8/37 #1A1800                                                                             | CUSIP: 3128NF7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4202 | PA      | $4217.53        | 0.00%             | 2037-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/38 #A78487                                                                                 | CUSIP: 3128LCNC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1213 | PA      | $1233.30        | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/40 #748811                                                                                 | CUSIP: 3620C43U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5673 | PA      | $5653.79        | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/42#G07184                                                                               | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4992544 | PA      | $4849038.63     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                           | OAK HILL CREDIT PARTNERS A2 TSFR3M+165 04/20/2037 144A                                                  | CUSIP: 67706JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     1300000 | PA      | $1303348.80     | 0.00%             | 2037-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 08/01/2048#ZS4785                                                                          | CUSIP: 3132A5J63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1048178 | PA      | $994703.61      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#SD7527                                                                          | CUSIP: 3132DVLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15856380 | PA      | $12850868.18    | 0.02%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 10/32 #G01766                                                                                | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9680 | PA      | $10148.61       | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HEALTHEQUITY INC                                                                   | HEALTHEQUITY INC 4.5% 10/01/2029 144A                                                                   | CUSIP: 42226AAA5<br>LEI: 529900LRJU1RAFQHM467 | Long             | DBT              | CORP              | US        |      850000 | PA      | $821685.06      | 0.00%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 05/01/2053#FS4662                                                                        | CUSIP: 3140XLFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11375031 | PA      | $11967173.65    | 0.01%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2018-1                                                              | TOWD PT MTG TR 2018-1 3.25% 01/25/2058 144A                                                             | CUSIP: 89176EAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4549920 | PA      | $4432035.21     | 0.01%             | 2058-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 11/01/2041#RB5135                                                                          | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6741919 | PA      | $5810677.74     | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C10 MORTGAGE TRUST                                                       | BMO 2025-5C10 MORTGAGE TRUST 5.5784% 05/15/2058                                                         | CUSIP: 05615BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13690000 | PA      | $14301677.41    | 0.02%             | 2058-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #452761                                                                                 | CUSIP: 36208J5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          41 | PA      | $41.53          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.35% 02/12/2048                                                                    | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     1560000 | PA      | $1168065.60     | 0.00%             | 2048-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 01/01/2051#MA4236                                                                        | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23971430 | PA      | $18193464.16    | 0.02%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHLMC MULTIFAM STRUCTURED PASS THROUGH 2018-K072 A2 3.444% 12/25/2027                                   | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    28327000 | PA      | $28007474.27    | 0.03%             | 2027-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0573                                                                                | CUSIP: 3138A1T76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2471 | PA      | $2408.25        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                                     | TRANSOCEAN INC 8% 02/01/2027 144A                                                                       | CUSIP: 893830BL2<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |      590000 | PA      | $588958.71      | 0.00%             | 2027-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#BU6503                                                                          | CUSIP: 3140M8GM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24933 | PA      | $19926.63       | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/47#Q52377                                                                               | CUSIP: 3132XUUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1562620 | PA      | $1485777.98     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY US BOND INDEX FUNDFIDELITY ADV                                                                 | CUSIP: 316146356<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   136225944 | NS      | $1426285631.75  | 1.70%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/28 #465985                                                                                 | CUSIP: 36209AUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         100 | PA      | $101.89         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 09/20/2043#MA1284                                                                          | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3805 | PA      | $3472.90        | 0.00%             | 2043-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                              | VENTURE GLOBAL PLAQUE 6.5% 01/15/2034 144A                                                              | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      820000 | PA      | $856052.94      | 0.00%             | 2034-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EG AMERICA LLC                                                                     | EG GROUP TERM B 1LN 02/07/2028                                                                          | CUSIP: N/A<br>LEI: 549300BY1CRYVPEG9R57       | Long             | LON              | CORP              | US        |       14888 | PA      | $14944.67       | 0.00%             | 2028-02-07      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                | EMERA US FINANCE LP 4.75% 06/15/2046                                                                    | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5449000 | PA      | $4540746.24     | 0.01%             | 2046-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 3% 05/25/2048                                                                                | CUSIP: 3136BMAC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5989805 | PA      | $5522503.51     | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #549563                                                                                 | CUSIP: 36213BQQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         210 | PA      | $213.77         | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROCKET COMPANIES INC                                                               | ROCKET COS INC 6.125% 08/01/2030 144A                                                                   | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1025000 | PA      | $1054673.75     | 0.00%             | 2030-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 11/34 #A45143                                                                                | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7344 | PA      | $7763.39        | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 5.65% 11/01/2032                                                                  | CUSIP: 595112CG6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $7737646.24     | 0.01%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2040#AE9804                                                                          | CUSIP: 31419L3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284558 | PA      | $276756.70      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2041#AH4043                                                                        | CUSIP: 3138A5P55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6518 | PA      | $6501.03        | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2218 ZB 6% 3/30                                                                                     | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        6241 | PA      | $6375.00        | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 5.323%/VAR 07/08/2036                                                             | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    10000000 | PA      | $10155352.90    | 0.01%             | 2036-07-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 01/20/2064                                                   | CUSIP: 38375UEJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       30953 | PA      | $31007.50       | 0.00%             | 2064-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 1.898%/VAR 07/23/2031                                                       | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6975000 | PA      | $6200752.96     | 0.01%             | 2031-07-23      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      500000 | NC      | $79954.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                             | PATRICK INDUSTRIES INC 6.375% 11/01/2032 144A                                                           | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |      825000 | PA      | $836882.48      | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                                             | CACI INTERNATIONAL INC 6.375% 06/15/2033 144A                                                           | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |      790000 | PA      | $814839.42      | 0.00%             | 2033-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                                | FIFTH THIRD BANCORP 8.25% 03/01/2038                                                                    | CUSIP: 316773CH1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     2155000 | PA      | $2640198.03     | 0.00%             | 2038-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.35% 01/25/2028                                                         | CUSIP: 3137FETN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22090000 | PA      | $21798495.94    | 0.03%             | 2028-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2023-REV2                                                    | FORD CR AUTO OWNER TR 2023-REV2 5.28% 02/15/2036 144A                                                   | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10800000 | PA      | $11175956.64    | 0.01%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2045#AZ8288                                                                        | CUSIP: 3140E1F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92292 | PA      | $83352.41       | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 09/01/2055 #TBA                                                                            | CUSIP: 01F060691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -107900000 | PA      | $-110243458.52  | -0.13%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#                                                                              | CUSIP: 312936C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1795 | PA      | $1795.61        | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2046#BM5096                                                                        | CUSIP: 3140J9UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17159326 | PA      | $16145547.98    | 0.02%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD/MAURITIUS                                                            | HTA GROUP LTD/MAURITIUS 7.5% 06/04/2029 144A                                                            | CUSIP: 40435WAC4<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |     1200000 | PA      | $1242000.00     | 0.00%             | 2029-06-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 08/01/2036#SB8114                                                                        | CUSIP: 3132D6AP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      579292 | PA      | $519272.04      | 0.00%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2054#BY8728                                                                        | CUSIP: 3140NRVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1878492 | PA      | $1896433.93     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                                       | BX 2021-BXMF TSFR1M+75.041 10/15/2026 144A                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4415129 | PA      | $4412369.52     | 0.01%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                          | CUSIP: 3137H5VK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3922036 | PA      | $3439713.39     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4% 10/01/2055 #TBA                                                                            | CUSIP: 01F0406A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -54450000 | PA      | $-50800145.72   | -0.06%            | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT PORTLAND ESTATES PLC                                                         | GREAT PORTLAND ESTATES PLC 5.375% 09/25/2031 REGS                                                       | CUSIP: N/A<br>LEI: 213800JMEDD2Q4N1MC42       | Long             | DBT              | CORP              | GB        |      500000 | PA      | $672727.48      | 0.00%             | 2031-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/39 #710869                                                                                 | CUSIP: 36297FW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41716 | PA      | $42968.14       | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CROWN AMERICAS LLC                                                                 | CROWN AMERICAS LLC 5.875% 06/01/2033 144A                                                               | CUSIP: 228180AC9<br>LEI: RPPGGRL1J75WGF2DFO04 | Long             | DBT              | CORP              | US        |     1440000 | PA      | $1456567.20     | 0.00%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2055#CB9989                                                                          | CUSIP: 3140QWC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28531739 | PA      | $29552615.67    | 0.04%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #660494                                                                                 | CUSIP: 31390YXX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         142 | PA      | $149.05         | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.85% 04/06/2030                                                               | CUSIP: 37045XEG7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    10453000 | PA      | $10925211.24    | 0.01%             | 2030-04-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 04/01/2035#FM2926                                                                          | CUSIP: 3140X6HC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3134725 | PA      | $3029277.32     | 0.00%             | 2035-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                                                            | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2495021 | PA      | $2260422.09     | 0.00%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                             | MARVELL TECHNOLOGY INC 2.45% 04/15/2028                                                                 | CUSIP: 573874AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4982000 | PA      | $4769637.57     | 0.01%             | 2028-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE C0-ISSUER INC                                                           | ROCKETMTGE C0-ISSUER INC 3.625% 03/01/2029 144A                                                         | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1055000 | PA      | $1005794.80     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #Q03529                                                                                 | CUSIP: 3132GJSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11137 | PA      | $11139.45       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2050#MA4211                                                                          | CUSIP: 31418DVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17067843 | PA      | $14957113.91    | 0.02%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #481853                                                                                 | CUSIP: 36209UH66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         175 | PA      | $177.89         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#SD0958                                                                        | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14436255 | PA      | $13204023.63    | 0.02%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCU AUTO RECEIVABLES TRUST 2025-1                                                 | OCCU AUTO RECEIVABLES TRUST 2025-1 4.81% 11/15/2029 144A                                                | CUSIP: 67098SAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5700000 | PA      | $5737507.71     | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #583573                                                                                 | CUSIP: 36201HJS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         135 | PA      | $139.09         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032                                      | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    15939000 | PA      | $14592653.39    | 0.02%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 11/36 #995606                                                                                  | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1486 | PA      | $1528.70        | 0.00%             | 2036-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.8% 04/01/2031         | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    25100000 | PA      | $22585242.30    | 0.03%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                                                  | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6721101 | PA      | $5802207.92     | 0.01%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#MA4077                                                                          | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    40063433 | PA      | $32169097.99    | 0.04%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      700000 | NC      | $46526.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 08/01/2031#V61273                                                                        | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      623642 | PA      | $603608.13      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 12/01/2053#FS6525                                                                        | CUSIP: 3140XNHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4555729 | PA      | $4789609.70     | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                                                  | CHASE ISSUANCE TR 5.08% 09/15/2030                                                                      | CUSIP: 161571HU1<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |    11940000 | PA      | $12330422.48    | 0.01%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GTC AURORA LUXEMBOURG SA                                                           | GTC AURORA LUXEMBOURG SA 2.25% 06/23/2026 REGS                                                          | CUSIP: N/A<br>LEI: 549300UAWIR6P1PVC062       | Long             | DBT              | CORP              | LU        |     1390000 | PA      | $1483432.85     | 0.00%             | 2026-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727855                                                                                 | CUSIP: 3620AETL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3097 | PA      | $3080.87        | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #587924                                                                                 | CUSIP: 36201ND56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         329 | PA      | $339.16         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#BM4980                                                                          | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9046694 | PA      | $8779462.48     | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.2% 05/12/2026                                                                            | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1556000 | PA      | $1561965.41     | 0.00%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NATL MTG AS GTD RE PTT 18-38 FG SOFR30A+41.448 06/25/2048                                       | CUSIP: 3136B1T20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1071090 | PA      | $1033150.41     | 0.00%             | 2048-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 7.00% 12/26 #256589                                                                           | CUSIP: 31371M7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         219 | PA      | $220.46         | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+71.448 11/25/2035 144A                                                     | CUSIP: 07324SCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18513 | PA      | $17990.75       | 0.00%             | 2035-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 5/42 #Q08167                                                                                 | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59302 | PA      | $57757.47       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2045#AS5393                                                                        | CUSIP: 3138WE7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24029 | PA      | $23764.95       | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #G05969                                                                                 | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25899 | PA      | $26325.82       | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 6.537%/VAR 08/12/2033 144A                                                                 | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    11161000 | PA      | $12238998.47    | 0.01%             | 2033-08-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #723234                                                                                | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1283 | PA      | $1278.71        | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 09/17/32                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -207459000 | NC      | $-1881340.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#FS3248                                                                          | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13533537 | PA      | $13519324.10    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC          | HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC 6.625% 01/15/2032 144A        | CUSIP: 43283QAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      980000 | PA      | $999989.06      | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.753% 10/33 #746320                                                                           | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3621 | PA      | $3690.21        | 0.00%             | 2033-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 21-1A A23 2.791% 11/20/2051 144A                                                      | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    28617050 | PA      | $25304657.94    | 0.03%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARKS and SPENCER PLC                                                              | MARKS and SPENCER PLC STEP 07/10/2027 REGS                                                              | CUSIP: N/A<br>LEI: 213800CN1RI3UCIZWB95       | Long             | DBT              | CORP              | GB        |     1800000 | PA      | $2374977.68     | 0.00%             | 2027-07-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 01/01/2036#G30933                                                                          | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      626882 | PA      | $619919.96      | 0.00%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 5.718%/VAR 07/23/2032                                                        | CUSIP: 174610BH7<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    15200000 | PA      | $15875253.62    | 0.02%             | 2032-07-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AP4325                                                                        | CUSIP: 3138M7YX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8215 | PA      | $7594.63        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #780931                                                                                | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          80 | PA      | $81.26          | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WH BORROWER LLC                                                                    | WHP TERM B 1LN 02/20/2032                                                                               | CUSIP: 92942LAG6<br>LEI: 2549009H920CQUE3R944 | Long             | LON              | CORP              | US        |     1360000 | PA      | $1362978.40     | 0.00%             | 2032-02-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND                                                            | DRYDEN SENIOR LOAN FUND A1A TSFR3M+139.161 02/20/2035 144A                                              | CUSIP: 262484AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6930000 | PA      | $6934227.30     | 0.01%             | 2035-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 4.2% 04/15/2032                                                            | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     9341000 | PA      | $8974317.36     | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 4.3% 04/15/2052                                                                | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     5604000 | PA      | $4321716.31     | 0.01%             | 2052-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MTG TR                                                                 | CD MTG TR 2017-CD5 AAB 3.22% 08/15/2050                                                                 | CUSIP: 12515HBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      308814 | PA      | $306241.63      | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.75% 02/15/2045                                                                              | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   137660000 | PA      | $135616609.38   | 0.16%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2095 PE 6% 11/28                                                                                    | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       13796 | PA      | $14066.98       | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/20/2043#MA0852                                                                          | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7285 | PA      | $6808.89        | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 4.445% 02/14/2030                                                              | CUSIP: 345397E41<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      700000 | PA      | $834493.10      | 0.00%             | 2030-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 05/15/2039#783724                                                                        | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29114 | PA      | $29566.28       | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAP I INC                                                       | MSAC 04-HE7 B3 TSFR1M+536.448 8/34                                                                      | CUSIP: 61744CGL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       50054 | PA      | $72446.12       | 0.00%             | 2034-08-25      | Variable      | 0.10%                 | No            |                  3 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                      | UNITED RENTALS NORTH AMER INC 6.125% 03/15/2034 144A                                                    | CUSIP: 911365BR4<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     1080000 | PA      | $1118642.40     | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745083                                                                                 | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54060 | PA      | $53862.68       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2052#BW3272                                                                          | CUSIP: 3140MUT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41452 | PA      | $33011.64       | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV                                      | TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV 5.75% 12/01/2030                                          | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |     1050000 | PA      | $1073222.85     | 0.00%             | 2030-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #313182                                                                                | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           9 | PA      | $9.51           | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.89% 3/33 #725130                                                                             | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2432 | PA      | $2495.02        | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 09/01/2054#QJ3128                                                                        | CUSIP: 3133CTPM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5919376 | PA      | $5955565.19     | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2046#BC2817                                                                          | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3347566 | PA      | $2995303.50     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK6                                                                     | BANK 2017-BNK6 ASB 3.289% 07/60                                                                         | CUSIP: 060352AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1104351 | PA      | $1097446.54     | 0.00%             | 2060-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      810000 | NC      | $129526.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 12/01/2035#MA4205                                                                        | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9034579 | PA      | $8118273.67     | 0.01%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 12/20/2049#BR8985                                                                          | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      169651 | PA      | $155607.07      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+141.278 21 10/15/2036 144A                                 | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3579000 | PA      | $3565609.89     | 0.00%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2044#Q27069                                                                        | CUSIP: 3132M7QW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2846 | PA      | $2823.14        | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.45% 02/15/2031 144A                                                                      | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    63916000 | PA      | $57788300.85    | 0.07%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                              | NORFOLK SOUTHERN CORP 5.35% 08/01/2054                                                                  | CUSIP: 655844CS5<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3235909.00     | 0.00%             | 2054-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03295                                                                                 | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16271 | PA      | $15837.25       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.788%/VAR 08/26/2037 REGS                                                  | CUSIP: N/A<br>LEI: MSFSBD3QN1GSN7Q6C537       | Long             | DBT              | CORP              | AU        |     1000000 | PA      | $1169233.16     | 0.00%             | 2037-08-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3% 02/01/2037#C91917                                                                          | CUSIP: 3128P8DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      196061 | PA      | $186492.38      | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 09/01/2050#CA6947                                                                        | CUSIP: 3140QEWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11748878 | PA      | $9966106.54     | 0.01%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/47#BE3749                                                                             | CUSIP: 3140FPEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      567022 | PA      | $556719.36      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                                     | TRANSOCEAN INC 8.25% 05/15/2029 144A                                                                    | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |      860000 | PA      | $831855.98      | 0.00%             | 2029-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                     | BURLINGTON NORTHN SANTA FE LLC 4.4% 03/15/2042                                                          | CUSIP: 12189LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1397000 | PA      | $1230279.28     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-2                                                                        | SCLP 2025-2 4.82% 06/25/2034 144A                                                                       | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    26622644 | PA      | $26687826.65    | 0.03%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                                           | DELL EQUIP FIN TR 2025-1 4.68% 07/22/2027 144A                                                          | CUSIP: 24703UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9720000 | PA      | $9757040.98     | 0.01%             | 2027-07-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #830899                                                                                 | CUSIP: 31407HDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         275 | PA      | $288.88         | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-NUGS                                                  | MORGAN STANLEY CAP I TR 2019-NUGS A TSFR1M+106.448 4 12/15/2021 144A                                    | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9700000 | PA      | $7348023.54     | 0.01%             | 2036-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                               | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                                    | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |     1445000 | PA      | $1314828.50     | 0.00%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2053#BW9618                                                                          | CUSIP: 3140N2VL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1399789 | PA      | $1213339.51     | 0.00%             | 2053-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 5.7% 09/15/2034                                                          | CUSIP: 72650RBP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    17170000 | PA      | $17514870.27    | 0.02%             | 2034-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 03/20/2050#MA6541                                                                            | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11636313 | PA      | $10339059.92    | 0.01%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 07/01/2042#AP1818                                                                        | CUSIP: 3138M5AU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11094 | PA      | $10374.76       | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.1% 09/15/2045                                                                        | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     9765000 | PA      | $8809393.10     | 0.01%             | 2045-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.358% 10/33 #754672                                                                           | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         489 | PA      | $496.61         | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #570662                                                                                | CUSIP: 36200R5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         252 | PA      | $255.90         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0493                                                                                | CUSIP: 3138A1RP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3931 | PA      | $3838.50        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                        | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88528 | PA      | $86642.55       | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                   | PACIFIC LIFECORP 3.35% 09/15/2050 144A                                                                  | CUSIP: 694476AE2<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |     7037000 | PA      | $4723873.85     | 0.01%             | 2050-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #372445                                                                                 | CUSIP: 36204KWE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          16 | PA      | $16.75          | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR5360                                                                        | CUSIP: 3138W25W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21126 | PA      | $19311.41       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 5.5% 02/15/2049                                                                                 | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     4129000 | PA      | $3716603.12     | 0.00%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043                                                                               | CUSIP: 31417GAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17177 | PA      | $15729.74       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 4.5% 01/30/2026                                                                    | CUSIP: 254709AP3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     6750000 | PA      | $6747283.46     | 0.01%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/42#AB5369                                                                             | CUSIP: 31417B6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10784 | PA      | $10179.45       | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5815                                                                          | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32425 | PA      | $30624.10       | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #692780                                                                                 | CUSIP: 36296JUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4360 | PA      | $4429.10        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#737704                                                                        | CUSIP: 3620ARRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2930 | PA      | $2838.40        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2045#AL7147                                                                        | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      102343 | PA      | $101378.74      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                                            | BPR COML MTG TR 2024-PARK A VAR 11/05/2039 144A                                                         | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13519000 | PA      | $13761574.12    | 0.02%             | 2039-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2046#784232                                                                          | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      385333 | PA      | $370637.63      | 0.00%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #863262                                                                                | CUSIP: 31408XB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         603 | PA      | $635.37         | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                                                 | BRAVO RESIDENTIAL FDG TR 2025-NQM5 STEP 02/25/2065 144A                                                 | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11562612 | PA      | $11628618.65    | 0.01%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES LTD                                                              | NABORS INDUSTRIES LTD 7.5% 01/15/2028 144A                                                              | CUSIP: 629571AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      450000 | PA      | $451702.80      | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                                             | POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A                                             | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6010000 | PA      | $6050806.10     | 0.01%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                        | CHEMOURS CO 5.75% 11/15/2028 144A                                                                       | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |     1015000 | PA      | $977356.59      | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AQ9868                                                                        | CUSIP: 3138MR6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10142 | PA      | $9379.91        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR4275                                                                        | CUSIP: 3138W1XD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2357 | PA      | $2220.73        | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS0631                                                                          | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26659840 | PA      | $23346234.84    | 0.03%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #558746                                                                                 | CUSIP: 36213MWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         435 | PA      | $448.75         | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#QC1514                                                                               | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2377088 | PA      | $1923549.75     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #424845                                                                                 | CUSIP: 36206X5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          48 | PA      | $48.06          | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS PTY LTD                                                   | AUSNET SERVICES HOLDINGS PTY LTD 6.134% 05/31/2033                                                      | CUSIP: N/A<br>LEI: TTMIG9TE1S0X3ZPDHD61       | Long             | DBT              | CORP              | AU        |     1430000 | PA      | $996919.24      | 0.00%             | 2033-05-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 02/25/2048                                                            | CUSIP: 3137H65B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     7497285 | PA      | $6947421.71     | 0.01%             | 2048-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                                | KINETIK HOLDINGS LP 6.625% 12/15/2028 144A                                                              | CUSIP: 49461MAB6<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |     1095000 | PA      | $1126554.62     | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                        | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                                       | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13419812 | PA      | $13522979.26    | 0.02%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2019                                                        | JPMDB 2019-COR6 A4 3.0565% 11/13/52                                                                     | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2872000 | PA      | $2596604.78     | 0.00%             | 2052-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DPL INC                                                                            | DPL INC 4.35% 04/15/2029                                                                                | CUSIP: 233293AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7785000 | PA      | $7705047.27     | 0.01%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2054#SD7574                                                                          | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22037027 | PA      | $22775593.04    | 0.03%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.088%/VAR 06/20/2030                                                                      | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    35939000 | PA      | $36450238.38    | 0.04%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| METHANEX US OPERATIONS INC                                                         | METHANEX US OPERATIONS INC 6.25% 03/15/2032 144A                                                        | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      885000 | PA      | $893026.07      | 0.00%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.97%/VAR 03/05/2029                                                        | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3624000 | PA      | $3602284.56     | 0.00%             | 2029-03-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2043#AU6807                                                                        | CUSIP: 3138X6R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15311 | PA      | $15315.89       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #499386                                                                                 | CUSIP: 31383CXP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         168 | PA      | $174.31         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALCOA NEDERLAND HOLDING BV                                                         | ALCOA NEDERLAND HOLDING BV 7.125% 03/15/2031 144A                                                       | CUSIP: 013822AH4<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |      170000 | PA      | $179302.74      | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL FDG                                                       | JACKSON NATL LIFE GLOBAL FDG 5.55% 07/02/2027 144A                                                      | CUSIP: 46849LVA6<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     3874000 | PA      | $3956959.19     | 0.00%             | 2027-07-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                                          | MFRA TRUST VAR 02/25/2066 144A                                                                          | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      708588 | PA      | $670294.41      | 0.00%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2033#CA1278                                                                          | CUSIP: 3140Q8M44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83711 | PA      | $81465.28       | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605525                                                                                | CUSIP: 36200NVS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3553 | PA      | $3694.67        | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 5% 04/20/2048                                                                    | CUSIP: 054561AM7<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    10215000 | PA      | $9136421.13     | 0.01%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 5.4% 04/01/2048                                                                       | CUSIP: 37045VAQ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      654000 | PA      | $574160.61      | 0.00%             | 2048-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#MA4399                                                                        | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2473404 | PA      | $2066399.70     | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB9033                                                                             | CUSIP: 31417GBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14664 | PA      | $13428.00       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THORNBURG MTG SECS TR                                                              | TMST 2003-4 A1 TSFR1M+75.448 9/43                                                                       | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       36101 | PA      | $34951.28       | 0.00%             | 2043-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 XA VAR 05/15/2058                                        | CUSIP: 949931AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15993506 | PA      | $735851.62      | 0.00%             | 2058-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 2.75% 06/01/2026                                                                              | CUSIP: 852234AN3<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      465000 | PA      | $457121.32      | 0.00%             | 2026-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 09/01/2054#CB9209                                                                        | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13911297 | PA      | $14026776.36    | 0.02%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                                                                       | ASSURANT INC 2.65% 01/15/2032                                                                           | CUSIP: 04621XAN8<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |     7753000 | PA      | $6759307.45     | 0.01%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #556294                                                                                | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1027 | PA      | $1062.32        | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.06% 03/15/2031 144A                                                  | CUSIP: 361886DF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9100000 | PA      | $9378210.66     | 0.01%             | 2031-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #711491                                                                                 | CUSIP: 36297GNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54775 | PA      | $53179.82       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AL3181                                                                        | CUSIP: 3138EKRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      531806 | PA      | $488433.28      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 08/01/2052#BW7825                                                                          | CUSIP: 3140N0VT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2746444 | PA      | $2743559.72     | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #555696                                                                                 | CUSIP: 36213JKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         107 | PA      | $110.58         | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 5/42 #766750                                                                                 | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13320 | PA      | $12527.91       | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 3/32 #C64888                                                                                 | CUSIP: 31287QND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         215 | PA      | $225.16         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #462703                                                                                 | CUSIP: 36208WAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         502 | PA      | $509.69         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562349 11/18/64 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     2500000 | NC      | $353041.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #379219                                                                                 | CUSIP: 31377KG41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $30.06          | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HUDBAY MINERALS INC                                                                | HUDBAY MINERALS INC 4.5% 04/01/2026 144A                                                                | CUSIP: 443628AJ1<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |      620000 | PA      | $615746.24      | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                                          | CUSIP: 3137F64V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2333764 | PA      | $1973879.68     | 0.00%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.349% 12/34 #843013                                                                           | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1316 | PA      | $1337.94        | 0.00%             | 2034-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6308                                                                          | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2142189 | PA      | $1731459.85     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                        | NATIONWIDE BUILDING SOC(UNGTD) 4%/VAR 07/30/2035 REGS                                                   | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |      500000 | PA      | $593410.99      | 0.00%             | 2035-07-30      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8186                                                                          | CUSIP: 31419KCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106948 | PA      | $104239.75      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                        | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    11878000 | PA      | $10981368.26    | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 5.65% 01/15/2053                                                                       | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2491000 | PA      | $2385133.22     | 0.00%             | 2053-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2042#C04276                                                                        | CUSIP: 31292LXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      543357 | PA      | $512903.82      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#FS6219                                                                        | CUSIP: 3140XM4D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      835855 | PA      | $760264.20      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                                                      | AROUNDTOWN SA 3.375%/VAR PERP REGS                                                                      | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | EP               | CORP              | LU        |     3900000 | PA      | $4411386.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #484404                                                                                 | CUSIP: 36209XDH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          78 | PA      | $79.08          | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.37% 6/36 #916726                                                                             | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8402 | PA      | $8581.69        | 0.00%             | 2036-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                                           | DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A                                                          | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1600000 | PA      | $1615528.16     | 0.00%             | 2031-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2024-HB1                                                          | OCWEN LN INVT TR 2024-HB1 3% 02/25/2037 144A                                                            | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1212202 | PA      | $1192627.32     | 0.00%             | 2037-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 05/01/2054#MA5354                                                                          | CUSIP: 31418E5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65415 | PA      | $66892.17       | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                     | FAIRFAX FINANCIAL HLDGS LTD 3.375% 03/03/2031                                                           | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     3434000 | PA      | $3226879.25     | 0.00%             | 2031-03-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 03/01/2039#FM1774                                                                        | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98893 | PA      | $99166.26       | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/26 #250673                                                                                 | CUSIP: 31371FMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          13 | PA      | $12.80          | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#BT9493                                                                          | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5185381 | PA      | $4191170.41     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 08/01/2034#FM2422                                                                          | CUSIP: 3140X5VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3803594 | PA      | $3716791.88     | 0.00%             | 2034-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2047#Q47935                                                                        | CUSIP: 3132WMY99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      297966 | PA      | $293017.52      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#CB1787                                                                          | CUSIP: 3140QL6Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      176207 | PA      | $140825.39      | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL5 B TSFR1M+169.12 03/15/2039 144A                                                 | CUSIP: 05612GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10427576 | PA      | $10443869.27    | 0.01%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2042#C04180                                                                        | CUSIP: 31292LUD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      849092 | PA      | $802277.18      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2039#                                                                              | CUSIP: 312933G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14982 | PA      | $14995.31       | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 04/25/2051                                                          | CUSIP: 3137H22J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4517371 | PA      | $3836200.28     | 0.00%             | 2051-04-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AH1986                                                                                | CUSIP: 3138A3F44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3886 | PA      | $3882.21        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #487575                                                                                 | CUSIP: 36210BT88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         124 | PA      | $126.08         | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 5/46#Q40310                                                                                | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      187356 | PA      | $168265.87      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    19040000 | NC      | $-67797.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/27 #313828                                                                                | CUSIP: 31374GSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           6 | PA      | $6.61           | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: EUR/USD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $3474.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2048#G08851                                                                        | CUSIP: 3128MJ5M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      388776 | PA      | $357116.31      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     9800000 | NC      | $-131535.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                       | ING GROEP NV 5.335%/VAR 03/19/2030                                                                      | CUSIP: 456837BL6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     6500000 | PA      | $6709075.69     | 0.01%             | 2030-03-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                                           | AGREE LP 5.6% 06/15/2035                                                                                | CUSIP: 008513AF0<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    12659000 | PA      | $13022917.64    | 0.02%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2045#G07949                                                                          | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      534455 | PA      | $515733.55      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC                                          | SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC 4.911% 09/01/2027                                             | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     8200000 | PA      | $8270300.73     | 0.01%             | 2027-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #728314                                                                                | CUSIP: 3620AFDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6258 | PA      | $6236.27        | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A                                                  | CUSIP: 96328GBG1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     9150618 | PA      | $9271168.93     | 0.01%             | 2038-08-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13381                                                                        | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2260 | PA      | $2225.67        | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#BC0919                                                                        | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      404147 | PA      | $391342.09      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3                                                  | SOFI CONSUMER LOAN PROGRAM 2025-3 4.47% 08/15/2034 144A                                                 | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15575000 | PA      | $15584837.17    | 0.02%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 01/01/2054#DA7345                                                                        | CUSIP: 3140A8ET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1086640 | PA      | $1097018.22     | 0.00%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                   | GLENCORE FDG LLC 6.125% 10/06/2028 144A                                                                 | CUSIP: 378272BN7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2100346.40     | 0.00%             | 2028-10-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 04/25/2050                                                            | CUSIP: 3137H6K38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5399976 | PA      | $4858764.58     | 0.01%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      700000 | NC      | $-9395.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/34 #A19922                                                                                 | CUSIP: 31296VAX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3087 | PA      | $3132.75        | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.25% 12/01/2041#AK9124                                                                       | CUSIP: 3138EED63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4731 | PA      | $4474.41        | 0.00%             | 2041-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2024-2                                                        | CARMAX AUTO OWNER TR 2024-2 5.5% 01/16/2029                                                             | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11479000 | PA      | $11638841.63    | 0.01%             | 2029-01-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                              | CPI PROPERTY GROUP SA 3.75%/VAR PERP REGS                                                               | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | EP               | CORP              | LU        |     2370000 | PA      | $2509260.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 6/37 #617570                                                                                 | CUSIP: 36290UCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1572 | PA      | $1647.40        | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 03/01/2036#QN5744                                                                          | CUSIP: 3133GCLZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      491614 | PA      | $454011.43      | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-60 FV SOFR30A+111.448 4/32                                                                     | CUSIP: 31392EVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2479 | PA      | $2496.51        | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 5.65% 09/01/2034                                                                              | CUSIP: 682680CU5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    10746000 | PA      | $10928768.83    | 0.01%             | 2034-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/31 #570320                                                                                 | CUSIP: 31386QSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         178 | PA      | $188.64         | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                         | AVIATION CAPITAL GROUP LLC 6.75% 10/25/2028 144A                                                        | CUSIP: 05369AAP6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6926150.14     | 0.01%             | 2028-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2051#MA7135                                                                            | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   240537227 | PA      | $197031330.85   | 0.23%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #433528                                                                                 | CUSIP: 36207JSR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          22 | PA      | $22.01          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ8098                                                                                | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62298 | PA      | $60475.64       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #738886                                                                                | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20846 | PA      | $20241.39       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 3.5% 05/21/2032 REGS                                                                     | CUSIP: N/A<br>LEI: UE2136O97NLB5BYP9H04       | Long             | DBT              | CORP              | US        |     1225000 | PA      | $1444058.50     | 0.00%             | 2032-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2044#AX5347                                                                        | CUSIP: 3138Y65H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27020 | PA      | $26021.13       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.25% 04/15/2049                                                                     | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1761000 | PA      | $1726645.32     | 0.00%             | 2049-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2051#BT0253                                                                          | CUSIP: 3140LNH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46391 | PA      | $44100.20       | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK44                                                                    | BANK 2022-BNK44 5.746245% 11/15/2055                                                                    | CUSIP: 06540KAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5700000 | PA      | $6071791.05     | 0.01%             | 2055-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 08/01/2051#QC6073                                                                          | CUSIP: 3133AQXA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      135830 | PA      | $108683.05      | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #560279                                                                                 | CUSIP: 36213PM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          97 | PA      | $98.08          | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/28 #437140                                                                                 | CUSIP: 31380DS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          95 | PA      | $99.47          | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RR 16 LTD                                                                          | RR 16 LTD A1 TSFR3M+137.161 07/15/2036 144A                                                             | CUSIP: 74971CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10300000 | PA      | $10323092.60    | 0.01%             | 2036-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511096                                                                                 | CUSIP: 31383RXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          13 | PA      | $13.32          | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2048#BK0200                                                                        | CUSIP: 3140HDGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17795 | PA      | $17405.05       | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #748144                                                                                 | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3077 | PA      | $2976.06        | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.271%/VAR 07/23/2029                                                       | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6107000 | PA      | $6122148.66     | 0.01%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 7/37 #G03508                                                                                 | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2177 | PA      | $2303.04        | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/42 #AL2128                                                                                 | CUSIP: 3138EJLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3699 | PA      | $3915.63        | 0.00%             | 2042-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 03/20/2031#MA3496                                                                          | CUSIP: 36179R3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      403155 | PA      | $394260.83      | 0.00%             | 2031-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7755                                                                        | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110837 | PA      | $101646.64      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2052#QE0424                                                                          | CUSIP: 3133B9PH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2080295 | PA      | $1826281.66     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/45#G08681                                                                             | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10233 | PA      | $9498.41        | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 6.1% 09/15/2053                                                                    | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     8700000 | PA      | $8837889.26     | 0.01%             | 2053-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 1.73% 10/02/2026 144A                                                             | CUSIP: 04685A3D1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     4975000 | PA      | $4839989.59     | 0.01%             | 2026-10-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 05/01/2035#SB0836                                                                          | CUSIP: 3132CW4V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      393278 | PA      | $379557.36      | 0.00%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT PARTNERS VII LTD                                                        | OHA CREDIT PARTNERS VII LTD AR4 TSFR3M+114 02/20/2038 144A                                              | CUSIP: 67102QBK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10336000 | PA      | $10332899.20    | 0.01%             | 2038-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 02/01/2055#SD8506                                                                        | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15078930 | PA      | $15171116.82    | 0.02%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #251409                                                                                 | CUSIP: 31371GGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.48          | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #481798                                                                                 | CUSIP: 36209UGF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          97 | PA      | $97.79          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2052#FS7943                                                                        | CUSIP: 3140XPZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      604624 | PA      | $509477.72      | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2055#CC0718                                                                          | CUSIP: 3140Y6YQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15546147 | PA      | $16170409.05    | 0.02%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 06/01/2054#QI7444                                                                        | CUSIP: 3133WEHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8003491 | PA      | $8055673.06     | 0.01%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC                                           | CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC 5.5% 06/15/2031 144A                                           | CUSIP: 12657NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      535000 | PA      | $527647.12      | 0.00%             | 2031-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SW FINANCE I PLC                                                                   | SW FINANCE I PLC 7.375% 12/12/2041 REGS                                                                 | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |      631000 | PA      | $839489.57      | 0.00%             | 2041-12-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 12/01/2035#FM7459                                                                        | CUSIP: 3140XBJD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14320263 | PA      | $14064297.92    | 0.02%             | 2035-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2046#BC8622                                                                        | CUSIP: 3140F4SL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26554 | PA      | $26121.55       | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 07/01/2032#C91467                                                                        | CUSIP: 3128P7TY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72725 | PA      | $71609.76       | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                             | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                        | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11915431 | PA      | $11919154.37    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 7.05% 09/29/2025                                                         | CUSIP: 09261HBA4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    20620000 | PA      | $20650195.93    | 0.02%             | 2025-09-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2024-A                               | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2024-A 5.26% 10/15/2027                                   | CUSIP: 981946AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7800000 | PA      | $7873362.90     | 0.01%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                    | DANSKE BANK AS (UNGTD) 3.875%/VAR 01/09/2032 REGS                                                       | CUSIP: N/A<br>LEI: MAES062Z21O4RZ2U7M96       | Long             | DBT              | CORP              | DK        |     2840000 | PA      | $3423737.92     | 0.00%             | 2032-01-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2031#G18604                                                                        | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      213415 | PA      | $206636.79      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2054#CB9059                                                                        | CUSIP: 3140QVB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7381044 | PA      | $7446927.85     | 0.01%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                                                  | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5017486 | PA      | $4451539.96     | 0.01%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                               | EDISON INTERNATIONAL 8.125%/VAR 06/15/2053                                                              | CUSIP: 281020AX5<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      160000 | PA      | $160056.96      | 0.00%             | 2053-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.04% 05/01/2027                                                                              | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    19675000 | PA      | $19858300.37    | 0.02%             | 2027-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #433774                                                                                 | CUSIP: 36207J2F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         344 | PA      | $348.03         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2041#                                                                              | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16788 | PA      | $16790.31       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                           | INTERNATIONAL FLAVS and FRAG INC 2.3% 11/01/2030 144A                                                   | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     2599000 | PA      | $2324625.57     | 0.00%             | 2030-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.85% 12/01/2035        | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4300000 | PA      | $4307595.31     | 0.01%             | 2035-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2050#CA8132                                                                        | CUSIP: 3140QGBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18836 | PA      | $15807.44       | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1281                                                                        | CUSIP: 3140QLM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    35704671 | PA      | $29963281.03    | 0.04%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BELLRING BRANDS INC                                                                | BELLRING BRANDS INC 7% 03/15/2030 144A                                                                  | CUSIP: 07831CAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      790000 | PA      | $817074.09      | 0.00%             | 2030-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2022-1 LTD                                                                   | AASET 2022-1 LTD 6% 05/16/2047 144A                                                                     | CUSIP: 00255EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4901687 | PA      | $4998881.67     | 0.01%             | 2047-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2045#AN1263                                                                        | CUSIP: 36185GML6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54217 | PA      | $52108.68       | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 11/41 #005234                                                                             | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9000 | PA      | $8950.42        | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #250551                                                                                 | CUSIP: 31371FH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $1.60           | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2052#FS6943                                                                          | CUSIP: 3140XNWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      726004 | PA      | $630322.09      | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                        | SEVERN TRENT WATER UTIL FIN 3.875% 08/04/2035 REGS                                                      | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |     1400000 | PA      | $1637307.68     | 0.00%             | 2035-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.224%/VAR 05/09/2034                                                                      | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     5000000 | PA      | $5336789.55     | 0.01%             | 2034-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/32 #781569                                                                                | CUSIP: 36225BW61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1615 | PA      | $1666.87        | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5% 10/20/2054#MA9964                                                                            | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1152304 | PA      | $1140768.63     | 0.00%             | 2054-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5.25% 03/30/2028                                                                           | CUSIP: 65473PAN5<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4521063.98     | 0.01%             | 2028-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2047#ZM4961                                                                        | CUSIP: 3131XYQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1199735 | PA      | $1112982.83     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/32 #555144                                                                                | CUSIP: 31385WWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         128 | PA      | $134.19         | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                                                        | CITYCON OYJ 7.875%/VAR PERP REGS                                                                        | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |      850000 | PA      | $1025745.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/32#MA3125                                                                               | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36351 | PA      | $35421.01       | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 08/20/2042#MA0317                                                                          | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12831 | PA      | $11764.59       | 0.00%             | 2042-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/32 #638545                                                                                 | CUSIP: 31389XL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         241 | PA      | $257.71         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AT3989                                                                        | CUSIP: 3138WRNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      192603 | PA      | $181031.98      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 09/01/2055 #TBA                                                                          | CUSIP: 01F062697<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -30250000 | PA      | $-31345379.73   | -0.04%            | 2055-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 5.75% 01/15/2028                                                                         | CUSIP: 629377CE0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1136000 | PA      | $1139598.85     | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 07/31/2032                                                                                 | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   372854600 | PA      | $374544097.41   | 0.45%             | 2032-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 02/01/2034#G16752                                                                        | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2034274 | PA      | $1988939.54     | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI SHORT-TERM TREASURY BOND INDEX FUND                                                        | CUSIP: 31635T161<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |    35757746 | NS      | $361153231.88   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 3225 EO 0% 10/36                                                                                    | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       18301 | PA      | $15185.69       | 0.00%             | 2036-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2042#                                                                                | CUSIP: 3132GSMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12149 | PA      | $11769.72       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                                  | CLARIOS TERM B 1LN 01/28/2032                                                                           | CUSIP: N/A<br>LEI: 549300474L1ZLXZY2P98       | Long             | LON              | CORP              | US        |      145000 | PA      | $145000.00      | 0.00%             | 2032-01-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 04/01/2036#SB8097                                                                        | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      913761 | PA      | $819657.81      | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FLUXYS SA                                                                          | FLUXYS SA 4% 11/28/2030 REGS                                                                            | CUSIP: N/A<br>LEI: 529900UEWUHSPPJQ1R79       | Long             | DBT              | CORP              | BE        |     1400000 | PA      | $1677487.93     | 0.00%             | 2030-11-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/29 #793986                                                                                 | CUSIP: 31405NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2480 | PA      | $2543.18        | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER   | PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER 4.875% 05/15/2029 144A | CUSIP: 70052LAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      945000 | PA      | $919826.15      | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                              | ELECTRICITE DE FRANCE 5.5% 01/25/2035 REGS                                                              | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |     1500000 | PA      | $1949989.79     | 0.00%             | 2035-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3949 MK 4.5% 10/34                                                                                  | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      106506 | PA      | $106156.32      | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                       | AMPRION GMBH 3.875% 06/05/2036 REGS                                                                     | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |      900000 | PA      | $1051732.11     | 0.00%             | 2036-06-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/28 #468222                                                                                 | CUSIP: 36209DD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         174 | PA      | $176.59         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                              | ON SEMICONDUCTOR CORP 3.875% 09/01/2028 144A                                                            | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |      500000 | PA      | $485858.50      | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 07/01/2029                                                                     | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     7622000 | PA      | $7861057.17     | 0.01%             | 2029-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                      | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      858000 | PA      | $806486.45      | 0.00%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 2.662% 04/25/2051 144A                                                     | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14110975 | PA      | $13329874.68    | 0.02%             | 2051-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#FM7352                                                                        | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17371408 | PA      | $14681189.86    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                                | CUSIP: 31292GZX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          63 | PA      | $64.48          | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #728315                                                                                | CUSIP: 3620AFDU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10627 | PA      | $10603.30       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                           | INTERNATIONAL FLAVS and FRAG INC 1.832% 10/15/2027 144A                                                 | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     1819000 | PA      | $1724864.51     | 0.00%             | 2027-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                                 | PEACE PARK CLO LTD 2021-1A AR TSFR3M+125 10/20/2038 144A                                                | CUSIP: 70470MAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14148000 | PA      | $14148000.00    | 0.02%             | 2038-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                              | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3.625% 01/15/2032                                 | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    24530000 | PA      | $22608501.32    | 0.03%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 3.795 10/30/29                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    10100000 | NC      | $299004.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 3.8% 12/01/2057                                                                            | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    10190000 | PA      | $7012142.12     | 0.01%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 2.5% 09/01/2031                                                             | CUSIP: 92277GAW7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    25590000 | PA      | $22785179.13    | 0.03%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 01/15/2028                                                                              | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    43000500 | PA      | $43623671.42    | 0.05%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                                    | AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC ARR TSFR3M+150 04/16/2037 144A                          | CUSIP: 00900PAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18732000 | PA      | $18792747.88    | 0.02%             | 2037-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2052#RA6620                                                                        | CUSIP: 3133KNK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9632196 | PA      | $8089337.72     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.948%/VAR 07/22/2028                                                       | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5065976.25     | 0.01%             | 2028-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.9% 04/25/2028                                                          | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9900000 | PA      | $9883727.37     | 0.01%             | 2028-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #447688                                                                                 | CUSIP: 36208DJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          12 | PA      | $11.97          | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.8% 01/31/2028                                                                    | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    10723000 | PA      | $10627175.84    | 0.01%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2041#AI5034                                                                        | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14116 | PA      | $14336.27       | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                                                           | FERGUSON ENTERPRISES INC 5% 10/03/2034                                                                  | CUSIP: 31488VAA5<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |     7219000 | PA      | $7146833.75     | 0.01%             | 2034-10-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.522%/VAR 04/22/2031                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4724000 | PA      | $4365036.75     | 0.01%             | 2031-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2045#AY5316                                                                        | CUSIP: 3138YJ4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29971 | PA      | $29641.68       | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2048#ZM8580                                                                          | CUSIP: 3131Y3Q90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1250426 | PA      | $1184680.51     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 09/01/2055 #TBA                                                                          | CUSIP: 01F022691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -298925000 | PA      | $-248166130.05  | -0.30%            | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 02/01/2040#                                                                                | CUSIP: 312939LZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7893 | PA      | $8027.02        | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                           | GS MTG SECS TR 2018-GS10 A4 3.89% 07/10/2051                                                            | CUSIP: 36250SAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15685681 | PA      | $15332765.73    | 0.02%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 6.25% 11/01/2034 144A                                                                    | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1305000 | PA      | $1337947.34     | 0.00%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 08/15/2041#768109                                                                          | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6164 | PA      | $5985.10        | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                   | GEORGIA POWER CO 5.25% 03/15/2034                                                                       | CUSIP: 373334KW0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     8750000 | PA      | $8968672.83     | 0.01%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                                                     | RCI BANQUE S A 5.5%/VAR 10/09/2034 REGS                                                                 | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |      600000 | PA      | $736892.40      | 0.00%             | 2034-10-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INDIANAPOLIS PWR and LT CO                                                         | INDIANAPOLIS PWR and LT CO 5.7% 04/01/2054 144A                                                         | CUSIP: 455434BW9<br>LEI: 2T85JNP2R2B2GTSFND21 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4889053.85     | 0.01%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 5.9% 03/15/2034                                                                     | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     3165000 | PA      | $3373915.95     | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | FX Forward: EUR/USD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $57894.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 5% 05/15/2045                                                               | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    37000000 | PA      | $37618593.75    | 0.04%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2042#AA8275                                                                        | CUSIP: 36178GFQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4370 | PA      | $4098.77        | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 09/01/2041#FM8850                                                                        | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7817089 | PA      | $6976574.80     | 0.01%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2052#RA6694                                                                          | CUSIP: 3133KNNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      133218 | PA      | $106260.32      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.50% 6/31 #003095                                                                              | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          81 | PA      | $83.16          | 0.00%             | 2031-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 7/35 #635384                                                                                 | CUSIP: 36291Q2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         486 | PA      | $506.56         | 0.00%             | 2035-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VM CONSOLIDATED INC                                                                | VM CONSOLIDATED INC 5.5% 04/15/2029 144A                                                                | CUSIP: 91835HAA0<br>LEI: 549300GCTGJLEBXJUK89 | Long             | DBT              | CORP              | US        |      675000 | PA      | $668042.78      | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.125% 03/15/2033                                                                             | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     1403000 | PA      | $1614928.20     | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 02/01/2030#                                                                                | CUSIP: 31292HAX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          27 | PA      | $28.58          | 0.00%             | 2030-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                       | GLP CAP LP / GLP FING II INC 5.625% 09/15/2034                                                          | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    14650000 | PA      | $14696118.20    | 0.02%             | 2034-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#FS4922                                                                          | CUSIP: 3140XLPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    65298069 | PA      | $57610560.22    | 0.07%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/39 #935009                                                                                 | CUSIP: 31412UGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1350 | PA      | $1428.77        | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                                | GILEAD SCIENCES INC 5.1% 06/15/2035                                                                     | CUSIP: 375558CC5<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $5780551.55     | 0.01%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                             | SEMPRA 6.375%/VAR 04/01/2056                                                                            | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1058458.75     | 0.00%             | 2056-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 5.502% 07/16/2035 144A                                                                 | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     6100000 | PA      | $6249865.47     | 0.01%             | 2035-07-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #836839                                                                                | CUSIP: 31407PV88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         219 | PA      | $229.99         | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                                              | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.44% 02/16/2027                                                  | CUSIP: 58770JAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      589959 | PA      | $591379.43      | 0.00%             | 2027-02-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8634                                                                        | CUSIP: 3138MQSY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24511 | PA      | $22382.29       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                                              | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 01/18/2028                                                  | CUSIP: 58770JAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17761000 | PA      | $17970039.87    | 0.02%             | 2028-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                | AMERICAN EXPRESS CO 5.085%/VAR 01/30/2031                                                               | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     7596000 | PA      | $7828899.28     | 0.01%             | 2031-01-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 05/01/2055#SD8533                                                                        | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      880090 | PA      | $885470.56      | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781006                                                                                 | CUSIP: 36225BDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          76 | PA      | $77.03          | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2046#G60440                                                                        | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6590202 | PA      | $6135913.21     | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464692                                                                                 | CUSIP: 36208YF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          34 | PA      | $34.26          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 8.125% 09/15/2030                                                                           | CUSIP: 012873AH8<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     2895000 | PA      | $3320389.97     | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#FM9894                                                                        | CUSIP: 3140XD7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40091 | PA      | $33744.34       | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 04/01/2053#BX7011                                                                          | CUSIP: 3140NBYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35079 | PA      | $34767.95       | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1% 12/01/2036#FS1679                                                                          | CUSIP: 3140XG2M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    71155166 | PA      | $61488757.63    | 0.07%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 5.5% 03/15/2029                                                                        | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $7505553.38     | 0.01%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 06/15/2040#741262                                                                        | CUSIP: 3620AVQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1867 | PA      | $1859.31        | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2042#AQ8878                                                                        | CUSIP: 3138MQ2L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15216 | PA      | $14319.81       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2035#AB8198                                                                        | CUSIP: 31417FDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30869 | PA      | $30912.99       | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                           | VIRIDIEN 10% 10/15/2030 144A                                                                            | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |      460000 | PA      | $459691.86      | 0.00%             | 2030-10-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 4.15% 11/15/2030                                                                           | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1707158.69     | 0.00%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 05/44#AW4672                                                                             | CUSIP: 3138XUFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10200 | PA      | $10361.87       | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                                                           | NORTHERN OIL AND GAS INC 8.75% 06/15/2031 144A                                                          | CUSIP: 665530AB7<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      605000 | PA      | $621535.86      | 0.00%             | 2031-06-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/30 #710936                                                                                 | CUSIP: 31401KY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         728 | PA      | $765.64         | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 5.5% 04/01/2055#RJ4005                                                                  | CUSIP: 3142GUNX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27810736 | PA      | $28024214.15    | 0.03%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 1/41 #004946                                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      267820 | PA      | $266416.21      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 2.124% 07/16/2031 REGS                                                              | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      275000 | PA      | $272659.82      | 0.00%             | 2031-07-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 12/20/2040#004880                                                                        | CUSIP: 36202FM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31805 | PA      | $31166.76       | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                      | VOLKSWAGEN GROUP AMER FIN LLC 1.25% 11/24/2025 144A                                                     | CUSIP: 928668BL5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     4238000 | PA      | $4206301.92     | 0.01%             | 2025-11-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES COMPANY                                                          | MATADOR RES CO 6.5% 04/15/2032 144A                                                                     | CUSIP: 576485AG1<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      730000 | PA      | $740643.40      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                                              | HIGHTOWER TERM B 1LN 02/03/2032                                                                         | CUSIP: 43117LAP8<br>LEI: 254900MKOSB7RTMA9K12 | Long             | LON              | CORP              | US        |      125000 | PA      | $124766.25      | 0.00%             | 2032-02-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2046#AL9489                                                                        | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      143005 | PA      | $132217.26      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C6 MTG TR                                                                | BMO 2024-5C6 MTG TR 5.3161% 09/15/2057                                                                  | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22700000 | PA      | $23382407.40    | 0.03%             | 2057-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.2% 03/01/2035 144A                                                                           | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    36002000 | PA      | $36335763.02    | 0.04%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 9.016%/VAR 11/15/2033 144A                                                                 | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2086000 | PA      | $2598158.08     | 0.00%             | 2033-11-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| HARTFORD INSURANCE GROUP INC/THE                                                   | HARTFORD INSURANCE GROUP INC/THE 4.3% 04/15/2043                                                        | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |      679000 | PA      | $574811.80      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS3884                                                                          | CUSIP: 3140XKJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9685493 | PA      | $8469556.65     | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C1                                                            | UBS COML MTG TR 2017-C1 3.196% 06/15/2050                                                               | CUSIP: 90276EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      988437 | PA      | $965773.01      | 0.00%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.75% 03/01/2029 144A                                                       | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    14000000 | PA      | $14488035.66    | 0.02%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                               | JERSEY MIKE'S FUNDING 4.433% 02/15/2050 144A                                                            | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3181550 | PA      | $3167068.86     | 0.00%             | 2050-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LTD                                                                  | VALE OVERSEAS LTD 6.4% 06/28/2054                                                                       | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    11975000 | PA      | $11921112.50    | 0.01%             | 2054-06-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/45#BM1415                                                                             | CUSIP: 3140J5SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      109957 | PA      | $109792.10      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                                                   | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                                          | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7200000 | PA      | $7211156.40     | 0.01%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/44#AW6973                                                                             | CUSIP: 3138XWXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15484 | PA      | $15729.37       | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.505% 07/30/2054 144A                                                            | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17454105 | PA      | $17958717.14    | 0.02%             | 2054-07-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 03/01/2047#RA6996                                                                        | CUSIP: 3133KNXZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      252342 | PA      | $214209.44      | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 6.25% 11/01/2028                                                                           | CUSIP: 053332BG6<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8496407.44     | 0.01%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2019-C3                                                               | BBCMS MTG TR 2019-C3 3.458% 05/15/2052                                                                  | CUSIP: 05550MAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3182566 | PA      | $3141998.42     | 0.00%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 3.1% 01/12/2032                                                                | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     7510000 | PA      | $6677602.94     | 0.01%             | 2032-01-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2042#Q09230                                                                          | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      676843 | PA      | $656400.64      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO 43 LTD                                                 | BENEFIT STREET PARTNERS CLO 43 LTD A TSFR3M+ 10/20/2038 144A                                            | CUSIP: 08179QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12249000 | PA      | $12249000.00    | 0.01%             | 2038-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                  | QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS                                                              | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |     1405000 | PA      | $1757664.06     | 0.00%             | 2038-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-1 A1                                                                    | FORDF 2025-1 A1 4.84% 04/15/2030                                                                        | CUSIP: 34529BAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2515000 | PA      | $2536401.14     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                               | JERSEY MIKES FDG LLC 5.636% 02/15/2055 144A                                                             | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    22054175 | PA      | $22478874.45    | 0.03%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                                     | PROOFPOINT TERM B 1LN 08/31/2028                                                                        | CUSIP: 74345HAG6<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |     1226894 | PA      | $1232427.23     | 0.00%             | 2028-08-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.1% 04/15/2030                                                                             | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     4791000 | PA      | $4931142.98     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 3.151% 04/25/2051 144A                                                     | CUSIP: 25755TAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6660652 | PA      | $6090358.11     | 0.01%             | 2051-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.194%/VAR 04/01/2031 144A                                                                 | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    43154000 | PA      | $42646344.97    | 0.05%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.75%/VAR 09/21/2031 REGS                                                      | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |     1550000 | PA      | $1942940.24     | 0.00%             | 2031-09-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34677                                                                          | CUSIP: 31307RFS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7679 | PA      | $7525.47        | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048                                                            | CUSIP: 3136BNE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     4329254 | PA      | $4255239.28     | 0.01%             | 2048-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2052#CB3599                                                                        | CUSIP: 3140QN7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      146269 | PA      | $132961.20      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                      | PG and E CORP 5% 07/01/2028                                                                             | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      420000 | PA      | $415216.78      | 0.00%             | 2028-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7340                                                                          | CUSIP: 3133B5EM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1799279 | PA      | $1571707.38     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                                            | E.ON SE 3.5% 04/16/2033 REGS                                                                            | CUSIP: N/A<br>LEI: Q9MAIUP40P25UFBFG033       | Long             | DBT              | CORP              | DE        |      850000 | PA      | $1001705.42     | 0.00%             | 2033-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8830                                                                        | CUSIP: 31417FY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22029 | PA      | $20193.53       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                                  | KEYBANK NATL ASSN 6.95% 02/01/2028                                                                      | CUSIP: 49306CAB7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |      619000 | PA      | $653171.46      | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/39 #706762                                                                                 | CUSIP: 36297BFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9308 | PA      | $9070.70        | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A                                                      | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    18551000 | PA      | $18381793.55    | 0.02%             | 2026-12-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2044#AV6341                                                                        | CUSIP: 3138XJBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6427 | PA      | $6401.51        | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AO0513                                                                                 | CUSIP: 3138LQSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2763 | PA      | $2696.12        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 09/01/2055 #TBA                                                                            | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -786350000 | PA      | $-792151139.86  | -0.94%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 3.55% 09/15/2055                                                                           | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    11426000 | PA      | $7597711.62     | 0.01%             | 2055-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AA8111                                                                                 | CUSIP: 31416SAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4689 | PA      | $4686.06        | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #167424                                                                                | CUSIP: 36216K4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1868 | PA      | $1898.06        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 1/32 #003188                                                                               | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         136 | PA      | $141.13         | 0.00%             | 2032-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 09/01/2039#CA4213                                                                          | CUSIP: 3140QBVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      636566 | PA      | $619407.83      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP9735                                                                                | CUSIP: 3138MDY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      496235 | PA      | $467839.82      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C35                                                   | WFCM TR 2016-C35 A4 2.931% 07/15/2048                                                                   | CUSIP: 95000FAT3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |    11005000 | PA      | $10834636.00    | 0.01%             | 2048-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 4% 09/01/2040#                                                                                | CUSIP: 312942ME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4048 | PA      | $3950.21        | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 6.125% 02/15/2033 144A                                                                    | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     4070000 | PA      | $4179438.23     | 0.00%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 05/01/2042#FS4603                                                                          | CUSIP: 3140XLDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12405647 | PA      | $10773881.54    | 0.01%             | 2042-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#723124                                                                        | CUSIP: 31402ALD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3735 | PA      | $3740.09        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT8809                                                                        | CUSIP: 3138WWYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3576 | PA      | $3254.20        | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 5.7%/VAR 02/01/2030                                                                | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1140270.79     | 0.00%             | 2030-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8271                                                                                | CUSIP: 31419KFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4433 | PA      | $4317.38        | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02849                                                                                 | CUSIP: 3132GGEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         459 | PA      | $458.56         | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 12/01/2035#QN4696                                                                          | CUSIP: 3133GBGD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1637018 | PA      | $1507712.84     | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2519 ZD 5.50% 11/32                                                                                 | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       12825 | PA      | $13056.82       | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 5.75% 09/15/2033 144A                                                  | CUSIP: 432833AS0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     1245000 | PA      | $1255271.25     | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SCANDINAVIAN TOBACCO GROUP                                                         | SCANDINAVIAN TOBACCO GROUP 4.875% 09/12/2029 REGS                                                       | CUSIP: N/A<br>LEI: 5299003KG4JS99TRML67       | Long             | DBT              | CORP              | DK        |      425000 | PA      | $517331.43      | 0.00%             | 2029-09-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                                  | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     7048000 | PA      | $7300658.25     | 0.01%             | 2037-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                            | UDR INC 5.125% 09/01/2034                                                                               | CUSIP: 90265EAW0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5019638.50     | 0.01%             | 2034-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR3125                                                                          | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29591 | PA      | $27307.75       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2041#CB2110                                                                          | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10999584 | PA      | $9483124.22     | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                                          | BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A                                                     | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    76619271 | PA      | $2065165.18     | 0.00%             | 2052-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2042#AJ6217                                                                          | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40157 | PA      | $39016.81       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                           | AMPHENOL CORPORATION NEW 5.25% 04/05/2034                                                               | CUSIP: 032095AQ4<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4547054.38     | 0.01%             | 2034-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.298% 05/01/2029                                                                             | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    15131000 | PA      | $16067989.90    | 0.02%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2042#AL5881                                                                        | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      256609 | PA      | $256313.68      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DESIGNATED ACTIVITY CO                                            | FLUTTER TREASURY DESIGNATED ACTIVITY CO 5.875% 06/04/2031 144A                                          | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     1460000 | PA      | $1486586.60     | 0.00%             | 2031-06-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2041#769621                                                                        | CUSIP: 36176LYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21009 | PA      | $20311.64       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2% 03/01/2052#                                                                           | CUSIP: 3140W04U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8502041 | PA      | $6808150.43     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.995%/VAR 07/22/2030                                                             | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7179317.39     | 0.01%             | 2030-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 09/30/2028                                                                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    97500000 | PA      | $100413573.98   | 0.12%             | 2028-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 12/01/2050#QB7301                                                                        | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      534319 | PA      | $409870.62      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 5.115%/VAR 05/23/2031                                                                 | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     9410000 | PA      | $9639369.31     | 0.01%             | 2031-05-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2015-1 LTD / PALMER SQUARE CLO 2015-1 LLC                        | PALMER SQUARE CLO 2015-1 LTD / PALMER SQUARE CLO 2015-1 LLC A1A5 TSFR3M+105 05/21/2034 144A             | CUSIP: 69689ABU3<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |     6949000 | PA      | $6954948.34     | 0.01%             | 2034-05-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2047#CA0526                                                                        | CUSIP: 3140Q7SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5374132 | PA      | $4985529.34     | 0.01%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 02/01/2054#QH9731                                                                        | CUSIP: 3133CNY48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2898566 | PA      | $2926250.36     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2045#Q33138                                                                        | CUSIP: 3132QPPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       61965 | PA      | $59539.94       | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #729514                                                                                 | CUSIP: 3620AGN76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1821 | PA      | $1849.92        | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2048#CA1713                                                                        | CUSIP: 3140Q83X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35691 | PA      | $34919.53       | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.23%/VAR 01/15/2031                                                                     | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     8629000 | PA      | $8906843.19     | 0.01%             | 2031-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565092                                                                                 | CUSIP: 36213UXV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13857 | PA      | $14372.39       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 06/01/2035#QN2461                                                                          | CUSIP: 3133G8WW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6958479 | PA      | $6443633.10     | 0.01%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                             | BX TRUST 2021-SOAR D TSFR1M+151.448 06/15/2026 144A                                                     | CUSIP: 05608WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1315107 | PA      | $1314695.74     | 0.00%             | 2038-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                         | VOLKSWAGEN INTL FINANCE NV 4.125% 09/02/2035 REGS                                                       | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | DBT              | CORP              | NL        |      700000 | PA      | $820610.47      | 0.00%             | 2035-09-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #736596                                                                                 | CUSIP: 3620AQKH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5686 | PA      | $5666.54        | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 08/01/2032#ZS7804                                                                        | CUSIP: 3132A8U56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      487848 | PA      | $469914.61      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 4.8% 03/01/2030 144A                                                                           | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    17853000 | PA      | $18194145.84    | 0.02%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                                 | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    33162175 | PA      | $32680020.19    | 0.04%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #647513                                                                                 | CUSIP: 31390JK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         123 | PA      | $130.55         | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                                     | PROOFPOINT TERM 1LN 08/31/2028                                                                          | CUSIP: 74345HAJ0<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |      505000 | PA      | $507277.55      | 0.00%             | 2028-08-31      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 11/01/2041#MA4473                                                                        | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    32185570 | PA      | $26695056.29    | 0.03%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2047#FM3371                                                                        | CUSIP: 3140X6W98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      237598 | PA      | $237389.98      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/35 #G06928                                                                                 | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       82944 | PA      | $84135.18       | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 01/31/2032                                                                             | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   100768900 | PA      | $103587280.17   | 0.12%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C44                                                   | WELLS FARGO COML MTG TR 2018-C44 A5 4.212% 05/15/2051                                                   | CUSIP: 95001JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4285000 | PA      | $4256082.25     | 0.01%             | 2051-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/32 #254335                                                                                 | CUSIP: 31371KPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         693 | PA      | $737.22         | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/29 #477007                                                                                 | CUSIP: 36209N3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          22 | PA      | $22.36          | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #782989                                                                                 | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19840 | PA      | $19770.52       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                                | AXON ENTERPRISE INC 6.125% 03/15/2030 144A                                                              | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      515000 | PA      | $529121.82      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2040#                                                                                | CUSIP: 312944H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10853 | PA      | $10595.67       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34311                                                                        | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1307479 | PA      | $1222741.97     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 09/01/2053#SD7565                                                                        | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20813155 | PA      | $21226579.64    | 0.03%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#FS5127                                                                          | CUSIP: 3140XLVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12224567 | PA      | $10605826.27    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2036#BT0154                                                                          | CUSIP: 3140LNE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      794197 | PA      | $734195.14      | 0.00%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP D TSFR1M+169.268 82 11/15/2038 144A                                                   | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3607019 | PA      | $3605891.68     | 0.00%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2051#FM9210                                                                          | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21914282 | PA      | $19238449.58    | 0.02%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60603                                                                        | CUSIP: 31335AU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95056 | PA      | $88295.86       | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 07/01/2030#                                                                                | CUSIP: 31297XWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         273 | PA      | $287.84         | 0.00%             | 2030-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 05/20/2055#MB0365                                                                            | CUSIP: 3618N5MP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    68092151 | PA      | $67383910.48    | 0.08%             | 2055-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2046#AL9058                                                                        | CUSIP: 3138ERB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1883653 | PA      | $1747446.52     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2031#AS7695                                                                        | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      647323 | PA      | $626116.98      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST 2019-1                                                | METLIFE SECURITIZATION TRUST 2019-1A A1A 3.75% 04/25/2058 144A                                          | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       62511 | PA      | $61621.19       | 0.00%             | 2058-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#BT0330                                                                        | CUSIP: 3140LNLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8402105 | PA      | $7053653.51     | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#RA5155                                                                               | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1467243 | PA      | $1166666.29     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                                                                    | DOLLAR TREE INC 4.2% 05/15/2028                                                                         | CUSIP: 256746AH1<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |     3971000 | PA      | $3961128.93     | 0.00%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #590024                                                                                 | CUSIP: 36201QPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2215 | PA      | $2300.92        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2042#AL6997                                                                        | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1184555 | PA      | $1183099.10     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 5.55% 10/01/2034                                                              | CUSIP: 674599EL5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $6965665.70     | 0.01%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 5.634%/VAR 01/19/2030 144A                                                      | CUSIP: 83368RBW1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     7780000 | PA      | $8009722.01     | 0.01%             | 2030-01-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/29 #481600                                                                                 | CUSIP: 36209T7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          84 | PA      | $86.72          | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TERRAFORM POWER OPERATING LLC                                                      | TERRAFORM POWER OPERATING LLC 5% 01/31/2028 144A                                                        | CUSIP: 88104LAE3<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |      421000 | PA      | $417410.05      | 0.00%             | 2028-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/30 #531078                                                                                 | CUSIP: 31384Q6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         235 | PA      | $246.64         | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/45#G60412                                                                               | CUSIP: 31335AN53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6058 | PA      | $5826.82        | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783295                                                                                 | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      197641 | PA      | $196763.96      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 2.279%/VAR 11/24/2027                                                                      | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    31514000 | PA      | $30742008.48    | 0.04%             | 2027-11-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 10YR 1.5% 12/01/2031#SA0063                                                                        | CUSIP: 3132CJB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13831840 | PA      | $13023414.14    | 0.02%             | 2031-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL FDG                                                       | JACKSON NATL LIFE GLOBAL FDG 5.35% 01/13/2030 144A                                                      | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     5750000 | PA      | $5963506.24     | 0.01%             | 2030-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 10/01/2055 #TBA                                                                          | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   180575000 | PA      | $149933679.69   | 0.18%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FM9501                                                                        | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24042122 | PA      | $20288793.53    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #754197                                                                                 | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2453 | PA      | $2374.94        | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A32122                                                                                 | CUSIP: 31297MLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7832 | PA      | $7955.22        | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43 #AR5859                                                                           | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21116 | PA      | $19893.55       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #465748                                                                                 | CUSIP: 36209AL57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          71 | PA      | $72.29          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/43#Q22414                                                                             | CUSIP: 3132JPVF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23665 | PA      | $23561.42       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL USA INC                                                                 | MURPHY OIL USA INC 3.75% 02/15/2031 144A                                                                | CUSIP: 626738AF5<br>LEI: N32S6DTR2ZZ5222WHV58 | Long             | DBT              | CORP              | US        |     1130000 | PA      | $1046144.62     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/31 #689547                                                                                 | CUSIP: 31400KBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         274 | PA      | $275.20         | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2047#RA7212                                                                        | CUSIP: 3133KPAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5709076 | PA      | $5203927.70     | 0.01%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK5316                                                                                 | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13351 | PA      | $12917.17       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2053#CB6538                                                                          | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19461451 | PA      | $20144105.72    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                              | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         238 | PA      | $242.55         | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565482                                                                                 | CUSIP: 36213VFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         133 | PA      | $137.43         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 7.5% 09/15/2031 144A                                                               | CUSIP: 185899AS0<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     1610000 | PA      | $1632118.18     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 6.446%/VAR 01/10/2029 144A                                                      | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     6850000 | PA      | $7123949.86     | 0.01%             | 2029-01-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LEG IMMOBILIEN GMBH                                                                | LEG IMMOBILIEN GMBH 3.875% 01/20/2035 REGS                                                              | CUSIP: N/A<br>LEI: 391200SO40AKONBO0Z96       | Long             | DBT              | CORP              | DE        |      500000 | PA      | $575396.42      | 0.00%             | 2035-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.4% 04/06/2026                                                                | CUSIP: 37045XEF9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     7700000 | PA      | $7736192.70     | 0.01%             | 2026-04-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6075                                                                                 | CUSIP: 3138A7XD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9951 | PA      | $9679.91        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.25% 09/25/2046                                                         | CUSIP: 3136BMBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5958180 | PA      | $5440985.31     | 0.01%             | 2046-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.9% 12/15/2048                                                                       | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      517000 | PA      | $449202.93      | 0.00%             | 2048-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                                        | CHEMOURS CO 4.625% 11/15/2029 144A                                                                      | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $982240.49      | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/44#AW7942                                                                             | CUSIP: 3138XXZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6094 | PA      | $6190.05        | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 7.00% 4/32 #781432                                                                              | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17127 | PA      | $17822.11       | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #313835                                                                                | CUSIP: 31374GSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         143 | PA      | $145.46         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 1/1/43 #Q14696                                                                             | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46941 | PA      | $43137.94       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 5.3% 03/01/2048                                                                 | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2443389.23     | 0.00%             | 2048-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 04/01/2042#SC0481                                                                          | CUSIP: 3132D9RA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    32008219 | PA      | $27781104.69    | 0.03%             | 2042-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK3548                                                                                 | CUSIP: 3138E75J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3991 | PA      | $3884.15        | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE TIME INC                                                                      | LIFE TIME INC 6% 11/15/2031 144A                                                                        | CUSIP: 53190FAE5<br>LEI: 549300PALKE96VYH4X17 | Long             | DBT              | CORP              | US        |      915000 | PA      | $924732.42      | 0.00%             | 2031-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 02/20/2046#MA3454                                                                          | CUSIP: 36179RZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      749754 | PA      | $695656.36      | 0.00%             | 2046-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 4.927%/VAR 05/10/2028                                                              | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     6900000 | PA      | $6969635.63     | 0.01%             | 2028-05-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562349 11/18/64 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1800000 | NC      | $254190.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2044#AX6510                                                                        | CUSIP: 3138Y8GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58668 | PA      | $58023.92       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785602                                                                          | CUSIP: 3622ABDF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    65137124 | PA      | $55013362.65    | 0.07%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 5.95% 06/15/2055                                                                 | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     5201000 | PA      | $5196275.72     | 0.01%             | 2055-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/40 #756928                                                                                | CUSIP: 36230RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9314 | PA      | $8788.59        | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2053#                                                                                | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27823 | PA      | $27550.25       | 0.00%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC                                    | VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC ARR TSFR3M+119 01/20/2037 144A                          | CUSIP: 92013AAT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     8500000 | PA      | $8491066.50     | 0.01%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8610                                                                        | CUSIP: 31417FR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31672 | PA      | $29065.05       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.654%/VAR 10/18/2030                                                                    | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    29950000 | PA      | $30237838.37    | 0.04%             | 2030-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 07/01/2041#SC0162                                                                          | CUSIP: 3132D9FB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    33307056 | PA      | $28946003.27    | 0.03%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.75%/VAR 03/17/2032 REGS                                                                  | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |     3450000 | PA      | $4328878.93     | 0.01%             | 2032-03-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/JPY settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $22603.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #357843                                                                                 | CUSIP: 31376KP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7967 | PA      | $8372.88        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 09/01/2033#AL7521                                                                        | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      561580 | PA      | $568919.03      | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2022-RPL1                                                 | BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A                                                | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14413839 | PA      | $13271212.47    | 0.02%             | 2061-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                            | SANTANDER HLDGS USA INC 2.49%/VAR 01/06/2028                                                            | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     5300000 | PA      | $5163704.56     | 0.01%             | 2028-01-06      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #611797                                                                                 | CUSIP: 31388QUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2587 | PA      | $2746.42        | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #757490                                                                                 | CUSIP: 36230SKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54224 | PA      | $50887.16       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510166                                                                                 | CUSIP: 31383QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         294 | PA      | $306.62         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2049#ZA7017                                                                        | CUSIP: 31329QYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67263 | PA      | $61495.20       | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2050#FM7569                                                                        | CUSIP: 3140XBMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1092879 | PA      | $996435.43      | 0.00%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 351 13 6% 3/34                                                                                      | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        9261 | PA      | $1542.60        | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 09/20/2051#785616                                                                          | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    27302214 | PA      | $23058840.70    | 0.03%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 07/20/2053#MA9010                                                                            | CUSIP: 36179YAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1289465 | PA      | $1055030.75     | 0.00%             | 2053-07-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/40 #AL2129                                                                                 | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56030 | PA      | $59205.59       | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 4.021% 05/20/2049 144A                                                                | CUSIP: 233046AK7<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     7243640 | PA      | $7204721.37     | 0.01%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                                          | BENCHMARK 2019-B10 MORTGAGE TRUST 3.615% 03/15/2062                                                     | CUSIP: 08162VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6537768 | PA      | $6457992.85     | 0.01%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #680497                                                                                | CUSIP: 36295T7J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         738 | PA      | $771.64         | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-45 OP 0 6/36                                                                                   | CUSIP: 31395NEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       15636 | PA      | $13229.91       | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2040#FM4644                                                                          | CUSIP: 3140X8ES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      913062 | PA      | $795176.62      | 0.00%             | 2040-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                        | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72002 | PA      | $70964.31       | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1997-41 J 7.5% 6/27                                                                                 | CUSIP: 31359PQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         994 | PA      | $1012.39        | 0.00%             | 2027-06-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 3.6% 05/01/2030                                                                            | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    21588000 | PA      | $20919667.90    | 0.02%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745232                                                                                 | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43216 | PA      | $43065.59       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #490107                                                                                | CUSIP: 36210ENY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         456 | PA      | $464.64         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738218                                                                                 | CUSIP: 3620ASDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4542 | PA      | $4615.15        | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2049#SD7507                                                                          | CUSIP: 3132DVKU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10031932 | PA      | $8891632.38     | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1680                                                                        | CUSIP: 3138NX2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3190 | PA      | $2956.04        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7110                                                                        | CUSIP: 3138WG3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      989492 | PA      | $957056.53      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                   | DEUTSCHE BANK AG 6.125%/VAR 12/12/2030 REGS                                                             | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |     1900000 | PA      | $2662091.88     | 0.00%             | 2030-12-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #723339                                                                                 | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10682 | PA      | $10849.27       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #459211                                                                                 | CUSIP: 36208SDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         189 | PA      | $193.67         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                      | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2595000 | PA      | $2616218.25     | 0.00%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 09/01/2041#FM8862                                                                          | CUSIP: 3140XCZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2589836 | PA      | $2232515.96     | 0.00%             | 2041-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-L2                                                    | MORGAN STANLEY CAP I TR 2019-L2 A3 3.806% 03/15/2052                                                    | CUSIP: 61768HAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17904493 | PA      | $17439912.79    | 0.02%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 6.5% 05/15/2032                                                                               | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     1195000 | PA      | $1238174.05     | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.75% 02/15/2028                                                                     | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    14680000 | PA      | $14795303.03    | 0.02%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/36 #G03506                                                                                 | CUSIP: 3128M5GP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72775 | PA      | $76080.48       | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK1510                                                                                 | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19934 | PA      | $19376.49       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 07/20/2043#635118                                                                          | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       96869 | PA      | $90581.80       | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.419% 04/15/2033 144A                                                                     | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    10171000 | PA      | $9268880.71     | 0.01%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 09/01/2055 #TBA                                                                              | CUSIP: 21H050698<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   180400000 | PA      | $178475348.48   | 0.21%             | 2055-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #575010                                                                                 | CUSIP: 36200WYF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         475 | PA      | $492.01         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 12/29 #510858                                                                                | CUSIP: 36211EQK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          50 | PA      | $51.42          | 0.00%             | 2029-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.528% 05/01/2034                                                                             | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     7701000 | PA      | $8433721.58     | 0.01%             | 2034-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #550969                                                                                | CUSIP: 36213DCE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         697 | PA      | $721.96         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2046#G61420                                                                        | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3280967 | PA      | $3060877.27     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #780798                                                                                | CUSIP: 36225A3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          12 | PA      | $12.54          | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                           | LIBERTY MUTUAL GROUP INC 3.95% 05/15/2060 144A                                                          | CUSIP: 53079EBK9<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    12820000 | PA      | $8750905.46     | 0.01%             | 2060-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 03/01/2051#SD8133                                                                        | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14925094 | PA      | $11327616.81    | 0.01%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 03/01/2042#                                                                                | CUSIP: 3132GR7A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6567 | PA      | $6361.07        | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    29132000 | PA      | $25805010.53    | 0.03%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR3682                                                                        | CUSIP: 3138W1CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11144 | PA      | $10237.73       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                      | ECHOSTAR CORP PIK VAR 11/30/2030                                                                        | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     1660000 | PA      | $1637706.20     | 0.00%             | 2030-11-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #783143                                                                                | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5936 | PA      | $5765.43        | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 5.15% 03/15/2029                                                                            | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6688393.73     | 0.01%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#MA3240                                                                        | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      153947 | PA      | $150813.24      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/42#AK8632                                                                             | CUSIP: 3138EDSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5802 | PA      | $5466.62        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 05/01/2038#C91994                                                                          | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5241647 | PA      | $5114633.55     | 0.01%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                     | BURLINGTON NORTHN SANTA FE LLC 4.15% 04/01/2045                                                         | CUSIP: 12189LAW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      564000 | PA      | $469087.33      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/36 #897984                                                                                 | CUSIP: 31410UUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          96 | PA      | $98.21          | 0.00%             | 2036-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #553442                                                                                 | CUSIP: 36213FZF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7296 | PA      | $7547.35        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK 2019                                                                          | BANK 2019 2.846% 12/15/2052                                                                             | CUSIP: 06541RAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2855044 | PA      | $2774697.06     | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.85% 05/25/2028                                                         | CUSIP: 3137FG6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    33650000 | PA      | $33549073.56    | 0.04%             | 2028-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 01/01/2027#                                                                              | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $24.55          | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                       | Fidelity Cash Central Fund                                                                              | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  1251770552 | NS      | $1252020905.76  | 1.49%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 12/20/2031#MA4102                                                                          | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2489137 | PA      | $2429399.47     | 0.00%             | 2031-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                                               | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                                              | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20956000 | PA      | $21225552.84    | 0.03%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                                 | INGERSOLL RAND INC 5.45% 06/15/2034                                                                     | CUSIP: 45687VAF3<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |     8200000 | PA      | $8483253.42     | 0.01%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2274 ZM 6.5% 1/31                                                                                   | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        4104 | PA      | $4163.60        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.625% 09/01/2028                                                                               | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     9085000 | PA      | $9369562.82     | 0.01%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 12/01/2042#Q13420                                                                        | CUSIP: 3132HPYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33526 | PA      | $32491.19       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRITAX EUROBOX PLC                                                                 | TRITAX EUROBOX PLC 0.95% 06/02/2026 REGS                                                                | CUSIP: N/A<br>LEI: 213800HK59N7H979QU33       | Long             | DBT              | CORP              | GB        |     1300000 | PA      | $1503102.86     | 0.00%             | 2026-06-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/32 #C62372                                                                                 | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9966 | PA      | $10403.07       | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-20 Z 6% 5/31                                                                                   | CUSIP: 31359SXB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       15718 | PA      | $16013.15       | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                                | KIMCO REALTY OP LLC 2.25% 12/01/2031                                                                    | CUSIP: 49446RAY5<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    15265000 | PA      | $13406656.30    | 0.02%             | 2031-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/39#G05624                                                                             | CUSIP: 3128M7SM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4785 | PA      | $4788.33        | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AL1521                                                                                 | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      177400 | PA      | $172029.95      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NATL MTG AS GTD RE PTT SOFR30A+41.448 05/25/2048                                                | CUSIP: 3136B1C51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      444076 | PA      | $429732.32      | 0.00%             | 2048-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/33 #G04895                                                                                | CUSIP: 3128M6XY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1193 | PA      | $1209.16        | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 07/20/2051#MA7472                                                                          | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    44136440 | PA      | $37607676.28    | 0.04%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WEX INC                                                                            | WEX INC 6.5% 03/15/2033 144A                                                                            | CUSIP: 96208TAD6<br>LEI: T9M5IGROL1TL1G5OV478 | Long             | DBT              | CORP              | US        |      820000 | PA      | $838994.28      | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #579560                                                                                 | CUSIP: 36201CZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6803 | PA      | $7060.48        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                       | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8790000 | PA      | $7991419.71     | 0.01%             | 2039-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #545934                                                                                 | CUSIP: 36212WPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10925 | PA      | $10883.54       | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                              | CUSIP: 3140XCWJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16236202 | PA      | $14784373.65    | 0.02%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#SI2106                                                                        | CUSIP: 3133USKT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    25057584 | PA      | $20957795.24    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 1.792%/VAR 06/09/2027 144A                                                      | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     2160000 | PA      | $2114261.05     | 0.00%             | 2027-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/EUR settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1899.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A                                  | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    33219512 | PA      | $33198836.18    | 0.04%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 7.624%/VAR 10/30/2031                                                              | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    22914000 | PA      | $25997543.63    | 0.03%             | 2031-10-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2039#AL0939                                                                        | CUSIP: 3138EHBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      183685 | PA      | $183591.69      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                                          | CUSIP: 3137F6YK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3083041 | PA      | $2585784.11     | 0.00%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2052#FS1598                                                                          | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      259426 | PA      | $206928.80      | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 05/01/2041#RB5111                                                                          | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2195081 | PA      | $1900648.83     | 0.00%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DLLAD 2024-1 LLC                                                                   | DLLAD 2024-1 LLC 5.3% 07/20/2029 144A                                                                   | CUSIP: 23346MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4988000 | PA      | $5106486.45     | 0.01%             | 2029-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMFAM HOLDINGS INC                                                                 | AMFAM HOLDINGS INC 2.805% 03/11/2031 144A                                                               | CUSIP: 03115AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5464000 | PA      | $4730933.64     | 0.01%             | 2031-03-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2030#                                                                              | CUSIP: 31298C2P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          89 | PA      | $94.10          | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                              | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3% 05/15/2032                                     | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    21344000 | PA      | $18901840.86    | 0.02%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #743665                                                                                 | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6689 | PA      | $6795.04        | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.012%/VAR 01/23/2030                                                             | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $13827902.99    | 0.02%             | 2030-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2052#RA7375                                                                          | CUSIP: 3133KPFQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21278228 | PA      | $18646813.37    | 0.02%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #737559                                                                                | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       77343 | PA      | $75080.01       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/40 #004833                                                                             | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      236955 | PA      | $229720.87      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.174%/VAR 05/25/2034                                                                     | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    17301000 | PA      | $18226863.71    | 0.02%             | 2034-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#FM6338                                                                          | CUSIP: 3140XABG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      108221 | PA      | $86862.84       | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+660.552 06/25/2035                                               | CUSIP: 31394D4V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       67912 | PA      | $4846.34        | 0.00%             | 2035-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP7882                                                                                | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      178443 | PA      | $168174.48      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #709863                                                                                | CUSIP: 36297ETU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         963 | PA      | $1000.59        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2520 BE 6% 11/32                                                                                    | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       28738 | PA      | $29715.62       | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2048#CA2175                                                                        | CUSIP: 3140Q9MZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      256840 | PA      | $237625.52      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/32 #735415                                                                                | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5326 | PA      | $5561.18        | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                       | ALIMENTATION COUCHE-TARD INC 2.95% 01/25/2030 144A                                                      | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     3940000 | PA      | $3721659.94     | 0.00%             | 2030-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SLAM 2025-1                                                                        | SLAM 2025-1 5.807% 05/15/2050 144A                                                                      | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10923114 | PA      | $11221308.59    | 0.01%             | 2050-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM7 TR                                                                  | GCAT 2021-NQM7 TR 1.888% 08/25/2066 144A                                                                | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      756297 | PA      | $699987.75      | 0.00%             | 2066-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/28 #427211                                                                                 | CUSIP: 36207BR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         133 | PA      | $134.40         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2035#                                                                                | CUSIP: 31297P2R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         760 | PA      | $770.74         | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3168                                                                          | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4055911 | PA      | $3278257.17     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 7.00% 3/32 #003216                                                                              | CUSIP: 36202DSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2569 | PA      | $2678.44        | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 06/01/2038#K94286                                                                          | CUSIP: 3132LQUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46336 | PA      | $45212.81       | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #528852                                                                                 | CUSIP: 36212BQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         307 | PA      | $316.67         | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                        | SUNOCO LP / SUNOCO FIN CORP 6% 04/15/2027                                                               | CUSIP: 86765LAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1005000 | PA      | $1005809.03     | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0043                                                                                 | CUSIP: 31416VBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      174191 | PA      | $174438.90      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 01/01/2036#SB8083                                                                        | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16825513 | PA      | $15119035.87    | 0.02%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 10/39#004553                                                                             | CUSIP: 36202FBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10345 | PA      | $10147.77       | 0.00%             | 2039-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                                      | LONG GILT FUTURE DEC25 G Z5                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |         -19 | NC      | $-4375.93       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                              | MOLINA HEALTHCARE INC 3.875% 11/15/2030 144A                                                            | CUSIP: 60855RAK6<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1285977.14     | 0.00%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-136 WI 4.5% 5/40                                                                               | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        6716 | PA      | $240.81         | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#                                                                                | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1082012 | PA      | $875907.04      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP3391                                                                                 | CUSIP: 3138M6XV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25870 | PA      | $24463.54       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 05/31/2031                                                                             | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    68208500 | PA      | $71099367.90    | 0.08%             | 2031-05-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 12/01/2042#Q15249                                                                        | CUSIP: 3132J6H31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22047 | PA      | $20288.43       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#G05645                                                                        | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8280 | PA      | $8285.82        | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#CB8857                                                                          | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19844453 | PA      | $20323494.51    | 0.02%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 06/01/2052#MA4623                                                                        | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1032294 | PA      | $860815.09      | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 01/01/2041#SC0119                                                                        | CUSIP: 3132D9DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      807790 | PA      | $724499.79      | 0.00%             | 2041-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    11300000 | NC      | $-151668.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 08/25/2046                                                            | CUSIP: 3136BL5X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7101822 | PA      | $6673689.13     | 0.01%             | 2046-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CROCS INC                                                                          | CROCS INC 4.125% 08/15/2031 144A                                                                        | CUSIP: 227046AB5<br>LEI: 549300B0J6YCXD63OG72 | Long             | DBT              | CORP              | US        |      925000 | PA      | $830351.13      | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 3.35% 03/15/2032                                                                            | CUSIP: 30161NBE0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    20066000 | PA      | $18629450.78    | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #565982                                                                                 | CUSIP: 36213VXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         343 | PA      | $357.00         | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #705835                                                                                 | CUSIP: 36297AEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         911 | PA      | $924.83         | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 02/01/2049#BM5577                                                                          | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3091766 | PA      | $3123301.36     | 0.00%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.60% 2/35 #779905                                                                             | CUSIP: 31404VNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11701 | PA      | $12076.80       | 0.00%             | 2035-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC                                          | CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC A1R2 TSFR3M+127 10/15/2038 144A                               | CUSIP: 12554XAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11640000 | PA      | $11640000.00    | 0.01%             | 2038-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32124                                                                        | CUSIP: 3132QNLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30949 | PA      | $29108.48       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC          | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 4% 09/01/2029 144A            | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      685000 | PA      | $628579.22      | 0.00%             | 2029-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 08/01/2051#FM9420                                                                        | CUSIP: 3140XDPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      339616 | PA      | $257756.49      | 0.00%             | 2051-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 2.55% 06/15/2031                                                                   | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     4359000 | PA      | $3923214.47     | 0.00%             | 2031-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.7% 05/25/2047                                                          | CUSIP: 3136AWLF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7283871 | PA      | $6669176.41     | 0.01%             | 2047-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 6.8% 05/12/2028                                                                | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6231016.50     | 0.01%             | 2028-05-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-CP1                                                           | NYMT LOAN TRUST 2025-CP1 A1 3.75% 11/25/2069 144A                                                       | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4849494 | PA      | $4650869.48     | 0.01%             | 2069-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.45% 09/29/2027                                                                          | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    21445000 | PA      | $21503487.59    | 0.03%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| X.AI LLC / X.AI CO ISSUER CO                                                       | X.AI LLC / X.AI CO ISSUER CO 12.5% 06/30/2030                                                           | CUSIP: 983984AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      535000 | PA      | $532250.13      | 0.00%             | 2030-06-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #677235                                                                                 | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18422 | PA      | $18356.70       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2042#Q11138                                                                        | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49794 | PA      | $48550.78       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#QD4275                                                                          | CUSIP: 3133B1XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5274199 | PA      | $4618658.00     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #555867                                                                                 | CUSIP: 36213JQU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         165 | PA      | $169.83         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 08/01/2051#RA5680                                                                          | CUSIP: 3133KMJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1805510 | PA      | $1444663.98     | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 02/43 #Q15869                                                                                 | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      142057 | PA      | $134339.10      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2042#AB8144                                                                          | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3866 | PA      | $3741.38        | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                            | SIMON PROPERTY GROUP LP 2.45% 09/13/2029                                                                | CUSIP: 828807DF1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     3008000 | PA      | $2821906.68     | 0.00%             | 2029-09-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC                                                                       | ACRISURE TERM B6 1LN 11/06/2030                                                                         | CUSIP: 00488PAV7<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |        4975 | PA      | $4967.24        | 0.00%             | 2030-11-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7497                                                                        | CUSIP: 31417EKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8554 | PA      | $7843.76        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                               | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     2553000 | PA      | $2540429.69     | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#CB2113                                                                        | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3752833 | PA      | $3357636.33     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#BU1269                                                                          | CUSIP: 3140M2MT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3633499 | PA      | $2941378.01     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.162%/VAR 01/24/2031                                                       | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $8875913.80     | 0.01%             | 2031-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2043#AE7264                                                                        | CUSIP: 36181BB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2133 | PA      | $2064.95        | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2044#Q25226                                                                        | CUSIP: 3132M5PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41889 | PA      | $40392.17       | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-52 HI 7% 4/41                                                                                  | CUSIP: 38377VGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       15927 | PA      | $1872.08        | 0.00%             | 2041-04-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 04/01/2033#BJ2704                                                                          | CUSIP: 3140H4AE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48339 | PA      | $47062.08       | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/46#BM3928                                                                             | CUSIP: 3140J8LJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80708 | PA      | $80646.51       | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH LLC                                                          | CABLEVISION LIGHTPATH LLC 5.625% 09/15/2028 144A                                                        | CUSIP: 12687GAB5<br>LEI: 5493002ZVBLRLGES1R71 | Long             | DBT              | CORP              | US        |      250000 | PA      | $247744.55      | 0.00%             | 2028-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 12/01/2042#Q13899                                                                        | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18141 | PA      | $17671.00       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                              | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC A1R2 TSFR3M+138 07/15/2037 144A                                   | CUSIP: 26246BAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17132000 | PA      | $17197529.90    | 0.02%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                                      | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    40908730 | PA      | $40895946.01    | 0.05%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55720                                                                          | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29912 | PA      | $28468.91       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2041#BU6530                                                                          | CUSIP: 3140M8HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1703489 | PA      | $1468116.56     | 0.00%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/33 #616015                                                                                | CUSIP: 36290SK42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         751 | PA      | $761.16         | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 7.953%/VAR 11/15/2033                                                          | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     6196000 | PA      | $7149320.15     | 0.01%             | 2033-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2047#BE6506                                                                        | CUSIP: 3140FSGQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5074 | PA      | $4995.96        | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/26 #256507                                                                                | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         324 | PA      | $326.12         | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 6.875% 06/30/2033 144A                                                            | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     1840000 | PA      | $1856514.00     | 0.00%             | 2033-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FM9558                                                                        | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9150389 | PA      | $8148775.01     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                               | FIRSTENERGY PENNSYLVANIA ELECTRIC CO 5.2% 04/01/2028 144A                                               | CUSIP: 591894CE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6490000 | PA      | $6641568.69     | 0.01%             | 2028-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                   | ALTICE FRANCE SA 5.125% 07/15/2029 144A                                                                 | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     1325000 | PA      | $1132875.00     | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/41 #005280                                                                             | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       56592 | PA      | $54743.17       | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE8447                                                                                | CUSIP: 31419KL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2700 | PA      | $2702.60        | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 2.4% 03/15/2029                                                                        | CUSIP: 87264ACS2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1208000 | PA      | $1136243.45     | 0.00%             | 2029-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                       | DISCOVERY COMMUNICATIONS LLC 3.95% 03/20/2028                                                           | CUSIP: 25470DBS7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     6489000 | PA      | $6272397.18     | 0.01%             | 2028-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: EUR/USD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-1131.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                                   | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     8091000 | PA      | $8811625.64     | 0.01%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                                    | BANK 2020-BNK26 2.313% 03/15/2063                                                                       | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20445841 | PA      | $19684315.38    | 0.02%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                       | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    50000000 | PA      | $44124700.00    | 0.05%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Fidelity Colchester Street Trust                                                   | FIMM MM Government Portfolio - Instl Cl                                                                 | CUSIP: 31607A703<br>LEI: 549300SHPEJB1OPRCV46 | Long             | EC               | RF                | US        |   949385785 | NS      | $949385785.03   | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| OPEN TEXT CORPORATION                                                              | OPEN TEXT CORPORATION 3.875% 12/01/2029 144A                                                            | CUSIP: 683715AD8<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |     1975000 | PA      | $1861709.66     | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 12/20/2042#MA0624                                                                          | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       92248 | PA      | $84487.69       | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FGLMC 30YR 3.5% 09/46#Q43176                                                                            | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      381651 | PA      | $353672.94      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 6.75% 03/15/2032                                                                   | CUSIP: 682691AJ9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     2025000 | PA      | $2073047.18     | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/45#AX3256                                                                          | CUSIP: 3138Y4TN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44501 | PA      | $41094.14       | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/30 #781196                                                                                 | CUSIP: 36225BKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         664 | PA      | $677.17         | 0.00%             | 2030-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2050#FM7147                                                                        | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28111484 | PA      | $25806417.95    | 0.03%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AC9654                                                                        | CUSIP: 36179KWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15994 | PA      | $15009.37       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AI9685                                                                                 | CUSIP: 3138APXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5283 | PA      | $5155.06        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.9 07/08/26                                                                              | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    35000000 | NC      | $710733.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC T1Y+NA 08/09/2028                                                                          | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     3000000 | PA      | $3065658.03     | 0.00%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2052#FS3497                                                                        | CUSIP: 3140XJ3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24662 | PA      | $22341.24       | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 12/01/2040#RB5089                                                                        | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1522571 | PA      | $1275226.85     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                       | DNB BANK ASA 0.25%/VAR 02/23/2029 REGS                                                                  | CUSIP: N/A<br>LEI: 549300GKFG0RYRRQ1414       | Long             | DBT              | CORP              | NO        |      500000 | PA      | $551013.38      | 0.00%             | 2029-02-23      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 1.375% 01/15/2026                                                                              | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     3793000 | PA      | $3744634.21     | 0.00%             | 2026-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC9113                                                                          | CUSIP: 3133AUDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1619209 | PA      | $1310776.47     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2050#FM5305                                                                          | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      196959 | PA      | $159564.37      | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3110 OP PO 0% 9/35                                                                                  | CUSIP: 31396HU49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1139 | PA      | $1131.69        | 0.00%             | 2035-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.069%/VAR 06/01/2029                                                             | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7286000 | PA      | $6892095.23     | 0.01%             | 2029-06-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA FINANCE PLC                                                           | VIRGIN MEDIA FINANCE PLC 5% 07/15/2030 144A                                                             | CUSIP: 92769VAJ8<br>LEI: 2138001LVYC87DDHT482 | Long             | DBT              | CORP              | GB        |      231000 | PA      | $211260.73      | 0.00%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                             | VENTURE GLOBAL LNG INC 8.125% 06/01/2028 144A                                                           | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      505000 | PA      | $523282.52      | 0.00%             | 2028-06-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 10/20/2052#MA8346                                                                            | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    69422184 | PA      | $65311182.43    | 0.08%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 06/01/2041#FM7891                                                                          | CUSIP: 3140XBXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      788414 | PA      | $689286.21      | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.65% 08/01/2042#AP5088                                                                       | CUSIP: 3138M8UN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16791 | PA      | $15907.86       | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AQ9316                                                                        | CUSIP: 3138MRK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      355960 | PA      | $315306.88      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                              | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19210 | PA      | $19194.65       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6147                                                                          | CUSIP: 3140X9ZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      247243 | PA      | $230031.72      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 03/01/2033#G18681                                                                          | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      191656 | PA      | $186747.66      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 04/15/2043#AC1092                                                                        | CUSIP: 36179AF92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       56382 | PA      | $54454.54       | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97686                                                                        | CUSIP: 312946RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11190 | PA      | $11379.99       | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC T5Y+289 6.875%/VAR PERP                                                                   | CUSIP: 17327CBC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |      825000 | PA      | $839580.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                              | SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A                                                             | CUSIP: 78473HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2576000 | PA      | $2524650.53     | 0.00%             | 2039-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                      | BAT INTL FINANCE PLC 1.668% 03/25/2026                                                                  | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     4276000 | PA      | $4210138.31     | 0.01%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #564867                                                                                 | CUSIP: 36213UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          45 | PA      | $46.33          | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                    | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                                  | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1937865 | PA      | $1918486.03     | 0.00%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 1.5% 12/01/2031                                                                    | CUSIP: 135087N26<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      580000 | PA      | $384659.71      | 0.00%             | 2031-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 11/20/2045#MA3244                                                                          | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       58352 | PA      | $54141.85       | 0.00%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 5% 03/01/2033                                                                                   | CUSIP: 55336VBV1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $6933353.49     | 0.01%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIG COMBIBLOC PURCHASECO SARL                                                      | SIG COMBIBLOC PURCHASECO SARL 3.75% 03/19/2030 REGS                                                     | CUSIP: N/A<br>LEI: 549300Q95MWZB4BXB866       | Long             | DBT              | CORP              | LU        |      350000 | PA      | $416184.09      | 0.00%             | 2030-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/01/2035#FM2502                                                                        | CUSIP: 3140X5X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      856390 | PA      | $811632.89      | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD / ARES XLI CLO LLC                                                | ARES XLI CLO LTD / ARES XLI CLO LLC AR2 TSFR3M+133.161 04/15/2034 144A                                  | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |    24780000 | PA      | $24804358.74    | 0.03%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 01/01/2041#MA4231                                                                        | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4249992 | PA      | $3556791.91     | 0.00%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 5.5% 02/15/2035                                                                          | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    10286000 | PA      | $10374849.75    | 0.01%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 12/20/44#MA2446                                                                            | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37604 | PA      | $36106.48       | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                          | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8004500 | PA      | $8009502.81     | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2044#G61831                                                                          | CUSIP: 31335CA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      918636 | PA      | $894804.90      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING ASIA PLC                                                        | PRUDENTIAL FUNDING ASIA PLC T5Y+NA 11/03/2033 REGS                                                      | CUSIP: N/A<br>LEI: 2549005TNASWKLR0XC37       | Long             | DBT              | CORP              | GB        |     3700000 | PA      | $3513768.42     | 0.00%             | 2033-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/51#CB1802                                                                               | CUSIP: 3140QMAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    30418023 | PA      | $24528838.49    | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                                 | PRPM 2024-RPL1 LLC A1 4.2% 12/25/2064 144A                                                              | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5827552 | PA      | $5730050.08     | 0.01%             | 2064-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 11/15/2042#AB9211                                                                        | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      180871 | PA      | $169693.31      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 10/20/2043#MA1375                                                                          | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43633 | PA      | $40695.20       | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726316                                                                                 | CUSIP: 3620AC3Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2571 | PA      | $2611.50        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 7/40 #004746                                                                              | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29711 | PA      | $29562.54       | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #492695                                                                                 | CUSIP: 31382UKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          69 | PA      | $72.54          | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #190289                                                                                | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          39 | PA      | $41.50          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                        | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9321584 | PA      | $7807475.32     | 0.01%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2022-1 LTD / PALMER SQUARE LN FDG 2022-1 LLC                  | PALMER SQUARE LN FDG 2022-1 LTD / PALMER SQUARE LN FDG 2022-1 LLC A1 TSFR3M+105 04/15/2030 144A         | CUSIP: 69701CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      446364 | PA      | $446360.62      | 0.00%             | 2030-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                              | CUSIP: 31418D4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6262999 | PA      | $5704924.26     | 0.01%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #393409                                                                                 | CUSIP: 31378BAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          50 | PA      | $50.62          | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/33 #C01614                                                                                 | CUSIP: 31292HYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3521 | PA      | $3530.25        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785564                                                                          | CUSIP: 3622ABB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16965090 | PA      | $14328336.66    | 0.02%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.8 08/10/26                                                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    87870000 | NC      | $2600155.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 04/20/2043#MA0934                                                                          | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      133403 | PA      | $124652.50      | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#783836                                                                        | CUSIP: 3622A2HM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      293801 | PA      | $276417.98      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 5.327% 02/06/2029                                                                 | CUSIP: 595112BN2<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     4300000 | PA      | $4421022.17     | 0.01%             | 2029-02-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2047#BH9459                                                                        | CUSIP: 3140GYQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23379 | PA      | $22903.43       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/46#BC9077                                                                             | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      636329 | PA      | $588327.41      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AC1585                                                                                 | CUSIP: 31417KXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2912 | PA      | $2909.95        | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #465904                                                                                 | CUSIP: 36209ARZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          24 | PA      | $23.89          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #739184                                                                                 | CUSIP: 3620ATFZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2967 | PA      | $2956.03        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 09/01/2055 #TBA                                                                          | CUSIP: 01F042699<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -179125000 | PA      | $-172295859.38  | -0.21%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT OUTDOORS GROUP LLC                                                           | BASS PRO TERM B 1LN 01/23/2032                                                                          | CUSIP: 07014QAP6<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |     1685503 | PA      | $1688873.58     | 0.00%             | 2032-01-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-5C1                                                   | WELLS FARGO COML MTG TR 2024-5C1 5.928% 07/15/2057                                                      | CUSIP: 95003VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11703000 | PA      | $12287213.76    | 0.01%             | 2057-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MASTERBRAND INC                                                                    | MASTERBRAND INC 7% 07/15/2032 144A                                                                      | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | DBT              | CORP              | US        |      610000 | PA      | $631900.83      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL5 C TSFR1M+194.087 03/15/2039 144A                                                | CUSIP: 05612GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13549101 | PA      | $13574505.62    | 0.02%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FIN CORP                             | DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FIN CORP 7.375% 06/30/2033 144A                           | CUSIP: 24665FAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      545000 | PA      | $545353.71      | 0.00%             | 2033-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                          | TEGNA INC 5% 09/15/2029                                                                                 | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |      115000 | PA      | $115119.37      | 0.00%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2048#BJ2752                                                                          | CUSIP: 3140H4BW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23487 | PA      | $22325.66       | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2033#                                                                                | CUSIP: 31283HYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3303 | PA      | $3443.67        | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK CR CARD ISSUANCE TR                                                       | CITIBANK CR CARD ISSUANCE TR 18-A7 A7 3.96% 10/15/2030                                                  | CUSIP: 17305EGS8<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |     9000000 | PA      | $9003218.40     | 0.01%             | 2030-10-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 03/20/2051#MA7254                                                                            | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3033466 | PA      | $2484803.54     | 0.00%             | 2051-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #369318                                                                                 | CUSIP: 31376YG34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $29.79          | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #781469                                                                                 | CUSIP: 36225BT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          85 | PA      | $87.30          | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2036#SB0535                                                                        | CUSIP: 3132CWSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11991709 | PA      | $11316277.58    | 0.01%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727139                                                                        | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26748 | PA      | $26787.67       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #457547                                                                                | CUSIP: 31381DHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          27 | PA      | $27.24          | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                                                                       | ASSURANT INC 5.55% 02/15/2036                                                                           | CUSIP: 04621XAQ1<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |     4267000 | PA      | $4264203.37     | 0.01%             | 2036-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.25% 09/24/2027                                                                              | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     7582000 | PA      | $7588835.55     | 0.01%             | 2027-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/46#AS7533                                                                               | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3277541 | PA      | $2938792.28     | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 06/25/2040                                                          | CUSIP: 3136BAAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    20100154 | PA      | $16993094.71    | 0.02%             | 2040-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                                                     | AMERICAN EXPRESS CR ACC MST TR 5.24% 04/15/2031                                                         | CUSIP: 02582JKF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7800000 | PA      | $8139981.72     | 0.01%             | 2031-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/41 #Q02385                                                                                 | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9042 | PA      | $9041.55        | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 04/01/2053#MA4978                                                                          | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97080 | PA      | $96158.85       | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #545813                                                                                 | CUSIP: 31385JK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          85 | PA      | $89.60          | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032                                                                | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    24473000 | PA      | $23143838.09    | 0.03%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2053#FS7252                                                                          | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4178210 | PA      | $4135957.21     | 0.00%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2039#AB0051                                                                        | CUSIP: 31416VBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34042 | PA      | $34089.84       | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 10/01/2035#BK5705                                                                          | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9216062 | PA      | $8496741.00     | 0.01%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    17700000 | NC      | $-63026.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 09/20/2031#MA3913                                                                          | CUSIP: 36179SK22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      197305 | PA      | $192709.23      | 0.00%             | 2031-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CGMS COMMERCIAL MORTGAGE TRUST 2017-B1                                             | CGMS COMMERCIAL MORTGAGE TRUST 2017-B1 3.458% 08/15/2050                                                | CUSIP: 17326CAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2800000 | PA      | $2752732.92     | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0910                                                                        | CUSIP: 3138NXAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8292 | PA      | $7632.86        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #835485                                                                                | CUSIP: 31407NF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2554 | PA      | $2688.45        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #780777                                                                                 | CUSIP: 36225A2J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          37 | PA      | $37.80          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-15 GC 3% 01/25/2047                                                   | CUSIP: 3136BMHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6117365 | PA      | $5755503.34     | 0.01%             | 2047-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #733737                                                                                 | CUSIP: 3620AMEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2814 | PA      | $2804.36        | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2031#BC2778                                                                        | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      558217 | PA      | $540113.41      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #769093                                                                                 | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6495 | PA      | $6293.41        | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2051#MA4237                                                                          | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    36167652 | PA      | $28984452.34    | 0.03%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #724340                                                                                 | CUSIP: 3620AAV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6562 | PA      | $6540.33        | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 03/43 #AR8173                                                                                 | CUSIP: 3138W6CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93255 | PA      | $87776.65       | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13653                                                                        | CUSIP: 3132HQBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39938 | PA      | $38765.40       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CM TR 2016-JP2 D                                                         | JP MORGAN CM TR 2016-JP2 A4 2.8218% 08/15/2049                                                          | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2950000 | PA      | $2906718.49     | 0.00%             | 2049-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 3.811%/VAR 03/10/2042                                                                      | CUSIP: 06738EBS3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     7473000 | PA      | $5828766.63     | 0.01%             | 2042-03-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/26 #442063                                                                                | CUSIP: 36207UB80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          43 | PA      | $42.83          | 0.00%             | 2026-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT                        | HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 0.625% 09/16/2028 REGS                      | CUSIP: N/A<br>LEI: 969500I3QVK40XEORU25       | Long             | DBT              | CORP              | FR        |      700000 | PA      | $750917.97      | 0.00%             | 2028-09-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 7.625%/VAR PERP                                                                  | CUSIP: 95002YAA1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |      640000 | PA      | $683531.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 4.73% 11/15/2029 144A                                                  | CUSIP: 361886DQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    20800000 | PA      | $21081047.52    | 0.03%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 10/01/2042#C04268                                                                        | CUSIP: 31292LW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16175 | PA      | $14809.08       | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TR VII                                                    | WILLIS ENGINE STRUCTURED TR VII 23-A A 8% 10/15/2048 144A                                               | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11040610 | PA      | $11451351.74    | 0.01%             | 2048-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2048#CA0990                                                                        | CUSIP: 3140Q8C45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5782245 | PA      | $5364132.46     | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXUS BUYER LLC                                                                    | INTRAFI NETWORK TERM B 1LN 07/31/2031                                                                   | CUSIP: 65343UAJ1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      225000 | PA      | $224437.50      | 0.00%             | 2031-07-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 08/01/2041#QK0985                                                                        | CUSIP: 3133D4CW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1367826 | PA      | $1227095.54     | 0.00%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR NOTE FUT (CBT)DEC25 TYZ5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -4551 | NC      | $-2923994.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#RA6510                                                                          | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    31506845 | PA      | $25465930.57    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2350                                                                          | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12739713 | PA      | $10273197.91    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/47#Q48876                                                                             | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       89260 | PA      | $87972.80       | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/28 #251975                                                                                 | CUSIP: 31371G2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          45 | PA      | $46.79          | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2046#BE4488                                                                        | CUSIP: 3140FP7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11794 | PA      | $11587.30       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2045#AY7630                                                                        | CUSIP: 3138YMPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3827 | PA      | $3492.62        | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                        | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     8376000 | PA      | $8016293.94     | 0.01%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2046#Q43088                                                                        | CUSIP: 3132WGNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30849 | PA      | $28587.52       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 6.75% 11/15/2039                                                                     | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     3025000 | PA      | $3277040.46     | 0.00%             | 2039-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 5.6% 04/01/2044                                                                   | CUSIP: 23311VAF4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     2894000 | PA      | $2697377.62     | 0.00%             | 2044-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2043#AC1095                                                                        | CUSIP: 36179AGC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3181 | PA      | $2986.47        | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 2.45% 06/01/2030                                                                   | CUSIP: 26441CBH7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     5890000 | PA      | $5414645.96     | 0.01%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #772060                                                                                 | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9141 | PA      | $8862.29        | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XX LTD                                                            | SIXTH STREET CLO XX LTD 2021-20A A1R TSFR3M+132 07/17/2038 144A                                         | CUSIP: 83012QAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9562000 | PA      | $9594338.68     | 0.01%             | 2038-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XVII CLO LTD                                                             | CEDAR FDG XVII CLO LTD AR TSFR3M+135 07/20/2038 144A                                                    | CUSIP: 15033PAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    21114000 | PA      | $21191002.76    | 0.03%             | 2038-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR5858                                                                        | CUSIP: 3138W3QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67054 | PA      | $61325.38       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#FS0191                                                                        | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      625237 | PA      | $529191.74      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-57 SA 4062-6*1ML 6/37                                                                          | CUSIP: 31396WJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       14374 | PA      | $19660.44       | 0.00%             | 2037-06-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                                | CUSIP: 31292G4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         144 | PA      | $147.48         | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#SD8106                                                                          | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    89321443 | PA      | $71665193.10    | 0.09%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                                            | CUSIP: 3137H6V28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9043323 | PA      | $8368368.16     | 0.01%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 8.00% 8/30 #C01034                                                                                 | CUSIP: 31292HEF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           8 | PA      | $8.44           | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 07/01/2053#RA9373                                                                        | CUSIP: 3133KRMW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5642626 | PA      | $5740602.59     | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #563103                                                                                | CUSIP: 31386GRY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         133 | PA      | $136.07         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 3.375% 11/13/2025                                                              | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     9760000 | PA      | $9727874.18     | 0.01%             | 2025-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 02/01/2053#MA4918                                                                          | CUSIP: 31418EPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      244958 | PA      | $242710.30      | 0.00%             | 2053-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.75% 02/15/2028        | CUSIP: 161175BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7200000 | PA      | $7094056.97     | 0.01%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745228                                                                                 | CUSIP: 3620C04M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       71479 | PA      | $71230.38       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #251286                                                                                | CUSIP: 31371GCX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $25.43          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2041#FM7587                                                                        | CUSIP: 3140XBND8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2500951 | PA      | $2248118.58     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2053#                                                                              | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5542472 | PA      | $5353433.89     | 0.01%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-1 LTD                                                         | EATON VANCE CLO 2020-1 LTD ARR TSFR3M+139 10/15/2037 144A                                               | CUSIP: 278300AS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11494000 | PA      | $11524390.14    | 0.01%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2% 11/15/2041                                                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19304500 | PA      | $13236401.85    | 0.02%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #474731                                                                                 | CUSIP: 36209LLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         415 | PA      | $423.40         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | USTN TII 2.375% 02/15/2055                                                                              | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    47300000 | PA      | $45762824.26    | 0.05%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2047#CA1757                                                                        | CUSIP: 3140Q85T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      854109 | PA      | $792348.22      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 04/01/2041#QK0705                                                                        | CUSIP: 3133D3YA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11485757 | PA      | $9599012.61     | 0.01%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-B                                                      | OPORTUN ISSUANCE TRUST 2025-B 4.88% 05/09/2033 144A                                                     | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12300000 | PA      | $12373450.68    | 0.01%             | 2033-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2017                                                         | CITIGROUP COML MTG TR 2017-P7 3.509% 04/14/2050                                                         | CUSIP: 17325HBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2615121 | PA      | $2599926.84     | 0.00%             | 2050-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2051#QC7496                                                                          | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5076933 | PA      | $4450670.38     | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #581406                                                                                 | CUSIP: 36201E3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          99 | PA      | $103.17         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/39 #703035                                                                                 | CUSIP: 36296WBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14064 | PA      | $13669.19       | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                              | TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030                                                          | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      279000 | PA      | $265391.17      | 0.00%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 11/15/2033                                                                               | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   600173200 | PA      | $618881726.97   | 0.74%             | 2033-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2052#CB2695                                                                          | CUSIP: 3140QM7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      466482 | PA      | $443120.78      | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                        | BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028                                                            | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     4766000 | PA      | $4768935.28     | 0.01%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      240000 | NC      | $38378.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 4.87% 06/21/2039 144A                                                  | CUSIP: 96328GBT3<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    21492043 | PA      | $21659923.92    | 0.03%             | 2039-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEOGEN FOOD SAFETY CORP                                                            | NEOGEN FOOD SAFETY CORP 8.625% 07/20/2030 144A                                                          | CUSIP: 365417AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      205000 | PA      | $214725.82      | 0.00%             | 2030-07-20      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.739%/VAR 10/15/2030                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     9341000 | PA      | $8797994.41     | 0.01%             | 2030-10-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21605                                                                        | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53690 | PA      | $52017.63       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 03/15/2045#777581                                                                        | CUSIP: 36176VUE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      135350 | PA      | $121861.60      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8712                                                                        | CUSIP: 31417FVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10087 | PA      | $9237.65        | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.947% 07/01/2043#AL5652                                                                       | CUSIP: 3138ENH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61422 | PA      | $63853.10       | 0.00%             | 2043-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/38 #889219                                                                                 | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16276 | PA      | $17219.18       | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 4.1% 02/09/2027                                                                    | CUSIP: 254709AM0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    13375000 | PA      | $13344640.09    | 0.02%             | 2027-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2042#G61830                                                                          | CUSIP: 31335CA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3869806 | PA      | $3765176.20     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2047#G61305                                                                          | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      822348 | PA      | $781908.98      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #453080                                                                                 | CUSIP: 36208KJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          92 | PA      | $93.84          | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 7.625%/VAR PERP                                                                            | CUSIP: 06738EDC6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | EP               | CORP              | GB        |     1025000 | PA      | $1058765.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AS4297                                                                          | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      124082 | PA      | $114547.43      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.787%/VAR 03/10/2032 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     1270000 | PA      | $1591135.93     | 0.00%             | 2032-03-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2050#SD8115                                                                          | CUSIP: 3132DWAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10092463 | PA      | $8844358.50     | 0.01%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                             | ROPER TECHNOLOGIES INC 2.95% 09/15/2029                                                                 | CUSIP: 776743AG1<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |     2830000 | PA      | $2699929.10     | 0.00%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                         | GRAPHIC PACKAGING INTL INC 3.75% 02/01/2030 144A                                                        | CUSIP: 38869AAD9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |      530000 | PA      | $497745.53      | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 9/35 #255951                                                                                 | CUSIP: 31371MH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         186 | PA      | $197.84         | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES LVIII CLO LTD / ARES LVIII CLO LLC                                            | ARES LVIII CLO LTD / ARES LVIII CLO LLC A1R2 TSFR3M+124 04/15/2038 144A                                 | CUSIP: 04018AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11529000 | PA      | $11583843.45    | 0.01%             | 2038-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #584449                                                                                 | CUSIP: 36201JH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13584 | PA      | $14104.19       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #698474                                                                                 | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      196966 | PA      | $196361.71      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.65% 03/02/2053                                                                              | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      753000 | PA      | $728264.27      | 0.00%             | 2053-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 06/20/2053#MA8941                                                                            | CUSIP: 36179X5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1489106 | PA      | $1218375.92     | 0.00%             | 2053-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/40 #A92286                                                                                 | CUSIP: 312940RF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2311 | PA      | $2311.88        | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02511                                                                                 | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8925 | PA      | $8927.65        | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZM5557                                                                        | CUSIP: 3131Y0E65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       86234 | PA      | $79890.95       | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/39 #G05457                                                                                 | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       64568 | PA      | $64634.86       | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                         | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     4382000 | PA      | $4266558.40     | 0.01%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.699%/VAR 01/22/2031                                                                    | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     6227000 | PA      | $5803439.15     | 0.01%             | 2031-01-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP PAY 3.753 10/31/29                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    67800000 | NC      | $2507561.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 06/01/2039#FM1045                                                                        | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52758 | PA      | $52871.01       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/48#BK3801                                                                             | CUSIP: 3140HHGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      389341 | PA      | $360701.58      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2029#                                                                                | CUSIP: 31293NPA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $23.63          | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK2525                                                                                 | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9265 | PA      | $9063.99        | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/52#RA6824                                                                               | CUSIP: 3133KNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    44622921 | PA      | $36039327.57    | 0.04%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #935520                                                                                 | CUSIP: 31412UYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1248 | PA      | $1247.33        | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 02/01/2036#FM5367                                                                        | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      674912 | PA      | $605406.57      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2049#BO1438                                                                          | CUSIP: 3140JVS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47468 | PA      | $41716.20       | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.875% 07/15/2027                                                                  | CUSIP: 875484AK3<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    11191000 | PA      | $11068145.09    | 0.01%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#CB2164                                                                          | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23596333 | PA      | $20737236.38    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                         | FIRST QUANTUM MINERALS LTD 7.25% 02/15/2034 144A                                                        | CUSIP: 335934AX3<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |      235000 | PA      | $237267.99      | 0.00%             | 2034-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 8.75% 11/14/2053                                                                   | CUSIP: 195325EM3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     6175000 | PA      | $6533150.00     | 0.01%             | 2053-11-14      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#Q40336                                                                        | CUSIP: 3132WDLS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7094 | PA      | $6580.91        | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 05/01/2052#CB3647                                                                          | CUSIP: 3140QPBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3806023 | PA      | $3817488.28     | 0.00%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                                                 | ALCON FINANCE CORP 2.75% 09/23/2026 144A                                                                | CUSIP: 01400EAA1<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |     1414000 | PA      | $1388319.10     | 0.00%             | 2026-09-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2011-4 PZ 5% 2/41                                                                                   | CUSIP: 31397QKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      219889 | PA      | $219020.11      | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 02/15/2045#AK7288                                                                        | CUSIP: 36183RCZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       94343 | PA      | $85072.63       | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY IND INC                                                                | DUKE ENERGY IND INC 4.9% 07/15/2043                                                                     | CUSIP: 263901AF7<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |     1678000 | PA      | $1520401.20     | 0.00%             | 2043-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #490591                                                                                 | CUSIP: 36210E7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          28 | PA      | $28.38          | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                      | APPLOVIN CORP 5.125% 12/01/2029                                                                         | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3681797.15     | 0.00%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1                                    | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1 5.12% 04/11/2035 144A                                   | CUSIP: 38012RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6600000 | PA      | $6770049.66     | 0.01%             | 2035-04-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2055#CB9985                                                                          | CUSIP: 3140QWCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4230017 | PA      | $4403840.92     | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785575                                                                          | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8024478 | PA      | $6777294.77     | 0.01%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ3485                                                                                | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18497 | PA      | $17938.03       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 10/20/2052#MA8345                                                                          | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10459184 | PA      | $9545991.86     | 0.01%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #405312                                                                                | CUSIP: 31378QGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          82 | PA      | $84.04          | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                        | WAYFAIR LLC 7.25% 10/31/2029 144A                                                                       | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |      395000 | PA      | $402753.46      | 0.00%             | 2029-10-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/28 #492905                                                                                 | CUSIP: 31382UR24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $2.25           | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                                        | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.29% 10/16/2028 144A                                       | CUSIP: 92887QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1236000 | PA      | $1239375.89     | 0.00%             | 2028-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 5.5% 02/15/2034                                                        | CUSIP: 11120VAM5<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $6930245.64     | 0.01%             | 2034-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2054#CB8984                                                                        | CUSIP: 3140QU6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5432432 | PA      | $5552223.04     | 0.01%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/46#BC0287                                                                             | CUSIP: 3140EUJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41095 | PA      | $40424.95       | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02130                                                                        | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14426 | PA      | $14671.10       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 3.375% 12/15/2041                                                                    | CUSIP: 24703DBF7<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     3736000 | PA      | $2781188.69     | 0.00%             | 2041-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 01/01/2033#677279                                                                        | CUSIP: 31391UM44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         409 | PA      | $421.28         | 0.00%             | 2033-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                         | NASDAQ INC 5.95% 08/15/2053                                                                             | CUSIP: 63111XAK7<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     1132000 | PA      | $1153609.78     | 0.00%             | 2053-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 3.9% 04/06/2028 144A                                                                      | CUSIP: 00131LAF2<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |     2931000 | PA      | $2921680.97     | 0.00%             | 2028-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                                                      | ENBW INTERNATIONAL FINANCE BV 3.75% 11/20/2035 REGS                                                     | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |     1525000 | PA      | $1784656.14     | 0.00%             | 2035-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-170 B 4% 12/40                                                                                 | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      178785 | PA      | $175297.45      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.21%/VAR 04/20/2028                                                                     | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     6115000 | PA      | $6116089.94     | 0.01%             | 2028-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2050#FM3742                                                                        | CUSIP: 3140X7EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6680587 | PA      | $5664788.68     | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                                       | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                                                      | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4803154 | PA      | $4838939.62     | 0.01%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2042#Q09689                                                                        | CUSIP: 3132GVC26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65596 | PA      | $62224.24       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 11/01/2041#QK1203                                                                        | CUSIP: 3133D4KQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2673418 | PA      | $2389546.22     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#FM6863                                                                          | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      524831 | PA      | $425187.55      | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#BP5691                                                                          | CUSIP: 3140KDKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18447801 | PA      | $17082879.41    | 0.02%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/30 #781130                                                                                 | CUSIP: 36225BHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          60 | PA      | $60.82          | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                                | PRUDENTIAL FINL INC T5Y+NA 09/01/2052                                                                   | CUSIP: 744320BK7<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    31987000 | PA      | $33004506.47    | 0.04%             | 2052-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3336 LI SOFR30A+646.552 6/37                                                                        | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       59891 | PA      | $6016.20        | 0.00%             | 2037-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 11/40 #004854                                                                             | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37453 | PA      | $37260.02       | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/27 #313687                                                                                 | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          57 | PA      | $59.75          | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 07/01/2041#CB1069                                                                          | CUSIP: 3140QLFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9103497 | PA      | $7903773.02     | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #433689                                                                                 | CUSIP: 36207JXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          50 | PA      | $50.86          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 2/27 #439497                                                                                 | CUSIP: 36207RGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          29 | PA      | $29.74          | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2039#AC6492                                                                        | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5464 | PA      | $5458.98        | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #722270                                                                                 | CUSIP: 3620A8MT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1309 | PA      | $1330.00        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C70220                                                                                 | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1871 | PA      | $1959.40        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2035#                                                                                | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1732 | PA      | $1759.03        | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.95 04/29/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    25780000 | NC      | $839960.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/30 #532641                                                                                | CUSIP: 36212FWA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         286 | PA      | $294.79         | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                             | ROPER TECHNOLOGIES INC 4.45% 09/15/2030                                                                 | CUSIP: 776696AL0<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |     4852000 | PA      | $4862021.42     | 0.01%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 4.50% 7/26 #AB3303                                                                            | CUSIP: 31416YU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         342 | PA      | $341.78         | 0.00%             | 2026-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                        | BAYVIEW COML ASST TR 2007 2 TSFR1M+48.448 07/25/2037 144A                                               | CUSIP: 07325XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25586 | PA      | $24904.44       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     6830000 | NC      | $-24320.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 5.706%/VAR 02/08/2028                                                    | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    11000000 | PA      | $11204557.65    | 0.01%             | 2028-02-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2041#AH7219                                                                        | CUSIP: 3138A9AV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11667 | PA      | $11639.43       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2432 FE SOFR30A+101.448 6/31                                                                        | CUSIP: 31339NNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2041 | PA      | $2048.90        | 0.00%             | 2031-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                                                      | CUSIP: 3136BTF81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    11281688 | PA      | $11288720.71    | 0.01%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/39 #713327                                                                                 | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18301 | PA      | $18586.04       | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 7/29 #C47273                                                                                 | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11845 | PA      | $12453.79       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      700000 | NC      | $-9395.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNMA 13-149 MA 2.5% 5/20/40                                                                             | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      288706 | PA      | $284401.81      | 0.00%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP                                                               | KITE REALTY GROUP LP 5.5% 03/01/2034                                                                    | CUSIP: 49803XAE3<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |     5568000 | PA      | $5695032.53     | 0.01%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2040#749935                                                                        | CUSIP: 3620C6EG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2280 | PA      | $2219.57        | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.856%/VAR 05/23/2033 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     1600000 | PA      | $2017805.71     | 0.00%             | 2033-05-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #486540                                                                                 | CUSIP: 36210APZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          22 | PA      | $21.89          | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                            | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13264000 | PA      | $8786363.82     | 0.01%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #433788                                                                                 | CUSIP: 36207J2V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           8 | PA      | $8.11           | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | FX Forward: GBP/USD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.16          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.55% 03/21/2031                                                             | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     3016000 | PA      | $2735231.39     | 0.00%             | 2031-03-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                          | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3798965 | PA      | $3419288.75     | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 08/20/2045#MA3035                                                                          | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1754944 | PA      | $1681784.80     | 0.00%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIRCRAFT LEASING CO LTD                                                     | GLOBAL AIRCRAFT LEASING CO LTD 8.75% 09/01/2027 144A                                                    | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     1210000 | PA      | $1244964.16     | 0.00%             | 2027-09-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 03/15/2028                                                                             | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   117825400 | PA      | $118663065.54   | 0.14%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/34 #G05423                                                                                | CUSIP: 3128M7LC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8508 | PA      | $8635.21        | 0.00%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE6588                                                                               | CUSIP: 31419HKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47180 | PA      | $46034.87       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WRANGLER HOLDCO CORP                                                               | WRANGLER HOLDCO CORP 6.625% 04/01/2032 144A                                                             | CUSIP: 37441QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1970000 | PA      | $2053632.41     | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 8/37 #G06089                                                                                 | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24420 | PA      | $25768.30       | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 11/20/2051#MA7704                                                                            | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3155241 | PA      | $2586032.72     | 0.00%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.7% 02/16/2032                                                                     | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     8760000 | PA      | $8400402.00     | 0.01%             | 2032-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A                                         | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    15848654 | PA      | $16028915.33    | 0.02%             | 2039-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 07/01/2033#709470                                                                          | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20294 | PA      | $20532.92       | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#G07345                                                                        | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      596214 | PA      | $578619.47      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-C7                                                      | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7 3.102% 12/15/2072                                           | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9335374 | PA      | $8846105.18     | 0.01%             | 2072-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                               | BWX TECHNOLOGIES INC 4.125% 04/15/2029 144A                                                             | CUSIP: 05605HAC4<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |      720000 | PA      | $692925.34      | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3101                                                                          | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1141765 | PA      | $923207.25      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.805 11/05/29                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    13900000 | NC      | $501514.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIMIC FINANCE LTD                                                                  | CIMIC FINANCE LTD 1.5% 05/28/2029 REGS                                                                  | CUSIP: N/A<br>LEI: 213800SWJBM5VMCQJW54       | Long             | DBT              | CORP              | AU        |     1075000 | PA      | $1171766.53     | 0.00%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/46#AL9397                                                                               | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      396464 | PA      | $354744.37      | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 4.1% 01/13/2026                                                          | CUSIP: 251526BZ1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     8332000 | PA      | $8314610.62     | 0.01%             | 2026-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LSB INDUSTRIES INC                                                                 | LSB INDUSTRIES INC 6.25% 10/15/2028 144A                                                                | CUSIP: 502160AN4<br>LEI: 5493001H215A0HG0MI71 | Long             | DBT              | CORP              | US        |      460000 | PA      | $456384.58      | 0.00%             | 2028-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2046#Q45028                                                                        | CUSIP: 3132WJSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32561 | PA      | $32020.59       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER MTG ASSET RECEIVABLES TR 2025-NQM3                                       | SANTANDER MTG ASSET RECEIVABLES TR 2025-NQM3 A1 5.816% 05/25/2065 144A                                  | CUSIP: 80263AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    16160755 | PA      | $16271630.91    | 0.02%             | 2065-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2048#ZM8169                                                                          | CUSIP: 3131Y3CE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1311546 | PA      | $1245455.97     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019 C-17                                            | UBS COMMERCIAL MORTGAGE TRUST 2019 C17 ASB 2.8655% 10/15/2052                                           | CUSIP: 90278MAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9556228 | PA      | $9307230.44     | 0.01%             | 2052-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 5.75% 03/15/2030 144A                                                                     | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      405000 | PA      | $415187.37      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                   | BAYER US FIN LLC 6.875% 11/21/2053 144A                                                                 | CUSIP: 07274EAM5<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    16200000 | PA      | $17143632.99    | 0.02%             | 2053-11-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/41 #489862                                                                                | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      136164 | PA      | $131968.50      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 6.86% 06/05/2026                                                               | CUSIP: 345397C84<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1150000 | PA      | $1575763.81     | 0.00%             | 2026-06-05      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                               | WR GRACE HOLDING LLC 6.625% 08/15/2032 144A                                                             | CUSIP: 92943GAF8<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |      750000 | PA      | $747900.00      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2043#Q23023                                                                        | CUSIP: 3132M3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30114 | PA      | $29192.03       | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2045#AL9296                                                                        | CUSIP: 36184HKH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4293 | PA      | $3851.65        | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/47#Q48877                                                                               | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      224680 | PA      | $214754.86      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #323326                                                                                 | CUSIP: 31374TD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $2.08           | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.25% 02/15/2054                                                            | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   166600000 | PA      | $149054937.50   | 0.18%             | 2054-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404846                                                                                | CUSIP: 31378PWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          18 | PA      | $18.16          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 08/20/2053#MB0019                                                                            | CUSIP: 3618N5AV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      534025 | PA      | $436935.66      | 0.00%             | 2053-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 3/45#AY0609                                                                                   | CUSIP: 3138YDVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82862 | PA      | $75576.17       | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                            | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 5.875% 07/15/2030 144A                                          | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      360000 | PA      | $364294.08      | 0.00%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ1978                                                                        | CUSIP: 3138MHFU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20478 | PA      | $18679.86       | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20763                                                                        | CUSIP: 3132JMZ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30403 | PA      | $29589.28       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 03/01/2036#RC1891                                                                          | CUSIP: 3133L8C45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14934 | PA      | $13731.07       | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2018-C9                                                            | UBS COML MTG TR 2018-C9 A4 4.117% 03/15/2051                                                            | CUSIP: 90291JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9714061 | PA      | $9520779.36     | 0.01%             | 2051-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST                                      | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A                                     | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2413151 | PA      | $2436459.19     | 0.00%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 04/01/2052#SD6932                                                                          | CUSIP: 3132DUVZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7497971 | PA      | $6022869.98     | 0.01%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/40 #736729                                                                                 | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53418 | PA      | $53232.26       | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/26 #313275                                                                                 | CUSIP: 31374F6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          13 | PA      | $12.53          | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4.046% 08/15/2041 144A                                                                       | CUSIP: 91529YAS5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     2634000 | PA      | $2094368.92     | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    16080000 | NC      | $-57257.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2050#FM2629                                                                        | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      339135 | PA      | $286297.41      | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745196                                                                                 | CUSIP: 3620C03D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29755 | PA      | $29644.05       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLS INC 2018-1B PASS THRU TR                                              | UNITED AIRLS INC 2018-1B PASS THRU TR 4.6% 09/01/2027                                                   | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1129192 | PA      | $1119762.96     | 0.00%             | 2027-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 5.985%/VAR 08/07/2027                                                          | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     4700000 | PA      | $4765591.13     | 0.01%             | 2027-08-07      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 6.625% 05/15/2029                                                                  | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      240000 | PA      | $246788.88      | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2051#CB1142                                                                          | CUSIP: 3140QLHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27813332 | PA      | $24469348.85    | 0.03%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 3.761%/VAR 03/21/2034 REGS                                                        | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DBT              | CORP              | US        |      750000 | PA      | $894727.84      | 0.00%             | 2034-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.5% 09/01/2030                                                                                 | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    12405000 | PA      | $11822514.67    | 0.01%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                                                   | TRINET GROUP INC 3.5% 03/01/2029 144A                                                                   | CUSIP: 896288AA5<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |      805000 | PA      | $753738.49      | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 5.375% 04/05/2034 144A                                                                    | CUSIP: 00131LAQ8<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |     4500000 | PA      | $4658748.44     | 0.01%             | 2034-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST 2024-2                                                   | KUBOTA CREDIT OWNER TRUST 2024-2 5.26% 11/15/2028 144A                                                  | CUSIP: 50117DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2483000 | PA      | $2525397.47     | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2043#AR2626                                                                        | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      205660 | PA      | $181711.32      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 5% 08/15/2052                                                                      | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    17535000 | PA      | $15294399.62    | 0.02%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 04/01/2043#Q16915                                                                        | CUSIP: 3132J8DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10367 | PA      | $9537.01        | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                          | ROGERS COMMUNICATIONS INC 3.2% 03/15/2027                                                               | CUSIP: 775109CG4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     2876000 | PA      | $2829780.21     | 0.00%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2052#CB3331                                                                        | CUSIP: 3140QNVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    72750111 | PA      | $66540401.27    | 0.08%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                                                                | CITYCON TREASURY BV 5.375% 07/08/2031 REGS                                                              | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |      300000 | PA      | $361578.90      | 0.00%             | 2031-07-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                | CLYDESDALE ACQUISITION HOLDINGS INC 6.875% 01/15/2030 144A                                              | CUSIP: 18972EAC9<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      275000 | PA      | $282727.50      | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 12/01/2054#CB9668                                                                        | CUSIP: 3140QVW67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14243674 | PA      | $14361911.98    | 0.02%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 03/01/2040#MA3965                                                                        | CUSIP: 31418DMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138570 | PA      | $125156.77      | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #367516                                                                                 | CUSIP: 31376WGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          48 | PA      | $48.66          | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #549602                                                                                 | CUSIP: 31385QRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         103 | PA      | $108.31         | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 6/1/52#CB3785                                                                              | CUSIP: 3140QPF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7405973 | PA      | $6965660.18     | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4% 06/15/2029                                                                                | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     6130000 | PA      | $6039146.11     | 0.01%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/29 #323500                                                                                 | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          47 | PA      | $49.49          | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/1/42 #Q13479                                                                            | CUSIP: 3132HP2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6536 | PA      | $6030.55        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 04/01/2052#FA0063                                                                   | CUSIP: 3140W0B95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10572187 | PA      | $8908498.28     | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#Q16749                                                                        | CUSIP: 3132J75K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12002 | PA      | $11744.31       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 5.1% 01/19/2029                                      | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     5200000 | PA      | $5320421.24     | 0.01%             | 2029-01-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.125% 07/25/2028                                                                         | CUSIP: 172967KU4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     6909000 | PA      | $6900579.79     | 0.01%             | 2028-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/30 #493519                                                                                | CUSIP: 36210JG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         171 | PA      | $174.65         | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 4.254%/VAR 09/11/2029                                                             | CUSIP: 60687YAT6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     1035000 | PA      | $1036196.87     | 0.00%             | 2029-09-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| KEHE DIST/FIN / NEXTWAVE                                                           | KEHE DIST/FIN / NEXTWAVE 9% 02/15/2029 144A                                                             | CUSIP: 487526AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      935000 | PA      | $984292.27      | 0.00%             | 2029-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 7.375% 04/25/2030                                                                  | CUSIP: 195325ER2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    14080000 | PA      | $14896640.00    | 0.02%             | 2030-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/27 #780622                                                                                 | CUSIP: 36225AVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          26 | PA      | $26.55          | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/39 #713199                                                                                 | CUSIP: 36297JKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2170 | PA      | $2203.76        | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/25 #329280                                                                                | CUSIP: 31375AXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           4 | PA      | $4.00           | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #254379                                                                                 | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         351 | PA      | $370.72         | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ4198                                                                                | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44219 | PA      | $42975.83       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TR 2023-AIR                                                                   | OPEN TR 2023-AIR TSFR1M+308.92 10/15/2028 144A                                                          | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1308698 | PA      | $1309515.51     | 0.00%             | 2040-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                                                       | CUSIP: 3136BUVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    21455865 | PA      | $21517702.54    | 0.03%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873245 04/17/65 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     8489440 | NC      | $-70138.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 07/15/2027                                                                    | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     7526000 | PA      | $7744163.69     | 0.01%             | 2027-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.50% 3/34 #G01665                                                                                 | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46448 | PA      | $47969.32       | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                                 | CANADIAN IMPERIAL BK OF COMM 3.6% 04/07/2032                                                            | CUSIP: 13607HR53<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     5114000 | PA      | $4815997.04     | 0.01%             | 2032-04-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.075%/VAR 04/23/2029                                                                     | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     4606000 | PA      | $4589620.00     | 0.01%             | 2029-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+62.448 07/25/2037 144A                                              | CUSIP: 07325YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14505 | PA      | $13469.72       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC                                                              | ELLUCIAN HOLDINGS INC 6.5% 12/01/2029 144A                                                              | CUSIP: 289178AA3<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | DBT              | CORP              | US        |      200000 | PA      | $203457.40      | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#BE5550                                                                        | CUSIP: 3140FREY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46754 | PA      | $45860.89       | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                      | COREWEAVE INC 9.25% 06/01/2030 144A                                                                     | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      850000 | PA      | $853047.25      | 0.00%             | 2030-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #433616                                                                                 | CUSIP: 36207JVH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          63 | PA      | $63.79          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 10/01/2037#BM1951                                                                        | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      608110 | PA      | $561236.92      | 0.00%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                                          | ALIBABA GROUP HOLDING LTD 2.7% 02/09/2041                                                               | CUSIP: 01609WAY8<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    12255000 | PA      | $8867840.55     | 0.01%             | 2041-02-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FS7948                                                                        | CUSIP: 3140XPZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1854529 | PA      | $1572543.49     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 5.5%/VAR 04/13/2029 144A                                                        | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    24956000 | PA      | $25508535.57    | 0.03%             | 2029-04-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2043#Q21466                                                                        | CUSIP: 3132JNTX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       90524 | PA      | $85279.22       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/42 #MA0090                                                                              | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      156891 | PA      | $156051.87      | 0.00%             | 2042-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #A12833                                                                                 | CUSIP: 31296MEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2530 | PA      | $2566.71        | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP REC 3.837 07/22/26                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    64790000 | NC      | $1999895.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/46#Q39901                                                                             | CUSIP: 3132QXAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23735 | PA      | $22047.32       | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                                                                | CITYCON TREASURY BV 5% 03/11/2030 REGS                                                                  | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |      300000 | PA      | $358896.74      | 0.00%             | 2030-03-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 04/52#QE1005                                                                             | CUSIP: 3133BADJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1367608 | PA      | $1141283.19     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 3.07%/VAR 02/24/2028                                                                      | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    13000000 | PA      | $12769265.47    | 0.02%             | 2028-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                                | CUSIP: 31297R4W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         113 | PA      | $114.55         | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 12/01/2035#FM4701                                                                        | CUSIP: 3140X8GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      321187 | PA      | $288611.31      | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 05/20/2053#                                                                                  | CUSIP: 36179X2D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1171984 | PA      | $958908.98      | 0.00%             | 2053-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2052#RA6622                                                                        | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      243850 | PA      | $205324.08      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.244%/VAR 01/24/2031                                                            | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    27390000 | PA      | $28293715.25    | 0.03%             | 2031-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 12-154 F SOFR30A+41.448 01/25/2043                                       | CUSIP: 3136AA6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      384867 | PA      | $376483.28      | 0.00%             | 2043-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 02/20/2041#004948                                                                        | CUSIP: 36202FP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2843 | PA      | $2785.72        | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 05/15/2035                                                                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   172912200 | PA      | $173452550.63   | 0.21%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 03/46#MA3521                                                                               | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12244 | PA      | $11360.40       | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #576466                                                                                 | CUSIP: 36200YMP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          73 | PA      | $75.75          | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                                                   | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      756672 | PA      | $689496.67      | 0.00%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#QD0399                                                                          | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1358720 | PA      | $1098208.15     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.75%/VAR PERP                                                                            | CUSIP: 172967PR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |      910000 | PA      | $917374.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 7.75% 10/19/2032                                                                       | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     5978000 | PA      | $6924646.97     | 0.01%             | 2032-10-19      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                                                       | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     9128893 | PA      | $9139350.76     | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#RA8291                                                                          | CUSIP: 3133KQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3416308 | PA      | $3411652.76     | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 5.5% 03/15/2034                                                            | CUSIP: 209111GF4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5218299.05     | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.4% 03/02/2026                                                                        | CUSIP: 969457CH1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6128497.31     | 0.01%             | 2026-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.914% 07/30/2054 144A                                                            | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    18341400 | PA      | $18216062.21    | 0.02%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                            | JANE STREET GRP/JSG FIN 6.125% 11/01/2032 144A                                                          | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1670000 | PA      | $1677718.74     | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8135                                                                          | CUSIP: 31419KBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36989 | PA      | $35892.98       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BROOKFIELD 2024-MF23 A TSFR1M+149.177 06/15/2041 144A                                                   | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19211000 | PA      | $19247020.63    | 0.02%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EVERGREEN CR CARD TR                                                               | EVERGREEN CR CARD TR 5.24% 05/15/2029 144A                                                              | CUSIP: 30023JCX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |      980000 | PA      | $991401.22      | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROLOGIS INTERNATIONAL FUNDING II SA                                               | PROLOGIS INTL FDG II SA 4.375% 07/01/2036 REGS                                                          | CUSIP: N/A<br>LEI: 213800JNRWW2C9DWI388       | Long             | DBT              | CORP              | LU        |      400000 | PA      | $484798.02      | 0.00%             | 2036-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2035#RC1476                                                                          | CUSIP: 3133L7T98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1251466 | PA      | $1207804.33     | 0.00%             | 2035-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#MA4512                                                                        | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6148039 | PA      | $5130602.12     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 03/01/2051#RA4749                                                                        | CUSIP: 3133KLH26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4154666 | PA      | $3487884.69     | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AH4609                                                                                 | CUSIP: 3138A6DP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2197 | PA      | $2136.56        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JH NORTH AMERICA HOLDINGS INC                                                      | JH NORTH AMERICA HOLDINGS INC 6.125% 07/31/2032 144A                                                    | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     1020000 | PA      | $1035274.50     | 0.00%             | 2032-07-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2016-H13 FB T1Y+50 05/20/2066                                                                       | CUSIP: 38376RUU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      131864 | PA      | $131547.80      | 0.00%             | 2066-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SCG 2025-FLWR                                                                      | SCG 2025-FLWR 5.65% 08/15/2030 144A                                                                     | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11700000 | PA      | $11714636.70    | 0.01%             | 2042-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 2.525% 11/15/2054                                        | CUSIP: 95003QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4475000 | PA      | $4225933.58     | 0.01%             | 2054-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042                                                               | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     2247000 | PA      | $1890625.89     | 0.00%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/40 #A91160                                                                                 | CUSIP: 312939JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2951 | PA      | $2952.73        | 0.00%             | 2040-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FIN CORP                                                             | CDW LLC / CDW FIN CORP 5.55% 08/22/2034                                                                 | CUSIP: 12513GBL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10150000 | PA      | $10274236.00    | 0.01%             | 2034-08-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #368817                                                                                 | CUSIP: 31376XVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         284 | PA      | $287.25         | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 4/32 #C01344                                                                                 | CUSIP: 31292HP57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2838 | PA      | $2946.13        | 0.00%             | 2032-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #433566                                                                                 | CUSIP: 36207JTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          63 | PA      | $63.96          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                                                       | KREDITANSTALT FUR WIEDER(UNGTD 1.375% 06/07/2032 REGS                                                   | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |      375000 | PA      | $404913.32      | 0.00%             | 2032-06-07      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C37                                                   | WELLS FARGO COML MTG TR 2016-C37 3.525% 12/15/2049                                                      | CUSIP: 95000PAD6<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-MBS          | CORP              | US        |     3091762 | PA      | $3057936.11     | 0.00%             | 2049-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2041#A96822                                                                          | CUSIP: 312945SK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5941 | PA      | $5781.49        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OT MIDCO INC                                                                       | OT MIDCO INC 10% 02/15/2030 144A                                                                        | CUSIP: 68877AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      325000 | PA      | $222048.74      | 0.00%             | 2030-02-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #G01584                                                                                 | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         751 | PA      | $761.84         | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 7.00% 8/26 #256430                                                                            | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         525 | PA      | $527.91         | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #584361                                                                                 | CUSIP: 36201JFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         150 | PA      | $153.84         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/32 #639704                                                                                 | CUSIP: 31389YU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         228 | PA      | $241.67         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/48#CA1564                                                                             | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61305 | PA      | $59961.06       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 03/01/2033#BM4614                                                                          | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      102294 | PA      | $99847.16       | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #704995                                                                                 | CUSIP: 36296YGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4674 | PA      | $4748.77        | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #768770                                                                                 | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11002 | PA      | $10664.73       | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                       | NOVELIS CORP 3.875% 08/15/2031 144A                                                                     | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      470000 | PA      | $426241.31      | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.8 08/10/26                                                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    87870000 | NC      | $2236500.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 04/01/2033#BK4146                                                                          | CUSIP: 3140HHTC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      165751 | PA      | $161150.32      | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP/SEALED AIR CORP US                                                 | SEALED AIR CORP/SEALED AIR CORP US 7.25% 02/15/2031 144A                                                | CUSIP: 812127AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      515000 | PA      | $542193.55      | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                     | EXTENDED STAY AMER TR 2021-ESH A TSFR1M+119.448 07/15/2038 144A                                         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8289426 | PA      | $8286837.58     | 0.01%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 5.3% 01/15/2031                                                                   | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     9833000 | PA      | $10146976.34    | 0.01%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/37 #942981                                                                                 | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3850 | PA      | $4070.81        | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 06/01/2031#AS7347                                                                        | CUSIP: 3138WHEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1439165 | PA      | $1391477.12     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2024-1                                                      | MARLETTE FUNDING TRUST 2024-1 5.95% 07/17/2034 144A                                                     | CUSIP: 57108VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      306563 | PA      | $306729.72      | 0.00%             | 2034-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2035#G02836                                                                        | CUSIP: 3128M4PV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         950 | PA      | $952.69         | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.35% 03/15/2031 144A                                                  | CUSIP: 361886DG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2600000 | PA      | $2665912.60     | 0.00%             | 2031-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC                          | TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC 9.5% 05/15/2030 144A                          | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |      410000 | PA      | $409713.00      | 0.00%             | 2030-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                                     | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     9594000 | PA      | $9637173.00     | 0.01%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-18 FD SOFR30A+91.448 2/32                                                                      | CUSIP: 31392CHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1292 | PA      | $1295.58        | 0.00%             | 2032-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 05/01/2029#                                                                                | CUSIP: 31293PXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         195 | PA      | $199.74         | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2025-B OWNER TR                                            | TOYOTA AUTO RECEIVABLES 2025-B OWNER TR 4.34% 11/15/2029                                                | CUSIP: 89231HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7800000 | PA      | $7866854.58     | 0.01%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                   | GEORGIA POWER CO 4.65% 05/16/2028                                                                       | CUSIP: 373334KS9<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5581362.82     | 0.01%             | 2028-05-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97942                                                                                 | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      217225 | PA      | $217219.48      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 3.375% 07/15/2051                                                              | CUSIP: 02666TAD9<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     2291000 | PA      | $1502865.12     | 0.00%             | 2051-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55141                                                                          | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8240 | PA      | $7842.20        | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                               | WYNN RESORTS FIN LLC / CAP CORP 6.25% 03/15/2033 144A                                                   | CUSIP: 983133AD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      455000 | PA      | $460597.87      | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 2.75% 06/01/2031                                                                           | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $6587038.08     | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #781272                                                                                 | CUSIP: 36225BMV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          35 | PA      | $35.73          | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.69% 04/15/2030                                         | CUSIP: 30185AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2235000 | PA      | $2253696.00     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/29 #323819                                                                                 | CUSIP: 31374TVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          62 | PA      | $63.71          | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+150 11/25/2053                                                   | CUSIP: 3136BQVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    20354542 | PA      | $20520307.81    | 0.02%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                   | GGAM FINANCE LTD 6.875% 04/15/2029 144A                                                                 | CUSIP: 36170JAD8<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      545000 | PA      | $564077.18      | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     2100000 | NC      | $247651.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERD 2025-1A A2                                                                    | VERD 2025-1A A2 4.85% 03/13/2028 144A                                                                   | CUSIP: 92340GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3825000 | PA      | $3840301.53     | 0.00%             | 2028-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 05/20/2031#MA3639                                                                          | CUSIP: 36179SBG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3213913 | PA      | $3142194.87     | 0.00%             | 2031-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.625% 01/15/2027 144A           | CUSIP: 013092AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      410000 | PA      | $407504.00      | 0.00%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727060                                                                        | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12753 | PA      | $12771.83       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 02/01/2042#SC0248                                                                        | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3496033 | PA      | $3127683.93     | 0.00%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723430                                                                                | CUSIP: 3620A9VX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         612 | PA      | $609.68         | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2046#Q39717                                                                          | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59663 | PA      | $53583.73       | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #581860                                                                                 | CUSIP: 36201FMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         160 | PA      | $165.76         | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                            | JANE STREET GRP/JSG FIN 4.5% 11/15/2029 144A                                                            | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      155000 | PA      | $149701.00      | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #449600                                                                                 | CUSIP: 36208FNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          24 | PA      | $24.58          | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#SD8183                                                                        | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5420553 | PA      | $4523507.19     | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                                         | FNS 384 6 5% 7/37                                                                                       | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       53295 | PA      | $8542.98        | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.9% 08/25/2028                                                          | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7532000 | PA      | $7523741.92     | 0.01%             | 2028-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2055#DD1919                                                                        | CUSIP: 3140B2DZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8107855 | PA      | $8157423.21     | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9633                                                                          | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18866143 | PA      | $16562501.85    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #803376                                                                                | CUSIP: 31405YQ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1813 | PA      | $1910.66        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2024-6 LTD                                                          | CARLYLE US CLO 2024-6 LTD E TSFR3M+575 10/25/2037 144A                                                  | CUSIP: 14319QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      150000 | PA      | $151567.65      | 0.00%             | 2037-10-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP / GLP FIN CORP                                                  | GLOBAL PARTNERS LP / GLP FIN CORP 7.125% 07/01/2033 144A                                                | CUSIP: 37954FAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      155000 | PA      | $158642.04      | 0.00%             | 2033-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+61.448 06/20/2064                                                   | CUSIP: 38375UKG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       48682 | PA      | $48694.99       | 0.00%             | 2064-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/39 #710482                                                                                | CUSIP: 36297FJ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15302 | PA      | $14896.64       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 08/15/2045                                                            | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7500000 | PA      | $7508203.13     | 0.01%             | 2045-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 10/01/2041#AI6819                                                                         | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         968 | PA      | $997.54         | 0.00%             | 2041-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#BU3295                                                                        | CUSIP: 3140M4UV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4877636 | PA      | $4093301.69     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 08/01/2041#FM8410                                                                          | CUSIP: 3140XCKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      511571 | PA      | $441491.97      | 0.00%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                          | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    13628309 | PA      | $12353931.12    | 0.01%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2043#AL7626                                                                          | CUSIP: 3138EQPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1591876 | PA      | $1545472.44     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 3.035%/VAR 05/28/2032                                                    | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     4028000 | PA      | $3675704.07     | 0.00%             | 2032-05-28      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| WYNDHAM HOTELS and RESORTS INC                                                     | WYNDHAM HOTELS and RESORTS INC 4.375% 08/15/2028 144A                                                   | CUSIP: 98311AAB1<br>LEI: 549300FE3MQ4RVXXC673 | Long             | DBT              | CORP              | US        |      850000 | PA      | $829865.71      | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C35                                                   | WELLS FARGO COML MTG TR 2016-C35 TSFR1M+116.448 07/15/2048 144A                                         | CUSIP: 95000FBA3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |     5200000 | PA      | $5202911.48     | 0.01%             | 2048-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                     | EUROPEAN UNION 2.5% 12/04/2031 REGS                                                                     | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |      480000 | PA      | $555242.40      | 0.00%             | 2031-12-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34584                                                                          | CUSIP: 31307RCV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12203 | PA      | $11959.40       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2045#AZ3728                                                                        | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33887 | PA      | $30405.53       | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/38 #711379                                                                                 | CUSIP: 36297GJY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1911 | PA      | $1954.04        | 0.00%             | 2038-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/43#AS0080                                                                             | CUSIP: 3138W9CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7991 | PA      | $7511.26        | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2047#MA3184                                                                        | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6884 | PA      | $6743.75        | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2054#SD8491                                                                          | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1501282 | PA      | $1480939.53     | 0.00%             | 2054-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 1/36 #A54473                                                                                 | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4505 | PA      | $4763.33        | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2050#SD8108                                                                          | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1241742 | PA      | $1088179.35     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZS4751                                                                        | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2079116 | PA      | $1913831.49     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.95% 03/31/2030                                                                      | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      262000 | PA      | $268615.54      | 0.00%             | 2030-03-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 5.875% 04/01/2029 144A                                                 | CUSIP: 432833AP6<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      500000 | PA      | $509152.50      | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1331                                                                        | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28717267 | PA      | $24099467.23    | 0.03%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/40 #AE2970                                                                                 | CUSIP: 31419DJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4832 | PA      | $4823.17        | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044                                                  | CUSIP: 38378YG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     1454736 | PA      | $1322936.01     | 0.00%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                                                   | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       56039 | PA      | $53818.74       | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 1/1/43 #AB7568                                                                           | CUSIP: 31417EMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8908 | PA      | $8165.89        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 4.836% 05/09/2028                                                                          | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     6102000 | PA      | $6132134.18     | 0.01%             | 2028-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT VAR 07/25/2030                                                           | CUSIP: 3137HMCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9785000 | PA      | $9862430.66     | 0.01%             | 2030-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 08/01/2053#RA9619                                                                        | CUSIP: 3133KRVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    26153171 | PA      | $26639975.92    | 0.03%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #551116                                                                                 | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          91 | PA      | $93.72          | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRMI SECURITIZATION TR 2024-CMG1                                                   | PRMI SECURITIZATION TR 2024-CMG1 SOFR30A+130 07/25/2054 144A                                            | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1409797 | PA      | $1406911.10     | 0.00%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2051#QB8944                                                                          | CUSIP: 3133AF5D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      127101 | PA      | $102692.13      | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #830989                                                                                 | CUSIP: 31407HF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1967 | PA      | $2063.35        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT0668                                                                           | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23437 | PA      | $22050.76       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK6409                                                                                 | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22479 | PA      | $21791.79       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 08/20/2051#MA7533                                                                            | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      978335 | PA      | $801078.06      | 0.00%             | 2051-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.05% 03/30/2029        | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4200000 | PA      | $4265687.03     | 0.01%             | 2029-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 05/31/2032                                                                             | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   338481000 | PA      | $342747925.33   | 0.41%             | 2032-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 05/15/2055                                                            | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   334177000 | PA      | $325091562.81   | 0.39%             | 2055-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745094                                                                                 | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      108829 | PA      | $108454.21      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 6.25% 03/15/2033 144A            | CUSIP: 01309QAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      395000 | PA      | $404041.95      | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735358                                                                                 | CUSIP: 3620AN5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24019 | PA      | $23935.00       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20785                                                                        | CUSIP: 3132JM2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26450 | PA      | $25741.65       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.031% 09/25/2028                                                        | CUSIP: 3137H4BY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3140000 | PA      | $2970000.40     | 0.00%             | 2028-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2053#FS6498                                                                          | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26701550 | PA      | $27455929.69    | 0.03%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2031#MA2803                                                                        | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2084925 | PA      | $2013587.87     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#                                                                              | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9266 | PA      | $9274.32        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                           | SNAP INC 6.875% 03/15/2034 144A                                                                         | CUSIP: 83304AAM8<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      625000 | PA      | $626633.03      | 0.00%             | 2034-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6334                                                                          | CUSIP: 3133KNBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5391565 | PA      | $4322440.02     | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #781027                                                                                 | CUSIP: 36225BD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          68 | PA      | $69.32          | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #726467                                                                                | CUSIP: 3620ADCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1028 | PA      | $1024.18        | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 04/30/2030                                                                             | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    27500000 | PA      | $27733105.40    | 0.03%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.36% 7/36 #1B7105                                                                             | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6128 | PA      | $6344.00        | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.45% 10/29/2026                                     | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    14854000 | PA      | $14549787.26    | 0.02%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.625% 08/01/2031                                                                          | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    15841000 | PA      | $13424873.65    | 0.02%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #710848                                                                                 | CUSIP: 36297FWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14347 | PA      | $14572.42       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                                          | OLIN CORP 6.625% 04/01/2033 144A                                                                        | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |      630000 | PA      | $629183.14      | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 7.146%/VAR 07/13/2027                                                    | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    11860000 | PA      | $12128158.16    | 0.01%             | 2027-07-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORP                                                         | PINNACLE WEST CAPITAL CORP 5.15% 05/15/2030                                                             | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     3419000 | PA      | $3517300.83     | 0.00%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SPIN HOLDCO INC                                                                    | CSC SERVICEWORKS TERM B 1LN 03/04/2028                                                                  | CUSIP: 84850XAK8<br>LEI: 549300QAS44U2GUXGK45 | Long             | LON              | CORP              | US        |     1116628 | PA      | $942858.28      | 0.00%             | 2028-03-04      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 348 14 6.5% 8/34                                                                                    | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        9762 | PA      | $1722.18        | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2053#RA9276                                                                          | CUSIP: 3133KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10710863 | PA      | $11083224.15    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#729380                                                                        | CUSIP: 31402HJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11845 | PA      | $11862.88       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                        | VIATRIS INC 2.7% 06/22/2030                                                                             | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     4524000 | PA      | $4067808.71     | 0.00%             | 2030-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IVANHOE MINE LTD                                                                   | IVANHOE MINE LTD 7.875% 01/23/2030 144A                                                                 | CUSIP: 46579RAE4<br>LEI: 5299006XZISURYIA4G32 | Long             | DBT              | CORP              | CA        |      495000 | PA      | $501278.09      | 0.00%             | 2030-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 12/01/2035#MA4206                                                                          | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    41682570 | PA      | $38390135.01    | 0.05%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 5% 12/15/2029 144A                                                          | CUSIP: 136385BB6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     7200000 | PA      | $7339234.18     | 0.01%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                | AMERICAN EXPRESS CO 4.918%/VAR 07/20/2033                                                               | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     6899000 | PA      | $6987213.24     | 0.01%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/34 #357634                                                                                | CUSIP: 31376KHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18098 | PA      | $18955.46       | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                                                   | TKC HOLDINGS TERM 1LN 2/15/2027                                                                         | CUSIP: 87256KAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      610425 | PA      | $610425.08      | 0.00%             | 2027-02-15      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #513722                                                                                 | CUSIP: 36211HVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          15 | PA      | $15.35          | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SD8190                                                                          | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1440123 | PA      | $1259327.38     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 06/01/2052#SD8219                                                                        | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      156455 | PA      | $130465.31      | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 08/01/2035#SB8066                                                                        | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5365734 | PA      | $4841652.30     | 0.01%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #454375                                                                                 | CUSIP: 36208LXC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          59 | PA      | $59.16          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                        | SUNOCO LP / SUNOCO FIN CORP 5.875% 03/15/2028                                                           | CUSIP: 86765LAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1335000 | PA      | $1339677.84     | 0.00%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33468                                                                        | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31126 | PA      | $28181.50       | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.87% 10/35 #1M1052                                                                            | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8137 | PA      | $8321.70        | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 4/42 #AK6572                                                                                 | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35058 | PA      | $33061.19       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/41 #Q03643                                                                                | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      121619 | PA      | $121589.25      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/42#AB6934                                                                             | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54072 | PA      | $50888.41       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                                                   | TRINET GROUP INC 7.125% 08/15/2031 144A                                                                 | CUSIP: 896288AC1<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |      635000 | PA      | $660321.26      | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 4.123%/VAR 06/06/2028                                                             | CUSIP: 89788MAG7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1999695.36     | 0.00%             | 2028-06-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 03/01/2055#SL0585                                                                        | CUSIP: 31427MUK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1753768 | PA      | $1764490.06     | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #443837                                                                                 | CUSIP: 36207WBE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          64 | PA      | $64.84          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2042#AB7124                                                                        | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      124967 | PA      | $117995.03      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2046#Q41359                                                                        | CUSIP: 3132WEQM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12502 | PA      | $11612.39       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21526                                                                        | CUSIP: 3132JNVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32050 | PA      | $31047.76       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#CB2837                                                                          | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      524108 | PA      | $423782.79      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2154 PT 6% 5/29                                                                                     | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       12288 | PA      | $12556.74       | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047                                                          | CUSIP: 3137H62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3093316 | PA      | $2791065.71     | 0.00%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/40 #747264                                                                                 | CUSIP: 3620C3FD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2479 | PA      | $2469.49        | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AB3687                                                                                | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      311020 | PA      | $302221.25      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2045#G61796                                                                        | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       81397 | PA      | $81459.09       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A54855                                                                                 | CUSIP: 3128KHMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21897 | PA      | $22214.81       | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                         | EATON VANCE CLO 2019-1 LTD AR2 TSFR3M+151 07/15/2037 144A                                               | CUSIP: 27830XAW6<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |    12310000 | PA      | $12347767.08    | 0.01%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 5.3% 05/06/2044                                                                           | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     9501000 | PA      | $9011729.66     | 0.01%             | 2044-05-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIM TRUST                                                                          | CIM TRUST 1.951% 06/25/2057 144A                                                                        | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3056725 | PA      | $2813305.09     | 0.00%             | 2057-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.3% 02/15/2030                                                                            | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     7106000 | PA      | $7116899.75     | 0.01%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-LC25                                                  | WELLS FARGO COML MTG TR 2016-LC25 A3 3.374% 12/15/2059                                                  | CUSIP: 95000JAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16050081 | PA      | $15870443.66    | 0.02%             | 2059-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 7/40#V81831                                                                              | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20444 | PA      | $19392.13       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#CB2852                                                                          | CUSIP: 3140QNE24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52390 | PA      | $41870.26       | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 02/28/2030                                                                                 | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   215900000 | PA      | $218927660.70   | 0.26%             | 2030-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                                  | JAPAN TOBACCO INC 4.892% 05/15/2028 144A                                                                | CUSIP: 471105AC0<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |     4109000 | PA      | $4180532.88     | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55504                                                                          | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       75073 | PA      | $71451.62       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 06/01/2032#C91456                                                                        | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      842599 | PA      | $829886.18      | 0.00%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                                               | CUSIP: 31394FGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      131288 | PA      | $133129.14      | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+105 10/25/2054                                                   | CUSIP: 3136BS6G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    21857867 | PA      | $21785596.43    | 0.03%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2054#RJ1709                                                                          | CUSIP: 3142GR3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17826258 | PA      | $18445983.96    | 0.02%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                             | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+123.468 02 11/15/2036 144A                                | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29527965 | PA      | $29500282.12    | 0.04%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#CB1110                                                                          | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      462052 | PA      | $370717.50      | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #617454                                                                                 | CUSIP: 36290T5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3292 | PA      | $3095.38        | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                                   | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     3723000 | PA      | $3578713.24     | 0.00%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FA0995                                                                          | CUSIP: 3140W1C92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4710341 | PA      | $3799851.28     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                                                   | MOBICO GROUP PLC 4.25%/VAR PERP REGS                                                                    | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | EP               | CORP              | GB        |      670000 | PA      | $614776.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH2152                                                                                 | CUSIP: 3138A3MA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8688 | PA      | $8482.41        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2045#FM3047                                                                          | CUSIP: 3140X6L58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    50569595 | PA      | $49091582.21    | 0.06%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                          | BALL CORP 5.5% 09/15/2033                                                                               | CUSIP: 058498BA3<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      625000 | PA      | $632547.96      | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 4.065 05/02/30                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    10870000 | NC      | $380660.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC                 | FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC 6.75% 01/15/2030 144A                | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      955000 | PA      | $898129.56      | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 04/01/2035#                                                                                | CUSIP: 3128MJBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5654 | PA      | $5741.55        | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 09/01/2030#                                                                                | CUSIP: 31298AYN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          19 | PA      | $19.45          | 0.00%             | 2030-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                                         | VMED O2 UK FINANCING I PLC 4.25% 01/31/2031 144A                                                        | CUSIP: 92858RAA8<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      945000 | PA      | $872238.21      | 0.00%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2053#SD6961                                                                          | CUSIP: 3132DUWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21979760 | PA      | $22011626.03    | 0.03%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.15% 01/15/2030 144A                                                       | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    14620000 | PA      | $14867423.76    | 0.02%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2050#SD7521                                                                        | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22027462 | PA      | $18698788.41    | 0.02%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2051#RA5574                                                                        | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15238950 | PA      | $12850401.39    | 0.02%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 2.45% 01/15/2031                                                                               | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    75541000 | PA      | $67682361.75    | 0.08%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #781605                                                                                 | CUSIP: 36225BYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1493 | PA      | $1542.80        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.187% 11/15/2036 144A                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     6678000 | PA      | $5574380.50     | 0.01%             | 2036-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2% 01/15/2029                                                                | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     7631000 | PA      | $7046533.62     | 0.01%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                  | GEO GROUP INC/THE 10.25% 04/15/2031                                                                     | CUSIP: 36162JAH9<br>LEI: 5493003VOR6NTY465495 | Long             | DBT              | CORP              | US        |      185000 | PA      | $203939.02      | 0.00%             | 2031-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                       | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22757000 | PA      | $21260747.73    | 0.03%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2007-37 TS TSFR1M+657.552 6/37                                                                      | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       34845 | PA      | $3069.96        | 0.00%             | 2037-06-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/2052#BV5578                                                                          | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9799891 | PA      | $8520593.54     | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Summer Street Trust                                                       | FIDELITY SAI HIGH INCOME FUND                                                                           | CUSIP: 31641Q110<br>LEI: P1TJ3M056NR1SYX5LY49 | Long             | EC               | RF                | US        |    49639811 | NS      | $469592608.61   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                       | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    41080997 | PA      | $39951269.58    | 0.05%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.875% 10/01/2029                                                                             | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     8241000 | PA      | $9369205.01     | 0.01%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/45#AZ9583                                                                               | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72833 | PA      | $69663.24       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 5.5% 02/01/2055#FA0629                                                                   | CUSIP: 3140W0VX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16006169 | PA      | $16261585.57    | 0.02%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 05/15/2042#AA1859                                                                          | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2044 | PA      | $2009.70        | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB                                        | SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB 2.25% 07/12/2027 REGS                                       | CUSIP: N/A<br>LEI: 636700JPED0N9T4ET363       | Long             | DBT              | CORP              | SE        |      650000 | PA      | $701550.75      | 0.00%             | 2027-07-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+46.448 05/25/2047                                                | CUSIP: 3136AWTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      831877 | PA      | $808124.19      | 0.00%             | 2047-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2044#AX6493                                                                        | CUSIP: 3138Y8GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9745 | PA      | $9637.91        | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2049#FM2077                                                                          | CUSIP: 3140X5JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20219388 | PA      | $17914792.58    | 0.02%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/40 #AE3832                                                                                | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12912 | PA      | $12900.15       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                       | ENTEGRIS INC 4.375% 04/15/2028 144A                                                                     | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |     1255000 | PA      | $1220250.05     | 0.00%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 10/01/2055 #TBA                                                                              | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   435500000 | PA      | $443781163.15   | 0.53%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC          | HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC 5% 06/01/2029 144A            | CUSIP: 43284MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      435000 | PA      | $420723.60      | 0.00%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.8% 05/01/2065 144A                                                                           | CUSIP: 571676BD6<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      388000 | PA      | $380730.52      | 0.00%             | 2065-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #710499                                                                                | CUSIP: 36297FKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16745 | PA      | $16679.84       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #499474                                                                                 | CUSIP: 36210Q2F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         191 | PA      | $195.00         | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AD3626                                                                        | CUSIP: 36180FA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18133 | PA      | $16421.94       | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/47#V84700                                                                             | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      198440 | PA      | $183892.82      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                             | STANDARD CHARTERED PLC 5.005%/VAR 10/15/2030 144A                                                       | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     6204000 | PA      | $6314262.89     | 0.01%             | 2030-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                     | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                                | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3381763 | PA      | $3374222.09     | 0.00%             | 2038-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2041#G60405                                                                        | CUSIP: 31335ANW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      193708 | PA      | $193807.97      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.496%/VAR 02/13/2031                                                       | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6724000 | PA      | $6210572.78     | 0.01%             | 2031-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ALUMINA LTD                                                                        | ALUMINA LTD 6.375% 09/15/2032 144A                                                                      | CUSIP: 02220AAB3<br>LEI: 2138002VD9MW2WT8HR38 | Long             | DBT              | CORP              | AU        |     1220000 | PA      | $1244229.20     | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 4.572% 02/15/2029 144A                                                           | CUSIP: 054561AN5<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     1989000 | PA      | $1991886.64     | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.0% 06/20/2042#783637                                                                          | CUSIP: 3622A2BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35853 | PA      | $32890.62       | 0.00%             | 2042-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #731980                                                                                 | CUSIP: 3620AKFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1141 | PA      | $1159.55        | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #190294                                                                                 | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         196 | PA      | $206.38         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2039#                                                                              | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         683 | PA      | $683.95         | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 07/01/2041#1B8505                                                                         | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24598 | PA      | $25538.50       | 0.00%             | 2041-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                           | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4 5.588% 06/25/2070 144A                         | CUSIP: 617945AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6538925 | PA      | $6591082.78     | 0.01%             | 2070-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                     | SERVICE CORP INTERNATIONAL INC 5.125% 06/01/2029                                                        | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     1035000 | PA      | $1027216.08     | 0.00%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                   | FIRSTENERGY CORP 3.4% 03/01/2050                                                                        | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $4700318.28     | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 09/01/2055 #TBA                                                                          | CUSIP: 01F032690<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -256200000 | PA      | $-231490714.14  | -0.28%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 08/01/2052#CB4306                                                                          | CUSIP: 3140QPYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    30047331 | PA      | $30090893.95    | 0.04%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| S and P GLOBAL INC                                                                 | S and P GLOBAL INC 3.9% 03/01/2062                                                                      | CUSIP: 78409VBM5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     2414000 | PA      | $1786245.50     | 0.00%             | 2062-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                                           | SNAM SPA 5.75% 05/28/2035 144A                                                                          | CUSIP: 83304JAB3<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |      977000 | PA      | $1001240.40     | 0.00%             | 2035-05-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2052#SD1556                                                                          | CUSIP: 3132DNWR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41404 | PA      | $33090.64       | 0.00%             | 2052-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#RA6702                                                                          | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2285787 | PA      | $1983109.80     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 01/25/2049                                                            | CUSIP: 3137H5ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3142640 | PA      | $2883212.68     | 0.00%             | 2049-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 08/01/2030#                                                                                | CUSIP: 31297YK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         626 | PA      | $654.13         | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #250495                                                                                 | CUSIP: 31371FGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           8 | PA      | $7.74           | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 04/01/2033#CA2680                                                                          | CUSIP: 3140Q96S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127083 | PA      | $123724.99      | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.9% 04/01/2042#AO1103                                                                        | CUSIP: 3138LRGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8328 | PA      | $8020.08        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #711223                                                                                 | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      116306 | PA      | $115915.63      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 06/01/2051#QC3131                                                                        | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      467782 | PA      | $359269.09      | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY562346 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     5649628 | NC      | $-18858.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 11/15/2034                                                                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   535086000 | PA      | $538597501.88   | 0.64%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                          | DUKE ENERGY CAROLINAS LLC 4.95% 01/15/2033                                                              | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8179114.16     | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722699                                                                                | CUSIP: 3620A83G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5067 | PA      | $5049.56        | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#FS0286                                                                          | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    40104434 | PA      | $32390008.85    | 0.04%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 03/01/2036#QN5653                                                                          | CUSIP: 3133GCH62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      744363 | PA      | $684869.46      | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/28 #432548                                                                                 | CUSIP: 31379XP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         816 | PA      | $858.47         | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 05/20/2049#BN2615                                                                            | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       91849 | PA      | $86230.77       | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 12/20/2051#MA7767                                                                          | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    28818497 | PA      | $24555598.41    | 0.03%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2045#Q37070                                                                        | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16176 | PA      | $15045.92       | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2051#CB1703                                                                          | CUSIP: 3140QL3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      479077 | PA      | $455422.47      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 01/31/2030                                                                               | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   171800000 | PA      | $170652429.26   | 0.20%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/37 #AE0265                                                                                 | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      126061 | PA      | $131574.62      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931504                                                                                 | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120746 | PA      | $120679.89      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.625% 06/30/2030                                                                      | CUSIP: 969457CR9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     5876000 | PA      | $5906919.16     | 0.01%             | 2030-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC / AXALTA COATING SYSTEMS DUTCH HOLDING B BV             | AXALTA COAT/DUTCH HLD BV 4.75% 06/15/2027 144A                                                          | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      825000 | PA      | $821172.58      | 0.00%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#FM6944                                                                          | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10977764 | PA      | $8883251.82     | 0.01%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                          | BENCHMARK 2019-B14 MTG TR CSTR 12/15/2062                                                               | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   118691978 | PA      | $2424794.02     | 0.00%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2048#ZN1277                                                                          | CUSIP: 3131Y7M20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      249480 | PA      | $236908.49      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/32 #579242                                                                                 | CUSIP: 36201CP32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1263 | PA      | $1306.06        | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #564543                                                                                | CUSIP: 36213UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          47 | PA      | $48.81          | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-3 LLC                                                   | ENTERPRISE FLEET FING 2023-3 LLC 6.4% 03/20/2030 144A                                                   | CUSIP: 29374LAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13271489 | PA      | $13469411.64    | 0.02%             | 2030-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#BC8289                                                                        | CUSIP: 3140F4F76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      810938 | PA      | $784628.90      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#737712                                                                        | CUSIP: 3620ARR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4338 | PA      | $4202.08        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 09/01/2041#SC0185                                                                        | CUSIP: 3132D9F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3020382 | PA      | $2706809.87     | 0.00%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 09/01/2055 #TBA                                                                              | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -673875000 | PA      | $-687320760.49  | -0.82%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2042#AP4319                                                                        | CUSIP: 3138M7YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14867 | PA      | $13930.06       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2051#785792                                                                          | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9490178 | PA      | $8015192.88     | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-5C34                                                             | BBCMS MTG TR 2025-5C34 5.659% 05/15/2058                                                                | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $4208604.40     | 0.01%             | 2058-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2349                                                                          | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    39021699 | PA      | $31539935.78    | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #397106                                                                                 | CUSIP: 31378FDK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           4 | PA      | $4.00           | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#SD0516                                                                          | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22611827 | PA      | $19857887.66    | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.819%/VAR 09/15/2029                                                       | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    19000000 | PA      | $19860806.97    | 0.02%             | 2029-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CZ030008 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     2000000 | NC      | $132933.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#BQ6615                                                                          | CUSIP: 3140KSK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1717105 | PA      | $1480492.35     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #616423                                                                                 | CUSIP: 36290SYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         758 | PA      | $775.98         | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                            | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     9688000 | PA      | $8768181.07     | 0.01%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-33 PK 6% 7/29                                                                                  | CUSIP: 31359WKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       11272 | PA      | $11475.68       | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                                                   | WELLS FARGO COML MTG TR 2019-C54 ASB 3.063% 12/15/2052                                                  | CUSIP: 95001YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1580543 | PA      | $1547169.75     | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2047#AS9968                                                                          | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      317290 | PA      | $302391.96      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 09/01/2052#SD1579                                                                        | CUSIP: 3132DNXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22459746 | PA      | $22821652.90    | 0.03%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2020-GC46                                                    | CITIGROUP COML MTG TR 2020-GC46 2.614% 02/15/2053                                                       | CUSIP: 17328RBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      992990 | PA      | $958878.62      | 0.00%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QD0109                                                                          | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1583131 | PA      | $1279592.09     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/01/2051#RA5287                                                                          | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1111479 | PA      | $891772.02      | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2034#G16829                                                                          | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      642056 | PA      | $622735.34      | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #573592                                                                                 | CUSIP: 36200VF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1595 | PA      | $1653.91        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2050#MA4208                                                                          | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11256001 | PA      | $9031017.05     | 0.01%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 07/01/2032#J37270                                                                          | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22710 | PA      | $22175.74       | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q33791                                                                        | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151076 | PA      | $141552.28      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 07/20/2043#MA1374                                                                          | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       84930 | PA      | $77546.31       | 0.00%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 09/01/2054#QJ3220                                                                        | CUSIP: 3133CTSH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11069456 | PA      | $11144048.70    | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATGASOLINE LLC                                                                    | NATGASOLINE TERM B 1LN 03/29/2030                                                                       | CUSIP: 63232EAD9<br>LEI: 549300OHXDYMQYZOWC24 | Long             | LON              | CORP              | US        |      535526 | PA      | $539098.46      | 0.00%             | 2030-03-29      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2050#BP2186                                                                          | CUSIP: 3140K9NC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9617007 | PA      | $8496822.48     | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3% 2/1/43 #Q15788                                                                                  | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22210 | PA      | $20430.78       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/29 #502341                                                                                 | CUSIP: 36210UBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         124 | PA      | $126.65         | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/34 #G02758                                                                                 | CUSIP: 3128M4MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33698 | PA      | $34193.09       | 0.00%             | 2034-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                                                   | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5730992 | PA      | $4798501.38     | 0.01%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                            | BAYER US FIN II LLC 4.375% 12/15/2028 144A                                                              | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     6803000 | PA      | $6776859.00     | 0.01%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 2.95% 09/01/2029                                                                           | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    21895000 | PA      | $20890143.21    | 0.02%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #594858                                                                                 | CUSIP: 36201VZX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         680 | PA      | $704.56         | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                   | KILROY REALTY LP 5.875% 10/15/2035                                                                      | CUSIP: 49427RAT9<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     3943000 | PA      | $3924402.33     | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#                                                                              | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17526 | PA      | $17514.69       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 1.591% 04/03/2028 144A                                                                 | CUSIP: 62954WAD7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     3586000 | PA      | $3361699.03     | 0.00%             | 2028-04-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-H6                                             | MORGAN STANLEY CAPITAL I TRUST 2019-H6 3.417% 06/15/2052                                                | CUSIP: 61769JBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4961000 | PA      | $4795356.18     | 0.01%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2043#AR8236                                                                        | CUSIP: 3138W6EJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42505 | PA      | $37495.89       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2040#MA4016                                                                        | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1806550 | PA      | $1628565.84     | 0.00%             | 2040-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.45% 04/15/2027                                     | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1866000 | PA      | $1926252.08     | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                                | AXON ENTERPRISE INC 6.25% 03/15/2033 144A                                                               | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      475000 | PA      | $491012.25      | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2051#SD7532                                                                          | CUSIP: 3132DVLM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    67122444 | PA      | $54399660.02    | 0.06%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #584463                                                                                 | CUSIP: 36201JJG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3624 | PA      | $3761.11        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2035#                                                                                | CUSIP: 31297SPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2777 | PA      | $2817.44        | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                         | GRAPHIC PACKAGING INTL INC 6.375% 07/15/2032 144A                                                       | CUSIP: 38869AAE7<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |      870000 | PA      | $883960.89      | 0.00%             | 2032-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033                                                         | CUSIP: 3136ADB57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     4603486 | PA      | $4274961.27     | 0.01%             | 2033-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 12/01/2036#SB8131                                                                        | CUSIP: 3132D6A83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      282890 | PA      | $252784.47      | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #567217                                                                                | CUSIP: 36213XDW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         188 | PA      | $194.96         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-32 PL 6% 7/29                                                                                  | CUSIP: 31359WHX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       15896 | PA      | $16198.62       | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METRO AG                                                                           | METRO AG 4% 03/05/2030 REGS                                                                             | CUSIP: N/A<br>LEI: 5299006EQ03K3SSUYS12       | Long             | DBT              | CORP              | DE        |      675000 | PA      | $815812.96      | 0.00%             | 2030-03-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 02/20/2041#BH6401                                                                          | CUSIP: 3617H4DE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      489385 | PA      | $464517.36      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                            | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    16500000 | PA      | $16647877.62    | 0.02%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 02/01/2036#BR1356                                                                          | CUSIP: 3140KYQJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      664744 | PA      | $614106.98      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                   | CCO HLDGS LLC/CAP CORP 4.5% 05/01/2032                                                                  | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2743367.10     | 0.00%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE EUROSHOP AG                                                               | DEUTSCHE EUROSHOP AG 4.5% 10/15/2030 REGS                                                               | CUSIP: N/A<br>LEI: 529900Y9QTEFHFEKQ736       | Long             | DBT              | CORP              | DE        |      400000 | PA      | $467460.97      | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                             | SAMMONS FINANCIAL GROUP GLOBAL FUNDING 5.05% 01/10/2028 144A                                            | CUSIP: 79587J2B8<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |     5760000 | PA      | $5858804.85     | 0.01%             | 2028-01-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6% 04/01/2055#RJ4028                                                                    | CUSIP: 3142GUPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4786245 | PA      | $4951515.72     | 0.01%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                                            | ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS                                                      | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |     5775000 | PA      | $5811982.46     | 0.01%             | 2052-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 02/20/2054#MA9487                                                                            | CUSIP: 36179YRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48340 | PA      | $47946.76       | 0.00%             | 2054-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DESIGNATED ACTIVITY CO                                        | ICON INVESTMENTS SIX DESIGNATED ACTIVITY CO 6% 05/08/2034                                               | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |     5732000 | PA      | $5958422.20     | 0.01%             | 2034-05-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 03/01/2055#DD3713                                                                        | CUSIP: 3140B4DT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      183474 | PA      | $184916.87      | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#BU7296                                                                          | CUSIP: 3140M9DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1721710 | PA      | $1375997.36     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A97151                                                                                 | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10742 | PA      | $10749.37       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #446726                                                                                 | CUSIP: 36208CHB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         443 | PA      | $449.87         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/01/2041#AI5189                                                                        | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2062 | PA      | $2093.97        | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/32 #638123                                                                                 | CUSIP: 31389W4G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1325 | PA      | $1418.86        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLOFIN FINANCE DESIGNATED ACTIVITY CO                                             | VOLOFIN FINANCE DESIGNATED ACTIVITY CO 5.935% 06/15/2037 144A                                           | CUSIP: 92873RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10778339 | PA      | $10940811.82    | 0.01%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RALPH LAUREN CORP                                                                  | RALPH LAUREN CORP 5% 06/15/2032                                                                         | CUSIP: 751212AD3<br>LEI: HO1QNWM0IXBZ0QSMMO20 | Long             | DBT              | CORP              | US        |     7300000 | PA      | $7450263.27     | 0.01%             | 2032-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/30 #563583                                                                                | CUSIP: 31386HCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         419 | PA      | $443.24         | 0.00%             | 2030-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5.25% 02/15/2043                                                                           | CUSIP: 65473QBB8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      132000 | PA      | $124056.87      | 0.00%             | 2043-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2900000 | NC      | $192753.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 04/01/2037#FS6335                                                                        | CUSIP: 3140XNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6714270 | PA      | $6306714.88     | 0.01%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 11/01/2041#QK1180                                                                          | CUSIP: 3133D4JZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3103927 | PA      | $2673540.63     | 0.00%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5% 04/25/2048                                                            | CUSIP: 3137H8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5420561 | PA      | $5464813.45     | 0.01%             | 2048-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 1.878%/VAR 11/02/2027                                                              | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     5931000 | PA      | $5762673.00     | 0.01%             | 2027-11-02      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404745                                                                                | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          61 | PA      | $62.23          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 12/01/2035#FM5278                                                                          | CUSIP: 3140X82L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      510746 | PA      | $469125.86      | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2047#MA3058                                                                          | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1490117 | PA      | $1416425.34     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.224% 03/15/2032                                                                      | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    27701000 | PA      | $26270466.62    | 0.03%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 4.721% 10/08/2029 144A                                                            | CUSIP: 04685A4C2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7031735.48     | 0.01%             | 2029-10-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 05/15/2028                                                                              | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   118090600 | PA      | $118580888.55   | 0.14%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726298                                                                                 | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7303 | PA      | $7417.42        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B19 MTG TR                                                          | BENCHMARK 2020-B19 XA CSTR 09/15/2053                                                                   | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9770523 | PA      | $485368.31      | 0.00%             | 2053-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/32 #644836                                                                                 | CUSIP: 31390FLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         275 | PA      | $293.97         | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                              | MOLINA HEALTHCARE INC 6.25% 01/15/2033 144A                                                             | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |      980000 | PA      | $986969.76      | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #252806                                                                                | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         114 | PA      | $118.15         | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                                                      | P3 GROUP SARL 4% 04/19/2032 REGS                                                                        | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |      800000 | PA      | $942997.37      | 0.00%             | 2032-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                           | MOLSON COORS BEVERAGE CO 3% 07/15/2026                                                                  | CUSIP: 60871RAG5<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |     1552000 | PA      | $1534054.15     | 0.00%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                                | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9556 | PA      | $9695.24        | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2023-4                                                        | CARMAX AUTO OWNER TR 2023-4 6% 07/17/2028                                                               | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14158758 | PA      | $14343368.41    | 0.02%             | 2028-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                            | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 1.3% 07/12/2026 144A                                            | CUSIP: 29449W7M3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1682143.64     | 0.00%             | 2026-07-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2018-C8                                                     | JPMDB COML MTG SECS TR 2018-C8 4.145% 06/15/2051                                                        | CUSIP: 46591ABB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4735501 | PA      | $4718441.42     | 0.01%             | 2051-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/27 #780570                                                                                 | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           5 | PA      | $4.89           | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                     | SERVICE CORP INTERNATIONAL INC 4% 05/15/2031                                                            | CUSIP: 817565CG7<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      665000 | PA      | $625209.26      | 0.00%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/26 #780481                                                                                | CUSIP: 36225ARA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           2 | PA      | $1.97           | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97520                                                                        | CUSIP: 312946K96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11384 | PA      | $11577.08       | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2040#V81966                                                                        | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       51351 | PA      | $47988.02       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #251298                                                                                | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         108 | PA      | $110.32         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                       | ROCKIES EXPRESS PIPELINE LLC 7.5% 07/15/2038 144A                                                       | CUSIP: 77340RAD9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      360000 | PA      | $371487.96      | 0.00%             | 2038-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                                | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624%/VAR PERP REGS                                                | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | EP               | CORP              | SE        |     1385000 | PA      | $1166664.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/40 #749953                                                                                | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17960 | PA      | $17422.34       | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.25% 11/01/2041#AJ7445                                                                       | CUSIP: 3138E0HX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15450 | PA      | $15190.44       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2046#Q40165                                                                          | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       78186 | PA      | $70219.86       | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 02/01/2051#CA9256                                                                        | CUSIP: 3140QHJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28018315 | PA      | $21404998.02    | 0.03%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.8% 03/01/2050         | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3801000 | PA      | $2940813.86     | 0.00%             | 2050-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 4.875% 03/01/2031 144A                                                             | CUSIP: 185899AL5<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      790000 | PA      | $722296.68      | 0.00%             | 2031-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2042#G07368                                                                          | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      692399 | PA      | $673034.46      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 04/20/2040#004673                                                                        | CUSIP: 36202FFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27370 | PA      | $26834.54       | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSALTA CORP                                                                     | TRANSALTA CORP 6.5% 03/15/2040                                                                          | CUSIP: 89346DAE7<br>LEI: GJZNVO2UY6DNFNIYH321 | Long             | DBT              | CORP              | CA        |      515000 | PA      | $506451.00      | 0.00%             | 2040-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SARL                                                            | TITANIUM 2L BONDCO SARL PIK 6.25% 01/14/2031                                                            | CUSIP: N/A<br>LEI: 636700S4QMU2DWYOSF67       | Long             | DBT              | CORP              | LU        |     6558500 | PA      | $2071471.92     | 0.00%             | 2031-01-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/40 #A92914                                                                                 | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5873 | PA      | $5969.21        | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/30 #538051                                                                                 | CUSIP: 36212MWL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1285 | PA      | $1324.71        | 0.00%             | 2030-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2040#                                                                              | CUSIP: 3129404Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4881 | PA      | $4883.21        | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#                                                                                | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35189 | PA      | $30342.13       | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.889%/VAR 07/20/2033                                                                    | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    49499000 | PA      | $49902895.51    | 0.06%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2041#                                                                              | CUSIP: 3132GDQH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         947 | PA      | $947.34         | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2035#843431                                                                        | CUSIP: 31407XA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      195414 | PA      | $198122.98      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2051#QC7468                                                                          | CUSIP: 3133ASJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3019526 | PA      | $2444356.15     | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 10/01/2033#MA3489                                                                        | CUSIP: 31418C2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3405 | PA      | $3354.60        | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                                               | WELLS FARGO COML MORTAGE TR 2024-MGP TSFR1M+199.073 08/15/2041 144A                                     | CUSIP: 95003TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8200000 | PA      | $8185361.36     | 0.01%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                            | UBS COML MTG TR 2017-C7 3.586% 12/15/2050                                                               | CUSIP: 90276WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      429593 | PA      | $425969.79      | 0.00%             | 2050-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                                 | HOWARD HUGHES CORP 4.375% 02/01/2031 144A                                                               | CUSIP: 44267DAF4<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     1105000 | PA      | $1029179.54     | 0.00%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1B PTT                                                             | AMER AIRLINE 19-1B PTT 3.85% 08/15/2029                                                                 | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1869368 | PA      | $1817402.34     | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BH3646                                                                        | CUSIP: 3140GSBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13124 | PA      | $12865.37       | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2044#AW3982                                                                        | CUSIP: 3138XTM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7711 | PA      | $7701.66        | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                         | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    25514000 | PA      | $22202914.02    | 0.03%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 3/36 #003828                                                                              | CUSIP: 36202EHD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5166 | PA      | $5151.82        | 0.00%             | 2036-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2975                                                                        | CUSIP: 3138EKJV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      172926 | PA      | $164559.98      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/29 #323542                                                                                 | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         498 | PA      | $523.24         | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPSTONE COPPER CORP                                                               | CAPSTONE COPPER CORP 6.75% 03/31/2033 144A                                                              | CUSIP: 14071LAA6<br>LEI: 549300III6KGKKC42W63 | Long             | DBT              | CORP              | CA        |     1020000 | PA      | $1047457.38     | 0.00%             | 2033-03-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                          | VOYA CLO 2020-2 LTD/LLC A1RR TSFR3M+131 01/20/2038 144A                                                 | CUSIP: 92918HAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3951000 | PA      | $3958830.88     | 0.00%             | 2038-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2046#BC0880                                                                        | CUSIP: 3140EU6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      109080 | PA      | $101056.45      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY PARTNERS LLC                                               | HOWARD MIDSTREAM ENERGY PARTNERS LLC 6.625% 01/15/2034 144A                                             | CUSIP: 442722AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      470000 | PA      | $477679.30      | 0.00%             | 2034-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 09/45#MA3106                                                                               | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3759 | PA      | $3601.46        | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                                          | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC 6.25% 04/01/2029 144A                                         | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1325000 | PA      | $1361165.88     | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 3.125% 11/23/2031                                                                 | CUSIP: 46817MAL1<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    15333000 | PA      | $13856767.28    | 0.02%             | 2031-11-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2050#BK2249                                                                          | CUSIP: 3140HFQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9910398 | PA      | $8756040.19     | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 5/29 #C00764                                                                                 | CUSIP: 31292GZ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          39 | PA      | $40.21          | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #720602                                                                                | CUSIP: 3620A6RX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1133 | PA      | $1183.62        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 09/01/2055 #TBA                                                                              | CUSIP: 21H020691<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   742475000 | PA      | $607805478.48   | 0.72%             | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 05/01/2041#SC0237                                                                        | CUSIP: 3132D9HN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7452482 | PA      | $6712668.91     | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 3.7% 03/23/2029                                                                              | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      548000 | PA      | $537092.14      | 0.00%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.3% 02/01/2032         | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    16509000 | PA      | $13987341.71    | 0.02%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468045                                                                                 | CUSIP: 36209C5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         422 | PA      | $429.23         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#BA1614                                                                        | CUSIP: 3140E5YL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8702 | PA      | $8073.20        | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                                                    | BANK 2021-BNK33 VAR 05/15/2064                                                                          | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   101973069 | PA      | $4110758.76     | 0.00%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 10/01/2035#SB8068                                                                        | CUSIP: 3132D56D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      142263 | PA      | $127834.23      | 0.00%             | 2035-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2043#AD1390                                                                        | CUSIP: 36180CRK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8427 | PA      | $8124.29        | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/38 #G05299                                                                                 | CUSIP: 3128M7GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8943 | PA      | $8965.21        | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/39 #AA7165                                                                                 | CUSIP: 31416Q6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1311 | PA      | $1310.17        | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 03/20/2043#AD8812                                                                            | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       61436 | PA      | $56522.61       | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                        | APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A                                      | CUSIP: 00255UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      193906 | PA      | $186865.55      | 0.00%             | 2040-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A21977                                                                                 | CUSIP: 31296YFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3733 | PA      | $3786.82        | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21900                                                                        | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17102 | PA      | $16488.49       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 COML MTG TR                                                          | CSAIL 2016-C6 A5 3.0898% 01/15/2049                                                                     | CUSIP: 12636MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2625000 | PA      | $2598099.53     | 0.00%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KBC GROUPE SA/NV                                                                   | KBC GROUPE SA/NV 5.796%/VAR 01/19/2029 144A                                                             | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     6314000 | PA      | $6525662.20     | 0.01%             | 2029-01-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2045#AZ4750                                                                        | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120035 | PA      | $111355.50      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 10/28 #780881                                                                                | CUSIP: 36225A6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         135 | PA      | $136.95         | 0.00%             | 2028-10-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL LEASING TRUST 2023-3                                                  | GM FINANCIAL LEASING TRUST 2023-3 5.38% 11/20/2026                                                      | CUSIP: 379929AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1997057 | PA      | $1999553.93     | 0.00%             | 2026-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2051#FM8375                                                                        | CUSIP: 3140XCJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17851590 | PA      | $16160478.19    | 0.02%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM CO                                                        | CLEVELAND ELECTRIC ILLUM CO 3.5% 04/01/2028 144A                                                        | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5498000 | PA      | $5388802.79     | 0.01%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03210                                                                                 | CUSIP: 3132GJGT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14818 | PA      | $14397.20       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AB1887                                                                                | CUSIP: 31416XCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4012 | PA      | $4003.64        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 2.7% 08/10/2026                                                                | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     5665000 | PA      | $5551527.61     | 0.01%             | 2026-08-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2052#CB5405                                                                        | CUSIP: 3140QRAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7996834 | PA      | $7726584.15     | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/29 #C46106                                                                                | CUSIP: 31298EYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          92 | PA      | $94.32          | 0.00%             | 2029-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 09/01/2055 #TBA                                                                            | CUSIP: 21H022697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   381250000 | PA      | $324748292.50   | 0.39%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2046#BC0824                                                                        | CUSIP: 3140EU4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      387037 | PA      | $359050.43      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD1015                                                                        | CUSIP: 36180CDU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18191 | PA      | $16342.07       | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2017-4709 FE SOFR30A+46.448 08/15/2047                                   | CUSIP: 3137FANA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      409218 | PA      | $397954.99      | 0.00%             | 2047-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/42#AP9654                                                                             | CUSIP: 3138MDWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12803 | PA      | $12124.81       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2049#BN5567                                                                        | CUSIP: 3140JNFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      291870 | PA      | $284833.48      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 04/01/2034#SB0378                                                                        | CUSIP: 3132CWM35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3575783 | PA      | $3523043.17     | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 4.62% 04/25/2030                                                             | CUSIP: 3136BV4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    62600000 | PA      | $63565842.88    | 0.08%             | 2030-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18131                                                                        | CUSIP: 3132J9PR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14315 | PA      | $13813.58       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE4058                                                                          | CUSIP: 31419EQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84267 | PA      | $81985.50       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7386                                                                          | CUSIP: 31419JF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77785 | PA      | $75568.65       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                     | SERVICE CORP INTERNATIONAL INC 5.75% 10/15/2032                                                         | CUSIP: 817565CH5<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      820000 | PA      | $828148.34      | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                                                 | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7990843 | PA      | $6969158.74     | 0.01%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720070                                                                                 | CUSIP: 3620A56F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3959 | PA      | $3947.06        | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2054#MA5444                                                                        | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10111079 | PA      | $10179213.43    | 0.01%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #323868                                                                                 | CUSIP: 31374TW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         105 | PA      | $107.19         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE8996                                                                               | CUSIP: 31419K7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110705 | PA      | $107683.94      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #451900                                                                                 | CUSIP: 36208H7M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          42 | PA      | $42.64          | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2051#                                                                              | CUSIP: 3132DWB93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4631886 | PA      | $4217706.22     | 0.01%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP 12/17/57 B                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    16800000 | NC      | $-11214.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2032#BE3032                                                                        | CUSIP: 3140FNLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210462 | PA      | $202887.62      | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 11/32#BJ6650                                                                               | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52101 | PA      | $50743.67       | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #564650                                                                                 | CUSIP: 36213UH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         929 | PA      | $959.91         | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #455904                                                                                | CUSIP: 36208NNV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         129 | PA      | $131.24         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #452821                                                                                | CUSIP: 36208KAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         188 | PA      | $190.84         | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-CP1                                                           | NYMT LOAN TRUST 2024-CP1 3.75% 02/25/2068 144A                                                          | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7978142 | PA      | $7519928.42     | 0.01%             | 2068-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                             | IPALCO ENTERPRISES INC 5.75% 04/01/2034                                                                 | CUSIP: 462613AR1<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    22200000 | PA      | $22388151.66    | 0.03%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 07/01/2052#SD4819                                                                          | CUSIP: 3132DSK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12542972 | PA      | $10882069.40    | 0.01%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | Fidelity Sai Long-Term Treasury Bond Index Fund                                                         | CUSIP: 31635V851<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   342312885 | NS      | $2272957555.46  | 2.71%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.54% 4/37 #918912                                                                             | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5672 | PA      | $5834.11        | 0.00%             | 2037-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2048#ZM6198                                                                        | CUSIP: 3131Y03F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      213817 | PA      | $197821.00      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FS9599                                                                        | CUSIP: 3140XRUZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1520063 | PA      | $1289409.12     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                     | NISSAN MOTOR ACCEPTANCE CO LLC 5.55% 09/13/2029 144A                                                    | CUSIP: 65480CAH8<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      115000 | PA      | $113474.11      | 0.00%             | 2029-09-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2052#BU6885                                                                        | CUSIP: 3140M8UK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98655 | PA      | $83038.04       | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 3.755% 03/15/2027                                                              | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     1531000 | PA      | $1508035.00     | 0.00%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.49% 01/23/2027                                                                    | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     4247000 | PA      | $4252733.45     | 0.01%             | 2027-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #737177                                                                                 | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      101814 | PA      | $103416.39      | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2051#FM5651                                                                        | CUSIP: 3140X9H57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2491176 | PA      | $2090589.70     | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15992                                                                        | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59867 | PA      | $58006.37       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.62% 07/16/2028 144A                                                                  | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     3778000 | PA      | $3818311.52     | 0.00%             | 2028-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                                        | VALARIS LTD 8.375% 04/30/2030 144A                                                                      | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      565000 | PA      | $588213.59      | 0.00%             | 2030-04-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #719228                                                                                 | CUSIP: 3620A5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15815 | PA      | $15760.31       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 05/01/2052#FA0096                                                                   | CUSIP: 3140W0DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      767657 | PA      | $644695.47      | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2017-HR2                                                   | MORGAN STANLEY CAP I TR 2017-HR2 3.33% 12/15/2050                                                       | CUSIP: 61691NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6535495 | PA      | $6407190.78     | 0.01%             | 2050-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #582054                                                                                 | CUSIP: 36201FTK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         152 | PA      | $156.31         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2054#DB2551                                                                        | CUSIP: 3140ABZR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      772279 | PA      | $777483.40      | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                          | MILLICOM INTL CELLULAR SA 5.125% 01/15/2028 144A                                                        | CUSIP: 600814AN7<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |      801000 | PA      | $794742.19      | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2048#FM5661                                                                        | CUSIP: 3140X9JF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4053998 | PA      | $3817752.76     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FISERV FUNDING UNLTD CO                                                            | FISERV FUNDING UNLTD CO 3.5% 06/15/2032                                                                 | CUSIP: 337735AB0<br>LEI: 254900RNWK5SE9A0I712 | Long             | DBT              | CORP              | IE        |      300000 | PA      | $348320.10      | 0.00%             | 2032-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 08/01/2051#SD2230                                                                          | CUSIP: 3132DPPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3883064 | PA      | $3115495.35     | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                                                           | EUROPEAN INVESTMENT BANK 0.625% 01/22/2029 REGS                                                         | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |     3250000 | PA      | $3605560.06     | 0.00%             | 2029-01-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 11/01/2036#FM9724                                                                          | CUSIP: 3140XDYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      302905 | PA      | $278553.36      | 0.00%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7458                                                                        | CUSIP: 31417EJC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7823 | PA      | $7181.91        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                                                       | NAVIENT CORP 6.75% 06/15/2026                                                                           | CUSIP: 63938CAJ7<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1061466.00     | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/32 #646799                                                                                | CUSIP: 31390HRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         156 | PA      | $165.74         | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 6/46#V82414                                                                                | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1164310 | PA      | $1045675.77     | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2047#784391                                                                          | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1154002 | PA      | $1064966.53     | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/CAD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $80451.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                      | COREWEAVE INC 9% 02/01/2031 144A                                                                        | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      375000 | PA      | $371248.65      | 0.00%             | 2031-02-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3105                                                                          | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      792067 | PA      | $640448.55      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#A89270                                                                        | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46282 | PA      | $46299.28       | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                           | INTERNATIONAL FLAVS and FRAG INC 1.23% 10/01/2025 144A                                                  | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      142000 | PA      | $141579.27      | 0.00%             | 2025-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                | BROWN and BROWN INC 5.25% 06/23/2032                                                                    | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     4899000 | PA      | $5007625.18     | 0.01%             | 2032-06-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     4300000 | NC      | $285806.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02387                                                                                 | CUSIP: 3132GFUL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12959 | PA      | $12959.70       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 9/40 #004800                                                                              | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      319333 | PA      | $309571.06      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                        | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      777571 | PA      | $725674.61      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #342459                                                                                 | CUSIP: 31375RMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           4 | PA      | $3.61           | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 07/20/2045#MA2962                                                                          | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6380553 | PA      | $6115491.50     | 0.01%             | 2045-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                                           | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                                        | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34270391 | PA      | $34356066.65    | 0.04%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2047#CA0181                                                                          | CUSIP: 3140Q7FX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      865384 | PA      | $822587.55      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/36 #G02307                                                                                 | CUSIP: 3128LXR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12464 | PA      | $12664.47       | 0.00%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#MA4466                                                                        | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    50890753 | PA      | $42516567.34    | 0.05%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.33% 03/15/2029 144A                                                  | CUSIP: 361886DC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3650000 | PA      | $3690874.53     | 0.00%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #416207                                                                                 | CUSIP: 31379DKU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          55 | PA      | $56.83          | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 11/01/2050#CA7588                                                                        | CUSIP: 3140QFNE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45763 | PA      | $34890.04       | 0.00%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                        | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 7% 06/15/2032 144A                                          | CUSIP: 34960PAG6<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      680000 | PA      | $709685.40      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2040#                                                                                | CUSIP: 312940C49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         817 | PA      | $802.68         | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2502 ZC 6 9/32                                                                                      | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       12048 | PA      | $12429.58       | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/34 #604900                                                                                 | CUSIP: 36200M7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1303 | PA      | $1321.04        | 0.00%             | 2034-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                            | UDR INC 2.1% 08/01/2032                                                                                 | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     4480000 | PA      | $3778823.69     | 0.00%             | 2032-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2046#BC9079                                                                        | CUSIP: 3140F5CR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64885 | PA      | $63725.99       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2041#Q02144                                                                          | CUSIP: 3132GFLZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3381 | PA      | $3284.74        | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 11/39 #G05695                                                                                | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         704 | PA      | $704.30         | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.75% 01/30/2026                                     | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    16619000 | PA      | $16428728.74    | 0.02%             | 2026-01-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                                                      | TOPBUILD CORP 4.125% 02/15/2032 144A                                                                    | CUSIP: 89055FAC7<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1090446.79     | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.125% 08/15/2053                                                           | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   424900000 | PA      | $372136049.72   | 0.44%             | 2053-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.946%/VAR 10/22/2035                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    13540000 | PA      | $13463552.48    | 0.02%             | 2035-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5.95% 06/15/2041                                                                           | CUSIP: 65473QAX1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     2375000 | PA      | $2413405.10     | 0.00%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES FINANCING LTD                                                   | TRANE TECHNOLOGIES FINANCING LTD 4.65% 11/01/2044                                                       | CUSIP: 456873AC2<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |      314000 | PA      | $278403.18      | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2055#CC0888                                                                        | CUSIP: 3140Y67A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7255621 | PA      | $7659397.50     | 0.01%             | 2055-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 4.01 05/07/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    71330000 | NC      | $2553967.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                                               | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                                              | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10770833 | PA      | $10046967.46    | 0.01%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.625% 05/15/2053                                                           | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2100000 | PA      | $1679097.65     | 0.00%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A                                           | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9404100 | PA      | $9206355.29     | 0.01%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 8/53 #RA9561                                                                             | CUSIP: 3133KRTS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8679024 | PA      | $8829722.94     | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FM9777                                                                          | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4694447 | PA      | $4121233.57     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                | AMERICAN TOWER CORP 4.9% 03/15/2030                                                                     | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7644176.40     | 0.01%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#SD1924                                                                          | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19542520 | PA      | $19515889.36    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ4794                                                                                | CUSIP: 3138AWKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1812 | PA      | $1780.86        | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 08/31/2030                                                                             | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   178534000 | PA      | $181888486.04   | 0.22%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#CA7953                                                                        | CUSIP: 3140QFZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5268237 | PA      | $4733922.12     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.34% 9/36 #893580                                                                             | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1072 | PA      | $1101.90        | 0.00%             | 2036-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/52#SD8188                                                                               | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      858000 | PA      | $684376.27      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2048#BM4426                                                                        | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1961964 | PA      | $1813350.39     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.099%/VAR 05/22/2036                                                                    | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |      400000 | PA      | $478814.26      | 0.00%             | 2036-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2036#MA4419                                                                        | CUSIP: 31418D4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      215455 | PA      | $202377.06      | 0.00%             | 2036-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34653                                                                          | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       97052 | PA      | $95004.12       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.875% 06/01/2053                                                                       | CUSIP: 126650DZ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4736869.55     | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 10/25/2051                                                          | CUSIP: 3136BJHA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     4453881 | PA      | $3837480.52     | 0.00%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | Fidelity SAI International Credit Fund                                                                  | CUSIP: 31635T336<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   160379084 | NS      | $1735301687.04  | 2.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727221                                                                        | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9763 | PA      | $9777.16        | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS CO                                                                   | GENUINE PARTS CO 2.75% 02/01/2032                                                                       | CUSIP: 372460AC9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |     3756000 | PA      | $3318586.46     | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                        | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 5.875% 04/15/2033 144A                                      | CUSIP: 34960PAH4<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      690000 | PA      | $691346.19      | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2048                                                            | CUSIP: 3136BLFC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    14489185 | PA      | $12941779.48    | 0.02%             | 2048-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2052#CB4355                                                                          | CUSIP: 3140QPZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9490643 | PA      | $8299168.38     | 0.01%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 4.375% 01/12/2026                                                                          | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     4468000 | PA      | $4466705.40     | 0.01%             | 2026-01-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 B PTT                                                            | UNITED AIR 2019-2 B PTT 3.5% 11/01/2029                                                                 | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1214393 | PA      | $1186823.16     | 0.00%             | 2029-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 02/20/2043#MA0783                                                                          | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      204935 | PA      | $191590.68      | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2055#CC0887                                                                        | CUSIP: 3140Y66Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5549857 | PA      | $5862175.80     | 0.01%             | 2055-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 7.416%/VAR 06/06/2033 REGS                                                            | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |      850000 | PA      | $1209841.32     | 0.00%             | 2033-06-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 2.311%/VAR 11/16/2027                                                    | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    27513000 | PA      | $26837358.03    | 0.03%             | 2027-11-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| THE BERKELEY GROUP PLC                                                             | THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS                                                             | CUSIP: N/A<br>LEI: 2138001V85JLYR7AUB61       | Long             | DBT              | CORP              | GB        |     1820000 | PA      | $2066107.38     | 0.00%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2055#BV5809                                                                        | CUSIP: 3140MKN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3523842 | PA      | $3550891.35     | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 05/01/2036#BR1069                                                                        | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      937074 | PA      | $840570.18      | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ACURIS FIN US/ACURIS FIN                                                           | ACURIS FIN US/ACURIS FIN 5% 05/01/2028 144A                                                             | CUSIP: 00511BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      225000 | PA      | $218945.66      | 0.00%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2024-1 LTD                                                                | VOYA CLO 2024-1 LTD A1 TSFR3M+152 04/15/2037 144A                                                       | CUSIP: 92920DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6280000 | PA      | $6304649.00     | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                                       | BX 2021-MFM1 A TSFR1M+81.448 01/15/2034 144A                                                            | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1711367 | PA      | $1710831.86     | 0.00%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                          | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2241400 | PA      | $2244902.20     | 0.00%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 06/01/2052#FA0543                                                                   | CUSIP: 3140W0S97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23297710 | PA      | $19747961.30    | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/26 #256469                                                                                 | CUSIP: 31371M2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         615 | PA      | $618.61         | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                                | CUSIP: 31293TGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          70 | PA      | $71.72          | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.625% 12/15/2029                                                                          | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    14457000 | PA      | $13923799.82    | 0.02%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 4% 05/06/2054                                                                              | CUSIP: 02079KAT4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      300000 | PA      | $335464.47      | 0.00%             | 2054-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.50% 9/32 #254476                                                                                 | CUSIP: 31371KT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         504 | PA      | $516.78         | 0.00%             | 2032-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2024-2 LTD                                                    | PALMER SQUARE LN FDG 2024-2 LTD D TSFR3M+470 01/15/2033 144A                                            | CUSIP: 69703HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $247692.50      | 0.00%             | 2033-01-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                              | NABORS INDUSTRIES INC 7.375% 05/15/2027 144A                                                            | CUSIP: 62957HAJ4<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |      410000 | PA      | $416833.47      | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                                                  | ENTERPRISE FLEET FINANCING 2024-2 5.61% 04/20/2028 144A                                                 | CUSIP: 29375RAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10461000 | PA      | $10656422.99    | 0.01%             | 2028-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #433805                                                                                 | CUSIP: 36207J3N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         408 | PA      | $413.85         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    32850000 | NC      | $116972.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.464% 5/1/41#1B8304                                                                           | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5644 | PA      | $5887.09        | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #843132                                                                                | CUSIP: 31407WVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15180 | PA      | $15918.18       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 07/01/2034#FM8940                                                                          | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2641166 | PA      | $2588905.43     | 0.00%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735365                                                                                 | CUSIP: 3620AN6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9944 | PA      | $9908.88        | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #710776                                                                                 | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9415 | PA      | $9562.16        | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #567252                                                                                | CUSIP: 36213XEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         263 | PA      | $270.72         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.4% 10/15/2029                                                                               | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     9257000 | PA      | $9243885.79     | 0.01%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #252717                                                                                 | CUSIP: 31371HVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          27 | PA      | $28.40          | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #471698                                                                                 | CUSIP: 36209G7K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          13 | PA      | $13.10          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#FM9396                                                                          | CUSIP: 3140XDNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8150951 | PA      | $7018090.19     | 0.01%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726323                                                                                 | CUSIP: 3620AC4G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3913 | PA      | $3974.63        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 04/01/2045#AY7471                                                                             | CUSIP: 3138YMJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44087 | PA      | $42372.02       | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 08/15/2035                                                                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8000000 | PA      | $8016250.00     | 0.01%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MTG TR                                                                 | CD 2017-CD5 MTG TR 3.171% 08/15/2050                                                                    | CUSIP: 12515HAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17950000 | PA      | $17554468.16    | 0.02%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 02/28/2029                                                                              | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2300000 | PA      | $2348066.41     | 0.00%             | 2029-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 5.834% 02/20/2031                                                                      | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    11500000 | PA      | $12161521.75    | 0.01%             | 2031-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2029#                                                                                | CUSIP: 31293R5M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         462 | PA      | $472.15         | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 11/20/2031#MA4044                                                                          | CUSIP: 36179SP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1639452 | PA      | $1599718.85     | 0.00%             | 2031-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/30 SOCGEN  B                                                                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     1800000 | NC      | $17517.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #568814                                                                                | CUSIP: 36213Y3X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1082 | PA      | $1121.51        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                      | CLEARWAY ENERGY OPER LLC 4.75% 03/15/2028 144A                                                          | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |      140000 | PA      | $138440.12      | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 2.4% 02/01/2031                                                                            | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     3511000 | PA      | $3128295.80     | 0.00%             | 2031-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 11/20/2042#AB9917                                                                            | CUSIP: 36178XAS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28812 | PA      | $27808.76       | 0.00%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP4410                                                                                 | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      118693 | PA      | $111958.69      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENESEE and WYOMING INC                                                            | GENESEE and WYOMING INC 6.25% 04/15/2032 144A                                                           | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |      650000 | PA      | $660920.65      | 0.00%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                      | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6405645 | PA      | $6405645.18     | 0.01%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #427209                                                                                 | CUSIP: 36207BR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          74 | PA      | $75.38          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #490919                                                                                | CUSIP: 36210FK88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         255 | PA      | $258.40         | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                            | BRISTOL-MYERS SQUIBB CO 5.2% 02/22/2034                                                                 | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7186931.99     | 0.01%             | 2034-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.566% 07/30/2054 144A                                                            | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9170700 | PA      | $9180977.60     | 0.01%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 4.4% 11/01/2034                                                              | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     8120000 | PA      | $7755015.09     | 0.01%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #471672                                                                                 | CUSIP: 36209G6H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          33 | PA      | $33.49          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                                            | SBA COMMUNICATIONS CORP 3.125% 02/01/2029                                                               | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     2395000 | PA      | $2250749.39     | 0.00%             | 2029-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR                                             | COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR A4 3.514% 05/10/2050                                             | CUSIP: 12515DAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4969000 | PA      | $4887823.43     | 0.01%             | 2050-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2432 FG SOFR30A+101.448 3/32                                                                        | CUSIP: 31339NNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         692 | PA      | $695.48         | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 1.75% 03/01/2026                                                                                | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     1690000 | PA      | $1667255.81     | 0.00%             | 2026-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 02/20/2043#AD1755                                                                          | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      106333 | PA      | $99942.89       | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                             | ROPER TECHNOLOGIES INC 1.75% 02/15/2031                                                                 | CUSIP: 776743AL0<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |     3736000 | PA      | $3239446.37     | 0.00%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                             | SAMMONS FINANCIAL GROUP GLOBAL FUNDING 4.95% 06/12/2030 144A                                            | CUSIP: 79587J2C6<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    20600000 | PA      | $20922536.67    | 0.02%             | 2030-06-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.273%/VAR 03/01/2030                                                              | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    12200000 | PA      | $11757165.62    | 0.01%             | 2030-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #448998                                                                                 | CUSIP: 36208EX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         359 | PA      | $363.61         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| X CORP                                                                             | TWITTER TERM B1 1LN 10/26/2029                                                                          | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1167647 | PA      | $1140545.97     | 0.00%             | 2029-10-26      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                                                           | NORTHERN OIL AND GAS INC 8.125% 03/01/2028 144A                                                         | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      820000 | PA      | $826184.44      | 0.00%             | 2028-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #433685                                                                                 | CUSIP: 36207JXN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         191 | PA      | $193.46         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2500000 | NC      | $166166.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2042#733816                                                                          | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       69576 | PA      | $67324.62       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 04/01/2036#FM6100                                                                        | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      916433 | PA      | $822054.73      | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 06/20/2040#004709                                                                        | CUSIP: 36202FGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26609 | PA      | $26109.87       | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #446901                                                                                 | CUSIP: 36208CNS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          26 | PA      | $26.84          | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 3.875% 02/12/2034 REGS                                                      | CUSIP: N/A<br>LEI: 2138008L3B3MCG1DFS50       | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $1157639.45     | 0.00%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2052#QE0420                                                                          | CUSIP: 3133B9PD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2382717 | PA      | $2094010.72     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 07/01/2036#SB8110                                                                        | CUSIP: 3132D6AK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      775270 | PA      | $694944.33      | 0.00%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 3.95% 03/15/2027                                                                             | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1993842.32     | 0.00%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC                              | SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC 6.75% 08/15/2032 144A                             | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      520000 | PA      | $539169.80      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2055#CC0241                                                                        | CUSIP: 3140Y6HT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17325129 | PA      | $17636784.20    | 0.02%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                             | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 4.25% 10/15/2027 144A                            | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1320000 | PA      | $1301251.91     | 0.00%             | 2027-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #466883                                                                                 | CUSIP: 36209BUG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         260 | PA      | $267.30         | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #433849                                                                                 | CUSIP: 36207J5J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         242 | PA      | $245.20         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3                                                                     | PRET 2025-RPL3 A1 STEP 4.15% 04/25/2065 144A                                                            | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14478755 | PA      | $14064322.12    | 0.02%             | 2065-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AJ5602                                                                        | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      387658 | PA      | $376281.22      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/40 #734032                                                                                | CUSIP: 3620AMPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1345 | PA      | $1366.48        | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2023-B                                              | HYUNDAI AUTO RECEIVABLES TRUST 2023-B 5.48% 04/17/2028                                                  | CUSIP: 44933XAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1594059 | PA      | $1605719.69     | 0.00%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737015                                                                                 | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33796 | PA      | $33678.36       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                                          | CUSIP: 3137H2UC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4426719 | PA      | $3801420.21     | 0.00%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 02/01/2036#MA4260                                                                        | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      688935 | PA      | $617985.06      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2028#AV3616                                                                          | CUSIP: 3138XFAS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3535 | PA      | $3478.19        | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 7.45%/VAR PERP 144A                                                                         | CUSIP: 05602XQQ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EP               | CORP              | FR        |      615000 | PA      | $626146.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735359                                                                                 | CUSIP: 3620AN5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11130 | PA      | $11091.55       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                  | NEXSTAR MEDIA INC 5.625% 07/15/2027 144A                                                                | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |     1435000 | PA      | $1433444.32     | 0.00%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                    | ARES LV CLO LTD A1R2 TSFR3M+137 10/15/2037 144A                                                         | CUSIP: 04018BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7566000 | PA      | $7592095.13     | 0.01%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2053#BW9777                                                                          | CUSIP: 3140N22K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1991934 | PA      | $1726611.60     | 0.00%             | 2053-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 1/1/42 #Q05962                                                                           | CUSIP: 3132GMJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18430 | PA      | $17917.07       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CORPORATION                                                   | CALIFORNIA RES CORP 8.25% 06/15/2029 144A                                                               | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      605000 | PA      | $625071.48      | 0.00%             | 2029-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.5% 11/25/2051                                  | CUSIP: 3137H3V82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     5583336 | PA      | $4805462.97     | 0.01%             | 2051-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR0015                                                                        | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82107 | PA      | $75269.18       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2035#AB8197                                                                        | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60685 | PA      | $60760.94       | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                   | AIMCO CLO 11 LTD A1R2 TSFR3M+134 07/17/2037 144A                                                        | CUSIP: 00140NAW0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |    25100000 | PA      | $25198291.60    | 0.03%             | 2037-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                                | SIRIUS XM RADIO INC 5% 08/01/2027 144A                                                                  | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      825000 | PA      | $821276.36      | 0.00%             | 2027-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.45% 03/03/2026                                                            | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1202000 | PA      | $1202570.32     | 0.00%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                                                   | MOBICO GROUP PLC 4.875% 09/26/2031 REGS                                                                 | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | DBT              | CORP              | GB        |     1300000 | PA      | $1309359.66     | 0.00%             | 2031-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                     | VIRGINIA ELECTRIC AND POWER CO 2.4% 03/30/2032                                                          | CUSIP: 927804GG3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1513307.34     | 0.00%             | 2032-03-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #474776                                                                                 | CUSIP: 36209LMZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          73 | PA      | $75.85          | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 7 ELEVEN INC                                                                       | 7 ELEVEN INC 0.95% 02/10/2026 144A                                                                      | CUSIP: 817826AC4<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |      797000 | PA      | $784317.10      | 0.00%             | 2026-02-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                  | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-4 MA 3.5% 11/25/2057                                    | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1722142 | PA      | $1662808.42     | 0.00%             | 2058-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GC13                                                           | GS MTG SECS TR 2013-GC13 AS CSTR 07/10/2046 144A                                                        | CUSIP: 36198EAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1181599 | PA      | $1163899.01     | 0.00%             | 2046-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP                        | ALLIED UNVL HOLDCO LLC / ALLIED UNVL FIN CORP 6.875% 06/15/2030 144A                                    | CUSIP: 019576AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      590000 | PA      | $607627.43      | 0.00%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                                         | CLUB CAR TERM 1LN 06/01/2028                                                                            | CUSIP: 56085UAB9<br>LEI: 25490044R1FR5N8FIT62 | Long             | LON              | CORP              | US        |      626819 | PA      | $606842.03      | 0.00%             | 2028-06-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#QD5561                                                                          | CUSIP: 3133B3FA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      671468 | PA      | $588010.19      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 03/20/2043#AA6141                                                                          | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48696 | PA      | $45744.67       | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN AND HAMILTON INC                                                        | BOOZ ALLEN AND HAMILTON INC 5.95% 08/04/2033                                                            | CUSIP: 09951LAC7<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $10441920.00    | 0.01%             | 2033-08-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 04/20/2052#                                                                                | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1375205 | PA      | $1171996.38     | 0.00%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GREEN LAKES PARK CLO LLC                                                           | GREEN LAKES PARK CLO LLC ARR TSFR3M+118 01/25/2038 144A                                                 | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    23950000 | PA      | $23938025.00    | 0.03%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/31 #575585                                                                                 | CUSIP: 31386WNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          90 | PA      | $94.89          | 0.00%             | 2031-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 12/01/2041#RB5139                                                                        | CUSIP: 3133KYV89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39360 | PA      | $35035.97       | 0.00%             | 2041-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.187% 09/25/2027                                                        | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12196373 | PA      | $12011831.99    | 0.01%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #440301                                                                                 | CUSIP: 36207SDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           9 | PA      | $8.62           | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2052#CB4387                                                                        | CUSIP: 3140QP2V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3875438 | PA      | $3748102.15     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 6.11% 01/29/2037                                                            | CUSIP: 59022CAJ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1340000 | PA      | $1423418.26     | 0.00%             | 2037-01-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-160 DY 4% 12/20/2040                                                                           | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      809543 | PA      | $794511.78      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2051#CA8645                                                                          | CUSIP: 3140QGTB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37512 | PA      | $35269.63       | 0.00%             | 2051-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 7/26 #D97040                                                                            | CUSIP: 3128E3ZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          59 | PA      | $59.27          | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB13 LLC                                                                 | CFMT 2024-HB13 LLC VAR 05/25/2034 144A                                                                  | CUSIP: 12530VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8106468 | PA      | $7973971.90     | 0.01%             | 2034-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6% 11/37 #953087                                                                                   | CUSIP: 31413RJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7505 | PA      | $7933.13        | 0.00%             | 2037-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ASGN INC                                                                           | ASGN INC 4.625% 05/15/2028 144A                                                                         | CUSIP: 00191UAA0<br>LEI: LZBNYYCBUKY537072438 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1663789.83     | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 9/39 #G06670                                                                                 | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       98960 | PA      | $105939.94      | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2045#AY9393                                                                        | CUSIP: 3138YPNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13978 | PA      | $13409.86       | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 11/01/2053#CB7520                                                                        | CUSIP: 3140QTLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17068502 | PA      | $17882351.89    | 0.02%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC                                                         | AXALTA COATING SYSTEMS LLC 3.375% 02/15/2029 144A                                                       | CUSIP: 05453GAC9<br>LEI: 549300G80QONCHILSF69 | Long             | DBT              | CORP              | US        |      435000 | PA      | $410935.80      | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2042#RB0710                                                                        | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      591817 | PA      | $527823.62      | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.58% 7/35 #995273                                                                             | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1889 | PA      | $1942.55        | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.7% 04/01/2051         | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4546000 | PA      | $2927569.77     | 0.00%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                        | STARWOOD PPTY TR INC 6.5% 07/01/2030 144A                                                               | CUSIP: 85571BBD6<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |      805000 | PA      | $835496.62      | 0.00%             | 2030-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1146000 | NC      | $183255.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#RA6986                                                                        | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3867428 | PA      | $3526440.07     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2032#C91403                                                                        | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1105873 | PA      | $1089615.68     | 0.00%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2052#BV4654                                                                        | CUSIP: 3140MJE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2838294 | PA      | $2580061.32     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                        | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    66358740 | PA      | $56268747.78    | 0.07%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #AA9357                                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1134 | PA      | $1133.82        | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 02/20/2055#MB0203                                                                          | CUSIP: 3618N5GM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6888921 | PA      | $6633357.11     | 0.01%             | 2055-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2049#FM1338                                                                        | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3370152 | PA      | $3288907.34     | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 10/35 #612663                                                                                | CUSIP: 36202XTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9535 | PA      | $9781.31        | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: EUR/USD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $891.84         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #639703                                                                                 | CUSIP: 31389YU41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         184 | PA      | $194.75         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #584465                                                                                 | CUSIP: 36201JJJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1240 | PA      | $1288.13        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #726095                                                                                | CUSIP: 3620ACUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16560 | PA      | $16822.12       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 11/01/2040#MA4175                                                                        | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2500334 | PA      | $2095962.16     | 0.00%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-REV1                                             | FORD CREDIT AUTO OWNER TRUST 2023-REV1 4.85% 08/15/2035 144A                                            | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2600000 | PA      | $2646100.60     | 0.00%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2053#CB6911                                                                        | CUSIP: 3140QSVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8742586 | PA      | $8918977.73     | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOLLAR GEN CORP NEW                                                                | DOLLAR GEN CORP NEW 4.625% 11/01/2027                                                                   | CUSIP: 256677AK1<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2014112.70     | 0.00%             | 2027-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2050#SD7525                                                                        | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11472115 | PA      | $9731339.68     | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WALKER and DUNLOP INC                                                              | WALKER and DUNLOP INC 6.625% 04/01/2033 144A                                                            | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      400000 | PA      | $416164.00      | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AS9172                                                                          | CUSIP: 3138WKFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8025 | PA      | $7740.67        | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #476294                                                                                 | CUSIP: 36209NC75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         815 | PA      | $825.62         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                              | CUSIP: 31298AER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         560 | PA      | $591.62         | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      600000 | PA      | $591425.82      | 0.00%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.125% 11/15/2031                                                                    | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $5466817.28     | 0.01%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 12/01/2052#CB5273                                                                          | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9141408 | PA      | $9128951.36     | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 1.7% 02/15/2031                                                                            | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     3114000 | PA      | $2696740.94     | 0.00%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED PF HOLDINGS LLC                                                             | UNITED PLANET FITNESS TERM 1LN 12/30/2026                                                               | CUSIP: 91132UAG8<br>LEI: 2549002AF6PASVP2G486 | Long             | LON              | CORP              | US        |      635608 | PA      | $610711.63      | 0.00%             | 2026-12-30      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.804 08/25/26                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    21280000 | NC      | $554389.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 07/01/2032#MA3060                                                                          | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16471 | PA      | $16056.67       | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/40 #723747                                                                                 | CUSIP: 3620AABQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18927 | PA      | $18363.57       | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 09/01/2055 #TBA                                                                          | CUSIP: 01F032690<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   289225000 | PA      | $261330608.11   | 0.31%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC REIT                                                       | MILLROSE PROPERTIES INC REIT 6.375% 08/01/2030 144A                                                     | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1040000 | PA      | $1049360.00     | 0.00%             | 2030-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-74 SV SOFR30A+743.552 11/32                                                                    | CUSIP: 31392FRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2564 | PA      | $70.10          | 0.00%             | 2032-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885802 12/15/56 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      100000 | NC      | $12610.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                                                      | DLLAA 2023-1A 5.64% 02/22/2028 144A                                                                     | CUSIP: 23292HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6112000 | PA      | $6182838.69     | 0.01%             | 2028-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/52#SD7552                                                                             | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25709 | PA      | $21767.79       | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.9% 10/10/2030 144A                                                        | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    10000000 | PA      | $10052431.50    | 0.01%             | 2030-10-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2033#729327                                                                        | CUSIP: 31402HHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1654 | PA      | $1655.19        | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 3.625% 02/15/2032 144A                                                 | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      660000 | PA      | $602426.48      | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                      | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC ARR TSFR3M+120 01/25/2038 144A                            | CUSIP: 15033TBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10548000 | PA      | $10556438.40    | 0.01%             | 2038-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING 2015                                                          | MADISON PARK FUNDING 2015 AR3 TSFR3M+160 01/22/2037 144A                                                | CUSIP: 55819QBJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1913000 | PA      | $1917803.54     | 0.00%             | 2037-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NGG FINANCE PLC                                                                    | NGG FINANCE PLC 2.125%/VAR 09/05/2082 REGS                                                              | CUSIP: N/A<br>LEI: 549300MLDJ2T68G21W86       | Long             | DBT              | CORP              | GB        |     1960000 | PA      | $2246883.53     | 0.00%             | 2082-09-05      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 4.25% 04/01/2052                                                                          | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    14990000 | PA      | $11613942.16    | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15400                                                                        | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45636 | PA      | $44116.22       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                | LBM ACQUISITION LLC 9.5% 06/15/2031 144A                                                                | CUSIP: 52109SAB5<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |      375000 | PA      | $393007.50      | 0.00%             | 2031-06-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC 6.75% 04/15/2033                                                                  | CUSIP: 15089QBA1<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      750000 | PA      | $755410.50      | 0.00%             | 2033-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2043#Q15372                                                                        | CUSIP: 3132J6MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11796 | PA      | $11401.23       | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 5.15% 11/15/2041                                                                            | CUSIP: 292505AK0<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     4009000 | PA      | $3371629.09     | 0.00%             | 2041-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 02/20/2045#MA2602                                                                          | CUSIP: 36179Q3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1189675 | PA      | $1142492.04     | 0.00%             | 2045-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                                          | ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031                                                             | CUSIP: 01609WAX0<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |     2350000 | PA      | $2111193.00     | 0.00%             | 2031-02-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                   | LPL HOLDINGS INC 4.9% 04/03/2028                                                                        | CUSIP: 50212YAN4<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     3189000 | PA      | $3229584.11     | 0.00%             | 2028-04-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 5.375% 04/15/2031                                                                            | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     6100000 | PA      | $6296051.80     | 0.01%             | 2031-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #A93505                                                                                 | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24845 | PA      | $24850.42       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 5/33 #A45795                                                                                 | CUSIP: 3128K6NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5064 | PA      | $5248.96        | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 06/01/2042#AO2244                                                                              | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6681 | PA      | $6952.43        | 0.00%             | 2042-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.785%/VAR 02/25/2036                                                                      | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     9000000 | PA      | $9283417.92     | 0.01%             | 2036-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 03/01/2053#RJ0150                                                                          | CUSIP: 3142GQEY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      497763 | PA      | $465213.55      | 0.00%             | 2053-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 11/01/2035#SB8073                                                                        | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6726941 | PA      | $6044681.05     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2054#CB9501                                                                          | CUSIP: 3140QVRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11205138 | PA      | $11643705.01    | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#Q17518                                                                        | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31730 | PA      | $30785.02       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 4.5% 01/23/2026                                                                     | CUSIP: 71654QBW1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     4359000 | PA      | $4326089.55     | 0.01%             | 2026-01-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                  | IRON MTN INC 4.875% 09/15/2029 144A                                                                     | CUSIP: 46284VAF8<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1032097.29     | 0.00%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 1.98%/VAR 12/15/2027 144A                                                      | CUSIP: 74977RDL5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     3614000 | PA      | $3509092.45     | 0.00%             | 2027-12-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                              | MINERAL RESOURCES LTD 8% 11/01/2027 144A                                                                | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |     2075000 | PA      | $2111991.03     | 0.00%             | 2027-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 03/01/2052#SD8200                                                                        | CUSIP: 3132DWDD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    51920992 | PA      | $43328602.77    | 0.05%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                         | HILCORP ENERGY I LP/FIN CO 8.375% 11/01/2033 144A                                                       | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $208839.18      | 0.00%             | 2033-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WATER FINANCE PLC                                                 | UNITED UTILITIES WATER FINANCE PLC 3.5% 02/27/2033 REGS                                                 | CUSIP: N/A<br>LEI: 213800313INX42GDLR44       | Long             | DBT              | CORP              | GB        |      825000 | PA      | $958960.29      | 0.00%             | 2033-02-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 02/01/2035#AB0067                                                                          | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      557879 | PA      | $565222.64      | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2052#FS7077                                                                        | CUSIP: 3140XN2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1690071 | PA      | $1536833.79     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 08/20/2052#MA8199                                                                          | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    32968056 | PA      | $30089612.10    | 0.04%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REINSURANCE GROUP OF AMERICA INC                                                   | REINSURANCE GRP OF AMERICA INC 5.75% 09/15/2034                                                         | CUSIP: 759351AS8<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |    14700000 | PA      | $15155427.46    | 0.02%             | 2034-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                                 | RGA GLOBAL FUNDING 5.448% 05/24/2029 144A                                                               | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |     7900000 | PA      | $8196535.90     | 0.01%             | 2029-05-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/47#BE9387                                                                             | CUSIP: 3140FVND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21801 | PA      | $21404.78       | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR7033                                                                        | CUSIP: 3138W4Y70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42139 | PA      | $38818.77       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #462669                                                                                 | CUSIP: 36208V6E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         121 | PA      | $122.35         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                            | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    11627000 | PA      | $9825267.99     | 0.01%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                           | EQT CORP 3.9% 10/01/2027                                                                                | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      773000 | PA      | $765671.33      | 0.00%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #462619                                                                                 | CUSIP: 36208V4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          21 | PA      | $21.22          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 5.875% 07/11/2032 REGS                                                              | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1125000 | PA      | $1344934.59     | 0.00%             | 2032-07-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR3493                                                                        | CUSIP: 3138W03B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39952 | PA      | $36594.00       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #476119                                                                                 | CUSIP: 36209M4C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          45 | PA      | $46.10          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 10/01/2055 #TBA                                                                          | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    51625000 | PA      | $49618480.80    | 0.06%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ3751                                                                        | CUSIP: 3138MKEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9208 | PA      | $8472.00        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 9/40#V81958                                                                              | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      111733 | PA      | $103786.74      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #739091                                                                                 | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34897 | PA      | $34788.48       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                | BROWN and BROWN INC 4.9% 06/23/2030                                                                     | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     7661000 | PA      | $7756343.98     | 0.01%             | 2030-06-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                                                               | ARAMARK SERVICES INC 5% 02/01/2028 144A                                                                 | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |      975000 | PA      | $967836.85      | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 5.7% 03/15/2034                                                                        | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    11450000 | PA      | $11990095.47    | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      230000 | NC      | $36779.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC                            | BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC A1R TSFR3M+ 07/18/2038 144A                     | CUSIP: 05684GAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    13075000 | PA      | $13121272.43    | 0.02%             | 2038-07-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/44#AV8070                                                                             | CUSIP: 3138XK6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3368 | PA      | $3182.96        | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5% 06/15/2052                                                                              | CUSIP: 65473PAM7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     2180000 | PA      | $1920034.17     | 0.00%             | 2052-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                     | COMMERZBANK AG 3.625%/VAR 01/14/2032 REGS                                                               | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |      800000 | PA      | $947102.13      | 0.00%             | 2032-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #463468                                                                                 | CUSIP: 36208WZ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         183 | PA      | $183.97         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      876000 | NC      | $140080.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2380 SY SOFR30A+808.552 11/31                                                                       | CUSIP: 31339GVS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1499 | PA      | $73.32          | 0.00%             | 2031-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.7% 12/01/2055         | CUSIP: 161175CT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4939653.95     | 0.01%             | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                                | CUSIP: 31296PHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         330 | PA      | $335.12         | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2052#SD8199                                                                          | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    36858826 | PA      | $29400133.07    | 0.04%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/35 #A47209                                                                                | CUSIP: 3128K8AJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1054 | PA      | $1056.84        | 0.00%             | 2035-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/26 #331672                                                                                 | CUSIP: 31375DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $7.04           | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69815                                                                                | CUSIP: 3128L13Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7331 | PA      | $7751.80        | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                               | COMMERCIAL METALS CO 4.375% 03/15/2032                                                                  | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      220000 | PA      | $206086.06      | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 5/33 #G01785                                                                                 | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26234 | PA      | $27134.14       | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2052#BV8024                                                                          | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2586679 | PA      | $2423999.19     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.375% 07/15/2040                                                                           | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      135000 | PA      | $130649.27      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+107.448 04/25/2036 144A                                                    | CUSIP: 07324SDM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4514 | PA      | $3923.91        | 0.00%             | 2036-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/34#FM0045                                                                               | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210977 | PA      | $203879.63      | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 2/41 #004945                                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25230 | PA      | $24450.87       | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 03/44#AW1829                                                                             | CUSIP: 3138XRA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9234 | PA      | $9352.34        | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| 200 PARK FUNDING TRUST                                                             | 200 PARK FUNDING TRUST 5.74% 02/15/2055 144A                                                            | CUSIP: 901928AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8900000 | PA      | $8718727.56     | 0.01%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#                                                                                | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      263534 | PA      | $232672.99      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781031                                                                                 | CUSIP: 36225BEC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          37 | PA      | $37.23          | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2042#AQ9596                                                                        | CUSIP: 3138MRUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12044 | PA      | $10714.24       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                       | GALLAGHER (ARTHUR J.) and CO 5% 02/15/2032                                                              | CUSIP: 04316JAM1<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    11066000 | PA      | $11264587.45    | 0.01%             | 2032-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2018-15 LTD                                                                | OCP CLO 2018-15 LTD AR TSFR3M+125 01/20/2038 144A                                                       | CUSIP: 67112KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7637000 | PA      | $7648783.89     | 0.01%             | 2038-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/35 #A47571                                                                                | CUSIP: 3128K8MU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5447 | PA      | $5532.74        | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC                                           | CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC 7.5% 12/15/2033 144A                                           | CUSIP: 12657NAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1195000 | PA      | $1281555.05     | 0.00%             | 2033-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/20/2044#MA1600                                                                          | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40486 | PA      | $37685.02       | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 11/01/2031#                                                                                | CUSIP: 31287LNP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         297 | PA      | $312.85         | 0.00%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD6332                                                                        | CUSIP: 36180JA95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14237 | PA      | $12945.85       | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/35 #643755                                                                                | CUSIP: 36292BE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4060 | PA      | $4247.11        | 0.00%             | 2035-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                           | RTX CORP 6.1% 03/15/2034                                                                                | CUSIP: 75513ECW9<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7599168.43     | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS9368                                                                          | CUSIP: 3140XRMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13958107 | PA      | $11290595.36    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#FS0121                                                                          | CUSIP: 3140XFD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207065 | PA      | $166198.78      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 05/01/2054#SD7570                                                                          | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    29385563 | PA      | $30517341.77    | 0.04%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-53 FG SOFR30A+80 08/25/2052                                           | CUSIP: 3136BNS31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    17926878 | PA      | $17642889.05    | 0.02%             | 2052-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                            | BPCE SA 3.116%/VAR 10/19/2032 144A                                                                      | CUSIP: 05578QAF0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     6103000 | PA      | $5390941.45     | 0.01%             | 2032-10-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 02/01/2041#                                                                                | CUSIP: 312945YK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5931 | PA      | $6032.46        | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 10/01/2054#CB9336                                                                          | CUSIP: 3140QVLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21986040 | PA      | $22839698.97    | 0.03%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#RA6988                                                                          | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20337202 | PA      | $17758607.76    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #582132                                                                                 | CUSIP: 36201FVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         136 | PA      | $141.54         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-A                      | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-A 4.63% 07/20/2027 144A                     | CUSIP: 858928AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    25652765 | PA      | $25736793.48    | 0.03%             | 2027-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                          | Phillips Edison Grocery Center Operating Partnership I LP 4.95% 01/15/2035                              | CUSIP: 71845JAC2<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8785581.12     | 0.01%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-25 Z 6% 6/29                                                                                   | CUSIP: 31359VU27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        9325 | PA      | $9391.82        | 0.00%             | 2029-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 09/01/2054#DB4149                                                                        | CUSIP: 3140ADTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10611855 | PA      | $10676731.30    | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2048#Q58655                                                                        | CUSIP: 3132Y2TM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      166605 | PA      | $153193.47      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2052#SD7151                                                                          | CUSIP: 3132DU5L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      455258 | PA      | $399384.50      | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 3.729%/VAR 01/14/2032                                                    | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9381709.90     | 0.01%             | 2032-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#RA8292                                                                          | CUSIP: 3133KQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3133542 | PA      | $3125355.22     | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/44#AW6246                                                                             | CUSIP: 3138XV5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7326 | PA      | $7441.90        | 0.00%             | 2044-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 3.375% 06/20/2031                                                                    | CUSIP: 756109CU6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      900000 | PA      | $1058871.40     | 0.00%             | 2031-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 2% 05/18/2032                                                            | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     8258000 | PA      | $6915517.59     | 0.01%             | 2032-05-18      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 03/01/2050#SD8049                                                                        | CUSIP: 3132DV5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9839597 | PA      | $8281966.93     | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-A                                           | AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A                                          | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    25000000 | PA      | $25127587.50    | 0.03%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2053#SD6527                                                                          | CUSIP: 3132DUHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17501262 | PA      | $16520905.96    | 0.02%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2041#005258                                                                          | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      305329 | PA      | $286563.80      | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 5.5% 03/15/2055                                                            | CUSIP: 209111GN7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8643219.30     | 0.01%             | 2055-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                                                     | BLOX 2021-BLOX A TSFR1M+86.448 09/15/2026 144A                                                          | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21008136 | PA      | $20786550.58    | 0.02%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #706789                                                                                 | CUSIP: 36297BF63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31885 | PA      | $30994.78       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 9/37 #889631                                                                                 | CUSIP: 31410KLL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         154 | PA      | $164.49         | 0.00%             | 2038-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 05/46#MA3664                                                                                 | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      844620 | PA      | $807207.21      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2047#RA7313                                                                        | CUSIP: 3133KPDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3917535 | PA      | $3566008.31     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB8529                                                                        | CUSIP: 31417FPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      322811 | PA      | $296005.74      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.375% 08/15/2043                                                           | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      358000 | PA      | $338505.78      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #451746                                                                                 | CUSIP: 31380VZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         317 | PA      | $323.22         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FS9709                                                                          | CUSIP: 3140XRYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24592844 | PA      | $21774393.38    | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7140                                                                        | CUSIP: 3138WG5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      961882 | PA      | $930013.49      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/31 #769023                                                                                 | CUSIP: 31404HLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         292 | PA      | $306.75         | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2023-C                                           | WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028                                               | CUSIP: 98164FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6306065 | PA      | $6342053.25     | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2042#794219                                                                        | CUSIP: 36177NVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13778 | PA      | $13343.56       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 11/20/2042#MA0535                                                                            | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5904244 | PA      | $5701059.57     | 0.01%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                                                  | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                                                | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19187386 | PA      | $19287012.97    | 0.02%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 06/01/2052#BU8753                                                                          | CUSIP: 3140MAWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1398913 | PA      | $1403126.94     | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AE1959                                                                        | CUSIP: 36180UE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5323 | PA      | $4822.40        | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303890                                                                                 | CUSIP: 31373URK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $6.55           | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 4.7%/VAR PERP                                                                             | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EP               | CORP              | US        |     2375000 | PA      | $2311020.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2045#FM2986                                                                          | CUSIP: 3140X6J85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    71196053 | PA      | $68528607.49    | 0.08%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 07/01/2041#                                                                                | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16353877 | PA      | $14137696.34    | 0.02%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2044#AW1064                                                                        | CUSIP: 3138XQFE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17103 | PA      | $17036.36       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 5.71% 01/15/2026 144A                                                               | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    94108000 | PA      | $94318408.55    | 0.11%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2051#SD7548                                                                        | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16843190 | PA      | $14276882.16    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/41#A97555                                                                             | CUSIP: 312946MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17200 | PA      | $17205.24       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2025-44                                                                    | OCP CLO 2025-44 LTD A TSFR3M+130 10/24/2038 144A                                                        | CUSIP: 67570UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12276000 | PA      | $12303007.20    | 0.01%             | 2038-10-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 5.3% 06/15/2035                                                                  | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     7470000 | PA      | $7636041.82     | 0.01%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON RR CLO 22 LLC                                                             | FLATIRON RR CLO 22 LLC AR TSFR3M+91 10/15/2034 144A                                                     | CUSIP: 33883QAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4400000 | PA      | $4394803.60     | 0.01%             | 2034-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC9114                                                                          | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4367634 | PA      | $3530212.42     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2052#BW3397                                                                          | CUSIP: 3140MUX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90017 | PA      | $85480.93       | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2034#                                                                                | CUSIP: 31296XSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1849 | PA      | $1876.17        | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                                                  | CLEAN HARBORS INC 5.125% 07/15/2029 144A                                                                | CUSIP: 184496AP2<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |      325000 | PA      | $322027.03      | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA 5.13%/VAR 02/14/2031                                                                | CUSIP: 06418GAQ0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     3300000 | PA      | $3394743.76     | 0.00%             | 2031-02-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                 | BANCO SANTANDER SA 2.749% 12/03/2030                                                                    | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    10800000 | PA      | $9735928.38     | 0.01%             | 2030-12-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                      | HEALTHCARE REALTY HOLDINGS LP 3.5% 08/01/2026                                                           | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     1945000 | PA      | $1927775.33     | 0.00%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    11200000 | NC      | $-150326.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                  | ICAHN ENTERPRISES LP/FIN CORP 9.75% 01/15/2029                                                          | CUSIP: 451102CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      810000 | PA      | $805221.00      | 0.00%             | 2029-01-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.5% 03/01/2031                                                                            | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    23665000 | PA      | $20164179.75    | 0.02%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/29 #535762                                                                                 | CUSIP: 31384WFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          38 | PA      | $40.05          | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.65% 05/11/2027                                                                   | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    21700000 | PA      | $21505847.28    | 0.03%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                            | BATH and BODY WORKS INC 6.625% 10/01/2030 144A                                                          | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      920000 | PA      | $944463.72      | 0.00%             | 2030-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/45#Q34074                                                                             | CUSIP: 3132QQQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17553 | PA      | $16420.59       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #783550                                                                                 | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6297 | PA      | $5923.05        | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                        | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9587037 | PA      | $8015887.37     | 0.01%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK14                                                                    | BANK 2018-BNK14 4.185% 09/15/2060                                                                       | CUSIP: 06035RAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3481133 | PA      | $3473866.24     | 0.00%             | 2060-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMER CAP INC                                                              | ZF NORTH AMER CAP INC 6.875% 04/23/2032 144A                                                            | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      220000 | PA      | $210958.37      | 0.00%             | 2032-04-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/01/2050#RA2958                                                                          | CUSIP: 3133KJJB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      420301 | PA      | $340240.81      | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC                                | MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC A1 TSFR3M+151 04/25/2037 144A                       | CUSIP: 55821YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21830000 | PA      | $21900205.28    | 0.03%             | 2037-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 7.125% 09/15/2032                                                                  | CUSIP: 682691AK6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      805000 | PA      | $838214.54      | 0.00%             | 2032-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2050#CA6709                                                                        | CUSIP: 3140QEN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10854601 | PA      | $9207526.90     | 0.01%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 6.5%/VAR PERP                                                                     | CUSIP: 48128AAJ2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EP               | CORP              | US        |      805000 | PA      | $826793.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2036#CB1756                                                                        | CUSIP: 3140QL5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11646020 | PA      | $10979140.57    | 0.01%             | 2036-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 03/20/2043 #MA1090                                                                         | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      309433 | PA      | $288974.58      | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3% 02/01/2037#C91912                                                                          | CUSIP: 3128P8DR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10927 | PA      | $10393.58       | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0443                                                                        | CUSIP: 3140QKP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28029505 | PA      | $23758798.02    | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 4.78% 02/15/2035                                                             | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $6825507.85     | 0.01%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                          | SUNOCO LP 6.25% 07/01/2033 144A                                                                         | CUSIP: 86765KAD1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      200000 | PA      | $204405.00      | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                        | EQUINOR ASA 1.75% 01/22/2026                                                                            | CUSIP: 29446MAJ1<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |      380000 | PA      | $376154.06      | 0.00%             | 2026-01-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H19 FG TSFR1M+41.448 8/60                                                                      | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       20168 | PA      | $20110.59       | 0.00%             | 2060-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                                       | ARI FLEET LEASE TRUST 2024-B 5.26% 04/15/2033 144A                                                      | CUSIP: 04033HAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7820000 | PA      | $7978170.45     | 0.01%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST                                  | BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST 2.9% 09/15/2036 144A                                  | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1183651 | PA      | $1079202.60     | 0.00%             | 2036-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2051#QC7439                                                                          | CUSIP: 3133ASHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1233581 | PA      | $985883.03      | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #357953                                                                                 | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4776 | PA      | $5005.42        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 05/01/2039#FM1194                                                                        | CUSIP: 3140X4KG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7589588 | PA      | $7610594.95     | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                          | COREBRIDGE GBL FUNDING 5.9% 09/19/2028 144A                                                             | CUSIP: 00138CAV0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    18426000 | PA      | $19270816.81    | 0.02%             | 2028-09-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+66.948 07/25/2037 144A                                              | CUSIP: 07325YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23416 | PA      | $21881.49       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 12/20/2063                                                   | CUSIP: 38375UDY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       66752 | PA      | $66864.44       | 0.00%             | 2063-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2033#                                                                                | CUSIP: 31296RHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3713 | PA      | $3766.77        | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AO0004                                                                                 | CUSIP: 3138LQAE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6515 | PA      | $6319.39        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BEACON MOBILITY CORP                                                               | BEACON MOBILITY CORP 7.25% 08/01/2030 144A                                                              | CUSIP: 073644AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      360000 | PA      | $373063.32      | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                              | CUSIP: 31283HHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $38.56          | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-31 ZC 6.5% 7/31                                                                                | CUSIP: 313920CW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        6122 | PA      | $6213.05        | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2044#Q27808                                                                        | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9508 | PA      | $9229.26        | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A                                                  | CUSIP: 05611VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4093749 | PA      | $4105262.90     | 0.00%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 10/29 #MA0214                                                                                | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1350 | PA      | $1361.73        | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9341                                                                        | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29406 | PA      | $26948.57       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #783008                                                                                 | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      173554 | PA      | $172735.96      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #634294                                                                                 | CUSIP: 31389SUT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          91 | PA      | $95.85          | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK3455                                                                                 | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29929 | PA      | $29125.90       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2035#AD9235                                                                        | CUSIP: 31418XHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      180996 | PA      | $177425.02      | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 6/42 #MA0155                                                                              | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2939 | PA      | $2840.88        | 0.00%             | 2042-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 06/01/2040#MA5745                                                                          | CUSIP: 31418FL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      515349 | PA      | $520636.64      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMENTUM HOLDINGS INC                                                               | AMENTUM HOLDINGS INC 7.25% 08/01/2032 144A                                                              | CUSIP: 02352BAA3<br>LEI: 2549009FJIBLW40CU216 | Long             | DBT              | CORP              | US        |      805000 | PA      | $839577.17      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2055#MA5700                                                                        | CUSIP: 31418FKN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      237568 | PA      | $239020.21      | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2049#BN2228                                                                        | CUSIP: 3140JJPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      769554 | PA      | $751002.47      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9489                                                                          | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      607428 | PA      | $488685.81      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #837316                                                                                 | CUSIP: 31407QGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          58 | PA      | $61.04          | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2050#FS3728                                                                        | CUSIP: 3140XKEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20230469 | PA      | $19052313.23    | 0.02%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHP COML MTG TR 2021-STOR                                                          | MERIT 2021-STOR A TSFR1M+81.448 07/15/2038 144A                                                         | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11210236 | PA      | $11210236.00    | 0.01%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 05/01/2031#                                                                              | CUSIP: 31298MDZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         440 | PA      | $459.72         | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SELECTIVE INSURANCE GROUP INC                                                      | SELECTIVE INSURANCE GROUP INC 5.9% 04/15/2035                                                           | CUSIP: 816300AJ6<br>LEI: 549300R3WGJWLE40R258 | Long             | DBT              | CORP              | US        |     7987000 | PA      | $8240772.15     | 0.01%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                                               | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                                               | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4477110 | PA      | $4481122.55     | 0.01%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TR 2021-OVA                                                             | SLG OFFICE TR 2021-OVA X CSTR 07/15/2041 144A                                                           | CUSIP: 78449RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   213942750 | PA      | $2570629.11     | 0.00%             | 2041-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP INC                                                         | PERFORMANCE FOOD GROUP INC 6.125% 09/15/2032 144A                                                       | CUSIP: 71376LAF7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |     1215000 | PA      | $1243571.94     | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1276                                                                        | CUSIP: 3138NXM20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23213 | PA      | $21473.04       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                                    | IHS HOLDING LTD 8.25% 11/29/2031 144A                                                                   | CUSIP: 44963HAD7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |      280000 | PA      | $287996.80      | 0.00%             | 2031-11-29      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 6.342%/VAR 10/18/2033                                                                    | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    39945000 | PA      | $43661126.89    | 0.05%             | 2033-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #713686                                                                                 | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4860 | PA      | $4866.25        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 10/41 #Q04092                                                                                | CUSIP: 3132GKF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      361190 | PA      | $351466.73      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC                                                                      | WOLFSPEED INC STEP 06/23/2030 144A                                                                      | CUSIP: 977852AG7<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |      270296 | PA      | $269620.26      | 0.00%             | 2030-06-23      | Variable      | 0.08%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #250701                                                                                | CUSIP: 31371FNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $4.54           | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 3.85% 06/15/2034                                                                   | CUSIP: N/A<br>LEI: I1BZKREC126H0VB1BL91       | Long             | DBT              | CORP              | US        |     1450000 | PA      | $1681930.30     | 0.00%             | 2034-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                  | STORE CAPITAL LLC 4.625% 03/15/2029                                                                     | CUSIP: 862121AB6<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     2374000 | PA      | $2356597.49     | 0.00%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.1% 06/15/2030                                                                        | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     7982000 | PA      | $7781613.65     | 0.01%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER AG                                                                      | SCHAEFFLER AG 5.375% 04/01/2031 REGS                                                                    | CUSIP: N/A<br>LEI: 549300Q7E782X7GC1P43       | Long             | DBT              | CORP              | DE        |      400000 | PA      | $487072.07      | 0.00%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                                                  | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5720590 | PA      | $5152677.99     | 0.01%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.499%/VAR 01/23/2035                                                            | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $25798321.25    | 0.03%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #449474                                                                                 | CUSIP: 36208FJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         317 | PA      | $322.69         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT1745                                                                           | CUSIP: 3138WN5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      190978 | PA      | $179326.31      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 08/01/2055#RJ4642                                                                          | CUSIP: 3142GVEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    39550000 | PA      | $41076349.20    | 0.05%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TR I                                                                | AMERICAN TOWER TR I 5.49% 03/15/2053 144A                                                               | CUSIP: 03027WAM4<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-CBDO         | CORP              | US        |     5029000 | PA      | $5120498.13     | 0.01%             | 2053-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITED CO                                                       | PERRIGO FINANCE UNLIMITED CO STEP 06/15/2030                                                            | CUSIP: 71429MAC9<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |     6476000 | PA      | $6337741.93     | 0.01%             | 2030-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL2 LLC                                                                 | PRPM 2024-RPL2 A1 LLC VAR 05/25/2054 144A                                                               | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19524580 | PA      | $19000104.39    | 0.02%             | 2054-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNMA 2004-24 ZM 5% 04/34                                                                                | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       93174 | PA      | $93217.59       | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                                        | NAKILAT INC 6.067% 12/31/2033 144A                                                                      | CUSIP: 62983PAA3<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |      894127 | PA      | $946102.14      | 0.00%             | 2033-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLOVER CLO 2019-1 LTD.                                                             | CLOVER CLO 2019-1 LTD 19-1A ARR TSFR3M+100 04/18/2035 144A                                              | CUSIP: 102875AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13065000 | PA      | $13064385.95    | 0.02%             | 2035-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 5YR NOTE (CBT) FUT DEC25 FVZ5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -2889 | NC      | $-1508010.32    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2048#Q57760                                                                        | CUSIP: 3132Y1TS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63211 | PA      | $58122.98       | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     8500000 | NC      | $-114087.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM RFT1Y+190 9 10/42#849255                                                                       | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12598 | PA      | $13091.71       | 0.00%             | 2042-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 3.543%/VAR 08/14/2031 REGS                                                                 | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |     1503000 | PA      | $1773101.33     | 0.00%             | 2031-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2045#AZ1709                                                                        | CUSIP: 3138YS3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50932 | PA      | $50292.92       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4% 03/15/2028                                                                                   | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     3724000 | PA      | $3704356.24     | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO                                                                    | DOW CHEMICAL CO 5.15% 02/15/2034                                                                        | CUSIP: 260543DJ9<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    12200000 | PA      | $12125597.57    | 0.01%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 2.65% 01/15/2032                                                                     | CUSIP: 15135UAW9<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |      768000 | PA      | $674134.23      | 0.00%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #587081                                                                                 | CUSIP: 36201MFW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         794 | PA      | $822.32         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #711616                                                                                | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68502 | PA      | $64321.91       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 7/42 #AO9368                                                                                 | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15613 | PA      | $14710.50       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #704628                                                                                 | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17241 | PA      | $17510.65       | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3242                                                                          | CUSIP: 3140QNS86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1156216 | PA      | $1002390.96     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2045#G61419                                                                        | CUSIP: 31335BSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      150741 | PA      | $142305.53      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                        | SEVERN TRENT WATER UTIL FIN 4.625% 11/30/2034 REGS                                                      | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |      380000 | PA      | $478317.46      | 0.00%             | 2034-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #455358                                                                                | CUSIP: 36208MZX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           6 | PA      | $6.08           | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7767                                                                        | CUSIP: 31417ETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      431997 | PA      | $395955.57      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE9949                                                                                | CUSIP: 31419MBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12803 | PA      | $12398.26       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #434145                                                                                 | CUSIP: 36207KHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          52 | PA      | $53.23          | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-16 ZD 6.50% 4/32                                                                               | CUSIP: 31392CVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        7129 | PA      | $7396.24        | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2052#SD0892                                                                          | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      909252 | PA      | $736054.94      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2048#CA1218                                                                        | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79212 | PA      | $77500.84       | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.64% 1/35 #813730                                                                             | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1342 | PA      | $1363.18        | 0.00%             | 2035-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32008                                                                        | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      366394 | PA      | $342443.42      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2054#MA9416                                                                            | CUSIP: 36179YN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      366301 | PA      | $299676.38      | 0.00%             | 2054-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/46#BC2843                                                                               | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      671762 | PA      | $642739.02      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.858% 05/01/2054                                                                             | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    17614000 | PA      | $19315399.85    | 0.02%             | 2054-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #582240                                                                                 | CUSIP: 36201FZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         288 | PA      | $297.33         | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LCCM 2017-LC26 MTG TR                                                              | LCCM 2017-LC26 MTG TR 3.289% 07/12/2050 144A                                                            | CUSIP: 50190DAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4874074 | PA      | $4775300.33     | 0.01%             | 2050-07-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2860                                                                        | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23335 | PA      | $21432.93       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2050#BP8807                                                                          | CUSIP: 3140KGYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77381 | PA      | $67182.65       | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02592                                                                                 | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       79523 | PA      | $79517.52       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                             | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    11796000 | PA      | $11016937.66    | 0.01%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                                    | BANK 2017-BNK4 3.428% 02/15/2061                                                                        | CUSIP: 065404BA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7238339 | PA      | $7119702.88     | 0.01%             | 2061-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP REC 4.075 04/24/30                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    68910000 | NC      | $2429230.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    40000000 | PA      | $36373049.60    | 0.04%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIP FIN RECEIVABLES XV LLC                                                  | AMUR EQUIP FIN RECEIVABLES XV LLC 4.7% 09/22/2031 144A                                                  | CUSIP: 03237FAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12695000 | PA      | $12815627.89    | 0.02%             | 2031-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2041#CB2014                                                                        | CUSIP: 3140QMGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3582518 | PA      | $3202919.02     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2046#Q39250                                                                        | CUSIP: 3132QWH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7036 | PA      | $6535.46        | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3% 10/15/2050                                                                             | CUSIP: 548661DZ7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     7286000 | PA      | $4511106.28     | 0.01%             | 2050-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 01/01/2028#                                                                              | CUSIP: 31283G7J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           4 | PA      | $3.78           | 0.00%             | 2028-01-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 6.7% 11/15/2053                                                                            | CUSIP: 29250NBZ7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     2200000 | PA      | $2369409.77     | 0.00%             | 2053-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/30 #521123                                                                                | CUSIP: 36211R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         475 | PA      | $489.19         | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.50% 2/33 #686575                                                                                 | CUSIP: 31400FXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         705 | PA      | $725.26         | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 01/01/2051#SD8120                                                                        | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    23764128 | PA      | $18036129.79    | 0.02%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 01/46#MA3377                                                                               | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25164 | PA      | $24065.00       | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#RA6604                                                                          | CUSIP: 3133KNKR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5387456 | PA      | $4717838.64     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 8/44#AS3037                                                                                   | CUSIP: 3138WCLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13665 | PA      | $12760.93       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55725                                                                          | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      170365 | PA      | $162147.02      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLICIS GROUPE SA                                                                 | PUBLICIS GROUPE SA 3.375% 06/12/2032 REGS                                                               | CUSIP: N/A<br>LEI: 2138004KW8BV57III342       | Long             | DBT              | CORP              | FR        |      900000 | PA      | $1049257.10     | 0.00%             | 2032-06-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    22300000 | NC      | $-299310.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ7472                                                                                | CUSIP: 3138E0JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8614 | PA      | $8372.08        | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                                 | CNX RESOURCES CORP 7.25% 03/01/2032 144A                                                                | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      785000 | PA      | $814552.11      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 4.125% 04/30/2028 144A                               | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      430000 | PA      | $411787.78      | 0.00%             | 2028-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 TSFR1M+196.27 02/15/2039 144A                                       | CUSIP: 05610HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5089000 | PA      | $5082645.29     | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 12/20/2050#MA7051                                                                            | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    61540662 | PA      | $50395395.70    | 0.06%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2052#CB4669                                                                          | CUSIP: 3140QQFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      789024 | PA      | $749263.83      | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97528                                                                                 | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12987 | PA      | $12986.69       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                      | CLEARWAY ENERGY OPER LLC 3.75% 02/15/2031 144A                                                          | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     1355000 | PA      | $1246337.54     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HERENS US HOLDCO CORP                                                              | LONZA SPECIALTY INGREDIENTS TERM B 1LN 07/03/2028                                                       | CUSIP: N/A<br>LEI: 549300Y0CIXN5D40L888       | Long             | LON              | CORP              | US        |      641370 | PA      | $564008.03      | 0.00%             | 2028-07-03      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                       | SBNA AUTO LEASE TRUST 2024-B 5.56% 11/22/2027 144A                                                      | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15775000 | PA      | $15893383.49    | 0.02%             | 2027-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/29 #518019                                                                                | CUSIP: 36211NPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         545 | PA      | $558.85         | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #534007                                                                                 | CUSIP: 36212HGQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3525 | PA      | $3657.32        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                                                   | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                                                   | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2841445 | PA      | $2679151.61     | 0.00%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3247                                                                          | CUSIP: 3140QNTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1891690 | PA      | $1640015.93     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 07/01/2034#BO1835                                                                        | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200814 | PA      | $196910.72      | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL9 TR                                                                  | CSMC 2021-RPL9 TR VAR 02/25/2061 144A                                                                   | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2679395 | PA      | $2819024.90     | 0.00%             | 2061-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 06/01/2040#MA4054                                                                        | CUSIP: 31418DQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3332554 | PA      | $3002783.58     | 0.00%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/39 #670624                                                                                 | CUSIP: 36295HAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6431 | PA      | $6624.04        | 0.00%             | 2039-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #729713                                                                                 | CUSIP: 31402HVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1924 | PA      | $1923.89        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                     | 1261229 BC LTD 10% 04/15/2032 144A                                                                      | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     1210000 | PA      | $1256404.71     | 0.00%             | 2032-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/39 #AC6795                                                                                | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89354 | PA      | $89307.93       | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #455361                                                                                | CUSIP: 36208MZ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $18.93          | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2035#                                                                                | CUSIP: 31297S6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          87 | PA      | $88.36          | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 5.808%/VAR 09/13/2029                                                                 | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    30000000 | PA      | $31338643.80    | 0.04%             | 2029-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                                              | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 02/15/2030                                                  | CUSIP: 58770JAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7800000 | PA      | $7936995.30     | 0.01%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 4683 LM 3% 05/15/2047                                                                               | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      492801 | PA      | $475305.95      | 0.00%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO LLC                                                        | SKECHERS TERM B 1LN 06/28/2032                                                                          | CUSIP: 07337FAB1<br>LEI: 254900F2FNX3GBTB6202 | Long             | LON              | CORP              | US        |       60000 | PA      | $60349.80       | 0.00%             | 2032-06-28      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                            | BPCE SA 4.875% 04/01/2026 144A                                                                          | CUSIP: 05578QAE3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     7383000 | PA      | $7389997.39     | 0.01%             | 2026-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B27 MTG TR                                                          | BENCHMARK 2021-B27 C MTG TR CSTR 7/15/2054                                                              | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34472394 | PA      | $1761704.83     | 0.00%             | 2054-07-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#FS8764                                                                          | CUSIP: 3140XQW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16973246 | PA      | $13734819.95    | 0.02%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                      | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3098041 | PA      | $2718530.86     | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 01/20/2045#MA2522                                                                          | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1130760 | PA      | $1085738.37     | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                    | BANK 2019-BNK21 ASB 2.808% 10/17/2052                                                                   | CUSIP: 06540BBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5377123 | PA      | $5234192.17     | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                                            | CUSIP: 3136ANY68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      351439 | PA      | $50406.34       | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#                                                                              | CUSIP: 3140XFZF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4800469 | PA      | $4369715.04     | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2051#QD1244                                                                          | CUSIP: 3133AXLZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123567 | PA      | $117427.27      | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2042#AL2266                                                                        | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      218039 | PA      | $205765.57      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#QE4073                                                                          | CUSIP: 3133BDQ24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1692764 | PA      | $1697863.03     | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE REMIC TR 2007-075                                                       | GNR 2015-H17 GZ 4.4518% 05/65                                                                           | CUSIP: 38376REM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       21235 | PA      | $20832.65       | 0.00%             | 2065-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES 2023-B OWNER TR                                            | NISSAN AUTO RECEIVABLES 2023-B OWNER TR 5.93% 03/15/2028                                                | CUSIP: 65480MAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6228813 | PA      | $6277614.51     | 0.01%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4428                                                                                | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17477 | PA      | $17022.81       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP                               | HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP 4.875% 04/01/2027                                  | CUSIP: 432891AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      164000 | PA      | $163564.45      | 0.00%             | 2027-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2033                                                                    | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     7254000 | PA      | $7547888.56     | 0.01%             | 2033-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 04/01/2042#SC0270                                                                        | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1696030 | PA      | $1511292.14     | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC                             | RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC 10% 01/15/2031 144A                              | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      410000 | PA      | $387404.90      | 0.00%             | 2031-01-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC                                                                | RESIDEO FUNDING INC 6.5% 07/15/2032 144A                                                                | CUSIP: 76119LAD3<br>LEI: 5493000IFJ6XJKH66598 | Long             | DBT              | CORP              | US        |      205000 | PA      | $209321.81      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 6.35% 01/15/2029                                                                | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    11247000 | PA      | $11829381.02    | 0.01%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2044#Q29663                                                                        | CUSIP: 3132MAML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      124156 | PA      | $122948.14      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEVI STRAUSS and CO                                                                | LEVI STRAUSS and CO 3.5% 03/01/2031 144A                                                                | CUSIP: 52736RBJ0<br>LEI: MB0UERO0RDFKU8258G77 | Long             | DBT              | CORP              | US        |      555000 | PA      | $512060.32      | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY PARTNERS LP                                                         | SPECTRA ENERGY PARTNERS LP 4.5% 03/15/2045                                                              | CUSIP: 84756NAG4<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |      543000 | PA      | $453433.40      | 0.00%             | 2045-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #582099                                                                                 | CUSIP: 36201FUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         355 | PA      | $368.04         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/42#G60488                                                                               | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      766264 | PA      | $745954.77      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                            | CUSIP: 38380HC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      795620 | PA      | $720999.32      | 0.00%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+86.448 07/25/2037 144A                                              | CUSIP: 07325YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36816 | PA      | $34369.78       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2052#CB2924                                                                          | CUSIP: 3140QNHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      307026 | PA      | $291554.74      | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 4.663% 06/15/2051                                                                             | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     3736000 | PA      | $3171646.27     | 0.00%             | 2051-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-1 LTD                                                          | INVESCO US CLO 2024-1 LTD AR TSFR3M+155 04/15/2037 144A                                                 | CUSIP: 46148JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10990000 | PA      | $11021211.60    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AB7728                                                                        | CUSIP: 31417ESS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13911 | PA      | $12306.97       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 02/20/2031#MA3428                                                                          | CUSIP: 36179RYZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      199781 | PA      | $195474.32      | 0.00%             | 2031-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/26 #442193                                                                                | CUSIP: 36207UGA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           2 | PA      | $1.85           | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MSWF COMMERCIAL MORTGAGE TRUST 23-2                                                | MSWF COMMERCIAL MORTGAGE TRUST 23-2 VAR 12/15/2056 144A                                                 | CUSIP: 55361AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12148000 | PA      | $2312287.98     | 0.00%             | 2056-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #190284                                                                                 | CUSIP: 31368HJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          72 | PA      | $72.82          | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2040#CA6462                                                                        | CUSIP: 3140QEFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      473302 | PA      | $425986.17      | 0.00%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMER CAP INC                                                              | ZF NORTH AMER CAP INC 6.875% 04/14/2028 144A                                                            | CUSIP: 98877DAD7<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      630000 | PA      | $638130.15      | 0.00%             | 2028-04-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 6% 08/15/2033 144A                                                                            | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      310000 | PA      | $318261.72      | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2040#AB1801                                                                        | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      576285 | PA      | $561112.78      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #379801                                                                                 | CUSIP: 31377K3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         360 | PA      | $366.14         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q11886                                                                                | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31441 | PA      | $29673.27       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                                            | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    60711779 | PA      | $53656178.19    | 0.06%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 10/01/2041#RB5131                                                                          | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1057635 | PA      | $911974.13      | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 12/39 #704808                                                                                | CUSIP: 36296YAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11909 | PA      | $11879.94       | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2043 CJ 6.5% 4/28                                                                                   | CUSIP: 3133TDML7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        1226 | PA      | $1240.19        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC T1Y+NA 08/09/2033                                                                          | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2074000 | PA      | $2168577.41     | 0.00%             | 2033-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #572167                                                                                | CUSIP: 31386STY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $39.07          | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #737532                                                                                | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2821 | PA      | $2738.96        | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 2.75% 02/01/2026                                                                              | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     2071000 | PA      | $2055117.83     | 0.00%             | 2026-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 2.125%/VAR 11/15/2029 REGS                                                                 | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |      800000 | PA      | $1001429.65     | 0.00%             | 2029-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2040#V81792                                                                        | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      215668 | PA      | $205328.84      | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2053#QH0300                                                                        | CUSIP: 3133CCKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3712206 | PA      | $3889209.09     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.472% 12/01/2040#AE0653                                                                       | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194152 | PA      | $202230.78      | 0.00%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A                                     | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7546700 | PA      | $7541983.15     | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                               | ZF EUROPE FINANCE BV 4.75% 01/31/2029 REGS                                                              | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |     1500000 | PA      | $1703743.92     | 0.00%             | 2029-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8767                                                                        | CUSIP: 3138MQW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10516 | PA      | $9746.18        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2051#CB1634                                                                          | CUSIP: 3140QLY83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10784102 | PA      | $9352733.58     | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.56% 6/33 #780605                                                                             | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10610 | PA      | $10775.29       | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                                                 | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5750454 | PA      | $5056044.42     | 0.01%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #538864                                                                                 | CUSIP: 36212NTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         416 | PA      | $430.01         | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2043#AF3695                                                                          | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11650 | PA      | $10931.91       | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/29 #252492                                                                                 | CUSIP: 31371HNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          41 | PA      | $42.31          | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP CDS 12/20/30 CMZB B                                                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |     1750000 | NC      | $24485.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| APH SOMERSET INVESTOR 2 LLC / APH2 SOMERSET INVESTOR 2 LLC / APH3 SOMERSET INVES   | APH SOMERSET INVESTOR 2 LLC / APH2 SOMERSET INVESTOR 2 LLC / APH3 SOMERSET INVES 7.875% 11/01/2029 144A | CUSIP: 00188QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1230000 | PA      | $1276471.58     | 0.00%             | 2029-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 04/01/2051#SD8139                                                                        | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   269290006 | PA      | $204381554.40   | 0.24%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #719216                                                                                 | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54436 | PA      | $54255.88       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 3.5% 03/15/2029 144A             | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1415000 | PA      | $1345331.20     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#CB8875                                                                        | CUSIP: 3140QU2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13241552 | PA      | $13750856.20    | 0.02%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#BP5763                                                                          | CUSIP: 3140KDMM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    38388601 | PA      | $35548293.94    | 0.04%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                        | ASURION TERM B10 1LN 08/19/2028                                                                         | CUSIP: 04649VBB5<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     1030311 | PA      | $1025962.66     | 0.00%             | 2028-08-19      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2023-A                                                       | ARI FLEET LEASE TRUST 2023-A A3 5.33% 02/17/2032 144A                                                   | CUSIP: 00218GAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $5043166.50     | 0.01%             | 2032-02-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/46#AS7009                                                                               | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26242 | PA      | $24225.72       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AECOM                                                                              | AECOM 6% 08/01/2033 144A                                                                                | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |     1240000 | PA      | $1265612.20     | 0.00%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR2943                                                                        | CUSIP: 3138W0HV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32274 | PA      | $29610.60       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 2/42 #005306                                                                              | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11999 | PA      | $11932.52       | 0.00%             | 2042-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2042#AJ5572                                                                        | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      551399 | PA      | $536606.42      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2054#RJ2406                                                                          | CUSIP: 3142GSU89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1878805 | PA      | $1861566.56     | 0.00%             | 2054-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #646414                                                                                 | CUSIP: 31390HDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         134 | PA      | $141.17         | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-C                                                      | OPORTUN ISSUANCE TRUST 2025-C 4.49% 07/08/2033 144A                                                     | CUSIP: 68378RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8200000 | PA      | $8209802.28     | 0.01%             | 2033-07-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 5.583% 01/09/2029 144A                                                            | CUSIP: 04685A3Q2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    18210000 | PA      | $18840161.78    | 0.02%             | 2029-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/26 #780299                                                                                 | CUSIP: 36225AKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           3 | PA      | $2.78           | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 5.711%/VAR 01/24/2035                                                             | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    15000000 | PA      | $15625274.40    | 0.02%             | 2035-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2051#BU3339                                                                          | CUSIP: 3140M4V96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84483 | PA      | $80285.41       | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #438403                                                                                 | CUSIP: 36207QAC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         100 | PA      | $100.56         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PBF HLDG CO LLC / PBF FIN CORP                                                     | PBF HLDG CO LLC / PBF FIN CORP 7.875% 09/15/2030 144A                                                   | CUSIP: 69318FAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1735000 | PA      | $1679982.46     | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVIII LTD                                                               | MAGNETITE XXVIII LTD A1RR TSFR3M+124 01/15/2038 144A                                                    | CUSIP: 55955LAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17202000 | PA      | $17217430.19    | 0.02%             | 2038-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2162 PH 6 6/29                                                                                      | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1927 | PA      | $1959.69        | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AU0597                                                                        | CUSIP: 3138WZUX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12290 | PA      | $11212.87       | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/EUR settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-68406.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC                                      | SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC AR TSFR3M+134.161 04/20/2033 144A                         | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10781718 | PA      | $10785405.02    | 0.01%             | 2033-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/40 #AE3950                                                                                 | CUSIP: 31419EL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8672 | PA      | $8430.80        | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 12/20/2045#MA3311                                                                            | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32611 | PA      | $31186.61       | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2050#FM3611                                                                        | CUSIP: 3140X7AM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3320330 | PA      | $2806128.20     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RCO VIII MORTGAGE LLC 2025-3                                                       | RCO VIII MORTGAGE LLC 2025-3 VAR 05/25/2030 144A                                                        | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7640355 | PA      | $7657425.21     | 0.01%             | 2030-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 08/01/2032#J37452                                                                          | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17959 | PA      | $17532.36       | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 06/30/2031                                                                              | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2500000 | PA      | $2557714.85     | 0.00%             | 2031-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.4% 01/15/2029                                                             | CUSIP: 92277GAN7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     6227000 | PA      | $6245812.95     | 0.01%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 4.95%/VAR 08/04/2031                                                     | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $8670711.09     | 0.01%             | 2031-08-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #748242                                                                                | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4890 | PA      | $4741.37        | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONTARIO GAMING GTA LP/OTG CO-ISSUER INC                                            | ONTARIO GAMING GTA LP/OTG CO-ISSUER INC 8% 08/01/2030 144A                                              | CUSIP: 68306MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      400000 | PA      | $402900.00      | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US LONG BOND(CBT) FUT DEC25 USZ5                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         338 | NC      | $227245.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2050#CA7229                                                                        | CUSIP: 3140QFA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9594557 | PA      | $8135683.14     | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 06/30/2032                                                                                 | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    82300000 | PA      | $82724359.38    | 0.10%             | 2032-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ4673                                                                        | CUSIP: 3138MLFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29483 | PA      | $27133.91       | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #G06993                                                                                 | CUSIP: 3128M9C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11588 | PA      | $10967.96       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2042#BV7699                                                                        | CUSIP: 3140MMRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4001446 | PA      | $3567393.91     | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 5.435%/VAR 01/24/2030                                                             | CUSIP: 89788MAR3<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     6300000 | PA      | $6531018.61     | 0.01%             | 2030-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#V82292                                                                          | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      177513 | PA      | $169837.73      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 06/01/2041#RB5114                                                                          | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3652640 | PA      | $3160309.07     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-5 LTD                                                 | BAIN CAPITAL CREDIT CLO 2020-5 LTD ARR TSFR3M+115 04/20/2034 144A                                       | CUSIP: 05683FBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10140000 | PA      | $10139898.60    | 0.01%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2045#AL1539                                                                        | CUSIP: 36183WV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         894 | PA      | $802.27         | 0.00%             | 2045-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #481840                                                                                | CUSIP: 31382GHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          15 | PA      | $15.99          | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                                        | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                                       | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1500000 | PA      | $1501823.10     | 0.00%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#FS5131                                                                          | CUSIP: 3140XLVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      852717 | PA      | $682827.50      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 7/27 #451326                                                                                 | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          63 | PA      | $63.39          | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 5.25% 03/26/2031 144A                                                                   | CUSIP: 05523RAK3<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     7319000 | PA      | $7623854.57     | 0.01%             | 2031-03-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2050#FM3830                                                                          | CUSIP: 3140X7HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18173922 | PA      | $16034314.86    | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                        | PACIFIC GAS and ELECTRIC CO 5.9% 10/01/2054                                                             | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $8041627.03     | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2045#AL4767                                                                        | CUSIP: 36184BJL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       58397 | PA      | $56214.99       | 0.00%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.25% 03/02/2033                                                                              | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     1595000 | PA      | $1637454.51     | 0.00%             | 2033-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                            | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 8.25% 12/15/2029 144A                                           | CUSIP: 81180LAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     2115000 | PA      | $2246542.43     | 0.00%             | 2029-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                              | AMERICAN AIRLINES INC 8.5% 05/15/2029 144A                                                              | CUSIP: 023771T40<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |      320000 | PA      | $335342.72      | 0.00%             | 2029-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 02/20/2050#BS8922                                                                            | CUSIP: 3617MK4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3110396 | PA      | $2754891.31     | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 07/20/2052#MA8149                                                                          | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    55679376 | PA      | $50818004.21    | 0.06%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/28 #418412                                                                                 | CUSIP: 31379FYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $31.77          | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 6.5% 07/01/2054#FA0028                                                                   | CUSIP: 3140W0A62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5858847 | PA      | $6159625.73     | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 01/20/2045#MA2523                                                                          | CUSIP: 36179QYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21359 | PA      | $21126.09       | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL KPN NV (KONINKLIJKE KPN)                                                     | ROYAL KPN NV (KONINKLIJKE KPN) 3.875% 02/16/2036 REGS                                                   | CUSIP: N/A<br>LEI: 549300YO0JZHAL7FVP81       | Long             | DBT              | CORP              | NL        |      300000 | PA      | $351065.84      | 0.00%             | 2036-02-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2023-IV                                                            | BARINGS CLO LTD 2023-IV A TSFR3M+175 01/20/2037 144A                                                    | CUSIP: 06763MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21860000 | PA      | $21929667.82    | 0.03%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+65.448 04/25/2036 144A                                                     | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7465 | PA      | $6989.52        | 0.00%             | 2036-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2044#Q24572                                                                        | CUSIP: 3132M4W92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11533 | PA      | $11494.56       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2052#FS8195                                                                          | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6109846 | PA      | $4892560.77     | 0.01%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 04/20/2047#MA4383                                                                            | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    17560557 | PA      | $16760752.59    | 0.02%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3258 PM 5.5 12/36                                                                                   | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       16316 | PA      | $16828.91       | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5% 04/01/2030                                                                        | CUSIP: 24703TAM8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     3232000 | PA      | $3312442.93     | 0.00%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN and PET CO                                                          | CENTRAL GARDEN and PET CO 4.125% 04/30/2031 144A                                                        | CUSIP: 153527AP1<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |      445000 | PA      | $414683.80      | 0.00%             | 2031-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                                  | DRYDEN 98 CLO LTD A TSFR3M+130 04/20/2035 144A                                                          | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9710000 | PA      | $9711437.08     | 0.01%             | 2035-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH6520                                                                        | CUSIP: 3138A8G67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3815 | PA      | $3711.41        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9459                                                                        | CUSIP: 3138WKQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13357 | PA      | $13101.79       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                                                  | CLEAN HARBORS INC 6.375% 02/01/2031 144A                                                                | CUSIP: 184496AQ0<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |      680000 | PA      | $696830.68      | 0.00%             | 2031-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #458877                                                                                 | CUSIP: 36208RXE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          72 | PA      | $72.85          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2042#AP3667                                                                        | CUSIP: 3138M7CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115020 | PA      | $109085.29      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.95% 01/15/2028 144A                                                       | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    10100000 | PA      | $10200759.22    | 0.01%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.35% 08/15/2042                                                         | CUSIP: 3137AVJY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9910257 | PA      | $8804565.67     | 0.01%             | 2042-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/26 #352776                                                                                 | CUSIP: 31376D2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $1.85           | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.164%/VAR 04/20/2029                                                                    | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    16000000 | PA      | $16357816.16    | 0.02%             | 2029-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 05/46#MA3665                                                                               | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29200 | PA      | $28962.68       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-102 CO 0% 11/35                                                                                | CUSIP: 31394UHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        6643 | PA      | $5777.10        | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 02/25/2050                                                          | CUSIP: 3137FRDX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2513729 | PA      | $2046490.84     | 0.00%             | 2050-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/41 #738002                                                                                 | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18120 | PA      | $17589.43       | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FM9517                                                                        | CUSIP: 3140XDSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21562913 | PA      | $18109025.65    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5855                                                                          | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15468 | PA      | $14609.40       | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 2.879%/VAR 10/30/2030                                                            | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     9400000 | PA      | $8876161.41     | 0.01%             | 2030-10-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #739352                                                                                | CUSIP: 3620ATL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       62204 | PA      | $58343.73       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7331                                                                          | CUSIP: 3133B5EC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      749555 | PA      | $655454.40      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 03/01/2054#DA2757                                                                        | CUSIP: 3140A3B36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5964061 | PA      | $6008350.55     | 0.01%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                                        | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      139900 | PA      | $107446.69      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 05/20/2052#MA8043                                                                            | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   196631458 | PA      | $174264865.82   | 0.21%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2046#AT7623                                                                          | CUSIP: 36194GPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23651 | PA      | $22418.42       | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#CA6275                                                                          | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6240357 | PA      | $5038021.79     | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #468760                                                                                 | CUSIP: 36209DWV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          10 | PA      | $9.89           | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                     | HOME DEPOT INC 2.5% 04/15/2027                                                                          | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      123000 | PA      | $120327.84      | 0.00%             | 2027-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-73 SA SOFR30A+1725.235 8/35                                                                    | CUSIP: 31394EB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1412 | PA      | $1492.22        | 0.00%             | 2035-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                        | WAYFAIR LLC 7.75% 09/15/2030 144A                                                                       | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |     1745000 | PA      | $1802853.73     | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.55% 04/17/2026                                                                           | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1724000 | PA      | $1726572.85     | 0.00%             | 2026-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS0519                                                                          | CUSIP: 3140XFSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2220056 | PA      | $1944120.68     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/28 #457257                                                                                | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          95 | PA      | $96.52          | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#BU7103                                                                          | CUSIP: 3140M83M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      168863 | PA      | $134956.32      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#SD2219                                                                          | CUSIP: 3132DPPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9964068 | PA      | $8725614.12     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0042                                                                                 | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      618770 | PA      | $619630.49      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/30 #590851                                                                                 | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7971 | PA      | $8380.66        | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 10/20/2031#MA3979                                                                          | CUSIP: 36179SM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1537305 | PA      | $1500767.18     | 0.00%             | 2031-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #405830                                                                                | CUSIP: 31378QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         107 | PA      | $109.60         | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 03/01/2036#SB8092                                                                        | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      531514 | PA      | $476776.13      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 10/01/2053#RJ0001                                                                        | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6388071 | PA      | $6696655.44     | 0.01%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/48#BJ6757                                                                             | CUSIP: 3140H8QK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      946653 | PA      | $877017.29      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 5.625% 04/15/2053                                                                         | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    12017000 | PA      | $11472838.76    | 0.01%             | 2053-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 02/20/2049                                                 | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     1665572 | PA      | $1639477.39     | 0.00%             | 2049-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2033#G18673                                                                          | CUSIP: 3128MMXB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60051 | PA      | $58525.65       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHLMC MULTIFAM STRUCTURED PASS THROUGH K071 A2 3.286% 11/25/2027                                        | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13265000 | PA      | $13074880.71    | 0.02%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 1.47%/VAR 09/22/2027                                                              | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3410000 | PA      | $3311103.28     | 0.00%             | 2027-09-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/30 ASSGEN B                                                                         | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     2000000 | NC      | $-17306.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEMPRA                                                                             | SEMPRA 6% 10/15/2039                                                                                    | CUSIP: 816851AP4<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     2744000 | PA      | $2802126.51     | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2044#AX2369                                                                        | CUSIP: 3138Y3T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3117 | PA      | $3096.08        | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2049#SD3738                                                                        | CUSIP: 3132E0EK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7537641 | PA      | $6473969.30     | 0.01%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 07/20/2031#MA3778                                                                          | CUSIP: 36179SFT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42120 | PA      | $41148.89       | 0.00%             | 2031-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE4056                                                                          | CUSIP: 31419EQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      116826 | PA      | $113506.56      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                            | ALABAMA POWER CO 3.05% 03/15/2032                                                                       | CUSIP: 010392FX1<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    18116000 | PA      | $16604545.16    | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 03/20/2043#AA6146                                                                            | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      148649 | PA      | $136654.52      | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC                                                             | GROUP 1 AUTOMOTIVE INC 6.375% 01/15/2030 144A                                                           | CUSIP: 398905AQ2<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |     1215000 | PA      | $1244909.66     | 0.00%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 4.08 04/24/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    63730000 | NC      | $2252274.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 10/01/2055 #TBA                                                                              | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   271950000 | PA      | $222570814.73   | 0.27%             | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                     | VIRGINIA ELECTRIC AND POWER CO 2.3% 11/15/2031                                                          | CUSIP: 927804GE8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2030986.53     | 0.00%             | 2031-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2014-25 HC 3% 2/44                                                                                  | CUSIP: 38379AEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      948239 | PA      | $869210.77      | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/31 #614978                                                                                | CUSIP: 31388UFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         218 | PA      | $229.55         | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #733784                                                                                 | CUSIP: 3620AMFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5933 | PA      | $6027.90        | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.955%/VAR 03/21/2035                                                                    | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |      800000 | PA      | $953603.28      | 0.00%             | 2035-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 4.9% 06/20/2030                                                                            | CUSIP: 29250NCJ2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     7571000 | PA      | $7729100.57     | 0.01%             | 2030-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 06/20/2051#MA7417                                                                            | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      466521 | PA      | $381995.32      | 0.00%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726923                                                                                 | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10845 | PA      | $10859.05       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2045                                                            | CUSIP: 3137FU4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     7522052 | PA      | $7075715.10     | 0.01%             | 2045-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH1256                                                                                 | CUSIP: 3138A2ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36330 | PA      | $35327.48       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNA 2018-M10 A2 CSTR 07/28                                                                              | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      968542 | PA      | $954965.35      | 0.00%             | 2028-07-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-1                                                 | ALLY AUTO RECEIVABLES TRUST 2024-1 5.08% 12/15/2028                                                     | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15572866 | PA      | $15666139.18    | 0.02%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                | AMERICAN TOWER CORP 3.625% 05/30/2032                                                                   | CUSIP: 03027XCQ1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     1150000 | PA      | $1365780.15     | 0.00%             | 2032-05-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC/JFIN                                                             | JEFFERIES FIN LLC/JFIN 6.625% 10/15/2031 144A                                                           | CUSIP: 47232MAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      415000 | PA      | $416145.40      | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 09/20/2050#MA6864                                                                            | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    77632615 | PA      | $63615487.75    | 0.08%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                                                    | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                                                | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7144860 | PA      | $6982134.24     | 0.01%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #467737                                                                                 | CUSIP: 36209CS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           6 | PA      | $6.05           | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2043#MA1412                                                                        | CUSIP: 31418ASA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23522 | PA      | $20837.31       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727849                                                                                 | CUSIP: 3620AETE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3188 | PA      | $3171.22        | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 5.4% 06/15/2047                                                                      | CUSIP: 15135UAR0<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     1485000 | PA      | $1323384.85     | 0.00%             | 2047-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #828064                                                                                 | CUSIP: 31407D5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1163 | PA      | $1219.72        | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 3.625% 02/01/2031                                                                             | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    14000000 | PA      | $13367624.62    | 0.02%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C                                     | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C 4.62% 04/17/2028 144A                                    | CUSIP: 448984AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    36200000 | PA      | $36394357.80    | 0.04%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#BQ0552                                                                          | CUSIP: 3140KKTJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42359 | PA      | $34330.15       | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2046#G60824                                                                          | CUSIP: 31335A4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      184739 | PA      | $178242.82      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR TSFR1M+121.448 03/15/2036 144A                                                     | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      217658 | PA      | $216705.84      | 0.00%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP6523                                                                                 | CUSIP: 3138MAG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9375 | PA      | $8870.83        | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                              | REYNOLDS AMERICAN INC 5.7% 08/15/2035                                                                   | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      171000 | PA      | $175988.00      | 0.00%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AH1582                                                                        | CUSIP: 3138A2XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         853 | PA      | $831.90         | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565960                                                                                 | CUSIP: 36213VWV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3449 | PA      | $3561.44        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873245 04/17/65 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    18298794 | NC      | $-151182.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2024-RPL1 TR                                                                  | PRET 2024-RPL1 TR 3.9% 10/25/2063 144A                                                                  | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1446084 | PA      | $1382668.65     | 0.00%             | 2063-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2054#DA9474                                                                        | CUSIP: 3140YXQ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3241003 | PA      | $3271958.43     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                          | CUSIP: 3137H5FF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3289104 | PA      | $2883777.15     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #727147                                                                                 | CUSIP: 31402EZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12165 | PA      | $12182.58       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/35 #G01838                                                                                 | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      138356 | PA      | $140443.90      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 5.95% 04/01/2049                                                                      | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     3089000 | PA      | $2904484.02     | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR ULTRA FUT DEC25 UXYZ5                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         417 | NC      | $269617.61      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3.25% 03/25/2049                                                         | CUSIP: 3136BMAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6300501 | PA      | $5910390.95     | 0.01%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                        | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17720 | PA      | $17693.76       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNE 2023-36A                                                                     | MAGNE 2023-36A AR TSFR3M+132 07/25/2038 144A                                                            | CUSIP: 559922AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11611000 | PA      | $11646761.88    | 0.01%             | 2038-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.622%/VAR 04/01/2031                                                                    | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    47370000 | PA      | $45833487.73    | 0.05%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2043#MA1285                                                                          | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1302031 | PA      | $1214460.44     | 0.00%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2048#G61896                                                                        | CUSIP: 31335CC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      290110 | PA      | $267392.01      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 6.5% 02/15/2028 144A             | CUSIP: 01309QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      880000 | PA      | $896768.40      | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2042#AP0495                                                                        | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28391 | PA      | $26715.00       | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 5.375% 01/01/2032                                                             | CUSIP: 674599EK7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    28900000 | PA      | $29069527.40    | 0.03%             | 2032-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2048#FS8330                                                                          | CUSIP: 3140XQHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2838186 | PA      | $2544846.44     | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2024-BNK48                                                                    | BANK 2024-BNK48 A5 5.053% 10/15/2057                                                                    | CUSIP: 06541GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8774000 | PA      | $8899848.11     | 0.01%             | 2057-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#CB8821                                                                          | CUSIP: 3140QUYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    29721442 | PA      | $30624670.31    | 0.04%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2052#SD1049                                                                        | CUSIP: 3132DNEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      179778 | PA      | $163589.74      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 2.688% 03/11/2031 144A                                                      | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     4532000 | PA      | $4100296.73     | 0.00%             | 2031-03-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2045#AY8060                                                                        | CUSIP: 3138YM5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9564 | PA      | $9177.05        | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                                            | CUSIP: 3136A8PY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       84776 | PA      | $1679.42        | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AU2962                                                                        | CUSIP: 3138X2JG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17555 | PA      | $16097.35       | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #711463                                                                                | CUSIP: 36297GML1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7279 | PA      | $7246.03        | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LAKESIDE PK CLO LTD / LAKESIDE PK CLO LLC                                          | LAKESIDE PK CLO LTD / LLC A TSFR3M+115 04/15/2038 144A                                                  | CUSIP: 51218YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8302000 | PA      | $8301468.67     | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 10/01/2054#RJ2642                                                                          | CUSIP: 3142GS5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18446173 | PA      | $19162387.95    | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 11/34 #605771                                                                                | CUSIP: 36200N6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1570 | PA      | $1617.15        | 0.00%             | 2034-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2017-C5                                                     | JPMDB 2017-C5 ASB 3.4919% 03/50                                                                         | CUSIP: 46590TAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1754829 | PA      | $1743018.76     | 0.00%             | 2050-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 04/20/2045#MA2754                                                                          | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      120092 | PA      | $111238.10      | 0.00%             | 2045-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2022-1 LTD / VOYA CLO 2022-1 LLC                                          | VOYA CLO 2022-1 LTD / VOYA CLO 2022-1 LLC A1R TSFR3M+125 04/20/2035 144A                                | CUSIP: 92918UAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8170000 | PA      | $8180163.48     | 0.01%             | 2035-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.375% 05/30/2030 144A                                                      | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    15782000 | PA      | $16193436.74    | 0.02%             | 2030-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/35 #G01818                                                                                 | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21355 | PA      | $21685.99       | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 11/01/2054#RJ2748                                                                          | CUSIP: 3142GTBS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14247929 | PA      | $14752160.20    | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     6000000 | NC      | $-80532.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96876                                                                                 | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16675 | PA      | $16682.06       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #698433                                                                                 | CUSIP: 36296Q4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4226 | PA      | $4291.85        | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP                                  | ICAHN ENTERPRISES LP/FIN CORP 10% 11/15/2029 144A                                                       | CUSIP: 451102CK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      920000 | PA      | $910693.32      | 0.00%             | 2029-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723228                                                                                | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4462 | PA      | $4531.90        | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9632                                                                          | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14636657 | PA      | $12863177.29    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2053#SD6204                                                                          | CUSIP: 3132DT3M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      294998 | PA      | $255935.21      | 0.00%             | 2053-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 XB CSTR 05/15/2058                                       | CUSIP: 949931AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    40000000 | PA      | $949836.00      | 0.00%             | 2058-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2052#QE2376                                                                          | CUSIP: 3133BBT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      540694 | PA      | $542322.97      | 0.00%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ASCEND LEARNING LLC                                                                | ASCEND LEARNING TERM B 1LN 12/11/2028                                                                   | CUSIP: 04349HAN4<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |      822938 | PA      | $822163.94      | 0.00%             | 2028-12-11      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 4.862% 08/21/2046                                                            | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4452742.65     | 0.01%             | 2046-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97620                                                                                 | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3430 | PA      | $3430.78        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 9/42 #Q11420                                                                                 | CUSIP: 3132HMSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1705 | PA      | $1606.50        | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 03/01/2036#CA9438                                                                          | CUSIP: 3140QHPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      595380 | PA      | $546863.54      | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 07/20/2055#MB0485                                                                          | CUSIP: 3618N5RF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6124898 | PA      | $6173191.13     | 0.01%             | 2055-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 05/01/2053#RA9058                                                                        | CUSIP: 3133KRB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7827375 | PA      | $7977963.15     | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #464231                                                                                | CUSIP: 36208XVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         576 | PA      | $586.03         | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INGERSOLL-RAND GLOBAL HLDG CO LTD                                                  | INGERSOLL RAND GLB HLDG CO LTD 5.75% 06/15/2043                                                         | CUSIP: 45687AAG7<br>LEI: 549300UCF0D858BIOV83 | Long             | DBT              | CORP              | US        |      223000 | PA      | $228722.35      | 0.00%             | 2043-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                | AMERICAN TOWER CORP 2.1% 06/15/2030                                                                     | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     3550000 | PA      | $3192750.86     | 0.00%             | 2030-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#RA6076                                                                          | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21432864 | PA      | $17283281.51    | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+77.448 11/25/2035 144A                                                     | CUSIP: 07324SCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5018 | PA      | $4697.59        | 0.00%             | 2035-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2051#FM9973                                                                          | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8762252 | PA      | $7708770.93     | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.75% 01/31/2034 144A                                                                     | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      715000 | PA      | $738067.10      | 0.00%             | 2034-01-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                      | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     7747000 | PA      | $7733818.17     | 0.01%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 5.2% 03/01/2033                                                            | CUSIP: 209111GE7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     8097000 | PA      | $8364449.58     | 0.01%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+78.948 01/25/2036 144A                                                     | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14334 | PA      | $13561.68       | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745231                                                                                 | CUSIP: 3620C04Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60615 | PA      | $60403.35       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.967% 8/41#AI8879                                                                             | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16412 | PA      | $17097.69       | 0.00%             | 2041-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.6% 04/15/2035                                                                             | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    14647000 | PA      | $15159917.58    | 0.02%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B1 MTG TR                                                           | BENCHMARK MTG TR 2018-B1 ASB 3.602% 01/15/2051                                                          | CUSIP: 08162PAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1675224 | PA      | $1661602.15     | 0.00%             | 2051-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                               | FX Forward: EUR/USD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $353.90         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2046#BC0214                                                                          | CUSIP: 3140EUGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      322316 | PA      | $308289.75      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 12/01/2054#QX3980                                                                        | CUSIP: 31425YM61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6000903 | PA      | $6037589.91     | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6% 06/15/2048                                                                        | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2491000 | PA      | $2388140.16     | 0.00%             | 2048-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 4.5% 09/15/2042                                                                   | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      886000 | PA      | $702659.91      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #502272                                                                                 | CUSIP: 36210T6H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         278 | PA      | $282.93         | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM C TSFR1M+219.158 12/15/2039 144A                       | CUSIP: 87231EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5436000 | PA      | $5449551.95     | 0.01%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 01/01/2054#RJ0706                                                                        | CUSIP: 3142GQYC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    26811694 | PA      | $28113152.33    | 0.03%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/26 #349340                                                                                 | CUSIP: 31376ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $11.27          | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 5.75%/VAR 07/15/2080                                                                       | CUSIP: 29250NBC8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | EP               | CORP              | CA        |     3553000 | PA      | $3548549.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                                    | CANO HEALTH LLC WT                                                                                      | CUSIP: N/A<br>LEI: 254900OGI2T8V1NXN639       | Long             | EC               | CORP              | US        |         681 | NS      | $2335.83        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.12% 10/36 #1A1201                                                                            | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7100 | PA      | $7223.48        | 0.00%             | 2036-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                                 | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.1% 01/15/2027                                      | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     4800000 | PA      | $4904972.93     | 0.01%             | 2027-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3189 PD 6% 7/36                                                                                     | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       60249 | PA      | $63006.48       | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                                    | BANK 2018-BNK10 3.688% 02/15/2061                                                                       | CUSIP: 065404BB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2901000 | PA      | $2867429.92     | 0.00%             | 2061-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 5.25% 01/15/2026                                                         | CUSIP: 681936BH2<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     6569000 | PA      | $6569526.57     | 0.01%             | 2026-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #545159                                                                                 | CUSIP: 36212VTQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1766 | PA      | $1823.91        | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #450349                                                                                 | CUSIP: 36208GH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          32 | PA      | $32.74          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479430                                                                                | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       65404 | PA      | $63399.94       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC 6.5% 04/15/2030                                                                   | CUSIP: 15089QAZ7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      485000 | PA      | $489419.32      | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 5.122%/VAR 01/26/2034                                                             | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     4235000 | PA      | $4264997.01     | 0.01%             | 2034-01-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #572257                                                                                 | CUSIP: 36200TWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2595 | PA      | $2658.58        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                      | METHANEX CORP 5.25% 12/15/2029                                                                          | CUSIP: 59151KAL2<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |       90000 | PA      | $89415.16       | 0.00%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AS2011                                                                          | CUSIP: 3138WBGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3220 | PA      | $3142.33        | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2043 ZH 6% 4/28                                                                                     | CUSIP: 3133TDPN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        2477 | PA      | $2515.80        | 0.00%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES COMPANY                                                          | MATADOR RES CO 6.25% 04/15/2033 144A                                                                    | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      710000 | PA      | $715248.50      | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE7390                                                                               | CUSIP: 31419JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140056 | PA      | $136662.14      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 08/20/2043#MA1224                                                                          | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28372 | PA      | $26480.59       | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                                                   | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1666505 | PA      | $1628988.79     | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                        | ASBURY AUTOMOTIVE GROUP INC 5% 02/15/2032 144A                                                          | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      785000 | PA      | $754691.31      | 0.00%             | 2032-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 02/20/2055#MB0205                                                                          | CUSIP: 3618N5GP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      700000 | PA      | $705519.39      | 0.00%             | 2055-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 04/01/2041#RB5107                                                                        | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6330437 | PA      | $5284653.83     | 0.01%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-52 YZ 6.5% 10/31                                                                               | CUSIP: 313921MN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2467 | PA      | $2559.68        | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #401913                                                                                | CUSIP: 31378LN65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.23           | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 2.328% 07/15/2052 144A                                                                     | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3269000 | PA      | $3109634.94     | 0.00%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2050#CA6312                                                                          | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5163932 | PA      | $4551143.59     | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                                                                | LIGHTNING POWER LLC 7.25% 08/15/2032 144A                                                               | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |      975000 | PA      | $1034330.70     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888034                                                                                 | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8557 | PA      | $8965.17        | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/41 #Q00736                                                                                 | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28725 | PA      | $28689.57       | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 08/20/2044#MA2149                                                                          | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       89857 | PA      | $86335.80       | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2020-2PAC                                                 | NATIXIS COML MTG SECS TR 2020-2PAC 2.966% 12/15/2038 144A                                               | CUSIP: 63875DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8244529 | PA      | $7910777.15     | 0.01%             | 2038-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 8.875%/VAR PERP REGS                                                                       | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |      500000 | PA      | $712124.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH3520                                                                        | CUSIP: 3138A44E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44545 | PA      | $43350.42       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 08/20/2052#MA8196                                                                            | CUSIP: 36179XC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18366 | PA      | $15131.77       | 0.00%             | 2052-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                                                    | BX TR 2025-TAIL A VAR 06/15/2035 144A                                                                   | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8702000 | PA      | $8712877.50     | 0.01%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 04/01/2032#                                                                                | CUSIP: 31287RQL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1088 | PA      | $1153.03        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/37 #670111                                                                                 | CUSIP: 36295GN40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         685 | PA      | $704.05         | 0.00%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34598                                                                          | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20798 | PA      | $20339.60       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 10/01/2055 #TBA                                                                              | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    90200000 | PA      | $89167200.98    | 0.11%             | 2055-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783276                                                                                 | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4452 | PA      | $4435.44        | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FIN CORP                                                                 | BUNGE LTD FIN CORP 4.9% 04/21/2027                                                                      | CUSIP: 120568BM1<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |     8282000 | PA      | $8356192.64     | 0.01%             | 2027-04-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2047#Q48754                                                                          | CUSIP: 3132WNWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3045777 | PA      | $2906470.19     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 5.071%/VAR 05/20/2031                                                             | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     7367000 | PA      | $7547830.01     | 0.01%             | 2031-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.1% 06/01/2029         | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    17861000 | PA      | $18774233.82    | 0.02%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK8237                                                                                 | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156441 | PA      | $151980.47      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738418                                                                                 | CUSIP: 3620ASK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1702 | PA      | $1729.11        | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE9269                                                                                 | CUSIP: 31419LJP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4244 | PA      | $4135.15        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2033#AL5321                                                                        | CUSIP: 3138EM4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17707 | PA      | $17732.55       | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2040#A94586                                                                        | CUSIP: 312943CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42056 | PA      | $42059.27       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AD9112                                                                        | CUSIP: 36180NDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11321 | PA      | $10669.74       | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07573                                                                                 | CUSIP: 3132GSXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8784 | PA      | $8570.54        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 07/01/2038#MA3412                                                                        | CUSIP: 31418CYJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15099 | PA      | $14506.94       | 0.00%             | 2038-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA TSFR1M+31.448 04/63                                            | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        2484 | PA      | $2439.67        | 0.00%             | 2063-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027                                                          | CUSIP: 681936BF6<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |      716000 | PA      | $716785.52      | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SYSTEMS INC                                                  | AMERICAN TRANSMISSION SYS INC 2.65% 01/15/2032 144A                                                     | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5846000 | PA      | $5195471.03     | 0.01%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 04/01/2032#                                                                                | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2377 | PA      | $2499.47        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                    | FLATIRON CLO LT A1R TSFR3M+136 10/19/2037 144A                                                          | CUSIP: 33883PAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15193000 | PA      | $15235434.05    | 0.02%             | 2037-10-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 4/41 #005017                                                                              | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      152133 | PA      | $151328.42      | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PPL CAP FDG INC                                                                    | PPL CAP FDG INC 5.25% 09/01/2034                                                                        | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |     7291000 | PA      | $7405928.18     | 0.01%             | 2034-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 01/01/2037#FS0216                                                                          | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12047172 | PA      | $11152057.11    | 0.01%             | 2037-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2400000 | NC      | $159519.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-H1                                             | MORGAN STANLEY CAPITAL I TRUST 2017-H1 A4 3.259% 06/15/2050                                             | CUSIP: 61691JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15100000 | PA      | $14831713.77    | 0.02%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                      | VOLKSWAGEN GROUP AMER FIN LLC 5.7% 09/12/2026 144A                                                      | CUSIP: 928668BV3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     8400000 | PA      | $8496401.84     | 0.01%             | 2026-09-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #710987                                                                                | CUSIP: 36297F2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4899 | PA      | $4976.52        | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AS0961                                                                        | CUSIP: 3138WAB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39104 | PA      | $35762.59       | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                                | CUSIP: 31293KQ33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         105 | PA      | $106.80         | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #552620                                                                                 | CUSIP: 36213E4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         116 | PA      | $119.88         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/47#AS9614                                                                             | CUSIP: 3138WKVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31374 | PA      | $30755.16       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/28 #449544                                                                                | CUSIP: 31380TLZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         277 | PA      | $284.64         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #840657                                                                                 | CUSIP: 31407T5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         501 | PA      | $527.10         | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.192%/VAR 04/17/2031                                                                    | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    12756000 | PA      | $13148565.13    | 0.02%             | 2031-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727850                                                                                 | CUSIP: 3620AETF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7933 | PA      | $7900.70        | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                                                         | ALLIANZ SE 5.6%/VAR 09/03/2054 144A                                                                     | CUSIP: 018820AD2<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |     7200000 | PA      | $7316647.20     | 0.01%             | 2054-09-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 5.8% 01/15/2035                                                                   | CUSIP: 595112CE1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $8889932.75     | 0.01%             | 2035-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6.5% 01/01/2055#RJ3308                                                                        | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11395191 | PA      | $11942090.19    | 0.01%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7374                                                                          | CUSIP: 31419JFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107049 | PA      | $104249.40      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2055#DD1925                                                                        | CUSIP: 3140B2D76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5540908 | PA      | $5574782.90     | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #704984                                                                                 | CUSIP: 36296YFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3233 | PA      | $3283.54        | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2052#SD2072                                                                          | CUSIP: 3132DPJR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5192999 | PA      | $4197327.42     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                              | CUSIP: 3140XCYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16175957 | PA      | $14733307.68    | 0.02%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 3.753 10/31/29                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    67800000 | NC      | $1953010.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 11/20/2047#MA4835                                                                          | CUSIP: 36179TLQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44475 | PA      | $38521.85       | 0.00%             | 2047-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DBJPM 2017-C6 MTG TR                                                               | DBJPM 2017-C6 ASB 3.121% 06/50                                                                          | CUSIP: 23312JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1597469 | PA      | $1582729.35     | 0.00%             | 2050-06-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 2/37 #A57709                                                                                 | CUSIP: 3128KLR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         826 | PA      | $875.72         | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2048#Q58277                                                                        | CUSIP: 3132Y2FT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      142661 | PA      | $131177.28      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                                  | TELUS CORPORATION 6.625%/VAR 10/15/2055                                                                 | CUSIP: 87971MCL5<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |      330000 | PA      | $335720.68      | 0.00%             | 2055-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#AL8321                                                                          | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      602589 | PA      | $577496.79      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 5.2% 08/01/2029                                                               | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    21326000 | PA      | $21600849.49    | 0.03%             | 2029-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.25% 12/15/2027                                                                           | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     9890000 | PA      | $9658120.05     | 0.01%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.54% 12/39 #AC8301                                                                            | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3067 | PA      | $3181.52        | 0.00%             | 2039-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #475449                                                                                 | CUSIP: 36209MEW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          74 | PA      | $73.85          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7126                                                                        | CUSIP: 3138WG4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1144953 | PA      | $1107854.63     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+160 08/25/2054                                                       | CUSIP: 3136BVVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    23519989 | PA      | $23689201.40    | 0.03%             | 2054-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      420000 | NC      | $67161.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.75% 05/15/2046                                                                           | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    41310000 | PA      | $35967633.41    | 0.04%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                            | NEW FORTRESS ENERGY TERM B 1LN 10/30/2028                                                               | CUSIP: N/A<br>LEI: 254900EICTYTCHA5X705       | Long             | LON              | CORP              | US        |     1082288 | PA      | $515439.42      | 0.00%             | 2028-10-30      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                            | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 1.7% 11/12/2026 144A                                            | CUSIP: 29449WAL1<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     4197000 | PA      | $4074508.88     | 0.00%             | 2026-11-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2043#AB9671                                                                        | CUSIP: 31417GW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199193 | PA      | $187181.75      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#CB2095                                                                          | CUSIP: 3140QMKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10891491 | PA      | $9456079.83     | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                                             | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    16497753 | PA      | $16557730.20    | 0.02%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                      | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     3324000 | PA      | $2961535.25     | 0.00%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #458374                                                                                 | CUSIP: 36208RFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          99 | PA      | $99.34          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                                                          | AFLAC INC 3.6% 04/01/2030                                                                               | CUSIP: 001055BJ0<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |      387000 | PA      | $378543.14      | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2035#A38837                                                                        | CUSIP: 31297UZA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7236 | PA      | $7253.97        | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #837280                                                                                 | CUSIP: 31407QFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         384 | PA      | $403.02         | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG'06 PTY LTD                                                       | FMG RES AUGUST 2006 PTY LTD 4.375% 04/01/2031 144A                                                      | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      350000 | PA      | $332804.92      | 0.00%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2040#                                                                                | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    46596784 | PA      | $40530716.85    | 0.05%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                               | OLYMPUS WATER US HOLDING CORPORATION 9.75% 11/15/2028 144A                                              | CUSIP: 25259KAA8<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |      455000 | PA      | $477000.62      | 0.00%             | 2028-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 2.591%/VAR 01/20/2028 144A                                                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     2740000 | PA      | $2673766.50     | 0.00%             | 2028-01-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #492354                                                                                | CUSIP: 36210G5P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         903 | PA      | $910.09         | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.897%/VAR 07/25/2033                                                            | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   106510000 | PA      | $107138233.26   | 0.13%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: GBP/USD settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1012.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                                | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14678994 | PA      | $12559175.52    | 0.01%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 01/20/2052#785831                                                                          | CUSIP: 3622ABLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    12608921 | PA      | $10649213.74    | 0.01%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 05/01/2031#                                                                              | CUSIP: 31298VSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         106 | PA      | $111.22         | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                        | GSMS 2021-IP B TSFR1M+166.448 10/15/2036 144A                                                           | CUSIP: 36262MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1363000 | PA      | $1356185.00     | 0.00%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.95% 02/15/2030                                                                     | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    21594000 | PA      | $21836045.63    | 0.03%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #398564                                                                                 | CUSIP: 31378GWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $7.13           | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 11/41 #005233                                                                             | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33508 | PA      | $32419.47       | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 4.375% 11/15/2041                                                                | CUSIP: 718172AM1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     1174000 | PA      | $1024409.26     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 01/01/2055#SL0002                                                                        | CUSIP: 31427MAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11330495 | PA      | $11523692.36    | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HLDGS FIN LLC                                                           | BLACKSTONE HLDGS FIN LLC 2.8% 09/30/2050 144A                                                           | CUSIP: 09261BAB6<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     1245000 | PA      | $750730.42      | 0.00%             | 2050-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55661                                                                          | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      138814 | PA      | $132118.12      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2037#                                                                                | CUSIP: 3128L1GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         466 | PA      | $473.73         | 0.00%             | 2037-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 08/25/2050                                                          | CUSIP: 3136BJTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1795019 | PA      | $1495550.66     | 0.00%             | 2050-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 6/41 #AB3143                                                                                 | CUSIP: 31416YP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51139 | PA      | $49781.56       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2051#RA5901                                                                          | CUSIP: 3133KMRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2701709 | PA      | $2366752.22     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 5/1/43 #AT2720                                                                           | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      319573 | PA      | $293112.60      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 83 CLO LTD                                                                  | DRYDEN 83 CLO LTD AR TSFR3M+153 04/18/2037 144A                                                         | CUSIP: 26246EAL2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |    12450000 | PA      | $12487325.10    | 0.01%             | 2037-04-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 10/01/2055 #TBA                                                                              | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   100000000 | PA      | $88546260.00    | 0.11%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 01/01/2054#CB7801                                                                        | CUSIP: 3140QTU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10404292 | PA      | $10899570.06    | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 359 19 6% 7/35                                                                                      | CUSIP: 3136FCUL8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        5371 | PA      | $935.81         | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                              | CUSIP: 3140XCWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3977984 | PA      | $3622275.55     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2289                                                                        | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24957908 | PA      | $20960220.02    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2046#Q45023                                                                        | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      141427 | PA      | $130926.15      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AT3901                                                                        | CUSIP: 3138WRKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10747 | PA      | $9812.61        | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #552668                                                                                 | CUSIP: 36213E6D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1144 | PA      | $1188.28        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                          | TORONTO DOMINION BANK 2.8% 03/10/2027                                                                   | CUSIP: 89114TZT2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     2626000 | PA      | $2577119.37     | 0.00%             | 2027-03-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TR 2023-2                                           | MERCEDES-BENZ AUTO RECEIVABLES TR 2023-2 5.95% 11/15/2028                                               | CUSIP: 58769FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6373000 | PA      | $6461933.66     | 0.01%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #490977                                                                                | CUSIP: 36210FM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         220 | PA      | $224.02         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                       | FIRSTENERGY TRANSMISSION LLC 4.75% 01/15/2033 144A                                                      | CUSIP: 33767BAJ8<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    13738000 | PA      | $13698915.80    | 0.02%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ZURICH FINANCE (IRELAND) DAC                                                       | ZURICH FINANCE (IRELAND) DAC 3.5%/VAR 05/02/2052 REGS                                                   | CUSIP: N/A<br>LEI: 549300E0FVHYR37EGX65       | Long             | DBT              | CORP              | IE        |     1650000 | PA      | $1479287.50     | 0.00%             | 2052-05-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 01/20/2055#787767                                                                          | CUSIP: 3622ADQU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3419635 | PA      | $3468771.74     | 0.00%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/40 #AC9247                                                                                 | CUSIP: 31417WHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1680 | PA      | $1676.65        | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 6/1/52#CB3766                                                                              | CUSIP: 3140QPFG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7155013 | PA      | $6729620.46     | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 07/01/2034#CA3925                                                                        | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      610801 | PA      | $598928.96      | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303913                                                                                 | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $5.08           | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                | NOVOLEX TERM 1LN 04/13/2029                                                                             | CUSIP: 18972FAC6<br>LEI: 254900QKSDYFR3K5YD98 | Long             | LON              | CORP              | US        |     1207576 | PA      | $1205910.01     | 0.00%             | 2029-04-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLAN MAST OWN TR                                                      | FORD CR FLOORPLAN MAST OWN TR 4.06% 11/15/2030                                                          | CUSIP: 34528PAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5400000 | PA      | $5396671.44     | 0.01%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 1.884% 07/15/2050 144A                                                                     | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4645000 | PA      | $4592071.15     | 0.01%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                                  | NEWELL BRANDS INC 6.375% 05/15/2030                                                                     | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      385000 | PA      | $379937.25      | 0.00%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 4.08 04/24/30                                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    63730000 | NC      | $2184555.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 3.25% 04/16/2030                                                           | CUSIP: 91087BAH3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1247000 | PA      | $1165840.00     | 0.00%             | 2030-04-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 07/20/2051#MA7471                                                                            | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2515621 | PA      | $2059834.87     | 0.00%             | 2051-07-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2049#MA3663                                                                        | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2411358 | PA      | $2205343.95     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/35 #G01839                                                                                 | CUSIP: 3128LXBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3945 | PA      | $4003.87        | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+57.948 07/25/2037 144A                                              | CUSIP: 07325YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13595 | PA      | $12748.17       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.5% 02/15/2041 144A                                                                       | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    20866000 | PA      | $16539274.44    | 0.02%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2020-C56                                                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C56 ASB 2.422% 06/15/2053                                    | CUSIP: 95002RAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2066178 | PA      | $1982816.46     | 0.00%             | 2053-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FM9505                                                                        | CUSIP: 3140XDR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16423124 | PA      | $13802778.55    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| USAA AUTO OWNER TR 2024-A                                                          | USAA AUTO OWNER TR 2024-A 5.03% 03/15/2029 144A                                                         | CUSIP: 90327VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17100000 | PA      | $17248257.00    | 0.02%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #648542                                                                                 | CUSIP: 31390KP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         462 | PA      | $491.50         | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                                 | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8790000 | PA      | $8031862.50     | 0.01%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 2.75% 03/15/2027                                                                            | CUSIP: 30161NBB6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      269000 | PA      | $263511.11      | 0.00%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                   | FIRSTENERGY CORP 2.65% 03/01/2030                                                                       | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    11794000 | PA      | $10939812.24    | 0.01%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 08/01/2050#SD7524                                                                          | CUSIP: 3132DVLD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18408403 | PA      | $16298717.61    | 0.02%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.97%/VAR 04/23/2029                                                             | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     7235000 | PA      | $7372275.88     | 0.01%             | 2029-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                    | XCEL ENERGY INC 4.8% 09/15/2041                                                                         | CUSIP: 98389BAN0<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |      311000 | PA      | $277016.13      | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2045#AY5719                                                                        | CUSIP: 3138YKK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59372 | PA      | $58627.36       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #465988                                                                                 | CUSIP: 36209AUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         101 | PA      | $102.25         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 03/01/2055#MA5646                                                                        | CUSIP: 31418FHY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8143442 | PA      | $8193227.90     | 0.01%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CFMT 2023-HB12 LLC                                                                 | CFMT 2023-HB12 LLC 4.25% 04/25/2033 144A                                                                | CUSIP: 12530QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      371036 | PA      | $370592.76      | 0.00%             | 2033-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 03/01/2055#SD8515                                                                        | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2779082 | PA      | $2796072.00     | 0.00%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BJ8804                                                                          | CUSIP: 3140HAYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11203 | PA      | $10648.65       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2043#AF1083                                                                        | CUSIP: 36181GFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9171 | PA      | $8583.04        | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                                                          | QORVO INC 4.375% 10/15/2029                                                                             | CUSIP: 74736KAH4<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |      985000 | PA      | $964749.42      | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.00% 1/41#AH3161                                                                             | CUSIP: 3138A4QP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9837 | PA      | $9566.16        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #587974                                                                                 | CUSIP: 36201NFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         198 | PA      | $200.98         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE3874                                                                                | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51268 | PA      | $51210.90       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                    | PERMIAN RESOURCES OPERATING LLC 5.875% 07/01/2029 144A                                                  | CUSIP: 19416MAB5<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      445000 | PA      | $445000.00      | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 3.5% 06/01/2031                                                                               | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      620000 | PA      | $572759.10      | 0.00%             | 2031-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 5.05% 07/12/2029                                                                           | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    16700000 | PA      | $17172243.60    | 0.02%             | 2029-07-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60553                                                                        | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2834998 | PA      | $2637798.67     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/29 #323645                                                                                 | CUSIP: 31374TP60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          22 | PA      | $22.39          | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TR 2024-1                                                                | BOFA AUTO TR 2024-1A A3 5.35% 11/15/2028 144A                                                           | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6012000 | PA      | $6066479.54     | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #427235                                                                                 | CUSIP: 36207BSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          78 | PA      | $78.99          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 07/20/2040#004737                                                                        | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2340 | PA      | $2296.02        | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN TSFR1M+194.116 04/15/2041 144A                                                             | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5364976 | PA      | $5376711.86     | 0.01%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      870000 | NC      | $139120.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #584369                                                                                 | CUSIP: 36201JFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         152 | PA      | $156.87         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                                                                      | PRA GROUP INC 5% 10/01/2029 144A                                                                        | CUSIP: 69354NAD8<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |      675000 | PA      | $634241.81      | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 04/01/2041#Q00409                                                                        | CUSIP: 3132GDN24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2485 | PA      | $2526.76        | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 04/20/2052#MA7988                                                                            | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   175137309 | PA      | $155215650.00   | 0.18%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 1.125% 05/07/2031 REGS                                                         | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | CORP              | NL        |     1100000 | PA      | $1153101.30     | 0.00%             | 2031-05-07      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033                                                            | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       25099 | PA      | $1625.39        | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                            | BAYER US FIN II LLC 4.875% 06/25/2048 144A                                                              | CUSIP: 07274NAQ6<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     5321000 | PA      | $4369633.24     | 0.01%             | 2048-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2041#AE1147                                                                        | CUSIP: 31419BHZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17540 | PA      | $17012.51       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/40 #A95028                                                                                | CUSIP: 312943SR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5159 | PA      | $5244.33        | 0.00%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 11/20/2040#004850                                                                        | CUSIP: 36202FL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       61161 | PA      | $59927.09       | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C44                                                   | WELLS FARGO COML MTG TR 2018-C44 4.167% 05/15/2051                                                      | CUSIP: 95001JAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      532908 | PA      | $531589.91      | 0.00%             | 2051-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 01/01/2053#CB5494                                                                        | CUSIP: 3140QRC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14932838 | PA      | $15710187.96    | 0.02%             | 2053-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                                                          | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    10244490 | PA      | $10255952.67    | 0.01%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #635855                                                                                | CUSIP: 36291RMC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6272 | PA      | $6534.57        | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 09/01/2055 #TBA                                                                            | CUSIP: 21H042695<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -40175000 | PA      | $-38681273.41   | -0.05%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#RA6579                                                                          | CUSIP: 3133KNJY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      190277 | PA      | $151773.18      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                      | CALIFORNIA ST BUILD AMERICA BONDS                                                                       | CUSIP: 13063BFR8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      190000 | PA      | $228059.41      | 0.00%             | 2040-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #449952                                                                                 | CUSIP: 36208FZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         119 | PA      | $120.54         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                     | WHIRLPOOL CORP 6.5% 06/15/2033                                                                          | CUSIP: 963320BE5<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |     1025000 | PA      | $1032163.43     | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 03/01/2036#                                                                              | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      888273 | PA      | $796794.58      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2048#Q54334                                                                        | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      860835 | PA      | $793423.70      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #826613                                                                                 | CUSIP: 31407CK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2674 | PA      | $2807.76        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37                                      | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 AAB 3.098% 04/10/2049                                     | CUSIP: 17290XAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1246 | PA      | $1244.21        | 0.00%             | 2049-04-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                   | GGAM FINANCE LTD 8% 02/15/2027 144A                                                                     | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      390000 | PA      | $400022.22      | 0.00%             | 2027-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 6.246%/VAR 09/22/2029 144A                                                                 | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     8000000 | PA      | $8445102.40     | 0.01%             | 2029-09-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#QE0451                                                                        | CUSIP: 3133B9QC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1322895 | PA      | $1207910.41     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 10/20/2051#MA7648                                                                            | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      510260 | PA      | $418208.88      | 0.00%             | 2051-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726928                                                                                 | CUSIP: 31402ESR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8398 | PA      | $8409.72        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 6.25% 03/15/2038                                                            | CUSIP: 136385AL5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     8834000 | PA      | $9248446.93     | 0.01%             | 2038-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 8/31 #003120                                                                               | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          97 | PA      | $99.98          | 0.00%             | 2031-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2052#FS5486                                                                        | CUSIP: 3140XMCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1447148 | PA      | $1323059.01     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2037#QO0016                                                                          | CUSIP: 3133WJAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2081730 | PA      | $1993488.17     | 0.00%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#QD3434                                                                          | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1427694 | PA      | $1150388.46     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                                    | SEALED AIR CORP 5% 04/15/2029 144A                                                                      | CUSIP: 81211KBA7<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |      210000 | PA      | $208288.54      | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #486530                                                                                 | CUSIP: 36210APP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         180 | PA      | $181.54         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 12/01/2053#SD4621                                                                        | CUSIP: 3132DSD25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4311436 | PA      | $4532775.17     | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 10/31/2031                                                                             | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1100000 | PA      | $1116800.78     | 0.00%             | 2031-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/41 #G06596                                                                                 | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      782236 | PA      | $795538.42      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 2.095%/VAR 02/11/2032 144A                                                                 | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     7800000 | PA      | $6858089.32     | 0.01%             | 2032-02-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2024-REV1                                                    | FORD CR AUTO OWNER TR 24-1 A 4.87% 08/15/2036 144A                                                      | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7820000 | PA      | $8008426.81     | 0.01%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 2024-DPM B TSFR1M+179.21 12/15/2029 144A                      | CUSIP: 87231EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8710000 | PA      | $8709985.19     | 0.01%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                             | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.25% 10/27/2059 144A                                            | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2994803 | PA      | $3003264.00     | 0.00%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                                                 | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       58272 | PA      | $54772.82       | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.27%/VAR 11/17/2033                                                                      | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    17166000 | PA      | $18603933.51    | 0.02%             | 2033-11-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                                                  | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                                                 | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    39451088 | PA      | $38897577.75    | 0.05%             | 2057-09-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AD2454                                                                        | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26556 | PA      | $24248.21       | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 A TSFR1M+189.123 12/09/2040 144A                                                | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18464435 | PA      | $18499056.05    | 0.02%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34571                                                                          | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34998 | PA      | $34260.07       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2044#V81065                                                                        | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9439 | PA      | $9397.62        | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR                                                | SANTANDER DRIVE AUTO RECEIVABLES TR 4.74% 01/16/2029                                                    | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11300000 | PA      | $11342017.92    | 0.01%             | 2029-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2052#QE0547                                                                          | CUSIP: 3133B9TC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      100815 | PA      | $95735.01       | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/28 #323424                                                                                | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         157 | PA      | $160.87         | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 5.725% 03/15/2035                                                                      | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     9712000 | PA      | $9878596.54     | 0.01%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #698479                                                                                 | CUSIP: 36296Q6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9909 | PA      | $9641.82        | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 03/44#AI2556                                                                                 | CUSIP: 36198NZV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      306761 | PA      | $294737.85      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                            | XPO INC 7.125% 02/01/2032 144A                                                                          | CUSIP: 983793AK6<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |      750000 | PA      | $786642.00      | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 4.875% 04/14/2026 REGS                                                   | CUSIP: N/A<br>LEI: 549300ORP3TTCNXSYO43       | Long             | DBT              | CORP              | US        |     1155000 | PA      | $1557918.66     | 0.00%             | 2026-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/GBP settle 2025-10-03                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $437860.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2040#V82091                                                                        | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      107240 | PA      | $100215.88      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2027#                                                                              | CUSIP: 31283GYN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $2.88           | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 4.3% 04/01/2027                                                                               | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     8399000 | PA      | $8418492.32     | 0.01%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95413                                                                        | CUSIP: 312944AN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13284 | PA      | $13274.97       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 3.95% 10/15/2042                                                                 | CUSIP: 91324PCA8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       74000 | PA      | $60075.84       | 0.00%             | 2042-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2052#SD1772                                                                          | CUSIP: 3132DN6H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      958330 | PA      | $906444.46      | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2049#BO4757                                                                          | CUSIP: 3140K0JB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5336275 | PA      | $4708038.26     | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B8 MTG TR                                                           | BENCHMARK 2018-B8 A5 MORTGAGE TRUST 4.2317% 01/15/2052                                                  | CUSIP: 08162UAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15369000 | PA      | $15148567.04    | 0.02%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #433517                                                                                | CUSIP: 36207JSE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $18.76          | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.25% 08/15/2046                                                            | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      830000 | PA      | $537749.21      | 0.00%             | 2046-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2033                                                                             | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   104833500 | PA      | $103736024.30   | 0.12%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC                                                               | FIESTA PURCHASER INC 9.625% 09/15/2032 144A                                                             | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      760000 | PA      | $816551.86      | 0.00%             | 2032-09-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2027#                                                                              | CUSIP: 31283GYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           9 | PA      | $9.59           | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726949                                                                                 | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24069 | PA      | $24098.27       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MA 2016-H20 FM TSFR1M+51.448 12/20/2062                                                  | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        9496 | PA      | $9450.69        | 0.00%             | 2062-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/34 #AL2130                                                                                | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34656 | PA      | $36262.40       | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                                    | IHS HOLDING LTD 7.875% 05/29/2030 144A                                                                  | CUSIP: 44963HAC9<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |      280000 | PA      | $285583.20      | 0.00%             | 2030-05-29      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     7020000 | NC      | $1122559.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                           | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                                           | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5912000 | PA      | $5808758.74     | 0.01%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 1.5% 06/01/2031                                                                    | CUSIP: 135087M27<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      455000 | PA      | $304800.47      | 0.00%             | 2031-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #463983                                                                                 | CUSIP: 36208XM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         640 | PA      | $649.86         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO I LTD                                                                  | BBAM US CLO I LTD D1R TSFR3M+300 03/30/2038 144A                                                        | CUSIP: 054978AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      125000 | PA      | $124118.25      | 0.00%             | 2038-03-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 09/01/2055 #TBA                                                                            | CUSIP: 01F030694<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -69925000 | PA      | $-60583453.54   | -0.07%            | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA BUYER/ATLANTI                                                           | CALIFORNIA BUYER/ATLANTI 6.375% 02/15/2032 144A                                                         | CUSIP: 13005HAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     1660000 | PA      | $1683734.68     | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ1886                                                                        | CUSIP: 3138MHCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7080 | PA      | $6451.84        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2025-B                                     | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2025-B 4.58% 09/15/2027 144A                                    | CUSIP: 44935DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    23500000 | PA      | $23583352.15    | 0.03%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                                                              | WILLIAMS SCOTSMAN INC 6.625% 04/15/2030 144A                                                            | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |      800000 | PA      | $828060.00      | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 07/01/2036#CB1180                                                                          | CUSIP: 3140QLJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      261752 | PA      | $241403.63      | 0.00%             | 2036-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2051#MA4239                                                                          | CUSIP: 31418DV90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9274496 | PA      | $8124648.81     | 0.01%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER AG                                                                      | SCHAEFFLER AG 4.75% 08/14/2029 REGS                                                                     | CUSIP: N/A<br>LEI: 549300Q7E782X7GC1P43       | Long             | DBT              | CORP              | DE        |      800000 | PA      | $963975.32      | 0.00%             | 2029-08-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.884%/VAR 10/22/2030                                                       | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $7566975.92     | 0.01%             | 2030-10-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                                                     | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1176219 | PA      | $1160145.80     | 0.00%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                     | COMMERZBANK AG 4.875%/VAR 10/16/2034 REGS                                                               | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |      900000 | PA      | $1101431.25     | 0.00%             | 2034-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2035#                                                                                | CUSIP: 31297SW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         374 | PA      | $379.90         | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/40 #A90893                                                                                 | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36081 | PA      | $36681.02       | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TR 2024-B                                                 | MERCEDES-BENZ AUTO LEASE TR 2024-B 4.89% 02/15/2028                                                     | CUSIP: 58769GAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    33100000 | PA      | $33133609.74    | 0.04%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/01/2035#FS0112                                                                          | CUSIP: 3140XFDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5676269 | PA      | $5546067.49     | 0.01%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #436264                                                                                 | CUSIP: 36207MTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          38 | PA      | $38.21          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                           | SENSATA TECHNOLOGIES INC 3.75% 02/15/2031 144A                                                          | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |      690000 | PA      | $634200.11      | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                                           | ACADIA HEALTHCARE CO INC 7.375% 03/15/2033 144A                                                         | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |      400000 | PA      | $416553.60      | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #353768                                                                                 | CUSIP: 36203M6D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          32 | PA      | $32.36          | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/39 #670200                                                                                 | CUSIP: 36295GRV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7015 | PA      | $7220.99        | 0.00%             | 2039-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1                                    | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1 4.98% 12/11/2036 144A                                   | CUSIP: 36269KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3961000 | PA      | $4072586.52     | 0.00%             | 2036-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17578                                                                        | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       77321 | PA      | $72985.32       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** Heather Bonner

**Signature:** Heather Bonner

**Name of Signer:** Heather Bonner

**Title:** President and Treasurer