Invest Oct 2022

Defined Contribution Committee Meeting Agenda
Monday, October 24, 2022

10:00 A.M.
I. R4 Class Shares TIAA

(Information Only)
II. Optional Retirement Plan Annual Review

(Information Only)
a. TIAA
b. VALIC
c. VOYA
III. Other
Defined Contribution
Committee Members: Dr. Brian Rutledge, Committee Chair Mr. Bill Benson, Board Chair
Mr. George Dale
Ms. Kimberly Hanna
State Treasurer David McRae
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The new CREF R4 class
Competitive performance with lifetime

income—available at the lowest expenses
in the industry1
A more affordable way to manage your investment menu
The CREF R4 class offers a new option for you and your employees. The R4 class offers the lowest expense ratio
for CREF Accounts—ranging from 4 to 11 basis points—as compared to other variable annuities. The R4 class also
removes recordkeeping and plan services expenses, eliminating plan services expense offsets. As a result, you and
your employees can benefit from lower account costs.
The R4 class is designed to provide more flexibility in plan menu design. Available through the TIAA Retirement
Choice and Retirement Choice Plus contracts, CREF R4 lets you choose how to pay for recordkeeping services,
while still offering the same benefits as the other CREF classes, including lifetime income, an experienced portfolio
management team, and being offered at-cost. With the CREF R4 lower expense ratio, you have the opportunity to
provide greater return potential for your employees.
For institutional investor use only. Not for use with or distribution to the general public.
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Competitive performance with lifetime income—available at the lowest expenses in the industry
The opportunity for growth and lifetime income

The CREF suite provides a range of investments across several asset classes, making it easy to create and maintain a
diversified portfolio. CREF’s professionally managed investment options are designed to provide long-term performance
along with potential for growth. Importantly, CREF investments are designed to provide lifetime income to help hedge
against inflation in retirement.
The CREF Account family of investments

CREF Stock Invests in equities of CREF Social Invests in global stocks
Account companies of all styles Choice Account and bonds that meet
and sizes around the world certain environmental,
Global equities Balanced
social and governance
or impact criteria
CREF Global Invests broadly in stocks CREF Inflation- Invests in bonds whose
Equities Account across global markets Linked Bond returns are designed to
Account track an inflation index
Global equities
Fixed income
CREF Growth Invests in large- and CREF Core Invests in a wide range
Account mid-cap stocks of Bond Account of investment-grade,
innovative companies intermediate-term bonds
U.S. equities Fixed income
with enhanced growth
prospects
CREF Equity Invests in a portfolio of CREF Money Invests in high-quality,

Index Account equity securities that Market Account highly liquid U.S.
tracks the broad U.S. government securities
U.S. equities Fixed income
equity market
Take more control over fiduciary responsibilities with a lower-cost option

In response to market and competitive trends some plan sponsors are adopting zero revenue share investment offerings.
The R4 class offers advantages for both plan sponsors and plan participants because it can be:
W Used in participant fee leveling plans by allowing recordkeeping fees to be deducted
W Administratively simpler for recordkeeping fee reconciliation
W A factor in some plans achieving an overall lower net cost
For
institutional investor use only. Not for use with or distribution to the general public. 2
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Investment Distribution Mortality and Total annual

management Administrative expenses expense risk expense
expenses % expenses % (12b-1) % charges % deductions %
CREF Stock Account
Class R1 0.080 0.275 0.095 0.005 0.455
Class R2 0.080 0.155 0.050 0.005 0.290
Class R3 0.080 0.110 0.035 0.005 0.230
Class R4 0.080 0.020 0.005 0.005 0.110
CREF Global Equities Account
Class R1 0.070 0.275 0.095 0.005 0.445
Class R2 0.070 0.155 0.050 0.005 0.280
Class R3 0.070 0.110 0.035 0.005 0.220
Class R4 0.070 0.020 0.005 0.005 0.100
CREF Growth Account
Class R1 0.055 0.275 0.095 0.005 0.430
Class R2 0.055 0.155 0.050 0.005 0.265
Class R3 0.055 0.110 0.035 0.005 0.205
Class R4 0.055 0.020 0.005 0.005 0.085
CREF Equity Index Account
Class R1 0.010 0.275 0.095 0.005 0.385
Class R2 0.010 0.155 0.050 0.005 0.220
Class R3 0.010 0.110 0.035 0.005 0.160
Class R4 0.010 0.020 0.005 0.005 0.040
CREF Social Choice Account
Class R1 0.040 0.275 0.095 0.005 0.415
Class R2 0.040 0.155 0.050 0.005 0.250
Class R3 0.040 0.110 0.035 0.005 0.190
Class R4 0.040 0.020 0.005 0.005 0.070
CREF Inflation-Linked Bond Account
Class R1 0.020 0.275 0.095 0.005 0.395
Class R2 0.020 0.155 0.050 0.005 0.230
Class R3 0.020 0.110 0.035 0.005 0.170
Class R4 0.020 0.020 0.005 0.005 0.050
CREF Core Bond Account
Class R1 0.065 0.275 0.095 0.005 0.440
Class R2 0.065 0.155 0.050 0.005 0.275
Class R3 0.065 0.110 0.035 0.005 0.215
Class R4 0.065 0.020 0.005 0.005 0.095
CREF Money Market Account
Class R1 0.030 0.275 0.095 0.005 0.405
Class R2 0.030 0.155 0.050 0.005 0.240
Class R3 0.030 0.110 0.035 0.005 0.180
Class R4 0.030 0.020 0.005 0.005 0.060
The expenses shown above are final estimated expenses provided in the May 1, 2022, CREF Prospectus.
institutional investor use only. Not for use with or distribution to the general public.
For 3
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The lowest-cost option Plan services expense – CREF Accounts (%)

Across all the CREF Accounts, the R4 class has no plan Class R1 0.300
services expense due to recordkeeping being charged Class R2 0.150
separately, similar to Institutional class mutual funds. Class R3 0.100
Class R4 0.000
Learn how the new CREF R4 class may be an enhancement for your plan and your employees
Contact your Relationship Manager today. If you are served by the Administrator Telephone Center, call us at
844-500-5062, weekdays, 8 a.m. to 8 p.m. (ET).
Visit tiaa.org/public/plansponsors/investment-solutions/annuities.
1
Source: Morningstar Direct, February 23, 2022. CREF Accounts (R4) provide investments at the lowest expense rate in the industry compared to
other variable annuities, and in the bottom tenth percentile of mutual funds in the industry.
This material is for informational or educational purposes only and does not constitute investment advice under ERISA. This material does not take
into account any specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions
should be made based on the investor’s own objectives and circumstances.
A variable annuity is an insurance contract and includes underlying investments whose value is tied to market performance. When markets are up,
you can capture the gains, but you may also experience losses when markets are down. When you retire, you can choose to receive income for life
and/or other income options. There are risks associated with investing in securities including possible loss of principal. Diversification is a technique
to help reduce risk. It is not guaranteed to protect against loss.
You could lose money by investing in the CREF Money Market Account. Because the accumulation unit value of the
Account will fluctuate, the value of your investment may increase or decrease. An investment in the Account is not insured
or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Account’s sponsor has
no legal obligation to provide support to the Account, and you should not expect that the sponsor will provide financial
support to the Account at any time.
Investment, insurance and annuity products are not FDIC insured, are not bank guaranteed, are not deposits, are not insured by any federal government
agency, are not a condition to any banking service or activity, and may lose value.
You should consider the investment objectives, risks, charges and expenses carefully before investing. Please call
877-518-9161 or go to TIAA.org/prospectuses for current product and fund prospectuses that contain this and other
information. Please read the prospectuses carefully before investing.
TIAA-CREF Individual & Institutional Services, LLC, Member FINRA, distributes securities products. Annuity contracts and certificates are issued by
Teachers Insurance and Annuity Association of America (TIAA) and College Retirement Equities Fund (CREF), New York, NY. Each is solely responsible
for its own financial condition and contractual obligations.
©2022 Teachers Insurance and Annuity Association of America-College Retirement Equities Fund, 730 Third Avenue, New York, NY 10017
For institutional investor use only. Not for use with or distribution to the general public.
1393502_1635401
(04/22)
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Frequently Asked Questions
Introduction of new CREF R4 Share Class
Background
TIAA is committed to evolving and innovating to meet our client needs. As another step to create
more flexibility in the pricing of CREF, we are excited to announce that CREF is launching a new class
– R4 - in late April 2022 as part of the annual prospectus update. This new class will have a lower
administrative and distribution expense compared to the R1, R2 and R3 classes. The new R4 class
offers total projected R4 expense ratios ranging from 6-12 bps while still offering the benefit of
lifetime income to plan participants.
The R4 class will be available to institutions who have adopted TIAA Retirement Choice (RC)/TIAA
Retirement Choice Plus (RCP) Contracts. TIAA will not provide any plan services or recordkeeping
offset for the R4 class. The new class helps meet the demand for greater transparency of fees based
on the feedback we have heard from you and your clients.
Q1. What is changing?
Effective April 29, 2022, a new class will be added to the existing R1-R3 structure. This new R4 class
will offer the lowest expense ratio for CREF. All recordkeeping and plan service expenses will be
removed from the Administrative & Distribution (A&D) portion of the expense ratio for this class.
Recordkeeping related to CREF R4 will be paid separately via recordkeeping services agreements
that TIAA has with plan clients as it is handled for mutual funds. Investment Advisory expenses and
the M&E risk charge will remain consistent across all classes.
The expense ratios for the R4 class will have differentiation in the A&D expenses to reflect the
fact that recordkeeping and plan service expenses will no longer be included. You can view
specifics here.
Q2. When will the change take place?
CREF R4 will be effective as of April 29, 2022
For institutional investor use only. Not for use with or distribution to the public.
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Q3. Why are you making this change?
TIAA is committed to evolving and innovating to meet our client needs. We are adding the new R4
class as another step to create more flexibility in the pricing of CREF.
Market and competitive trends are driving Plan Sponsors to adopt zero revenue share investment
offerings (institutional class-only line-ups). This additional class will meet the need of fee-leveling
clients and those with institutional class-only line-ups.
Q4. How are the CREF Accounts different from mutual funds?
CREF is a variable annuity and not a mutual fund. These Accounts were designed to be
converted into an income stream that can provide participants with annuity payments for a
specific number of years oreven for a lifetime.
Q5. How is TIAA making this change?
CREF filed a prospectus supplement on January 31 announcing that R4 would be available

effective April 29, 2022. This will be followed by the annual update to the CREF registration
statement in late April. Adoption of the R4 class is up to the Plan Sponsor and their Consultant
and can occur any time after the class goes live April 29, 2022. We are executing an extensive
communications plan late January/early February leading with Consultants followed by
communications directly to Plan Sponsors. If a Plan Sponsor is eligible, it will be up to that Plan
Sponsor and their Consultant to determine if they would like to adopt the R4 class on their menu.
Once a decision to adopt R4 is communicated to us, an implementation schedule will be provided
by your Relationship Manager.
We will offer two implementations (Sept 2022 & January 2023) and more details will be
communicated through our relationship managers. The deadline for implementations are April 15
and July 15 respectively. The plan is required to provide recordkeeping (RK) agreement update to
their Relationship Manager to reflect CREF recordkeeping fee. If R4 is adopted, assets in a CREF
Account in RC and RCP contracts at the time of the change will automatically be placed into the
R4 class. And all future contributions will also be assigned to the R4 class.
Q6. Who is eligible for the R4 Share Class?
Institutions must offer RC or RCP contracts to be eligible for the new R4 class. An institution must be
willing to sign a recordkeeping agreement or update their existing agreement to pay for CREF
recordkeeping-related expenses separately. This is the same approach as is used for plans with
institutional class mutual funds. Legacy contracts are not currently eligible because they do not allow
for a separate recordkeeping fee to be collected. This is the early phase of our work to continue to
innovate and evolve the CREF product suite and we are continuing to explore other alternatives to
address the legacy contracts and will communicate any future solution when we are able to do so.
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Q7. What criteria was used to determine the CREF class eligibility for R4 for an institution?
Plans with RC or RCP contracts are eligible for R4 class with a signed recordkeeping agreement to
pay for recordkeeping services.
Q8. Can our institution opt-out of this change? Can I choose the CREF class I want to be in?
Adopting the R4 class of CREF is entirely up the Plan Sponsor and their Consultant. If you are
not eligible to adopt R4 or choose not to if you are eligible, you will be continue to be subject to
the eligibility criteria for the R1-R3 classes.
Q9. What are the components of the CREF expense ratio currently?
The expense ratio consists of the following components. You can view specifics for each
account here.
• Investment management expenses. These expenses generally include investment

management, portfolio accounting and custodial services.
• Administrative expenses. These expenses cover expenses of the administration and
operations of CREF and the contracts, including expenses associated with recordkeeping,
premium allocation, tax and financial reporting, accounting, legal and compliance, facilities,
and other contract owner-related services.
• Distribution fees. These fees are paid under a distribution plan that CREF has
adopted authorizing payment of Rule 12b-1 or distribution fees, These fees are for
all expenses associated with the provision of distribution services for the CREF
contracts.
• Mortality and Expense (M&E) risk charge. This charge guarantees that CREF
participants transferring funds to TIAA for the immediate purchase of lifetime payout
annuities will not be charged more than the rate stipulated in the CREF contract.
Q10. Will any of TIAA-CREF’s individual products be affected?
No, the eligibility for the individual products is not changing. CREF individual products eligibility is
shown below.
Plan/Product New Class

Investment Solutions IRA R1
Keogh R1
After-Tax Retirement Annuity (ATRA) R2
Savings and Investment Plan (SIP) R3
Accumulation Unit Deposit Option (AUDO) R3
Q11. How will annuitants be affected?
Annuitants will continue to be aligned to the R3 class, no matter what their class designation was
in their institutional retirement plan(s) or individual product(s) before receiving annuity income.
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Q12. How will CREF’s R4 expense ratio look relative to the market?
Based on recent Morningstar* analysis, the expense ratios for the CREF R4 Account classes are
projected to be in the bottom decile of their respective Morningstar open-end mutual fund and
variable annuity category for all accounts.
*Applies to mutual fund and variable annuity expense ratios. Source: Morningstar Direct, December 31, 2021. 64%
of TIAA-CREF funds and variable annuity accounts have expense ratios that are in the bottom quartile (or 89.61%
below median) of their respective Morningstar category. Our mutual fund and variable annuity products are subject to
various fees and expenses, including but not limited to management, administrative, and distribution fees; our
variable annuity products have an additional mortality and expense risk charge.
Q13. Does CREF expect to collect any additional revenue as a result of adding a new class?
No. CREF does not collect any additional revenue as a result of creating an additional class in its
offering. CREF is an at-cost product and will remain so after this change. We are creating the new
R4 class to allow for flexibility in how TIAA collects recordkeeping expenses from clients. Each
client’s economics is unique and overall fee experience for participants should be considered when
evaluating whether to add class R4. The A&D costs for the R4 class is limited to product specific
costs required to offer a registered product.
Q14. Why was eligibility for the new R4 class not designated by asset level?
The R4 class was created to allow more flexibility in how Plan Sponsors pay for recordkeeping and
plan service expenses. The differentiation in the existing class structure (R1-R3) is based on size of
client because recordkeeping and plan service expenses are similar for similar sized clients. Since
the R4 class does not contain recordkeeping or plan service expenses and is paid for separately by
the plan, any client of any size may adopt this structure. The separate recordkeeping fee will be
negotiated between TIAA and the client and will reflect that client’s economic factors including asset
level.
Q15. What do I need to do as a plan sponsor if the plan decides to adopt R4?
A regulatory change notice including fee disclosure must be sent to all plan participants
(regardless of ERISA or non-ERISA status of the plan) record kept by TIAA. Notices also must be
sent to non-participating eligible employees of ERISA covered plans (i.e., those employees with
plan accounts serviced by providers other than TIAA and who have an opportunity to invest in a
CREF Account). TIAA will be supporting you in fulfilling these requirements. Sending the fee change
notification at least 60 days prior to the change satisfies applicable regulatory requirements. These
notifications will be managed either by TIAA or the plan sponsor, based on the plan sponsor’s
direction. In addition, participants with CREF certificates will receive an endorsement from TIAA..
Q16. Will TIAA notify my employees of this change?
Yes. If a Plan Sponsor decides to adopt the R4 class, TIAA will handle the required notifications for
participants on our recordkeeping system, as part of the implementation process and as directed
by the Plan Sponsor. Participants will receive information about their plan adopting class R4 of
CREF at least 30 days in advance of the implementation date. Notification will be delivered via
email for those who have opted-into receive electronic delivery of both public notices and fee
disclosures, and via USPS for all other participants. (Note that non-ERISA participants need only to
opt-in to public notices to qualify for electronic delivery.)
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Q17. If I have other questions, whom can I contact?
You can contact your Relationship Manager, or if you are serviced by the Administrator Telephone
Center, please call them at 888 842-7782, Monday to Friday, 8 a.m. to 8 p.m. (ET).
CONSULTANT/INTERMEDIARY-SPECIFIC Q&A
Q18. Will this have any effect on fee billing?
No. Any existing fee billing arrangement between individuals and their advisors will not be
affected.
Q19. What effect does this have on the client’s revenue credit account?
Based on the class the plan sponsor’s plan is eligible for and the plan services expense associated
with that class, the revenue credit account may be affected. Our Relationship Managers will be
working with you and the plan sponsor to determine that affect.
Please reach out to our Consultant Relations team for additional information.
A variable annuity is an insurance contract and includes underlying investments whose value, similar to a mutual fund, is tied to market
performance. When markets are up, you can capture the gains, but you may also experience losses when markets are down. When
you retire, you can choose to receive income for life and/or other income options.
Annuities are designed for retirement and other long-term goals. They offer several payment options, including lifetime income. When
you contribute to an annuity, your money must remain in it until you reach age 59-1/2. If you withdraw earnings before then, you may
be subject to a 10% early withdrawal penalty. You may also pay ordinary income tax on other withdrawals from a qualified annuity.
Depending on the issuing company, product and available options, the income may be fixed or variable. Guarantees and fixed-income
payments are based on the claims- paying ability of the issuer. Variable annuity income varies based on the performance of the sub-
accounts. Please note that with variable annuities, your money will be subject to the risks associated with investing in securities,
including loss of principal.
This material is for informational or educational purposes only and does not constitute investment advice under ERISA. This material
does not take into account any specific objectives or circumstances of any particular investor, or suggest any specific course of action.
Investment decisions should be made based on the investor’s own objectives and circumstances.
You should consider the investment objectives, risks, charges and expenses carefully before investing.
Please call 877-518-9161 or go to www.TIAA.org/prospectuses for current product prospectuses that
contain this and other information. Please read the prospectuses carefully before investing.
CREF variable annuity contracts are issued by College Retirement Equities Fund, New York, NY. TIAA-CREF Individual & Institutional
Services, LLC, Member FINRA, distributes securities products. Annuity contracts and certificates are issued by Teachers Insurance and
Annuity Association of America (TIAA) and College Retirement Equities Fund (CREF), New York, NY. Each is solely responsible for its
own financial condition and contractual obligations.
©2022 Teachers Insurance and Annuity Association of America-College Retirement Equities Fund, 730 Third Avenue,
New York, NY 10017
2003992 (01/22)
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Plan Review
Public Employees Retirement
System, State of Mississippi -
Optional Retirement Plan
Optimizing plan effectiveness to help drive better

outcomes
October 24, 2022
Delivered by: John P. Lima, Sr. Relationship Manager

Ciaran Murphy, Senior Director, Institutional Investment Strategy
Data as of June 30, 2022
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TIAA Overview/Update
PERS MS - ORP
For Institutional Investor Use Only. Not For Use With Or Distribution To The Public. 12/521 Mississippi PERS | 2
Partner with a proven industry leader providing income
solutions for more than a century
Combining core retirement leadership of TIAA with the investment innovation of Nuveen
Founded: 1918
Founded: 1898
• Among highest-rated insurance companies in the
+
U.S. by three of the four leading rating agencies1 • Investment manager of TIAA that provides
capabilities spanning public and private
• Largest general account of U.S. insurers; statutory investments
capital is 60% larger than next largest insurer2
• Over 120-year history of helping clients
• Not-for-profit heritage; has never missed a payment meet financial goals
— Pays more lifetime income than any other • 5th largest manager of defined
insurer — almost 60% more4 contribution assets3
— 22.4% higher lifetime income for career
contributors vs. new contributors (on average)5
— Credited more than guaranteed rate
every year since 19485 Fixed income | Equities | Real estate
Retirement | Advice | Banking | Investing Real assets | Private capital | Multi-asset
FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR USE WITH OR

DISTRIBUTION TO THE PUBLIC. Public Employees Retirement System, State of Mississippi | 3
13/521 10/24/2022 |
TIAA’s goal for more than 100 years: helping millions stay
on the path toward a secure retirement
Benefit from our success with guaranteed lifetime income
Andrew Carnegie Thasunda Brown Duckett

In 1918, Andrew Carnegie, one of Create a diverse, long-term plan
America’s greatest philanthropists, with a guaranteed income stream,
created the Teachers Insurance and no matter what the market does.
Annuity Association (TIAA), a fully Provide opportunities for Americans
funded pension system for college to receive higher growth and income.
educators, through a $1 million grant
from the Carnegie Corporation.
Today, TIAA is a Fortune 100 financial1 services organization committed to

helping institutions and individuals pursue positive outcomes through a
long-term investment perspective.
• Carnegie’s vision for college educators would become the foundation for the American pension system.
• His $1 million investment has nearly $1.3 trillion in assets under management.2
12022. 2As of March 31, 2022, assets under management across Nuveen Investments affiliates and TIAA investment management teams are $1,321 billion.
FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR USE WITH OR

DISTRIBUTION TO THE PUBLIC. Public Employees Retirement System, State of Mississippi | 4
14/521 10/24/2022 |
TIAA Update/Facts & Stats
15/521 Mississippi PERS | 5

TIAA Update/Facts & Stats

The TIAA Service Team
Offer to meet with all participants
Increased presence to provide advice
Integrated Team to serve Mississippi
Your TIAA Team
Timothy O’Donnell Joanna Makinster Ben Tyson, Sr. Dir. Ciaran Murphy, Sr. Dir. Ellis Jefferson Alissa Domasky
MD- Territory Leader Relationship Manager Advisory & Financial Consulting Communication Consultant
Sr. Investment Strategist Client Service Manager
Richella Vincent Lee Jared Gilbert Jason Caplan Angie Killingsworth Tre Thomas Richard Stamps Chuck Prosser
Financial Consultant Financial Consultant Wealth Mngt Advisor Wealth Mngt Advisor Wealth Mngt Advisor Wealth Mngt Advisor Wealth Mngt Advisor
For institutional investor use only. Not for use with or distribution to the public. 17/521 Public Employees Retirement System, State of Mississippi | 10/24/22 | 7
7
TIAA Representatives assigned to Mississippi
Timothy O’Donnell, MD – Market Leader Jared Gilbert, Financial Consultant (covers the entire state)
6 Concourse Parkway Suite 2600 2545 Highland Avenue, Suite 100
Atlanta, GA 30328 Birmingham, AL 35205
770-512-3523 205-582-6908
[email protected] [email protected]
Joanna Makinster, Relationship Manager Jason S. Caplan, Wealth Management Advisor (covers northern Mississippi)
6 Concourse Parkway Suite 2600 Memphis, TN 901-818-3200
Atlanta, GA 30328 [email protected]
770-512-3559
[email protected] Tre Thomas, Wealth Management Advisor, CFP (covers the entire state)
2545 Highland Avenue, Suite 100
Ben Tyson, Sr. Director - Advisory & Financial Consulting Birmingham, AL 35205
5001 Celebration Pointe | Suite 180 205-582-6923
Gainesville, FL 32608 [email protected]
352-339-7111
[email protected] Chuck Prosser, Wealth Management Advisor (covers the entire state)
2545 Highland Avenue, Suite 100
Ciaran Murphy, Sr. Director Birmingham, AL 35205
8500 Andrew Carnegie Blvd | Charlotte, NC 28262 201-582-6906
312-345-5626 [email protected]
[email protected]
Richard Stamps, Wealth Management Advisor (covers the entire state)
Richella B. Vincent Lee, Financial Consultant (covers the entire state) 2545 Highland Avenue, Suite 100
6 Concourse Parkway | Suite 2600 (resides in Jackson, MS) Birmingham, AL 35205
Atlanta, GA 30328 205-582-6921
770-512-3570 [email protected]
[email protected]
Angie Killingsworth, Wealth Management Advisor, CFP (covers the entire state)
Ellis Jefferson 2545 Highland Avenue, Suite 100
Client Services Manager Birmingham, AL 35205
8500 Andrew Carnegie Blvd | C4-08, Charlotte, NC 28262 205-582-6920
Tel: 704-988-0043 [email protected]
[email protected]
Alissa Domasky, Sr. Communications Consultant

2850 Lake Vista Dr. | Suite 110
Lewisville, TX 75067
972-745-9884
[email protected]
18/521 Public Employees Retirement System, State of Mississippi 10/24/22 | 8
SECURE Act:
Closing today’s gaps in retirement readiness
Coverage gap Savings gap Guarantee gap

Not enough Americans have Americans aren’t Americans aren’t managing
access to a plan saving enough their savings after they retire
to ensure income for life
Over the past few years, a variety of legislative and Retirement providers can leverage
regulatory decisions have focused on helping improve the 403(b) model’s proven ability to
U.S. retirement saving system’s coverage and savings gaps. provide guaranteed lifetime income
to help solve the guarantee gap.
FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR USE WITH OR DISTRIBUTION TO THE PUBLIC. Public Employees Retirement System, State of Mississippi | 9
19/521 10/24/2022 |
Advice is accessible through multiple channels to better serve
your multi-dimensional workforce
We will help you

We will be here to
We will support you validate your financial goals as your
answer questions about asset
if you prefer to transact and gather needs change answer questions
consolidation or complex financial
knowledge online about your plan or broader financial
goals
goals
Self Guided Virtual In person

 Access to online advice  Speak with a financial consultant or  Meet with a financial consultant or
tools/resources 24/7 via custom member of our Advisory consultant advisor for personalized advice
microsite team session
 Retirement Advisor tool  Collaborate on a short-term  Access specialized advice for
immediate need or comprehensive complex financial needs
 Retirement Income Illustration planning
 On-demand consultant support
Advice provided by financial consultants is obtained using an advice methodology from Morningstar Investment Management, LLC. Advice services provided by our Individual
Advisory Services Group are provided by Advice & Planning Services, a division of TIAA-CREF Individual & Institutional Services, LLC, a registered investment adviser.
Public Employees Retirement System, State of Mississippi |

For institutional investor use only. Not for use with or distribution to the public. 20/521 10/24/2022 | 10
Review of Fund Platform/
Monitoring Investments
PLACEHOLDER PHOTOGRAPH
ON THE MASTER SLIDE, DELETE
THIS PLACEHOLDER, PLACE AND
SIZE A PHOTO,
THEN SEND IT TO THE BACK SO
THAT IT
SHOWS THROUGH THIS WINDOW.
21/521
Usage of New Funds
Plan Year Summary
Mississippi Optional Retirement Plan - 151605
TIAA
Plan Activity
For The Fiscal Period Ended June 30, 2022
Ref ID: 31221vad

Opening Balance 07.01.2021 $ 833,033,315.48
Contribution $ 51,363,422.24
Cash Earnings $ 718,261.02
Dividends $ 23,257,323.11
Misc Receipts $ 12,484.56
Transfer In $ 98,376,072.42
Plan Xfer In $ 39,769.62
Transfer Out $ (98,376,065.50)
Forfeiture Db $ -
Termination $ (29,579,299.71)
Misc Db $ (12,484.56)
Withdrawal $ (1,783.31)
Plan Xfer Out $ (1,097,735.40)
Plan Servicing Credit $ 620,207.51
Other Fees $ (275,650.78)
Rollover In $ 1,459,908.89
Gain/Loss $ (128,889,711.13)
Closing Balance 06.30.2022 $ 750,648,034.46

Plan Assets by University
For The Fiscal Year 2022

Ref ID: 31221vad
Mississippi Mississippi Valley
Alcorn State Delta State Jackson State Mississippi State University for State University - University of University of Mississippi University of Southern Total by Fund and
Fund Asset Class University - P301 University - P302 University - P303 University - P304 Women - P305 P306 Mississippi - P307 Medical Center - P308 Mississippi - P309 Asset Class
American EuroPac Growth R6 Equities 225,504.94 269,809.63 764,491.85 5,224,287.50 140,076.75 241,401.13 4,198,953.02 3,069,469.86 2,639,317.70 16,773,312.38
CREF Core Bond R3 Fixed Income 662,362.80 383,918.07 600,334.85 6,485,376.76 349,138.40 422,345.06 4,372,803.80 4,371,551.49 3,471,881.23 21,119,712.46
CREF Equity Index R3 Equities 552,390.73 885,325.13 1,616,245.58 15,458,010.90 1,045,931.29 133,587.45 14,196,446.23 11,361,130.26 9,522,819.34 54,771,886.91
CREF Global Equities R3 Equities 295,796.32 500,604.22 2,305,899.60 14,442,460.79 1,051,165.66 599,318.36 8,883,198.87 5,720,144.15 6,685,736.13 40,484,324.10
CREF Growth R3 Equities 558,737.92 1,015,111.15 3,474,437.69 23,868,452.86 1,594,826.18 532,950.00 13,735,743.87 12,122,024.46 7,869,403.99 64,771,688.12
CREF Inflation-Linked Bond R3 Fixed Income 373,834.36 498,964.16 611,291.73 5,361,812.95 128,847.33 136,799.21 4,819,998.79 5,051,724.22 2,012,713.10 18,995,985.85
CREF Money Market R3 Money Market 1,343.81 414,614.12 1,399,684.01 2,933,383.15 118,200.26 335,061.27 2,418,099.83 2,700,231.60 1,808,503.61 12,129,121.66
CREF Social Choice R3 Multi-Asset 170,238.91 359,655.37 965,641.03 5,246,841.57 1,081,904.60 695,545.10 6,413,018.52 2,029,737.19 2,283,511.62 19,246,093.91
CREF Stock R3 Equities 1,431,980.56 2,206,624.72 6,544,463.36 37,563,324.63 2,205,067.71 1,539,639.77 28,586,381.79 20,497,394.07 18,509,629.58 119,084,506.19
Eaton Vance Large Cap Value I Equities 203,566.87 125,065.81 330,665.08 3,512,908.76 110,731.24 96,593.16 2,206,973.54 1,291,181.01 1,435,312.25 9,312,997.72
GW&K Small/Md Cp Core Equity I Other 8,109.14 47,018.38 303,504.99 1,841,214.48 48,952.42 124,205.29 1,242,385.85 796,004.73 475,750.77 4,887,146.05
Invesco Stable Value Trust C Other 204,393.09 127,622.75 617,124.84 2,187,484.44 84,496.92 92,914.72 2,650,020.26 1,456,756.20 1,196,785.12 8,617,598.34
John Hancock Pl Fix Inc Trust Other 42,287.84 51,411.69 32,109.65 640,229.20 17,420.59 36,749.92 348,224.48 354,073.35 319,534.66 1,842,041.38
State Str Russ SmMd Idx NoLe K Other 103,622.07 261,904.18 452,340.12 3,633,261.58 96,292.12 118,221.56 2,925,441.67 2,781,610.26 1,662,802.55 12,035,496.11
State Str S&P 500 Idx NonLen K Other 25,439.37 32,826.91 136,950.26 852,122.66 18,709.03 18,696.81 1,787,166.57 4,391,163.39 544,533.01 7,807,608.01
TIAA Real Estate Real Estate 861,932.04 724,695.96 2,849,156.43 12,197,547.55 506,871.61 416,899.13 8,718,795.90 6,778,197.32 6,352,751.13 39,406,847.07
TIAA Traditional Guaranteed 2,425,770.28 2,346,589.22 12,964,660.14 37,008,978.20 1,758,034.49 3,371,152.22 31,627,757.69 15,068,819.62 17,577,013.74 124,148,775.60
TIAA-CREF Lfcyle Rtmt Inc-Inst Multi-Asset 0.00 282,159.09 49.34 78,727.59 103,040.11 53,973.23 517,949.36
TIAA-CREF Lifecycle 2010-Inst Multi-Asset 88,803.49 90,255.61 223,097.29 438,516.10 149,483.05 494,869.47 262,472.21 262,726.89 2,010,224.11
TIAA-CREF Lifecycle 2015-Inst Multi-Asset 17,215.97 31,436.01 546,376.24 252,753.62 15,046.88 366,209.92 846,838.85 158,021.82 2,233,899.31
TIAA-CREF Lifecycle 2020-Inst Multi-Asset 271,080.27 482,219.45 1,059,077.96 492,829.70 159,055.03 1,076,206.07 2,859,596.25 1,433,640.26 7,833,704.99
TIAA-CREF Lifecycle 2025-Inst Multi-Asset 197,009.28 215,521.93 715,360.88 3,437,604.98 103,343.32 323,972.65 3,437,374.27 2,543,643.20 2,571,055.88 13,544,886.39
TIAA-CREF Lifecycle 2030-Inst Multi-Asset 340,889.61 282,559.55 561,338.74 5,385,094.82 268,257.10 314,691.05 2,463,545.67 2,288,114.37 727,787.46 12,632,278.37
TIAA-CREF Lifecycle 2040-Inst Multi-Asset 123,987.54 1,316,264.41 537,210.48 5,091,719.22 308,655.75 10,818.15 9,649,249.69 8,940,453.17 2,942,859.04 28,921,217.45
TIAA-CREF Lifecycle 2045-Inst Multi-Asset 345,017.32 1,011,622.92 1,161,856.96 7,222,053.50 770,925.13 166,843.22 12,148,244.33 12,871,014.11 3,319,916.88 39,017,494.37
TIAA-CREF Lifecycle 2055-Inst Multi-Asset 129,666.71 184,660.86 195,290.29 2,564,729.14 67,719.71 42,750.18 1,697,539.09 5,980,643.86 268,698.06 11,131,697.90
TIAA-CREF Lifecycle 2060-Inst Multi-Asset 65,530.69 44,389.46 498,360.61 15,185.79 212,845.02 1,184,010.94 116,986.89 2,137,309.40
Vanguard Federal Money Mkt Inv Money Market 117,480.65 1,330,546.83 1,628,434.49 2,945.42 413.58 304,474.39 1,081,523.21 439,411.73 4,905,230.30
Grand Total 10,322,965.56 14,939,695.57 42,704,274.01 218,389,647.87 12,436,551.68 10,592,826.96 184,642,287.39 153,943,871.46 102,675,911.10 750,648,031.60
Contributions by Asset Class/Investment Option/University
Mississippi ORP - 151605

TIAA-CREF
Contributions by Investment
Mississippi Valley University of University of
Alcorn State University Delta State University Jackson State Mississippi State Mississippi University State University - University of Mississippi - Mississippi Medical Southern
Fund Asset Class - P301 - P302 University - P303 University - P304 for Women - P305 P306 P307 Center - P308 Mississippi - P309 Total by Fund
American EuroPac Growth R6 Equities 18,078.39 34,226.10 89,126.51 458,611.37 5,534.20 21,566.20 420,004.80 310,772.85 165,535.07 1,523,455.49
CREF Core Bond R3 Fixed Income 0 0 0 0 0 0 0 0 0 0
CREF Equity Index R3 Equities 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
CREF Global Equities R3 Equities 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
CREF Growth R3 Equities 9,490.32 25,145.13 113,488.24 1,161,896.18 35,533.31 13,104.01 672,487.71 1,026,338.50 291,638.76 3,349,122.16
CREF Inflation-Linked Bond R3 Fixed Income 11,198.07 16,231.44 30,807.17 276,705.00 7,956.20 7,034.74 213,954.51 215,308.33 108,428.76 887,624.22
CREF Money Market R3 Money Market 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
CREF Social Choice R3 Multi-Asset 1,225.56 13,420.32 40,236.28 181,800.75 36,286.08 16,142.88 266,057.89 139,428.93 93,300.31 787,899.00
CREF Stock R3 Equities 67,337.19 106,079.74 401,204.22 2,167,113.85 94,162.21 74,555.28 1,605,318.84 1,243,380.58 826,756.77 6,585,908.68
Eaton Vance Large Cap Value I Equities 5,996.01 8,036.22 25,800.01 223,899.21 2,870.97 4,166.21 178,506.56 168,095.14 65,144.33 682,514.66
GW&K Small/Md Cp Core Equity I Other 0.00 2,690.29 18,294.54 128,408.03 1,575.41 3,716.11 69,295.90 69,849.39 25,030.23 318,859.90
Invesco Stable Value Trust C Other 122,002.94 55,228.49 291,759.32 938,333.81 39,626.76 55,790.99 924,704.01 457,910.50 437,674.58 3,323,031.40
John Hancock Pl Fix Inc Trust Other 41,206.64 44,407.92 22,949.99 434,145.41 16,866.06 34,410.45 239,080.14 278,384.86 139,759.32 1,251,210.79
State Str Russ SmMd Idx NoLe K Other 8,556.11 11,533.37 42,909.24 283,134.09 2,085.64 9,264.34 321,399.86 347,351.54 119,156.76 1,145,390.95
State Str S&P 500 Idx NonLen K Other 23,102.58 27,355.66 74,868.16 673,619.71 10,712.40 13,835.10 708,568.14 1,246,886.23 278,681.42 3,057,629.40
TIAA Real Estate Real Estate 29,395.36 32,203.83 99,573.05 475,374.56 16,200.32 12,297.64 376,872.71 350,821.15 264,285.25 1,657,023.87
TIAA Traditional Guaranteed 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
TIAA-CREF Lfcyle Rtmt Inc-Inst Multi-Asset 0.00 13,360.49 0.00 27,499.22 3,921.90 0.00 44,781.61
TIAA-CREF Lifecycle 2010-Inst Multi-Asset 0.00 7,336.85 9,500.40 86,229.91 15,120.72 63,793.96 91,197.56 1,959.48 275,138.88
TIAA-CREF Lifecycle 2015-Inst Multi-Asset 0.00 0.00 23,580.41 29,533.99 0.00 63,332.92 155,519.02 29,389.85 301,356.19
TIAA-CREF Lifecycle 2020-Inst Multi-Asset 36,576.59 55,802.56 95,546.12 57,143.24 23,379.91 149,114.56 358,178.98 130,828.79 906,570.75
TIAA-CREF Lifecycle 2025-Inst Multi-Asset 25,829.20 60,196.73 70,904.66 327,925.95 16,080.16 37,440.56 440,621.64 378,439.87 198,556.66 1,555,995.43
TIAA-CREF Lifecycle 2040-Inst Multi-Asset 62,682.95 158,046.65 101,588.68 747,732.41 52,343.89 12,409.87 1,003,222.03 907,725.33 274,898.16 3,320,649.97
TIAA-CREF Lifecycle 2045-Inst Multi-Asset 47,218.35 105,129.03 146,273.70 1,087,303.18 62,537.77 0.00 1,713,279.94 1,832,400.02 383,417.50 5,377,559.49
TIAA-CREF Lifecycle 2050-Inst Multi-Asset 59410.71 113070.13 24142.07 1688153.21 56910.71 7779.52 1112205.79 1785353.4 806639 5653664.54
TIAA-CREF Lifecycle 2055-Inst Multi-Asset 26090.82 48744.61 31385.67 815532.43 15893.37 15270.01 680589.32 1581669.96 92046.04 3307222.23
TIAA-CREF Lifecycle 2060-Inst Multi-Asset 20330.93 14250.68 196646.23 17849.82 105780.38 434577.62 26319.06 815754.72
Vanguard Federal Money Mkt Inv Money Market 44777.5 48410.66 23256.19 97.35 0 36995.87 1305.65 7985.04 162828.26
Grand Total $ 737,823.95 $ 1,026,805.66 $ 2,019,466.94 $ 13,996,752.93 $ 581,517.76 $ 439,101.16 $ 12,705,825.04 $ 14,865,648.63 $ 4,990,480.17 $ 51,363,422.24
Contributions by Employee/Employer

TIAA
Contributions by Source
Ref ID: 31221vad
Mississippi Valley
Alcorn State Delta State Jackson State Mississippi State Mississippi University State University - University of University of Mississippi University of Southern
Fiscal 2022 University - P301 University - P302 University - P303 University - P304 for Women - P305 P306 Mississippi - P307 Medical Center - P308 Mississippi - P309 Total by Source
Employee Contribution 279,584.05 389,089.02 765,239.86 5,303,810.15 220,355.39 166,389.24 4,814,249.16 5,633,064.33 1,892,006.03 19,463,787.23
University Contribution 458,239.90 637,716.64 1,254,227.08 8,692,942.78 361,162.37 272,711.92 7,891,575.88 9,232,584.30 3,098,474.14 31,899,635.01
Grand Total $ 737,823.95 $ 1,026,805.66 $ 2,019,466.94 $ 13,996,752.93 $ 581,517.76 $ 439,101.16 $ 12,705,825.04 $ 14,865,648.63 $ 4,990,480.17 $ 51,363,422.24
Participant Demographics – Active/Inactive/University

TIAA
Participant Count by Contract Status
For The Fiscal Year End 2022
Ref ID: 31221vad
Alcorn State University - Delta State University - Jackson State University - Mississippi State Mississippi University for Mississippi Valley State University of Mississippi - University of Mississippi University of Southern
Status P301 P302 P303 University - P304 Women - P305 University - P306 P307 Medical Center - P308 Mississippi - P309 Total by Contract Status
Active 41 71 108 631 45 30 602 542 259 2329
Inactive 51 62 143 747 67 53 616 499 397 2635
Grand Total 92 133 251 1378 112 83 1218 1041 656 4964
Total Participants by Investment Option/University

TIAA
Participant Count by Investment
For The Fiscal Year Ended 2022
Ref ID: 31221vad
Delta State University of University of

Alcorn State University - Jackson State Mississippi State Mississippi University Mississippi Valley University of Mississippi Medical Southern
Investment University - P301 P302 University - P303 University - P304 for Women - P305 State University - P306 Mississippi - P307 Center - P308 Mississippi - P309
American EuroPac Growth R6 11 15 34 191 13 13 151 106 104
CREF Core Bond R3 19 27 49 268 26 19 206 140 132
CREF Equity Index R3 10 21 43 265 25 9 201 148 147
CREF Global Equities R3 10 23 59 321 30 17 213 115 175
CREF Growth R3 14 25 56 326 30 15 205 165 158
CREF Inflation-Linked Bond R3 15 20 50 259 13 13 218 117 122
CREF Money Market R3 2 12 21 114 6 11 100 68 58
CREF Social Choice R3 5 16 38 178 21 18 137 69 88
CREF Stock R3 28 49 108 541 43 27 395 244 265
Eaton Vance Large Cap Value I 10 12 27 153 13 11 104 75 79
GW&K Small/Md Cp Core Equity I 4 5 23 108 11 6 70 41 43
Invesco Stable Value Trust C 16 17 40 152 10 12 144 79 85
John Hancock Pl Fix Inc Trust 9 11 13 96 5 7 72 60 47
State Str Russ SmMd Idx NoLe K 9 16 34 180 13 12 144 112 95
State Str S&P 500 Idx NonLen K 7 9 22 113 6 5 118 93 67
TIAA Real Estate 30 40 92 450 28 27 343 242 240
TIAA Traditional 41 51 131 647 52 47 470 271 320
TIAA-CREF Lfcyle Rtmt Inc-Inst 7 1 7 6 2
TIAA-CREF Lifecycle 2010-Inst 1 1 5 14 1 9 3 4
TIAA-CREF Lifecycle 2025-Inst 4 6 9 34 5 4 32 21 20
TIAA-CREF Lifecycle 2060-Inst 2 2 28 3 13 43 4
Vanguard Federal Money Mkt Inv 2 3 11 2 1 9 6 3
Employee summary: Gender and age1
Demographics by Age and Gender
900
785
800 750
# of participants
700 599
633
600 538
500 413
363
400 325
293
300 205
200
100 5 1
0
<25 25-34 35-44 45-54 55-64 >64
Male Female
AGE
Employee Contribution Amounts by Gender Diversification by Gender

MALE FEMALE
1,000 909
# of participants
900
800 674
700 17% 16%
600
500
400 2% 37% 2%
262 246
300
251 243
43% 4%
200 117 87
180
122 155 156 6%
69 67 47 74
100 30 15
0
32% 41%
Contribution amount3 Male Female ■ Guaranteed ■ Money Market ■ Fixed Income ■ Multi-Asset/Other 2 ■ Equities
This report is as of the period ending 06/30/2022 and reflects the trailing 12 months of activity unless otherwise noted. The report includes all TIAA plans except 457(f), 457(b) Private,
Nonqualified Deferred Compensation, and Retirement Healthcare plans. 1. Data reflected is for all participant statuses except Employee Contribution Amounts by Gender which includes only
active or leave status. Does not include 62 participants with no age or gender on file. 2. Multi-Asset/Other includes Lifecycle, Real Estate, and Brokerage. 3. Contribution data reflects the trailing
12 months of data.
New and Closed Enrollment by University

TIAA
Enrollment
Ref ID: 31221vad
Alcorn State Delta State University - Jackson State Mississippi State University - Mississippi University for Mississippi Valley State University of Mississippi - University of Mississippi University of Southern
Status University - P301 P302 University - P303 P304 Women - P305 University - P306 P307 Medical Center - P308 Mississippi - P309
New Enrollments 7 9 7 84 11 3 62 103 26
Closed Accounts 2 4 14 47 1 4 26 50 17
Difference 5 5 -7 37 10 -1 36 53 9
Participant Average Balance by Age + Diversification of Investment Options
<30 30-39 Years 40-49 Years 50-59 Years >=60 Years Total
Average by Age Range 19,521.50 55,976.88 136,284.76 205,590.78 234,637.79 151,202.28

TIAA
Ref ID: 31221vad
Portfolio Count Number of Participants
1 2,484
2 405
3 312
4 387
5 299
6 246
7 160
8 163
9 165
10 105
11 113
12 59
13 31
14 17
15 6
16 3
17 6
18 2
24 1
4,964
Avg # of Investment Options

3.3441
Employee summary: Participant diversification
Diversification by Age and Gender1
Age % Guaranteed % Money Market % Fixed Income % Multi Asset/Other2 % Equities
Female Male Female Male Female Male Female Male Female Male
<25 0% 0% 0% 0% 0% 0% 44% 86% 56% 14%
25-34 3% 1% 2% 0% 1% 1% 87% 82% 8% 16%
35-44 5% 6% 2% 1% 3% 3% 68% 56% 21% 33%
45-54 13% 13% 1% 2% 4% 5% 37% 33% 45% 46%
55-64 22% 19% 2% 3% 5% 7% 25% 24% 47% 48%
>64 32% 29% 6% 3% 6% 8% 26% 20% 31% 39%
This report is as of the period ending 06/30/2022 and reflects the trailing 12 months of activity unless otherwise noted. The report includes all TIAA plans except 457(f), 457(b) Private, Nonqualified Deferred
Compensation, and Retirement Healthcare plans. 1. Does not include 85 participants with no age or gender on file. 2. Multi-Asset/Other includes Lifecycle, Real Estate, and Brokerage.
Participantplan
Important Engagement
and &
participant details
Communication PLACEHOLDER PHOTOGRAPH
Important plan and participant SIZE A PHOTO,
details THAT IT
33/521
Participant engagement overview
Enroll Save Manage Protect Retire

New hire support Savings projections Asset allocation Lifetime Income Income Planning
Early Engagement Save More Diversification Loyalty Bonus1 Stay Smart for Life
Living in Retirement
Advice
1. TIAA may provide a loyalty bonus based upon the length of time the funds are held in TIAA Traditional. The loyalty bonus is a return of unused contingency
reserves and is only available upon annuitization. The board determines this amount on an annual basis. Past performance is not a guarantee of future
performance.
Public Employees Retirement System, State Of 24

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FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR USE WITH OR DISTRIBUTION TO THE PUBLIC.
Mississippi | 10/24/22 |
Public Employees Retirement System, State Of Mississippi 2022
Participant engagement plan
Q1 Q2 Q3 Q4
Always on X X X X
Early Engagement
Beneficiary
Stay Smart for Life
Financial Foundation New Year Check in Diversification Income in Retirement

Campaigns Save More (National Retirement
(America Saves Week) Security Month)
Webinars X X X X
Cybersecurity X X X X
Advice X X X
Consolidation X
Lifetime income & loyalty
X X
bonus
X
Gaming (National Financial
Literacy Month)
TIAA may provide a loyalty bonus based upon the length of time the funds are held in TIAA Traditional. The loyalty bonus is a return of
unused contingency reserves and is only available upon annuitization. The board determines this amount on an annual basis. Past
performance is not a guarantee of future performance.

35/521
Advice is accessible through multiple channels to better serve
your multi-dimensional workforce
We will help you

We will be here to
We will support you validate your financial goals as your
answer questions about asset
if you prefer to transact and gather needs change answer questions
consolidation or complex financial
knowledge online about your plan or broader financial
goals
goals
Self Guided Virtual In person

 Access to online advice  Speak with a financial consultant or  Meet with a financial consultant or
tools/resources 24/7 via custom member of our Advisory consultant advisor for personalized advice
microsite team session
 Retirement Advisor tool  Collaborate on a short-term  Access specialized advice for
immediate need or comprehensive complex financial needs
 Retirement Income Illustration planning
 On-demand consultant support
Advice provided by financial consultants is obtained using an advice methodology from Morningstar Investment Management, LLC. Advice services provided by our Individual
Advisory Services Group are provided by Advice & Planning Services, a division of TIAA-CREF Individual & Institutional Services, LLC, a registered investment adviser.
Public Employees Retirement System, State of Mississippi |

For institutional investor use only. Not for use with or distribution to the public. 36/521 10/24/2022 | 26
Financial Essentials
Live webinars, on-demand recordings and in-person workshops, covering a range
of financial wellness topics
• Segmented to
address individual
employee needs
• Built around five
foundational
themes: spending,
saving, planning,
investing, living in
retirement
• Webinars presented
monthly with a
rotating array of
special topics

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Participant outcomes 2022
23.89%
10,720 Overall action
Participating institutions
3,160,535 4.25% 5.50%

Participants reached Advice sessions Reallocate/rebalance
61.04% 2.25% 2.05%

open rate Beneficiary update eDelivery sign-up
5.78% 1.25% 0.20%

Email click rate Secure site registrations Contribution increase
Data as of 6/30/2022
FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR USE WITH OR DISTRIBUTION TO THE PUBLIC. Public Employees Retirement System, State Of 28
38/521
Participant outcomes 2022 (institution)
14.84%
Overall action
3,423
Participants reached
3.74% 1.69%
Advice sessions Reallocate/rebalance
58.55%
Email open rate
1.81% 1.46%
Beneficiary update eDelivery sign-up
4.20%
Email click rate
0.79% 0.12%
Secure site registrations Contribution increase
Your plan results as of 6/30/2022
FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR USE WITH OR DISTRIBUTION TO THE PUBLIC. Public Employees Retirement System, State Of 29
39/521
Plan sponsor experience
Digital engagement
Your plan stats as of 6/30/2022
Online engagement Your institution Benchmark1
% of participants with web ID 87% 85%
% of participants that have logged in (last 12

69% 64%
months)
Average number of logins (last 12 months) 18 15
% of participants who have used online advice 9% 9%
% of participants with email address on file 74% 71%
% with eDelivery 76% 72%
1 Refer to the closing slide of the presentation for important information on how benchmark populations are derived

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Mobile-first experience
CAPABILITIES
• View account summary • Estimate loans/withdrawals • Widget features
• Transfer investments • Watch market activity • Visibility to all investments
• Review loan details • Set and track financial goals • Reflects daily performance change
• Make loan payments • Trade stocks • Easy to research investments
• Manage contributions • Automated assistant • Holistic financial view across all
• View statements guidance accounts

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6 Minute Checkup
Self-assessment tool to help individuals understand their current financial situation
and create a personal plan
Answer a few simple questions

about your current situation
Receive a personalized list of

topics
Track progress and tackle the

next topic when you’re ready

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Overall in-person engagement summary as of 06/30/2022
Individual Sessions1 Employees Participating in Sessions in 2022
Average
Gender Count2 Average Age
Balance3
600
Female 58 51 $438,847
512 Male 101 55 $751,773
500
Unknown 2 39 $229,697
Overall 161 53 $632,557
400
Topic Summary – Individual sessions 2022 YTD

300
Advice Delivered - 14%
1%
14% Enrollment Meeting - 7%
17%
180 Investment Education - 40%
200
7% Retirement Consult (Delivered) - 3%
8% Service Meeting - 11%

Solution Follow-up (Delivered) - 0%
100
Discovery Meetings - 8%
11%
Annual Review - 17%
0
3% Retirement Review - 1%
40%
2021 2022 (as of 6/30) Investment Review - 0%
Other - 0%
Data as of 06/30/2022. 1Includes sessions with representatives from our Field Consulting Group and our Individual Advisory Services group. Numbers show total sessions held and may include
employees who had multiple sessions. 2Employees who had multiple sessions are only counted once. 3. Reflects employee’s total TIAA balance. Retirement plan asset allocation advice is provided
through TIAA reps and is sourced from an independent third party, not affiliated with TIAA. Such advice is a brokerage service provided by TIAA-CREF Individual & Institutional Services, LLC, a registered
broker-dealer, Member FINRA, SIPC. Planning Services are provided by Advice and Planning Services, a division of TIAA-CREF Individual & Institutional Services, LLC as a registered investment adviser.
FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR USE WITH OR DISTRIBUTION TO THE PUBLIC. Public Employees Retirement System, State of Mississippi | 33
43/521 10/24/2022 |
Financial Wellness in Action
Dana, 33 years old Roshan, 55 years old

Early career Late career
For Dana For Roshan
Third-party advice recommends that Third-party advice recommends Roshan

Dana save 12% of her salary for save 15%, and, with his own 9%
Saving retirement. She is saving 4% and her contribution combined with his employer
employer is contributing 6%. An increase contribution of 6%, he is where he needs
of 2% can put Dana on course for to be.
savings.
Dana is investing in both a target date Roshan’s plan assets are at a risk level
Managing fund and a money market. She needs to of 5 and third-party advice is
be less conservative in her investments. recommending a risk level of 2.
Dana has no assets directed to the Third-party advice recommends that

guaranteed asset class and third-party Roshan allocate 10% of his retirement
Protecting advice is not recommending any at this N/A assets to the guaranteed asset class,
time. Roshan has 2% of his assets in that
category.
Dana can move to “green” by Roshan is saving well but can improve
Combined score contributing 2% more and by ensuring his risk level and his exposure to the
guaranteed asset class to ensure peace
she is in an age appropriate risk
of mind in retirement.
category.

44/521
Driving retirement outcomes through Financial Foundations
Dana, 33 years old Roshan, 55 years old
Early career Late career
Specific needs: Improve savings; Adjust Specific needs: Meet with a financial
asset allocation consultant
For Dana For Roshan
• New year check-in focused on asset allocation • New year check in focused on importance of
New year
income planning
check in
• Impact of savings 2% more • Reinforce good savings behaviors

Save more
• You are invested too conservatively; take • Importance of a diversified portfolio that
Diversification
advantage of advice as part of your plan includes guaranteed investment options
benefit
• NA • Understand the income you are on track to

Income in
replace in retirement
Retirement
Illustrative example

45/521
Financial Wellness Assessment
Key participant behaviors:
Designing your plan to incentivize employee savings
Saving behaviors is the primary driver of your participants
retirement readiness.
You have the ability to analyze how your employees’

Embracing strategies that help your participants money
take advantage of their plan including in-plan savings,
work for them to pursue their goals and remove
Managing risk-based asset allocation, and investments in
participant barriers to saving is essential to achieving
retirement readiness. guaranteed assets. If a participant receives a for a
category, it means they are meeting or exceeding their
third-party advice recommendation for that category:
Protecting against key retirement risks, like not having
downside protection in your portfolio or outliving your
Protecting
income in retirement has the potential to get in the way
of achieving lifetime financial security.
… But not all behaviors are weighted equally

Saving typically has the highest weight, Protecting (a subset of
Managing) is the lowest. Category weights change depending
Exhibit good Could May need
on career stage.
in-plan improve more help
behaviors
Protecting
Saving
Managing
Any guarantees under annuities issued by TIAA are subject to TIAA’s claims-paying ability.

46/521
Investment Strategy
October 24, 2022
ORP FOR INSTITUTIONS OF HIGHER

LEARNING STATE OF MISSISSIPPI
For Institutional Investor Use Only. Not For Use With Or Distribution To The Public. 1
47/521
Agenda
Asset values 3
Current menu utilization 5
Performance Summary 9
Investment menu observations 27
For Institutional Investor Use Only. Not For Use With Or Distribution To The Public. ORP FOR INSTITUTIONS OF HIGHER LEARNING STATE OF MISSISSIPPI | 2
48/521
Asset values
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Plan Summary
As of 06/30/2022
401(a)/414(h)(2) Assets Pct

TIAA Traditional Annuity Group Retirement Annuity (GRA) $124,069,049 16.5%
CREF Stock Account R3 $119,084,506 15.9%
CREF Growth Account R3 $64,771,688 8.6%
CREF Equity Index Account R3 $54,771,887 7.3%
CREF Global Equities Account R3 $40,484,324 5.4%
TIAA Real Estate Account $39,406,847 5.2%
TIAA-CREF Lifecycle 2045 Fund Institutional $39,017,494 5.2%
CREF Core Bond Account R3 $21,119,712 2.8%
CREF Social Choice Account R3 $19,246,094 2.6%
CREF Inflation-Linked Bond Account R3 $18,995,986 2.5%
American Funds EuroPacific Growth Fund R6 $16,773,312 2.2%
CREF Money Market Account R3 $12,129,122 1.6%
State Street Russell Small/Mid Cap® Index Fund K $12,035,496 1.6%
Eaton Vance Large-Cap Value Fund I $9,312,998 1.2%
Invesco Stable Value Retirement Trust $8,617,598 1.1%
State Street S&P 500 Index Fund K $7,807,608 1.0%
Vanguard Federal Money Market Fund Investor $4,905,230 0.7%
GW&K Small/Mid Cap Core Equity Collective Investment Fund - $4,887,146 0.7%
John Hancock Trust Company Core Plus Fixed Income Fund - $1,842,041 0.2%
TIAA-CREF Lifecycle Retirement Income Fund Institutional $517,949 0.1%
TIAA Traditional Annuity Retirement Choice Plus Annuity (RCP) $79,726 0.0%
TIAA-CREF Lifecycle 2065 Fund Institutional $0 0.0%
Total $750,648,032 100.0%
Grand Total $750,648,032
50/521
Investment menu observations
51/521
ORP FOR INSTITUTIONS OF HIGHER LEARNING STATE OF MISSISSIPPI 06/30/2022
A B C D E F G H I J K
Option Net Exp. % %

Options Asset Category Option Name Ticker Assets Participants Contributions
Type Ratio % Assets Cont.
Multi-Asset
1 Lifecycle/Target Date TIAA-CREF Lifecycle Fund Institutional Multiple Fund Varies $170,307,659 2,300 $27,164,003 22.7% 51.4%
2 Moderate Allocation CREF Social Choice Account R3 QCSCIX Annuity 0.19 $19,246,094 570 $787,899 2.6% 1.5%
Fixed Income
Stable Value
3 Stable Value (Non-Proprietary) Invesco Stable Value Retirement Trust INSV# Fund 0.5 $8,617,598 555 $3,619,519 1.2% 6.9%
4 Guaranteed TIAA Traditional Annuity Annuity $124,148,776 2,031 $0 16.6% 0.0%
5 Money Market CREF Money Market Account R3 QCMMIX Annuity 0.18 $12,129,122 392 $0 1.6% 0.0%
6 Money Market Vanguard Federal Money Market Fund Investor VMFXX Fund 0.11 $4,905,230 38 $162,828 0.7% 0.3%
Short-Term Bond
7 Intermediate Core Bond CREF Core Bond Account R3 QCBMIX Annuity 0.22 $21,119,712 886 $0 2.8% 0.0%
8 Inflation-Linked Bond CREF Inflation-Linked Bond Account R3 QCILIX Annuity 0.17 $18,995,986 827 $965,595 2.5% 1.8%
High Yield Bond
International/Global Bond
Equity - US
9 Large Cap Growth CREF Growth Account R3 QCGRIX Annuity 0.21 $64,771,688 994 $3,349,749 8.6% 6.3%
10 Large Cap Blend CREF Equity Index Account R3 QCEQIX Annuity 0.16 $54,771,887 869 $0 7.3% 0.0%
11 Large Cap Blend State Street S&P 500 Index Fund K SS05# Fund 0.013 $7,807,608 440 $3,057,629 1.0% 5.8%
12 Large Cap Value Eaton Vance Large-Cap Value Fund I EILVX Fund 0.76 $9,312,998 484 $683,068 1.2% 1.3%
13 Mid Cap Growth GW&K Small/Mid Cap Core Equity Collective Investment Fund - GWSM# Fund 0.65 $4,887,146 311 $318,860 0.7% 0.6%
Mid Cap Blend
Mid Cap Value
Small Cap Growth
14 Small Cap Blend State Street Russell Small/Mid Cap® Index Fund K SS06# Fund 0.04 $12,035,496 615 $1,145,981 1.6% 2.2%
15 Allocation - 85%+ Equity CREF Stock Account R3 QCSTIX Annuity 0.23 $119,084,506 1,700 $7,035,235 15.9% 13.3%
Blue Text: Annuity Options ____ Index Options

Black Text: Mutual Fund Options Asset Class for Discussion
Red Text: Frozen Fund ~ Unique # of participants
52/521
ORP FOR INSTITUTIONS OF HIGHER LEARNING STATE OF MISSISSIPPI 06/30/2022
A B C D E F G H I J K
Option Net Exp. % %

Options Asset Category Option Name Ticker Assets Participants Contributions
Type Ratio % Assets Cont.
Equity - Global, International, Emerging Markets
16 World Stock CREF Global Equities Account R3 QCGLIX Annuity 0.22 $40,484,324 963 $0 5.4% 0.0%
Foreign Large Growth
17 Foreign Large Growth American Funds EuroPacific Growth Fund R6 RERGX Fund 0.46 $16,773,312 638 $1,524,525 2.2% 2.9%
Emerging Markets
Sector Funds
18 Real Estate TIAA Real Estate Account QREARX Annuity 0.77 $39,406,847 1,492 $1,748,349 5.3% 3.3%
Total $748,805,990 4966~ $52,814,869 100% 100%
Blue Text: Annuity Options ____ Index Options

Black Text: Mutual Fund Options Asset Class for Discussion
Red Text: Frozen Fund ~ Unique # of participants
53/521
This material is for informational or educational purposes only and does not constitute investment advice under ERISA. This material does
not take into account any specific objectives or circumstances of any particular investor, or suggest any specific course of action.
Investment decisions should be made based on the investor’s own objectives and circumstances.
TIAA is providing educational services concerning plan menu construction and the plan sponsor’s fiduciary duties under its plan. It is not
providing investment advice and is not a plan fiduciary with respect to the education and information presented herein. Note also that TIAA
cannot and does not provide legal advice and that we recommend that you seek such advice from your own legal advisors.
This material is approved for a private presentation by authorized individuals only and, accordingly, this material is not to be reproduced in
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TIAA reported performance may differ from Morningstar source returns for the same option over the same time period. We would expect an
occasional one to two basis point difference. Morningstar Direct calculates returns by one share owned by hypothetical investor over the
requested time period. The return for one year is calculated using the same formula as one month. TIAA calculates returns by $1,000
owned by hypothetical investor for one month then links returns for requested time period. Both set of returns would include dividends and
capital gains, if applicable.
Investment products may be subject to market and other risk factors. See the applicable product literature or visit tiaa.org for details.
You should consider the investment objectives, risks, charges and expenses carefully before investing. Go to tiaa.org or call 877-518-
9161 for product and fund prospectuses that contain this and other information. Please read the prospectuses carefully before
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TIAA-CREF Individual & Institutional Services, LLC, Member FINRA, distributes securities products. Annuity contracts and certificates are
issued by Teachers Insurance and Annuity Association of America (TIAA) and College Retirement Equities Fund (CREF), New York, NY. Each is
solely responsible for its own financial condition and contractual obligations.
© 2022 Teachers Insurance and Annuity Association-College Retirement Equities Fund (TIAA-CREF), 730 Third Avenue, New York, NY 10017
2207772
54/521
Performance summary
55/521
TIAA is providing educational services concerning plan menu construction and the plan sponsor’s Ratings and Ranks Annuities: Morningstar, Inc. rates and ranks U.S. variable
fiduciary duties under its plan. It is not providing investment advice and is not a plan fiduciary with annuities' underlying funds within their open-end mutual funds universe and includes
respect to the education and information presented herein. Note also that the TIAA group of the effect of fees and expenses charged by U.S. variable annuities in their
companies cannot and does not provide legal advice and that we recommend that you seek such comparisons.
advice from your own legal advisors. This material is approved for a private presentation by authorized
A Note About Risk
individuals only and, accordingly, this material is not to be reproduced in whole or in part or used for
any purpose except as authorized by TIAA Institutional Sales and Services. This material is to be Equity mutual funds and variable annuity accounts generally carry a higher degree of
treated as strictly confidential and not disclosed directly or indirectly to any party other than the risk than fixed income funds and accounts. This risk is heightened for funds and
recipient. This material is not approved for public use or distribution. This material is for informational accounts that invest in small and mid-cap stocks and foreign securities.
purposes only and should not be regarded as a recommendation or an offer to buy or sell any product
or service to which this information may relate. Certain products and services may not be available to Equity mutual funds and variable annuity accounts that invest in foreign securities
all entities or persons. may be subject to foreign investment risk, which is the risk that securities of foreign
issuers may lose value because of erratic market conditions, economic and political
This material is for informational or educational purposes only and does not constitute investment instability or fluctuations in currency exchange rates. These risks may be magnified
advice under ERISA. This material does not take into account any specific objectives or circumstances in emerging markets, where investments may be less liquid than those issued in
of any particular investor, or suggest any specific course of action. Investment decisions should be more developed countries. Foreign investors in these markets may be subject to
made based on the investor’s own objectives and circumstances. special restrictions which could have an adverse impact on performance.
Morningstar Disclosures Fixed income mutual funds and variable annuity accounts are not guaranteed and
are subject to interest rate, inflation and credit risks. Funds and accounts that invest
Category: The Morningstar Category classifies a fund based on its investment style as measured by
in non-investment-grade securities (i.e. high-yield) present special risks, including
underlying portfolio holdings (portfolio statistics and compositions over the past three years). If the
significantly higher interest rate and credit risk.
fund is new and has no portfolio, Morningstar estimates where it will fall before assigning a more
permanent category. When necessary, Morningstar may change a category assignment based on Mutual funds and variable annuity accounts that invest in real estate securities are
current information. subject to various risks, including fluctuation in property values, higher expenses or
lower income than expected, and potential environmental problems and liability.
Percentile Ranks: The ranking is based on the fund's total-return percentile rank relative to all funds
that have the same category for the same time period. The highest (or most favorable) percentile rank Target-date mutual funds share the risks associated with the types of securities held
is 1%, and the lowest (or least favorable) percentile rank is 100%. Morningstar total return includes by each of the underlying funds in which they invest. As with all mutual funds, the
both income and capital gains or losses. principal value isn't guaranteed. Also, please note that the target date is an
approximate date when investors may begin withdrawing from the fund. Target-date
The Overall Morningstar Rating for a managed product is derived from a weighted average of the
mutual funds are actively managed, so their asset allocations are subject to change
performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating
and may vary from those shown. After the target date has been reached, some of
metrics.
these funds may be merged into a fund with a more stable asset allocation. In
The Morningstar Rating™ – or “star rating” – is calculated for managed products (including mutual addition, target-date mutual funds are subject to the risk that they may be unable to
funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds and invest according to their target allocations due to changes in the value of their
separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual underlying investments.
funds are considered a single population for comparative purposes. The rating is calculated based on
Guaranteed investments offer a guaranteed rate of return but such guarantees are
a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's
subject to the claims-paying ability of the issuing insurance company. More detailed
monthly excess performance, placing more emphasis on downward variations and rewarding
information on risks applicable to a particular investment option can be found in the
consistent performance. The top 10% of products in each product category receive 5 stars, the next
prospectus or other product literature.
22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom
10% receive 1 star. The weights are: 100% three-year rating for 36-59 months of total returns, 60%
five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year
rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the
10-year overall star rating formula seems to give the most weight to the 10-year period, the most
recent three-year period actually has the greatest impact because it is included in all three rating
periods. Where applicable, ratings are based on linked performance that considers the differences in
expense ratios. The Morningstar Rating™ is for individual share classes only. Other classes may have
different performance characteristics.
56/521
Data Sources
Unless otherwise noted, nonproprietary fund data and performance, performance
data for benchmarks presented with nonproprietary funds, Morningstar category
performance, fund and benchmark risk statistics (excluding tracking error and
information ratio), peer group, ratings and rankings data is provided by
Morningstar, Inc. © 2022 Morningstar, Inc. All Rights Reserved. The information
contained herein: (1) is proprietary to Morningstar and/or its content providers; (2)
may not be copied or distributed; and (3) is not warranted to be accurate,
complete or timely. Neither Morningstar nor its content providers are responsible
for any damages or losses arising from any use of this information. Neither TIAA
nor its affiliates has independently verified the accuracy or completeness of this
information.
All other data provided by Teachers Insurance and Annuity Association of America-
College Retirement Equities Fund (TIAA-CREF). Benchmark performance shown
across proprietary and nonproprietary funds/accounts is provided by TIAA with the
exception of Since Inception periods calculated using a nonproprietary fund’s
inception date. TIAA reserves the rights to all proprietary data herein, and is not
responsible for any damages or losses arising from any use of this information.
Investment Performance
The performance data quoted represents past performance, and is no guarantee
of future results. Your returns and the principal value of your investment will
fluctuate so that your accumulation units or shares, when redeemed, may be
worth more or less than their original cost. Current performance may be lower or
higher than the performance quoted. For current performance information,
including performance to the most recent month-end, please visit TIAA.org or call
800-842-2252. Performance may reflect waivers or reimbursements of certain
expenses. Absent these waivers or reimbursement arrangements, performance
results would have been lower. Since Inception performance shown is cumulative
when there is less than one year of performance history.
2274514
57/521
ORP FOR INSTITUTIONS OF HIGHER LEARNING STATE OF MISSISSIPPI
As of 06/30/2022
Cumulative Inception
Total Return (%) Average Annual Total Return Current Rates Date
% % % % Guar. Min.
Fixed Income 3Mo YTD 1 Yr Rank 3 Yr Rank 5 Yr Rank 10 Yr Rank SI Rate Rate Annuity
Guaranteed
TIAA Traditional Annuity Group Retirement Annuity (GRA) 0.99 1.86 3.52 -- 3.61 -- 3.69 -- 3.86 -- -- 5.25 3.00* --
*The Guaranteed Minimum Rate is 3% for all premiums.
TIAA Traditional Annuity Retirement Choice Plus

Annuity (RCP) 0.87 1.60 2.98 -- 3.09 -- 3.18 -- 3.37 -- 3.58 4.75 1.00* 06/01/2006
*The Guaranteed Minimum Rate is applicable to contributions and transfers from March 1 through the last date of February.
Cumulative
Current Yield+++ Total Ret. (%) Average Annual Total Return Expenses Inception Date
% % % SI/ Net Exp. Linked/
Fixed Income 7-Day 3Mo YTD 1 Yr Rank 3 Yr Rank 5 Yr Rank 10 Yr % Rank Overall+ Rev Share Ratio % Hypo++ Share Class
Money Market
CREF Money Market Account R3 (QCMMIX)1,5,7,10,15,17,19 0.86 0.10 0.08 0.08 -- 0.46 -- 0.85 -- 0.45 -- 2.91 0.1 0.18 04/01/1988 04/24/2015
iMoneyNet Money Fund Averages - All Government 0.96 0.09 0.10 0.11 -- 0.39 -- 0.78 -- 0.42 -- 2.64 -- -- -- --
Excess Return (Fund – BM) -0.1 0.01 -0.02 -0.03 -- 0.07 -- 0.07 -- 0.03 -- 0.27 -- -- -- --
Morningstar Money Market-Taxable - Median -- 0.10 0.10 0.11 -- 0.41 -- 0.81 -- 0.42 -- -- -- -- -- --
Excess Return (Fund – Median) -- 0.00 -0.02 -0.03 -- 0.05 -- 0.04 -- 0.03 -- -- -- -- -- --
Vanguard Federal Money Market Fund Investor (VMFXX)2,3,4,9,20 1.39 0.16 0.17 0.17 -- 0.53 -- 1.01 -- 0.57 -- 3.89 0 0.11 -- 07/13/1981
FTSE Treasury Bill 3 Month USD -- 0.14 0.17 0.19 -- 0.61 -- 1.09 -- 0.62 -- 3.82 -- -- -- --
Excess Return (Fund – BM) -- 0.02 0.00 -0.02 -- -0.08 -- -0.08 -- -0.05 -- 0.07 -- -- -- --
Morningstar Money Market-Taxable - Median -- 0.10 0.10 0.11 -- 0.41 -- 0.81 -- 0.42 -- -- -- -- -- --
Excess Return (Fund – Median) -- 0.06 0.07 0.06 -- 0.12 -- 0.20 -- 0.15 -- -- -- -- -- --
+Since Inception reflects performance from commencement of operations through current quarter-end. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable)
Morningstar Rating metrics.
++Indicates the inception date of either the oldest class of a fund/account or the underlying fund when hypothetical (pre-dated) performance is shown. Please refer to the disclosures page for more information.
+++The current yield more closely reflects the earnings of this investment choice.
Black Text – Mutual Fund Option (open in at least one plan) Red Text – Mutual Fund Option or Annuity Option (frozen in at least one plan). Quartile Ranks 1Q 2Q 3Q 4Q
58/521
As of 06/30/2022
Cumulative
Total Return (%) Average Annual Total Return Risk Statistics (3 Years) Fees & Expenses Inception Date
% % % % SI/ Sharpe Tracking Net Exp. Linked/
Fixed Income 3Mo YTD 1 Yr Rank 3 Yr Rank 5 Yr Rank 10 Yr Rank Overall+ Std Dev Ratio Error Rev Share Ratio % Hypo++ Share Class
Stable Value (Non-Proprietary)
Invesco Stable Value Retirement Trust (INSV#)8,28 0.30 0.55 1.08 -- 1.58 -- 1.80 -- 1.61 -- 4.20 -- -- -- 0.00 0.50 -- 03/30/1988
Cumulative
Inflation-Linked Bond
CREF Inflation-Linked Bond Account R3 (QCILIX)10,14,17,24 -3.17 -4.47 -1.55 27 3.31 24 3.11 31 1.49 50 4.66 3.36 0.80 0.53 0.10 0.17 05/01/1997 04/24/2015
Bloomberg US Treasury Inflation Notes 1-10 Yr TR USD -3.42 -5.11 -2.03 -- 3.37 -- 3.24 -- 1.75 -- -- 3.68 0.75 -- -- -- -- --
Excess Return (Fund – BM) 0.25 0.64 0.48 -- -0.06 -- -0.13 -- -0.26 -- -- -- -- -- -- -- -- --
Morningstar Inflation-Protected Bond - Median -6.16 -8.72 -5.41 -- 2.91 -- 2.87 -- 1.41 -- -- 5.11 0.46 0.94 -- -- -- --
Excess Return (Fund – Median) 2.99 4.25 3.86 -- 0.40 -- 0.24 -- 0.08 -- -- -- -- -- -- -- -- --
Number of Funds in Peer Group -- -- 207 -- 198 -- 185 -- 125 -- 198 -- -- -- -- -- -- --

Morningstar Rating -- -- -- -- **** -- **** -- *** -- **** -- -- -- -- -- -- --
Intermediate Core Bond
CREF Core Bond Account R3 (QCBMIX)10,11,17,25 -5.50 -11.03 -11.14 66 -0.95 41 0.93 30 1.69 33 5.15 5.04 -0.31 1.82 0.10 0.22 03/01/1990 04/24/2015
Bloomberg US Aggregate Bond TR USD -4.69 -10.35 -10.29 -- -0.93 -- 0.88 -- 1.54 -- 5.34 4.56 -0.34 -- -- -- -- --
Excess Return (Fund – BM) -0.81 -0.68 -0.85 -- -0.02 -- 0.05 -- 0.15 -- -0.19 -- -- -- -- -- -- --
Morningstar Intermediate-Term Bond - Median -5.06 -10.62 -10.82 -- -0.98 -- 0.77 -- 1.50 -- -- 4.78 -0.29 1.25 -- -- -- --
Excess Return (Fund – Median) -0.44 -0.41 -0.32 -- 0.03 -- 0.16 -- 0.19 -- -- -- -- -- -- -- -- --

Morningstar Rating -- -- -- -- *** -- **** -- **** -- **** -- -- -- -- -- -- --
59/521
As of 06/30/2022
Cumulative
Intermediate Core Bond Plus
John Hancock Trust Company Core Plus Fixed Income Fund

- (MUCP#)8,31 -6.63 -12.36 -12.03 -- -- -- -- -- -- -- -3.07 -- -- -- 0.00 0.23 -- 03/02/2020
MSCI EAFE NR USD -14.51 -19.57 -17.77 -- -- -- -- -- -- -- -- 18.01 0.12 -- -- -- -- --
Excess Return (Fund – BM) 7.88 7.21 5.74 -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Morningstar Mid-Cap Growth - Median -20.83 -30.98 -29.08 -- -- -- -- -- -- -- -- 22.84 0.29 5.74 -- -- -- --
Excess Return (Fund – Median) 14.20 18.62 17.05 -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Number of Funds in Peer Group -- -- 607 -- -- -- -- -- -- -- -- -- -- -- -- -- -- --

Morningstar Rating -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Cumulative
Multiple Assets/Other 3Mo YTD 1 Yr Rank 3 Yr Rank 5 Yr Rank 10 Yr Rank Overall+ Std Dev Ratio Error Rev Share Ratio % Hypo++ Share Class
Moderate Allocation
CREF Social Choice Account R3 (QCSCIX)10,11,17,25 -11.29 -16.75 -12.93 67 4.48 52 5.61 42 7.07 42 7.89 12.38 0.31 1.23 0.10 0.19 03/01/1990 04/24/2015
Morningstar Moderate Target Risk TR USD -11.34 -15.94 -13.64 -- 3.53 -- 4.91 -- 6.32 -- -- 11.88 0.30 -- -- -- -- --
Excess Return (Fund – BM) 0.05 -0.81 0.71 -- 0.95 -- 0.70 -- 0.75 -- -- -- -- -- -- -- -- --
CREF Social Choice Account Composite Index -11.62 -16.39 -12.76 -- 4.35 -- 5.56 -- 7.12 -- 7.97 11.96 0.31 -- -- -- -- --
Excess Return (Fund – BM) 0.33 -0.36 -0.17 -- 0.13 -- 0.05 -- -0.05 -- -0.08 -- -- -- -- -- -- --
Morningstar Allocation--50% to 70% Equity - Median -11.20 -15.89 -12.22 -- 4.48 -- 5.17 -- 6.78 -- -- 12.49 0.37 7.15 -- -- -- --
Morningstar Rating -- -- -- -- *** -- *** -- *** -- *** -- -- -- -- -- -- --
60/521
As of 06/30/2022
Cumulative
Lifecycle
TIAA-CREF Lifecycle 2010 Fund Institutional (TCTIX)6,32 -8.29 -12.84 -11.16 59 2.79 32 4.03 21 5.59 5 5.32 8.93 0.24 1.31 0.00 0.37 10/15/2004 01/17/2007
Lifecycle 2010 Fund Composite Index -8.45 -12.91 -10.69 -- 3.24 -- 4.40 -- 5.55 -- 5.38 8.46 0.31 -- -- -- -- --
Excess Return (Fund – BM) 0.16 0.07 -0.47 -- -0.45 -- -0.37 -- 0.04 -- -0.06 -- -- -- -- -- -- --
S&P Target Date 2010 TR USD -7.96 -12.08 -10.01 -- 2.54 -- 3.65 -- 4.77 -- 4.82 7.81 0.28 -- -- -- -- --
Excess Return (Fund – BM) -0.33 -0.76 -1.15 -- 0.25 -- 0.38 -- 0.82 -- 0.50 -- -- -- -- -- -- --
Morningstar Target Date 2000-2010 - Median -7.94 -12.32 -10.53 -- 2.35 -- 3.67 -- 5.09 -- -- 7.76 0.26 2.86 -- -- -- --
Morningstar Rating -- -- -- -- *** -- **** -- ***** -- **** -- -- -- -- -- -- --
TIAA-CREF Lifecycle 2015 Fund Institutional (TCNIX)6,32 -8.76 -13.45 -11.63 50 3.09 35 4.33 24 6.06 9 5.56 9.69 0.26 1.30 0.00 0.38 10/15/2004 01/17/2007
Morningstar Target-Date 2015 - Median -8.93 -13.58 -11.53 -- 2.83 -- 4.01 -- 5.69 -- -- 9.17 0.28 2.10 -- -- -- --
Excess Return (Fund – Median) 0.17 0.13 -0.10 -- 0.26 -- 0.32 -- 0.37 -- -- -- -- -- -- -- -- --
Morningstar Rating -- -- -- -- *** -- **** -- ***** -- **** -- -- -- -- -- -- --
61/521
As of 06/30/2022
Cumulative
Lifecycle
TIAA-CREF Lifecycle 2020 Fund Institutional (TCWIX)6,32 -9.36 -14.19 -12.33 51 3.35 41 4.61 37 6.61 14 5.76 10.52 0.26 1.33 0.00 0.39 10/15/2004 01/17/2007
Excess Return (Fund – BM) 0.45 0.24 -0.49 -- -0.48 -- -0.45 -- -0.04 -- -0.09 -- -- -- -- -- -- --
Morningstar Rating -- -- -- -- *** -- *** -- **** -- **** -- -- -- -- -- -- --
TIAA-CREF Lifecycle 2025 Fund Institutional (TCYIX)6,32 -10.31 -15.36 -13.29 55 3.79 37 5.05 39 7.25 13 6.02 11.88 0.27 1.32 0.00 0.41 10/15/2004 01/17/2007
Excess Return (Fund – BM) 0.37 0.01 -0.78 -- -0.58 -- -0.53 -- -0.10 -- -0.12 -- -- -- -- -- -- --
Excess Return (Fund – BM) -0.26 -0.96 -1.89 -- 0.02 -- 0.18 -- 0.49 -- -0.01 -- -- -- -- -- -- --
Excess Return (Fund – Median) -0.02 0.19 -0.10 -- 0.40 -- 0.40 -- 0.76 -- -- -- -- -- -- -- -- --
62/521
As of 06/30/2022
Cumulative
Lifecycle
TIAA-CREF Lifecycle 2030 Fund Institutional (TCRIX)6,32 -11.36 -16.58 -14.31 60 4.26 43 5.50 47 7.86 16 6.21 13.24 0.28 1.29 0.00 0.42 10/15/2004 01/17/2007
Excess Return (Fund – BM) 0.31 -0.18 -1.06 -- -0.62 -- -0.59 -- -0.18 -- -0.21 -- -- -- -- -- -- --
Excess Return (Fund – BM) -0.15 -0.99 -2.07 -- -0.06 -- 0.11 -- 0.48 -- -0.13 -- -- -- -- -- -- --
TIAA-CREF Lifecycle 2035 Fund Institutional (TCIIX)6,32 -12.42 -17.83 -15.38 67 4.67 53 5.89 49 8.42 14 6.53 14.66 0.28 1.29 0.00 0.43 10/15/2004 01/17/2007
Excess Return (Fund – BM) 0.13 -0.89 -2.23 -- -0.28 -- -0.03 -- 0.46 -- -0.09 -- -- -- -- -- -- --
63/521
As of 06/30/2022
Cumulative
Lifecycle
TIAA-CREF Lifecycle 2040 Fund Institutional (TCOIX)6,32 -13.30 -18.84 -16.21 68 5.21 47 6.34 41 8.88 15 6.90 15.97 0.29 1.26 0.00 0.44 10/15/2004 01/17/2007
Excess Return (Fund – BM) 0.20 -0.98 -2.45 -- -0.16 -- 0.04 -- 0.52 -- 0.06 -- -- -- -- -- -- --
TIAA-CREF Lifecycle 2045 Fund Institutional (TTFIX)6 -14.18 -19.75 -16.92 69 5.74 32 6.70 36 9.10 15 5.73 17.26 0.30 1.27 0.00 0.45 -- 11/30/2007
Excess Return (Fund – Median) 0.14 -0.11 -1.09 -- 0.34 -- 0.34 -- 0.78 -- -- -- -- -- -- -- -- --
64/521
As of 06/30/2022
Cumulative
Lifecycle
TIAA-CREF Lifecycle 2050 Fund Institutional (TFTIX)6 -14.50 -20.15 -17.19 68 5.79 36 6.76 35 9.17 10 5.75 17.54 0.30 1.32 0.00 0.45 -- 11/30/2007
TIAA-CREF Lifecycle 2055 Fund Institutional (TTRIX)6 -14.64 -20.25 -17.31 66 5.84 34 6.80 32 9.22 13 7.77 17.67 0.30 1.30 0.00 0.45 -- 04/29/2011
65/521
As of 06/30/2022
Cumulative
Lifecycle
TIAA-CREF Lifecycle 2060 Fund Institutional (TLXNX)6 -14.77 -20.36 -17.43 70 5.92 30 6.87 32 -- -- 7.16 17.85 0.30 1.31 0.00 0.45 -- 09/26/2014
Lifecycle 2060 Fund Composite Index -15.13 -19.71 -15.43 -- 6.78 -- 7.75 -- -- -- 7.67 17.55 0.35 -- -- -- -- --
Excess Return (Fund – BM) 0.36 -0.65 -2.00 -- -0.86 -- -0.88 -- -- -- -0.51 -- -- -- -- -- -- --
S&P Target Date 2060 TR USD -14.48 -18.78 -14.45 -- 5.78 -- 6.70 -- -- -- 6.90 -- -- -- -- -- -- --
Excess Return (Fund – BM) -0.29 -1.58 -2.98 -- 0.14 -- 0.17 -- -- -- 0.26 -- -- -- -- -- -- --
Morningstar Target-Date 2060 - Median -14.71 -20.12 -16.21 -- 5.46 -- 6.52 -- -- -- -- 17.25 0.36 2.16 -- -- -- --
Excess Return (Fund – Median) -0.06 -0.24 -1.22 -- 0.46 -- 0.35 -- -- -- -- -- -- -- -- -- -- --
Number of Funds in Peer Group -- -- 221 -- 191 -- 152 -- -- -- 191 -- -- -- -- -- -- --
Morningstar Rating -- -- -- -- *** -- *** -- -- -- *** -- -- -- -- -- -- --
TIAA-CREF Lifecycle 2065 Fund Institutional (TSFTX)6 -14.79 -20.24 -17.23 54 -- -- -- -- -- -- 4.06 -- -- -- 0.00 0.45 -- 09/30/2020
Lifecycle 2065 Fund Composite Index -15.26 -19.84 -15.51 -- -- -- -- -- -- -- 5.13 -- -- -- -- -- -- --
Excess Return (Fund – BM) 0.47 -0.40 -1.72 -- -- -- -- -- -- -- -1.07 -- -- -- -- -- -- --
S&P Target Date 2065+ TR USD -14.44 -18.70 -14.31 -- -- -- -- -- -- -- 5.63 -- -- -- -- -- -- --
Excess Return (Fund – BM) -0.35 -1.54 -2.92 -- -- -- -- -- -- -- -1.57 -- -- -- -- -- -- --
Morningstar Target-Date 2065+ - Median -14.92 -20.39 -17.22 -- -- -- -- -- -- -- -- 17.12 0.38 4.84 -- -- -- --
Excess Return (Fund – Median) 0.13 0.15 -0.01 -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Number of Funds in Peer Group -- -- 150 -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
66/521
As of 06/30/2022
Cumulative
Lifecycle
TIAA-CREF Lifecycle Retirement Income Fund Institutional

(TLRIX)6 -8.33 -12.87 -11.13 44 2.77 33 3.96 24 5.23 19 4.58 8.91 0.24 1.40 0.00 0.37 -- 11/30/2007
Lifecycle Retirement Income Fund Composite Index -8.72 -13.21 -10.93 -- 3.20 -- 4.31 -- 5.15 -- 4.68 8.53 0.30 -- -- -- -- --
S&P Target Date Retirement Income TR USD -7.29 -11.48 -9.75 -- 1.87 -- 3.13 -- 3.94 -- 3.56 6.97 0.22 -- -- -- -- --
Morningstar Allocation--30% to 50% Equity - Median -9.02 -13.57 -11.52 -- 2.31 -- 3.37 -- 4.62 -- -- 9.68 0.24 8.85 -- -- -- --
Morningstar Rating -- -- -- -- **** -- **** -- **** -- **** -- -- -- -- -- -- --
Real Estate
TIAA Real Estate Account (QREARX)10,18,27 5.11 10.82 23.04 -- 9.87 -- 7.96 -- 8.08 -- 6.68 3.01 3.08 -- 0.24 0.77 -- 10/02/1995
Cumulative
Equities 3Mo YTD 1 Yr Rank 3 Yr Rank 5 Yr Rank 10 Yr Rank Overall+ Std Dev Ratio Error Rev Share Ratio % Hypo++ Share Class
Large Cap Value
Eaton Vance Large-Cap Value Fund I (EILVX)20 -11.16 -9.20 -2.59 32 8.16 47 9.26 22 10.58 39 7.49 19.23 0.47 2.03 0.15 0.76 -- 12/28/2004
Russell 1000 Value TR USD -12.21 -12.86 -6.82 -- 6.87 -- 7.17 -- 10.50 -- 7.20 19.46 0.32 -- -- -- -- --
Excess Return (Fund – BM) 1.05 3.66 4.23 -- 1.29 -- 2.09 -- 0.08 -- 0.29 -- -- -- -- -- -- --
Morningstar Large Value - Median -11.31 -11.57 -5.14 -- 7.78 -- 7.70 -- 10.27 -- -- 19.36 0.45 4.15 -- -- -- --

Morningstar Rating -- -- -- -- *** -- **** -- *** -- *** -- -- -- -- -- -- --
67/521
As of 06/30/2022
Cumulative
Large Cap Blend
CREF Equity Index Account R3 (QCEQIX)10,12,17,21 -16.71 -21.10 -13.92 77 9.62 50 10.42 47 12.31 43 9.51 19.32 0.47 0.08 0.10 0.16 04/29/1994 04/24/2015
Russell 3000 TR USD -16.70 -21.10 -13.87 -- 9.77 -- 10.60 -- 12.57 -- 9.83 19.37 0.47 -- -- -- -- --
Excess Return (Fund – BM) -0.01 0.00 -0.05 -- -0.15 -- -0.18 -- -0.26 -- -0.32 -- -- -- -- -- -- --
Morningstar Large Blend - Median -15.81 -20.04 -11.77 -- 9.45 -- 10.12 -- 11.91 -- -- 18.64 0.54 2.94 -- -- -- --

State Street S&P 500 Index Fund K (SS05#)30 -16.11 -19.97 -10.64 -- 10.57 -- 11.28 -- 12.94 -- 13.38 18.64 0.60 0.02 0.00 0.01 -- 06/25/2012
S&P 500 TR USD -16.10 -19.96 -10.62 -- 10.60 -- 11.31 -- 12.96 -- -- 18.64 0.54 -- -- -- -- --
Excess Return (Fund – BM) -0.01 -0.01 -0.02 -- -0.03 -- -0.03 -- -0.02 -- -- -- -- -- -- -- -- --
Morningstar Large Blend - Median -15.81 -20.04 -11.77 -- 9.45 -- 10.12 -- 11.91 -- -- 18.64 0.54 2.94 -- -- -- --
Excess Return (Fund – Median) -0.30 0.07 1.13 -- 1.12 -- 1.16 -- 1.03 -- -- -- -- -- -- -- -- --

Large Cap Growth
CREF Growth Account R3 (QCGRIX)10,12,17,23 -22.13 -31.08 -26.60 70 8.06 57 11.46 45 13.32 32 8.93 21.39 0.35 2.40 0.10 0.21 04/29/1994 04/24/2015
Russell 1000 Growth TR USD -20.92 -28.07 -18.77 -- 12.58 -- 14.29 -- 14.80 -- 10.14 21.09 0.57 -- -- -- -- --
Excess Return (Fund – BM) -1.21 -3.01 -7.83 -- -4.52 -- -2.83 -- -1.48 -- -1.21 -- -- -- -- -- -- --
Morningstar Large Growth - Median -21.09 -29.52 -23.29 -- 8.40 -- 11.21 -- 12.74 -- -- 20.89 0.46 4.87 -- -- -- --
Excess Return (Fund – Median) -1.04 -1.56 -3.31 -- -0.34 -- 0.25 -- 0.58 -- -- -- -- -- -- -- -- --

68/521
As of 06/30/2022
Cumulative
World Stock
CREF Global Equities Account R3 (QCGLIX)10,13,17,22 -15.49 -20.84 -17.49 75 7.19 25 7.22 31 9.15 35 7.50 18.77 0.35 1.99 0.10 0.22 05/01/1992 04/24/2015
MSCI ACWI NR USD -15.66 -20.18 -15.75 -- 6.21 -- 7.00 -- 8.76 -- -- 18.02 0.31 -- -- -- -- --
Excess Return (Fund – BM) 0.17 -0.66 -1.74 -- 0.98 -- 0.22 -- 0.39 -- -- -- -- -- -- -- -- --
Morningstar Global Large-Stock Blend -14.43 -19.91 -15.36 -- 5.38 -- 6.36 -- 8.56 -- -- 17.95 0.36 3.92 -- -- -- --

Morningstar Rating -- -- -- -- **** -- *** -- *** -- *** -- -- -- -- -- -- --
Allocation - 85%+ Equity
CREF Stock Account R3 (QCSTIX)10,16,17,26 -15.63 -20.80 -16.99 59 6.47 21 7.31 16 9.71 9 9.64 18.81 0.31 0.94 0.10 0.23 07/31/1952 04/24/2015
Morningstar Aggressive Target Risk TR USD -14.90 -19.03 -15.60 -- 5.29 -- 6.64 -- 8.90 -- -- 17.86 0.34 -- -- -- -- --
Excess Return (Fund – BM) -0.73 -1.77 -1.39 -- 1.18 -- 0.67 -- 0.81 -- -- -- -- -- -- -- -- --
CREF Stock Account Composite Index -15.85 -20.38 -15.85 -- 7.22 -- 8.11 -- 10.29 -- -- 18.63 0.35 -- -- -- -- --
Excess Return (Fund – BM) 0.22 -0.42 -1.14 -- -0.75 -- -0.80 -- -0.58 -- -- -- -- -- -- -- -- --
Morningstar Allocation--85%+ Equity -15.17 -20.68 -16.99 -- 5.56 -- 6.48 -- 8.82 -- -- 18.36 0.36 4.02 -- -- -- --
Excess Return (Fund – Median) -0.46 -0.12 0.00 -- 0.91 -- 0.83 -- 0.89 -- -- -- -- -- -- -- -- --
69/521
As of 06/30/2022
Cumulative
Mid Cap Growth
GW&K Small/Mid Cap Core Equity Collective Investment

Fund - (GWSM#)8,29 -13.97 -- -14.17 -- 9.84 -- 9.69 -- -- -- 8.55 -- -- -- - 0.65 -- 04/01/2014
MSCI EAFE NR USD -14.51 -- -17.77 -- 1.07 -- 2.20 -- -- -- -- 18.01 0.12 -- -- -- -- --
Excess Return (Fund – BM) 0.54 -- 3.60 -- 8.77 -- 7.49 -- -- -- -- -- -- -- -- -- -- --
Morningstar Mid-Cap Growth - Median -20.83 -- -29.08 -- 4.65 -- 8.67 -- -- -- -- 22.84 0.29 5.74 -- -- -- --
Excess Return (Fund – Median) 6.86 -- 14.91 -- 5.19 -- 1.02 -- -- -- -- -- -- -- -- -- -- --
Number of Funds in Peer Group -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --

Small Cap Blend
State Street Russell Small/Mid Cap® Index Fund K (SS06#)30 -19.96 -27.18 -28.49 -- 5.20 -- 6.82 -- -- -- 8.89 24.82 0.30 0.08 0.00 0.04 -- 01/04/2016
Russell Small Cap Complete TR USD -19.96 -27.21 -28.53 -- 5.25 -- 6.88 -- -- -- -- 24.84 0.31 -- -- -- -- --
Excess Return (Fund – BM) 0.00 0.03 0.04 -- -0.05 -- -0.06 -- -- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- --
Excess Return (Fund – Median) -- -- -- -- -- -- -- -- -- -- -- -- --
Number of Funds in Peer Group -- -- 407 -- 367 -- 325 -- -- -- 367 -- -- -- -- -- -- --

Morningstar Rating -- -- -- -- ** -- ** -- -- -- ** -- -- -- -- -- -- --
International - Foreign Large Growth
American Funds EuroPacific Growth Fund R6 (RERGX)20 -14.65 -25.10 -27.68 58 1.49 59 3.10 56 6.30 34 7.28 19.09 0.14 4.78 0.00 0.46 -- 05/01/2009
MSCI ACWI Ex USA NR USD -13.73 -18.42 -19.42 -- 1.35 -- 2.50 -- 4.83 -- 6.17 17.46 0.04 -- -- -- -- --
Morningstar Foreign Large Growth - Median -16.19 -27.17 -26.94 -- 1.74 -- 3.26 -- 5.85 -- -- 18.56 0.15 6.78 -- -- -- --
Excess Return (Fund – Median) 1.54 2.07 -0.74 -- -0.25 -- -0.16 -- 0.45 -- -- -- -- -- -- -- -- --

70/521
As of 06/30/2022
1
The 7-day money market yield listed more closely reflects the current earnings of the money market annuity account than does the total return.
2
The 7-day money market yield listed more closely reflects the current earnings of the money market mutual fund(s) than does the total return.
3
Closed to new investors.
4
You could lose money by investing in a money market fund. Although a money market fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in a
money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. A money market fund's sponsor has no legal obligation to provide support to a
money market fund, and you should not expect that the sponsor will provide financial support to a money market fund at any ti me.
5
You could lose money by investing in the CREF Money Market Account. Because the accumulation unit value of the Account will f luctuate, the value of your investment may increase or decrease. An investment in
the Account is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Account's sponsor has no legal obligation to provide support to the Account, and you
should not expect that the sponsor will provide financial support to the Account at any time.
6
As Target Retirement Date Funds are actively managed, their asset allocations are subject to change and may vary from those indicated. They invest in many underlying funds and are exposed to the risks of
different areas of the market. Please note that, as with all mutual funds, the principal value of a Target Retirement Date Fund is not guaranteed. The higher a fund's allocation to stocks, the greater the risk. After
the target date has been reached, some of these funds may be merged into a fund with a more stable asset allocation. In addition to the fund level expenses these funds are also subject to the expenses of their
underlying investments. Please consult the prospectus for more complete information.
7
Between July 16, 2009 and March 7, 2017, TIAA withheld ("waived") a portion of the 12b–1 distribution and/or administrative expenses for each class of the CREF Money Market Account when a class's
yield was less than zero. Without this waiver, the total returns of the Money Market Account would have been lower. For a period of three years after the date an amount was waived, it was eligible for recoupment
by TIAA, under certain conditions. All eligible expenses were recouped by July 2018 for Class R3, September 2018 for Class R2 and June 2019 for Class R1. TIAA has agreed to withhold ("waive") a portion of the
Rule 12b-1 distribution and/or administrative expenses for each class of the CREF Money Market Account (the "Account") when a class's yield is less than zero. Without this waiver, the total returns of each class of
the Account would be lower, and could be negative. TIAA may, for a period of three years after the date an amount was waived, recover from the Account a portion of the amounts waived at such time as the class's
daily yield would be positive absent the effect of the waiver and, in such event, the amount of recovery on any day will be approximately 25% of the class's yield (net of all other expenses) on that day. This limited
waiver may be terminated at any time and, in any event, will extend only through June 30, 2021.
8
The comparative indices used for this investment product have been provided by Morningstar Inc. and may not match those that appear in other websites or publications.
9
iMoneyNet reports yields as of the last Tuesday of the month. Yields for the iMoneyNet Money Fund Report Averages-All Taxable and the fund(s) that track this industry average are calculated based on this date.
10
The Account's total annual expense deduction appears in the Account's prospectus, and may be different than that shown herein due to rounding. Please refer to the prospectus for further details.
11
The Account's Class R1 began operations on March 1, 1990.
12
The Account's Class R1 began operations on April 29, 1994.
13
The Account's Class R1 began operations on May 1, 1992.
14
The Account's Class R1 began operations on May 1, 1997.
15
The Account's Class R1 began operations on April 1, 1988.
16
The Account's Class R1 began operations on July 31, 1952.
17
The performance shown for Class R3 that is prior to its inception date is based on the performance of the Account's Class R1. The performance for these periods has not been restated to reflect the lower expenses
of Class R3. If these lower expenses had been reflected, the performance of Class R3 for these periods would have been higher.
18
The total annual expense deduction, which includes investment management, administration, and distribution expenses, mortality and expense risk charges, and the liquidity guarantee, is estimated each year
based on projected expense and asset levels. Differences between actual expenses and the estimate are adjusted quarterly and are reflected in current investment results. Historically, adjustments have been
small.
71/521
As of 06/30/2022
19
Effective October 1, 2016, the iMoneyNet Money Fund Averages - All Taxable peer group was changed to the iMoneyNet Money Fund Averages - All Government.
20
Accumulations in funds not managed by TIAA may be subject to administrative charges. These charges are subject to change. Please review current documents related to your plan.
21
Risk statistics that require a 3-year performance history are calculated using the Account's Class R1 share class for periods prior to the Account's Class R3 inception date. The Account's Class R1 began operations
on April 29, 1994. Neither the performance nor the risk statistics for these periods have been restated to reflect the lower expenses of Class R3. If these lower expenses had been reflected, the performance and
risk statistic values of Class R3 for these periods would have been higher.
22
on May 1, 1992. Neither the performance nor the risk statistics for these periods have been restated to reflect the lower expenses of Class R3. If these lower expenses had been reflected, the performance and risk
statistic values of Class R3 for these periods would have been higher.
23
Risk statistics that require a 3-year performance history are calculated using the Account's Class R1 share class for periods prior to the Account’s Class R3 inception date. The Account's Class R1 began
operations on April 29, 1994. Neither the performance nor the risk statistics for these periods have been restated to reflect the lower expenses of Class R3. If these lower expenses had been reflected, the
performance and risk statistic values of Class R3 for these periods would have been higher.
24
on May 1, 1997. Neither the performance nor the risk statistics for these periods have been restated to reflect the lower expenses of Class R3. If these lower expenses had been reflected, the performance and risk
statistic values of Class R3 for these periods would have been higher.
25
on March 1, 1990. Neither the performance nor the risk statistics for these periods have been restated to reflect the lower expenses of Class R3. If these lower expenses had been reflected, the performance and
26
on July 31, 1952. Neither the performance nor the risk statistics for these periods have been restated to reflect the lower expenses of Class R3. If these lower expenses had been reflected, the performance and
27
The liquidity guarantee expense deduction of 0.24% will not be effective until August 1, 2019. Between May 1, 2019 and August 1, 2019, the liquidity guarantee expense charge will remain at 0.20%.
28
Data provided by Invesco Trust Company. Neither TIAA nor its affiliates have independently verified the accuracy or completeness of this information. The Fund is a collective investment trust maintained and
managed by Invesco Trust Company. TIAA is not affiliated with Invesco Trust Company or any of its subsidiaries.
29
Data provided by Global Trust Company, a Marine Chartered Non-depository Trust Bank. Neither TIAA nor its affiliates have independently verified the accuracy or completeness of this information. The Fund is a
collective investment trust maintained and managed by Global Trust Company. TIAA is not affiliated with Global Trust Company or any of its subsidiaries.
30
Data provided by State Street Global Advisors. Neither TIAA nor its affiliates have independently verified the accuracy or completeness of this information. The Fund is a collective investment trust maintained and
managed by State Street Global Advisors. TIAA is not affiliated with State Street Global Advisors or any of its subsidiaries.
31
Data provided by John Hancock Trust Company. Neither TIAA nor its affiliates have independently verified the accuracy or completeness of this information. The Fund is a collective investment trust maintained and
managed by John Hancock Trust Company. TIAA is not affiliated with John Hancock Trust Company or any of its subsidiaries.
32
The fund's Retirement Class began operations on 10/15/2004. Performance shown for the Since Inception period and prior to the inception of the Institutional Class is based on the performance of the fund's
Retirement Class. Performance has not been restated to reflect the lower expenses of the Institutional Class. If the expense differential had been reflected, performance for these periods would have been higher.
72/521
Current menu utilization
73/521
Consolidated plan assets & contributions summary
Q2 2022 – ORP FOR INSTITUTIONS OF HIGHER LEARNING STATE OF MISSISSIPPI
Top 10 Options by Assets Top 10 Options by Contributions
Total Assets Total Cont.

Fund / Annuity Assets Fund / Annuity Contributions
(%) (%)
1. TIAA-CREF Lifecycle Fund Institutional $170,307,659 22.74% 1. TIAA-CREF Lifecycle Fund Institutional $27,164,003 51.43%
2. TIAA Traditional Annuity $124,148,776 16.58% 2. CREF Stock R3 $7,035,235 13.32%
3. CREF Stock Account R3 $119,084,506 15.90% 3. Invesco Stable Value Trust C $3,619,519 6.85%
4. CREF Growth Account R3 $64,771,688 8.65% 4. CREF Growth R3 $3,349,749 6.34%
5. CREF Equity Index Account R3 $54,771,887 7.31% 5. State Str S&P 500 Idx NonLen K $3,057,629 5.79%
6. CREF Global Equities Account R3 $40,484,324 5.41% 6. TIAA Real Estate $1,748,349 3.31%
7. TIAA Real Estate Account $39,406,847 5.26% 7. American EuroPac Growth R6 $1,524,525 2.89%
8. CREF Core Bond Account R3 $21,119,712 2.82% 8. John Hancock Pl Fix Inc Trust $1,251,628 2.37%
9. CREF Social Choice Account R3 $19,246,094 2.57% 9. State Str Russ SmMd Idx NoLe K $1,145,981 2.17%
10. CREF Inflation-Linked Bond Account R3 $18,995,986 2.54%
10. CREF Inflation-Linked Bond R3 $965,595 1.83%
Total Top 10 Options by Assets $672,337,480 89.79%
Total Top 10 Options by Contributions $50,862,214 96.30%
All Other Options by Assets All Other Options by Contributions

(%) (%)
11. American Funds EuroPacific Growth Fund R6 $16,773,312 2.24%

11. CREF Social Choice R3 $787,899 1.49%
12. CREF Money Market Account R3 $12,129,122 1.62%
12. Eaton Vance Large Cap Value I $683,068 1.29%
13. State Street Russell Small/Mid Cap® Index Fund K $12,035,496 1.61%
14. Eaton Vance Large-Cap Value Fund I $9,312,998 1.24%

13. GW&K Small/Md Cp Core Equity I $318,860 0.60%
15. Invesco Stable Value Retirement Trust $8,617,598 1.15%
14. Vanguard Federal Money Mkt Inv $162,828 0.31%
16. State Street S&P 500 Index Fund K $7,807,608 1.04%
17. Vanguard Federal Money Market Fund Investor $4,905,230 0.66% Total All Other Options by Contributions $1,952,655 3.70%
TOTAL Consolidated Contributions $52,814,869 100%
18. GW&K Small/Mid Cap Core Equity Collective Investment Fund - $4,887,146 0.65%
Total All Other Options by Assets $76,468,511 10.21%

TOTAL Consolidated Plan Assets $748,805,990 100%
This report is as of the period ending 06/30/2022 and reflects the trailing 12 months of activity unless otherwise noted.
74/521
Consolidated lifecycle & TIAA contracts—assets & contributions summary
Q2 2022 – ORP FOR INSTITUTIONS OF HIGHER LEARNING STATE OF MISSISSIPPI
Lifecycle Breakdown by Assets Lifecycle Breakdown by Contributions

(%) (%)
TIAA-CREF Lifecycle 2010 Fund Institutional $2,010,224 0.27% TIAA-CREF Lfcyle Rtmt Inc-Inst $44,782 0.08%
TIAA-CREF Lifecycle 2010-Inst $275,139 0.52%
TIAA-CREF Lifecycle 2025 Fund Institutional $13,544,886 1.81% TIAA-CREF Lifecycle 2015-Inst $301,356 0.57%
TIAA-CREF Lifecycle 2040 Fund Institutional $28,921,217 3.86% TIAA-CREF Lifecycle 2025-Inst $1,742,368 3.30%
TIAA-CREF Lifecycle 2035-Inst $3,147,738 5.96%
TIAA-CREF Lifecycle 2065 Fund Institutional $0 0.00%
TIAA-CREF Lifecycle Retirement Income Fund Institutional $517,949 0.07%
Total Lifecycle Fund Assets $170,307,659 22.74% TIAA-CREF Lifecycle 2050-Inst $5,667,292 10.73%

TIAA Traditional Contract Breakdown by Assets
Total Lifecycle Fund Contributions $27,164,003 51.43%
Total Assets
Fund / Annuity Assets
(%)
$124,069,049 16.57%
TIAA Traditional Annuity Group Retirement Annuity (GRA)
$79,726 0.01%
TIAA Traditional Annuity Retirement Choice Plus Annuity (RCP)
Total TIAA Traditional Assets in All Contracts $124,148,776 16.58%
This report is as of the period ending 06/30/2022 and reflects the trailing 12 months of activity unless otherwise noted.
75/521
Disclosures
This material is for informational or educational purposes only and does not constitute investment advice under ERISA. This material does not take into
account any specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be
made based on the investor’s own objectives and circumstances.
TIAA is providing educational services concerning plan menu construction and the plan sponsor’s fiduciary duties under its plan. It is not providing
investment advice and is not a plan fiduciary with respect to the education and information presented herein. Note also that TIAA cannot and does not
provide legal advice and that we recommend that you seek such advice from your own legal advisors.
This material is approved for a private presentation by authorized individuals only and, accordingly, this material is not to be reproduced in whole or in
part or used for any purpose except as authorized by TIAA CREF Institutional Sales and Services. This material is to be treated as strictly confidential and
not disclosed directly or indirectly to any party other than the recipient. This material is not approved for public use or distribution. The material is for
informational purposes only and should not be regarded as a recommendation or an offer to buy or sell any product or service to which this information
may relate. Certain products and services may not be available to all entities or persons.
TIAA reported performance may differ from Morningstar source returns for the same option over the same time period. We would expect an occasional
one to two basis point difference. Morningstar Direct calculates returns by one share owned by hypothetical investor over the requested time period. The
return for one year is calculated using the same formula as one month. TIAA calculates returns by $1,000 owned by hypothetical investor for one month
then links returns for requested time period. Both set of returns would include dividends and capital gains, if applicable.
Investment products may be subject to market and other risk factors. See the applicable product literature or visit tiaa.org for details. You should
consider the investment objectives, risks, charges and expenses carefully before investing. Go to tiaa.org or call 877-518-9161 for product and fund
prospectuses that contain this and other information. Please read the prospectuses carefully before investing.
Teachers Insurance and Annuity Association of America (TIAA) and College Retirement Equities Fund (CREF), New York, NY. Each is solely responsible for
its own financial condition and contractual obligations.
TIAA.org
2460856
For Institutional Investor Use Only. Not For Use With Or Distribution To The Public. 30
76/521
Appendix PLACEHOLDER PHOTOGRAPH
SIZE A PHOTO,
THAT IT
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Glossary
Term Definition
Participants with a status of “Active” or “Leave” that have a balance greater than zero and have made a
Active Participants
contribution in the last 12 months.
Specific investment recommendations, either in person, online or over the phone, that are tailored to individual
Advice
circumstances, including variables such as age, current savings rates, plan investments and tolerance for risk.
Annuitants Persons receiving benefits under a TIAA annuity contract.
Average Annual Payout The average annual amount that all annuitants are receiving for income generated from an institution’s plan(s).
Average Projected The average monthly amount that participants may receive in their retirement years for income generated from
Monthly Payout the institution’s plan(s).
Average Guaranteed Sources of income that are expected to continue for the participant’s lifetime (e.g., Social Security, TIAA
Income Traditional, Defined Benefits).
Average Projected
The average after-tax retirement income your participants are projected to receive from your TIAA plan(s).
Monthly Income
Consolidations The number of participants who transfer balances from other service providers into TIAA retirement accounts.
Contributing Participants Participants that have made a contribution in the last 12 months.
Contribution Rate Annual contributions as a percentage of annual salary.
Loans for which the participant missed the expected repayment and failed to pay the total overdue amount
Defaulted Loans
prior to the end of the calendar quarter following the calendar quarter in which the payment was due.
Glossary
Term Definition
Participants who have not made an investment allocation election and whose contributions have been directed
Defaulted Participants
to the plan's default investment.
Includes, but is not limited to, the following categories: Loan, Hardship, In-Service, Terminated & Other.
“Other” includes: Annuity Settlement Options, Death Benefits, Plan Loan Defaults, Withdrawals due to Opt-Out
Option & Test Failure. In-Service and Terminated may include one or more of these categories: Voluntary
Distributions
Termination, Withdrawal, Death, Beneficiary, Installment Payment, Age 70.5 Minimum Distribution, QDRO,
Hardship, Disability, Unforeseen Emergency, Full Withdrawal, Unknown, IRA Recharacterization, Excess
Aggregate Contribution, Excess Contribution, Excess Deferral, Excess Annual Addition.
A communication program that supports participants through their online account setup, plan review and goal
Early Engagement
setting and gives them an overview of the resources available to them at TIAA.
Participants who are on target to cover their essential retirement expenses such as housing, food and
healthcare but aren’t yet on target to replace the income needed to maintain their current standard of living in
retirement. The target income replacement rates for participants in this group vary by their current salary
(pretax) and are listed below:
In Range
• Current salary <$50K: Targeted to replace 80% - 100% of after-tax income in retirement
• Current salary $50K - $100K: Targeted to replace 60% - 85% of after-tax income in retirement
• Current salary >$125K: Targeted to replace 50% - 70% of after-tax income in retirement
The percentage of current salary that is estimated to be replaced during retirement, calculated using multiple
Income Replacement Ratio variables (e.g., contribution rate, investments, salary). This is a way to visualize how ready your employees
are for retirement.
Lifetime Income An arrangement that provides fixed or variable income payments for the life of the annuitant.
Participants who aren’t yet on target to cover essential expense needs in retirement such as housing, food and
healthcare. The target income replacement rates for participants in this group vary by their current salary
(pretax) and are listed below:
Needs Action
• Current salary <$50K: Targeted to replace <80% of after-tax income in retirement
• Current salary $50K - $100K: Targeted to replace <60% of after-tax income in retirement
• Current salary >$125K: Targeted to replace <50% of after-tax income in retirement
Glossary
Term Definition
Participants who are on target to meet or exceed the income replacement rate needed to maintain their current
standard of living in retirement. The target income replacement rates for participants in this group vary by their
current salary (pretax) and are listed below:
On Track
• Current salary <$50K: Targeted to replace >100% of after-tax income in retirement
• Current salary $50K - $100K: Targeted to replace >85% of after-tax income in retirement
• Current salary >$125K: Targeted to replace >70% of after-tax income in retirement
Other Enrollments All other enrollments not classified as remittance, phone, paper or online.
Participant-Directed
Contributions that have been invested per the participant's investment allocation election.
Contributions
Participation Rate is calculated by dividing the (number of eligible and participating) by (number of eligible and
Participation Rate
participating + number of eligible and not participating).
A group of institutions at TIAA who provide a measure of comparison to your plan based on
Peer Benchmark
comparable plan asset size and market segment (K-12, Higher Education, Healthcare & Government).
Plan features and participant behaviors that may contribute to a participant's retirement readiness and income
Readiness Influencers
replacement ratio.
Rebalanced Total number of participants who reallocated their account balances during the last 12 months.
Participant enrollment information, including investment election specifications, provided to TIAA by the plan
Remittance
sponsor.
Measures the degree to which a participant is on track to retire with sufficient lifetime income while maintaining
Retirement Readiness
a desired standard of living.
Terminated Participants Participants with an employee status of “Terminated.”
Glossary
Term Definition
Total Annual Payout The total annual amount that all annuitants are receiving for income generated from an institution’s plan(s).
Includes participants with an ending balance and at least one contribution during the evaluation period. In
Total Participants addition, other filters are applied to remove participants whose Ibbotson results could disproportionately skew
the outcomes of the larger population.
Disclosure
Benchmark populations are derived from institutions within the Institutional Sector “Higher Ed” and Assets Between $500M and $1.5B
Retirement plan asset allocation advice is provided through TIAA reps and is sourced from an independent third party, not affiliated with TIAA. Such advice
is a brokerage service provided by TIAA-CREF Individual & Institutional Services, LLC, a registered broker-dealer, Member FINRA, SIPC.
This material is for informational or educational purposes only and does not constitute an investment advice under ERISA. This material does not take
into account any specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be
made based on the investor’s own objectives and circumstances.
Certain products and services are only available to eligible individuals.
Images portrayed throughout this deck are snapshots for illustrative purposes only.
Teachers Insurance and Annuity Association of America (TIAA) and College Retirement Equities Fund (CREF), New York, NY. Each is solely responsible for
its own financial condition and contractual obligations.
Investment products may be subject to market and other risk factors. See the applicable product literature or visit TIAA.org for details.
Investment products are not FDIC insured, may lose value and are not bank guaranteed.
TIAA.org
©2022 Teachers Insurance and Annuity Association of America-College Retirement Equities Fund, 730 Third Avenue, New York, NY 10017
2045000 02/2022

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Income replacement ratio methodology and assumptions
Participant-related salary, contribution, retirement age and advice Retirement income replacement ratio calculation assumptions:
assumptions:  TIAA measures retirement income replacement ratios by calculating the
 TIAA estimates participant salary based on a regression-tested analysis of more projected stream of distributions from participants’ assets and estimated Social
than 60,000 active, premium-paying participants across 48 institutions. Participant Security benefits in current dollars as a percentage of employees’ current
salaries are estimated based on a function of the participant’s life stage, salaries.
organization type, age, TIAA recordkept assets, gender, and region and  Using the participant’s estimated salary, current contribution rates and asset
contribution rate. The participant’s gross annual income is used for various allocation, TIAA leverages the advice engine from Morningstar an independent
calculations, including retirement income replacement ratio, estimated Social expert retained by TIAA, to perform a sophisticated, Monte Carlo analysis (500
Security benefits, and estimated federal and state taxes. total simulations) to project the retirement income replacement ratio.
 Participant contributions are aggregated for a 12-month period for participants with  The results indicate the participant’s 70% probability of achieving the
a balance at the beginning of the period. For participants without a beginning retirement goal. A lower probability of success is associated with better (and
balance, the contribution amount from the last month of the 12-month period is less likely) estimated income. Your participants can also model different
annualized. IRS contribution limits are applied and adjusted for participants eligible outcomes for themselves by going online to TIAA.org/retirementadvisor
for catch-up provisions. Morningstar Investment Management LLC shifts any (online Retirement Advisor tool).
contribution amount above the annual limit to after-tax contributions for modeling
 Data provided represents inputs into the Morningstar advice engine for plan
purposes.
management purposes. If a participant uses Retirement Advisor online or has
 All retirement plan contributions are considered to be dedicated solely for an advice session with a consultant, estimated retirement income is not
retirement. Assets will not be liquidated for use prior to retirement, and all replaced with any of the information used in the Plan Outcome Assessment
contributions will end at the Target Retirement Age (TRA). report calculations.
 The TRA value is defaulted to 67 for most plan participants. Participants aged 66 or  The plan-level retirement income replacement ratio is determined by
higher have a TRA that is set two years from the current age. Life expectancy calculating the average retirement income replacement ratio of all participants
values are estimated by Morningstar and are based on participant age and gender. in the plan analysis. All actively contributing participants are included in the
 The participant’s balance is aggregated for all selected plans. Amounts are analysis, unless the participant has annual compensation of less than $25,000,
designed as pretax and Roth contributions, as appropriate. has contributed less than $300 in the previous 12-month period, has a current
 The participant’s asset allocation, for the purposes of this analysis, is categorized balance less than $500, or is less than 23 or greater than 65 years of age.
into simplified asset classes (i.e., stable value, equities, real estate, fixed income,  IMPORTANT: Projections, and other information generated through the TIAA
multi asset and money market). Plan Outcome Assessment and the Morningstar tool regarding the likelihood of
 The advice provided Morningstar consists of model portfolios composed of target various investment outcomes, are hypothetical, do not reflect actual
allocations for the asset classes. Based on the target retirement goals, Morningstar investment results, and are not a guarantee of future results. The projections
will recommend a specific tolerance level designed to adjust over time based on are dependent in part on subjective and proprietary assumptions, including the
Morningstar’s proprietary methodology which customizes a risk level trajectory for rate of inflation and the rate of return for different asset classes, and these
the participant. rates are difficult to accurately predict. The projections also rely on financial
and economic historical assumptions that may not reoccur in the future,
 The hypothetical advice target for the model is a 100% replacement ratio.
volatility measures and other facts. Results may vary with each use and over
 The Morningstar tool’s advice is based on statistical projections of the likelihood time.
that an individual will achieve their retirement goals. The projections rely on
financial and economic assumptions of historical rates of return of various asset
classes that may not reoccur in the future, volatility measures and other facts, as
wellFor
as institutional
informationinvestor use only.provides.
the individual Not for use with or distribution
Morningstar’s to the
advice public.
engine includes 84/521 Public Employees Retirement System, State of Mississippi | 10/24/22 | 44
tax-rate assumptions, mortality tables, and Social Security estimates.
Important information
This material is for informational or educational purposes only and does not constitute investment advice
under ERISA. This material does not take into account any specific objectives or circumstances of any
particular investor, or suggest any specific course of action. Investment decisions should be made based
on the investor’s own objectives and circumstances.
TIAA.org
You should consider the investment objectives, risks, charges and expenses carefully before
investing. Please call 877-518-9161 or log on to TIAA.org for underlying product and fund
prospectuses that contain this and other information. Please read the prospectuses carefully
before investing.
TIAA Traditional Annuity is a guaranteed insurance contract and not an investment for federal securities law purposes. Any guarantees under
annuities issued by Teachers Insurance and Annuities Association of America are subject to its claims-paying ability.
This material is approved for a private presentation by authorized individuals only and, accordingly, this material is not to be reproduced in whole or
in part or used for any purpose except as authorized by TIAA Institutional Sales and Services. This material is to be treated as strictly confidential
and not disclosed directly or indirectly to any party other than the recipient.
TIAA cannot and does not provide legal advice and recommends that plan sponsors consult their own legal advisors for such advice.
TIAA-CREF Individual & Institutional Services, LLC, Member FINRA, distributes securities products. Annuity contracts and certificates are issued
by Teachers Insurance and Annuity Association of America (TIAA) and College Retirement Equities Fund (CREF), New York, NY.
TIAA Brokerage, a division of TIAA-CREF Individual & Institutional Services, LLC, Member FINRA and SIPC, distributes securities. Brokerage
accounts are carried by Pershing, LLC, a subsidiary of The Bank of New York Mellon Corporation, Member FINRA, NYSE, SIPC.
© 2021 Teachers Insurance and Annuity Association of America College Retirement Equities Fund (CREF), 730 Third Avenue, New York, NY
10017
2461135
Public Employees' Retirement System of
Mississippi
Presenters:
Jeffery Lofton, MS, CLU© Kim Richard
Divisional Vice President Vice President, Strategic Relationship Management
Gulf States District - Central Region Central Region
113 W. Jackson Street, Suite 2A Woodson Tower, 2929 Allen Parkway, L6-20,
Ridgeland, MS. 39157 Houston, TX 77019
601-383-8837 832.802.3966
[email protected] [email protected]
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OVERVIEW
AIG Retirement Services updates and changes
• September 15, 2022 - AIG Retirement Services launched Corebridge Financial as a publicly
traded company on the New York Stock Exchange.
• October 11, 2022 – SEC mandated "quiet periods" ends.
• New website, corebridgefinancial.com
While our name is changing, our focus remains the sameto proudly partner with you to
help people plan, save for and achieve secure financial futures. As one of the largest
providers of retirement solutions and insurance products in the United States, Corebridge is
passionate about helping people address today's complex financial and retirement needs.
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OVERVIEW
Service Team
Local Financial Professionals
Institution Financial Professional Contact Number Email Address
Alcorn State University Jane Mapp 601-715-5827 [email protected]
Alcorn State University Daniel Biggers 601-331-3413 [email protected]
Delta State University David Stratton 662-607-4593 [email protected]
Institution For Higher Learning Bobby Browning 601-402-8856 [email protected]
Institution For Higher Learning Chris Logan 601-402-0805 [email protected]
Jackson State University Bobby Browning 601-402-8856 [email protected]
Jackson State University Jane Mapp 601-715-5827 [email protected]
Mississippi State University Elton Thomas 662-661-0260 [email protected]
Mississippi State University - Meridian Branch Chris Isom 601-490-0101 [email protected]
Mississippi State University - Meridian Branch Tom Merchant 601-900-3083 [email protected]
Mississippi State University for Women Elton Thomas 662-574-4029 [email protected]
Mississippi Valley State University Stirling Pittman 662-816-8606 [email protected]
University of Mississippi Stirling Pittman 662-816-8606 [email protected]
University of Mississippi Medical Center Chris Logan 601-402-0805 [email protected]
University of Mississippi Medical Center Chris Isom 601-490-0101 [email protected]
University of Mississippi Medical Center Jane Mapp 601-715-5827 [email protected]
University of Mississippi Medical Center Bobby Browning 601-402-8856 [email protected]
University of Mississippi Medical Center Ryan Swindell 601-317-7292 [email protected]
University of Southern Mississippi Chris Logan 601-402-0805 [email protected]
University of Southern Mississippi - Gulf Coast Branch Brian Milner 228-222-7142 [email protected]
University of Southern Mississippi - Gulf Coast Branch Josh Tootle 228-304-5668 [email protected]
3
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OVERVIEW
Service Team
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OVERVIEW
Legislative and Regulatory Updates
Federal student loan payment suspension
The U.S. Department of Education extended the student loan payment suspension for
eligible federal student loans through August 31, 2022.
The payment suspension includes the following relief for eligible student loan borrowers:
• A suspension of loan payments
• A 0% interest rate
• Stopped collections on defaulted loans
Proposed RMD regulations

The proposed regulations guidance for RMDs includes, but is not limited to, the
following:
• New interpretation of the 10-year rule
• Rules for determining who is an eligible designated beneficiary including ― If a
beneficiary is disabled, including a special rule for minor beneficiaries (under 18)
• Clarification of the age of majority for RMDs (age 21)
• Application of RMD rules for multiple beneficiaries and trust beneficiaries
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OTHER
Schwab Personal Choice Retirement Account®

• Investment choices include:
• More than 8,500 mutual funds from 630 of the nation’s most popular fund
companies
• Money market funds*
• No cost to MS ORP
• MS ORP can choose to restrict money types from PCRA
• MS ORP can restrict a percentage of assets to be invested in PCRA
• Plan distribution rules apply to the account, early withdrawal 10% penalty applies
• Loans not allowed from the PCRA account
• $50 annual fee to the participant
* An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other
government agency. Although money market funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose
money by investing in a money market fund.
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Mississippi
Plan Review
For Period Ending June 30, 2022
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Introduction ............................................... 3 ANNUITY ................................................ 20
PLAN DEMOGRAPHICS 8
Participant Investments ............................ 20
Active Participants ..................................... 9
PUBLIC EMPLOYEES' Asset Allocation (by Asset Class) ............ 21
Total Participants ....................................... 9
RETIREMENT SYSTEM
Investment Details ................................... 22
OF MISSISSIPPI Average Account Balance ....................... 10
401A403A 4 Average Participant Contribution ............ 10
Plan Features ............................................. 5
GUIDED PORTFOLIO
Total Contributions .................................. 11
SERVICES (GPS) 29
Plan Overview .......................................... 6 Participants with a Loan .......................... 12
GPS Summary ......................................... 30
Participant Overview ................................. 7
PLAN INVESTMENTS 13 ADDITIONAL

MUTUAL FUND ...................................... 14 INFORMATION 32
Participant Investments ............................ 14 Definitions ............................................... 33
Asset Allocation (by Asset Class) ............ 15 Calculations ............................................ 34
Investment Details ................................... 16 Disclosures .............................................. 35
Plan ID: 290131A

Public Employees' Retirement System of Mississippi 401A403A 8 2
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INTRODUCTION
Plan ID: 290131A

Public Employees' Retirement System of Mississippi 401A403A 9
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>

Mississippi 401A403A
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DATA AS OF JUNE 30, 2022
As of 06/30/2022 Benchmark* As of 06/30/2022 Benchmark*

Pre-Tax Contributions Not Offered 97.60% Automatic Enrollment Not Offered 28.70%
After-Tax Contributions Not Offered 51.40% Automatic Increase Not Offered 56.30%
Roth Contributions Not Offered 49.50%
Catch-Up Contributions Not Offered 93.40%
Rollovers In Offered — As of 06/30/2022 Benchmark*

Target Retirement Date Funds Offered 84.00%
Safe Harbor Not Offered —
Model Portfolios Not Offered —
Matching Contributions Not Offered 63.10%
Guided Portfolio Services Option Offered 32.30%
Other Employer Contributions Offered 24.40%
Loans Not Offered 73.50%
Hardship Withdrawals Not Offered 80.80%
Online Enrollments Offered —
Financial Advisor Assisted Enrollments Offered —
Defaulted Enrollments Offered —
* Benchmark represents the percentage of plan sponsors who offer the respective feature
based upon the results provided by Plan Sponsor Council of America's Annual Survey of
Profit Sharing and 401(k) Plans and 403(b) Plan Survey.
Plan ID: 290131A

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Comparison Period Comparison Period Your Plan as of Benchmark*

as of 06/30/2020 as of 06/30/2021 06/30/2022
Total Plan Assets $324,233,925 $409,149,057 $363,889,200 —
Active Participants 1,214 1,199 1,231 —
Average Account Balance $149,623 $185,808 $157,255 $102,056
Investments Offered 25 25 25 23
Investments with a Balance 71 69 78 —
Average Number of Investment Options Held** 4 4 4 —
* Benchmark represents the percentage of plan sponsors who offer the respective feature based upon the results provided by Plan Sponsor Council of America's
Annual Survey of Profit Sharing and 401(k) Plans and 403(b) Plan Survey .
** The Average Number of Investment Options held is the average of funds held by participants within the plan. The calculation includes all investment funds with a
balance greater than $0, whether the fund is open or closed to new contributions.
Reporting Period Reporting Period Reporting Period

07/01/19 — 06/30/20 07/01/20 — 06/30/21 07/01/21 — 06/30/22
Total Enrollments 178 126 186
Plan ID: 290131A

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Comparison Period 06/30/2020 Comparison Period 06/30/2021 Comparison Period 06/30/2022

Count Plan Count Plan Count Plan
Account Value Account Value Account Value
Participants with a Balance 2,167 $324,233,925 2,202 $409,149,057 2,314 $363,889,200

All participants that have a total account balance greater than $0.
Active Participants 1,214 $264,000,423 1,199 $325,491,716 1,231 $283,097,595

Participants, regardless of ending account balance, who have made a deferral and/or
received an employer contribution during the reporting period.
Beneficiaries 0 $0 1 $568,127 1 $105,745

Participants with a status of Beneficiary.
Participants with a Loan 0 $0 0 $0 0 $0

Participants with at least one active loan outstanding as of the end of the reporting period.
Loans that have been defaulted on will not be considered as active.
Guided Portfolio Services 260 $78,868,442 265 $94,708,640 318 $87,790,763

Participants enrolled in Guided Portfolio Services (GPS) as well as, the total assets under
management for the plan.
Plan ID: 290131A

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14
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Active Participants: 1,231 Total Participants with a Balance: 2,314
≤ 29 11% 137 ≤ 29 7% 162
30 - 39 34% 423 30 - 39 31% 709
40 - 49 21% 254 40 - 49 23% 537
50 - 59 17% 208 50 - 59 20% 454
≥ 60 17% 209 ≥ 60 20% 452
Not Provided 0% 0 Not Provided 0% 0
Plan ID: 290131A

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Average Account Balance: $157,255

Participants' average account balances can be an indication of how
≤ 29 $18,282 162
well they're preparing for retirement. The table to the right provides
a breakdown of plan participants with balances by age group and 30 - 39 $49,242 709
shows the average account balance for each group. Low average
balances for older age groups, in particular, may indicate you have 40 - 49 $137,992 537
participants who are not adequately preparing for retirement and
50 - 59 $232,487 454
should be encouraged to contribute more.
≥ 60 $323,815 452
Not Provided $0 0
Average Participant Contribution*: $20,638

This table shows the year to date participant contribution amounts by
age group. It stands to reason that younger groups may make lower ≤ 29 $10,556 137
contributions than older groups, but low contribution amounts by
any age group may mean participants will fall short of what they 30 - 39 $14,835 423
may need for retirement. Younger groups may include lower-paid 40 - 49 $24,619 254
employees.
50 - 59 $26,510 208
≥ 60 $28,311 209
* Capital Transfers are not included.
Not Provided $0 0
Plan ID: 290131A

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TOTAL
CONTRIBUTIONS*: $26,891,872
Contribution Type* Total Contributions 07/01/2021 - 06/30/2022 Cash Flow from 07/01/2021 - 06/30/2022
Pre-Tax $0 Total Contributions $26,891,872
After-Tax $0 Total Distributions ($20,963,849)
Roth $0 Net Cash Flow $5,928,022
Rollovers In $707,304
Other Employee ** $9,996,547
Employer $16,188,020
Plan ID: 290131A

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PARTICIPANTS
WITH A LOAN: 0
Plan Totals as of 06/30/2022
Number of Loans Outstanding 0 ≤ 29 $0 0
Total Plan Outstanding Loan Balance $0 30 - 39 $0 0
Average Outstanding Loan Balance $0 40 - 49 $0 0
50 - 59 $0 0
≥ 60 $0 0
Loan Activity for Reporting Period 7/1/2021 - 06/30/2022
Not Provided $0 0
New Loans Issued 0
Number of Defaulted Loans 0
Loans Paid Off 0
Plan ID: 290131A

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There are several circumstances with respect to Number of Investments Held by Participants (%)
participant investments that you may want to be on
the lookout for: a high percentage of participants
invested in a single option that's not a target date
or a balanced investment or a high number of
investments per participant. These demographics 1 Investment (Target Date) 37.33%
could indicate that many participants do not
1 Investment (Non-Target Date) 8.78%
understand asset allocation basics and need more
education about investing their plan assets. 2 Investments 7.39%
3 Investments 4.23%
4 Investments 5.52%
5+ Investments 36.74%
Average Number of Investments 4

per Participant
Number of Participants Invested 827

in a Target Date Investment
Plan ID: 290131A

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Total Participants: 1,867 By Age Group
≤ 29: 151 Participants 30-39: 703 Participants 40-49: 421 Participants
Specialty 1.54% Specialty 1.39% Specialty 1.91%

Global & International Equity 9.11% Global & International Equity 5.83% Global & International Equity 9.66%
Small Cap 0.00% Small Cap 0.00% Small Cap 0.00%
Mid Cap 19.26% Mid Cap 11.50% Mid Cap 18.53%
Large Cap 22.21% Large Cap 15.89% Large Cap 21.80%
Hybrid 44.24% Hybrid 56.44% Hybrid 23.18%
Fixed Income 3.63% Fixed Income 8.96% Fixed Income 24.92%
Specialty 1.73%
Global & International Equity 7.24%
Small Cap 0.00%
50-59: 295 Participants ≥ 60: 297 Participants Not Provided: 0 Participants
Mid Cap 16.74%
Large Cap 21.50%
Hybrid 21.01%
Fixed Income 31.79%

Plan ID: 290131A

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The tables below lists participant utilization of your plan investments. The data can help you determine how well your investment lineup meets your participants’
needs. A low number of participants using an investment and/or a low average balance in an investment could indicate participants do not understand the
investment and its potential place in their asset allocation. Similarly, a high concentration of plan assets in a single option that is not a target date or a balanced
investment could indicate the need for additional participant education around the necessity of diversification.
Transaction activity for period 7/1/2021 - 06/30/2022
Number of Opening Transfers Closing

Fixed Income Contributions Fees Distributions Gains/Loss Balance
Participants Balance In/Out
VANGUARD FED MONEY MARKET INV 78 $7,658,959 $684,262 ($4,946) ($801,988) ($69,689) $12,816 $7,479,413
VANGUARD TOTAL BOND INDEX I 340 $20,119,741 $1,360,106 ($56,025) ($1,316,877) ($1,770,541) ($2,055,382) $16,281,023
AMER CEN INFLATION-ADJ BND R6 251 $7,616,695 $465,426 ($16,011) ($474,408) ($631,957) ($333,637) $6,626,109
INVESCO STABLE VALUE TRUST 398 $18,036,996 $2,915,633 ($64,527) ($1,647,574) $2,577,052 $292,468 $22,110,047
FIXED INTEREST OPTION 581 $44,959,292 $0 ($60,588) ($2,782,069) ($943,028) $838,960 $42,012,566
JH CORE PL FIXED INC TRUST I4 4 $39,826 $1,120 ($17) $0 $44,450 ($12,064) $73,315
Totals $98,431,510 $5,426,547 ($202,114) ($7,022,916) ($793,713) ($1,256,839) $94,582,474
Plan ID: 290131A

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Global & International Equity Contributions Fees Distributions Gains/Loss Balance
AMERICAN EUROPACIFIC GROWTH R6 661 $28,445,472 $2,118,778 ($59,078) ($1,328,644) $321,046 ($7,968,183) $21,529,390
Totals $28,445,472 $2,118,778 ($59,078) ($1,328,644) $321,046 ($7,968,183) $21,529,390

Hybrid Contributions Fees Distributions Gains/Loss Balance
VANGUARD TGT RTMT 2040 59 $0 $191,034 ($1,065) ($1,892) $5,026,348 ($700,191) $4,514,233
VANGUARD TGT RTMT 2030 40 $0 $163,467 ($668) ($10,089) $2,213,671 ($286,303) $2,080,079
VANGUARD TGT RTMT 2025 27 $0 $124,986 ($483) $0 $3,242,810 ($386,347) $2,980,965
VANGUARD TGT RTMT 2050 231 $0 $564,039 ($4,437) ($168,757) $13,732,689 ($2,012,422) $12,111,113
VANGUARD TGT RTMT 2045 125 $0 $282,114 ($2,329) ($273,954) $8,947,421 ($1,270,382) $7,682,870
VANGUARD TGT RTMT 2015 7 $0 $32,397 ($100) $0 $420,095 ($39,906) $412,487
VANGUARD TGT RTMT 2035 58 $0 $195,844 ($846) ($972) $4,467,851 ($600,295) $4,061,582
VANGUARD TGT RTMT INC 13 $0 $9,193 ($105) $0 $337,394 ($29,013) $317,470

Plan ID: 290131A
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VANGUARD TGT RTMT 2020 22 $0 $99,179 ($352) $0 $1,677,283 ($175,416) $1,600,694
AMERICAN FUNDS AMR BALANCED R6 337 $11,284,194 $1,181,778 ($35,941) ($642,631) $8,348,463 ($1,762,613) $18,373,249
Totals $11,284,194 $3,639,906 ($51,678) ($1,141,890) $57,371,485 ($8,604,813) $62,497,204

Large Cap Contributions Fees Distributions Gains/Loss Balance
AMERICAN AMCAP R6 257 $10,078,843 $626,343 ($4,565) ($342,042) ($183,516) ($2,355,636) $7,819,427
AMERICAN FDS AMERICAN MUTL R6 558 $26,183,988 $1,772,163 ($54,778) ($1,296,701) ($5,137,490) $519,028 $21,986,210
STATE ST S&P 500 INDX NL CI K 512 $37,696,066 $2,487,573 ($20,365) ($2,000,447) $144,545 ($4,157,682) $34,149,690
Totals $73,958,897 $4,886,079 ($79,708) ($3,639,189) ($5,176,462) ($5,994,290) $63,955,327
Plan ID: 290131A

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Mid Cap Contributions Fees Distributions Gains/Loss Balance
AMERICAN NEW PERSPECTIVE R6 474 $14,347,256 $993,069 ($32,987) ($607,984) $891,256 ($3,494,338) $12,096,272
GW&K SMALL/MID CAP COR EQ 301 $5,075,338 $426,934 ($20,229) ($308,705) ($855,541) ($478,736) $3,839,062
STATE ST RUS SM/MID CP INDX NL 802 $48,246,848 $2,895,427 ($35,537) ($2,002,954) ($1,135,022) ($14,102,230) $33,866,532
Totals $67,669,442 $4,315,429 ($88,752) ($2,919,642) ($1,099,307) ($18,075,304) $49,801,867

Specialty Contributions Fees Distributions Gains/Loss Balance
COHEN & STEERS REAL EST SEC Z 453 $5,388,897 $430,797 ($12,543) ($166,012) ($183,441) ($312,737) $5,144,961
Totals $5,388,897 $430,797 ($12,543) ($166,012) ($183,441) ($312,737) $5,144,961
Plan ID: 290131A

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There are several circumstances with respect to Number of Investments Held by Participants (%)
participant investments that you may want to be on
the lookout for: a high percentage of participants
invested in a single option that’s not a target date
or a balanced investment or a high number of
investments per participant. These demographics 1 Investment (Target Date) 0.00%
could indicate that many participants do not
1 Investment (Non-Target Date) 37.63 %
understand asset allocation basics and need more
education about investing their plan assets. 2 Investments 7.50%
3 Investments 4.95%
4 Investments 5.85%
5+ Investments 44.08%
Average Number of Investments 4

per Participant
Number of Participants Invested 0

in a Target Date Investment
Plan ID: 290131A

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Total Participants: 667 By Age Group
≤ 29: 11 Participants 30-39: 9 Participants 40-49: 161 Participants

Specialty 4.68%
Global & International Equity 4.61%
Small Cap 5.33%
50-59: 231 Participants ≥ 60: 255 Participants Not Provided: 0 Participants
Mid Cap 7.68%
Large Cap 25.44%
Hybrid 3.96%
Fixed Income 48.30%

Plan ID: 290131A

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The tables below lists participant utilization of your plan investments. The data can help you determine how well your investment lineup meets your participants’
needs. A low number of participants using an investment and/or a low average balance in an investment could indicate participants do not understand the
investment and its potential place in their asset allocation. Similarly, a high concentration of plan assets in a single option that is not a target date or a balanced
investment could indicate the need for additional participant education around the necessity of diversification.
Transaction activity for period 7/1/2021 - 06/30/2022

SHORT TERM FIXED ACCOUNT 52 $6,655,375 $0 $0 ($252,360) $817,682 $211,540 $7,432,237
GOVERNMENT SECURITIES FUND 4 $25,340 $0 $0 $0 $0 ($2,354) $22,986
CORE BOND FUND 15 $269,757 $0 $0 ($78,549) ($40,442) ($19,771) $130,996
INTERNATIONAL GOVERNMENT BOND 28 $370,417 $0 $0 ($5,847) $0 ($64,672) $299,898
INTERNATIONAL GOVERNMENT BOND 11 $71,452 $0 $0 ($2,474) ($10,192) ($12,101) $46,684
GS VIT GOV MONEY MKT FD INST 31 $0 $0 $0 $0 $474,888 ($212) $474,675
GS VIT GOV MONEY MKT FD INST 52 $0 $0 $0 $0 $587,569 ($26) $587,543
GOVERNMENT SECURITIES FUND 14 $268,730 $0 $0 ($3,305) $0 ($25,131) $240,293
CORE BOND FUND 5 $40,503 $0 $0 $0 $0 ($4,910) $35,594
Plan ID: 290131A

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GOVERNMENT MONEY MARKET I 0 $666,338 $0 $111 ($375) ($660,734) ($5,341) $0
VANGUARD LT INV-GRADE FUND 31 $453,431 $0 $0 ($27,644) $1,057 ($92,040) $334,805
FIXED ACCOUNT PLUS 395 $21,975,633 $0 $0 ($717,701) ($166,565) $743,053 $21,834,421
VANGUARD LT INV-GRADE FUND 27 $157,282 $0 $0 ($18,681) ($10,270) ($31,010) $97,321
VANGUARD LONG-TERM TREASURY 43 $533,434 $0 $0 ($382) $0 ($103,310) $429,742
VANGUARD LONG-TERM TREASURY 32 $137,261 $0 $0 ($16,752) $538 ($24,690) $96,358
GOVERNMENT MONEY MARKET I 0 $591,438 $0 $0 $0 ($587,569) ($3,868) $0
Totals $32,216,393 $0 $111 ($1,124,070) $405,962 $565,157 $32,063,553
Plan ID: 290131A

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INTERNATL EQUITIES INDEX FUND 63 $762,680 $0 $0 ($20,570) ($20,208) ($134,073) $587,829
INTERNATIONAL VALUE FUND 40 $455,108 $0 $0 ($20,849) $0 ($80,089) $354,170
INTL SOCIALLY RESPONSIBLE FUND 21 $145,835 $0 $0 ($4,313) ($165) ($26,526) $114,830
EMERGING ECONOMIES 32 $261,182 $0 $0 ($18,034) ($1,630) ($73,605) $167,914
EMERGING ECONOMIES 7 $47,877 $0 $0 $0 $0 ($13,599) $34,278
INTERNATIONAL GROWTH FUND 26 $257,713 $0 $0 ($19,168) $0 ($83,540) $155,005
INTL SOCIALLY RESPONSIBLE FUND 7 $68,377 $0 $0 $0 $182 ($12,827) $55,732
GLOBAL STRATEGY 18 $162,590 $0 $0 $0 $0 ($26,168) $136,422
INTERNATIONAL GROWTH FUND 46 $1,084,312 $0 $0 ($11,793) ($28,780) ($361,213) $682,527
INTERNATL EQUITIES INDEX FUND 45 $361,454 $0 $0 ($33,022) $0 ($61,446) $266,986
INTERNATIONAL VALUE FUND 60 $331,807 $0 $0 ($11,544) $0 ($59,112) $261,151
Plan ID: 290131A

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GLOBAL STRATEGY 24 $317,336 $0 $0 ($26,575) $0 ($47,976) $242,785
Totals $4,256,273 $0 $0 ($165,869) ($50,601) ($980,175) $3,059,628

VANGUARD WELLINGTON FUND INC 35 $820,040 $0 $0 ($82,563) ($90,636) ($68,219) $578,622
ASSET ALLOCATION FUND 5 $16,936 $0 $0 $0 $0 ($1,763) $15,173
VANGUARD WELLINGTON FUND INC 59 $2,338,232 $0 $0 ($244,096) $140,861 ($243,355) $1,991,642
ASSET ALLOCATION FUND 2 $47,209 $0 $0 $0 $0 ($4,829) $42,380
VANGUARD INSTL TGT RET 2020 0 $1,614,700 $207,648 ($1,059) ($13,800) ($1,775,101) ($32,389) $0
Totals $4,837,117 $207,648 ($1,059) ($340,458) ($1,724,877) ($350,555) $2,627,817
Plan ID: 290131A

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DIVIDEND VALUE 16 $225,207 $0 $0 ($8,433) ($28,164) ($10,332) $178,278
VANGUARD WINDSOR II 94 $2,850,134 $0 $0 ($118,163) ($28,266) ($299,780) $2,403,926
VANGUARD WINDSOR II 93 $1,427,549 $0 $0 ($109,595) $17,452 ($146,164) $1,189,242
STOCK INDEX FUND 80 $1,669,288 $0 $0 ($135,752) $0 ($174,140) $1,359,397
GROWTH FUND 24 $480,524 $0 $0 ($44,148) $0 ($119,670) $316,707
STOCK INDEX FUND 156 $8,357,970 $0 $0 ($628,399) ($204,032) ($869,950) $6,655,589
LARGE CAPITAL GROWTH 7 $147,116 $0 $0 $0 $0 ($16,328) $130,789
SYSTEMATIC CORE FUND 53 $1,486,833 $0 $0 ($93,589) $0 ($189,220) $1,204,024
DIVIDEND VALUE 11 $136,586 $0 $0 $0 ($1,855) ($7,384) $127,347
LARGE CAPITAL GROWTH 39 $1,223,346 $0 $0 ($124,926) ($108,982) ($103,837) $885,600
SYSTEMATIC CORE FUND 6 $261,233 $0 $0 $0 $0 ($35,895) $225,338
Plan ID: 290131A

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GROWTH FUND 81 $3,271,067 $0 $0 ($189,002) ($36,346) ($834,776) $2,210,944
Totals $21,536,854 $0 $0 ($1,452,006) ($390,194) ($2,807,474) $16,887,181

Mid Cap Contributions Fees Distributions Gains/Loss Balance
MID CAP INDEX FUND 133 $4,051,685 $0 $0 ($187,051) ($154,216) ($593,573) $3,116,845
MID CAP INDEX FUND 124 $1,926,290 $0 $0 ($197,770) ($7,314) ($273,321) $1,447,886
MID CAP STRATEGIC GWTH 12 $160,436 $0 $0 ($397) $0 ($39,393) $120,645
MID CAP STRATEGIC GWTH 24 $663,103 $0 $0 ($55,885) ($57,258) ($136,312) $413,648
Totals $6,801,514 $0 $0 ($441,103) ($218,787) ($1,042,600) $5,099,024
Plan ID: 290131A

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Small Cap Contributions Fees Distributions Gains/Loss Balance
SMALL CAP GROWTH FUND 9 $114,124 $0 $0 ($4,587) $0 ($41,112) $68,426
SMALL CAP GROWTH FUND 49 $1,337,211 $0 $0 ($54,194) ($32,416) ($474,490) $776,111
SMALL CAP INDEX FUND 97 $2,557,606 $0 $0 ($123,000) ($123,812) ($615,218) $1,695,577
SMALL CAP INDEX FUND 116 $1,487,149 $0 $0 ($128,371) $770 ($362,710) $996,839
Totals $5,496,090 $0 $0 ($310,151) ($155,457) ($1,493,529) $3,536,952

Specialty Contributions Fees Distributions Gains/Loss Balance
SCIENCE & TECHNOLOGY FUND 23 $522,286 $0 $0 ($41,008) $2,265 ($169,112) $314,431
SCIENCE & TECHNOLOGY FUND 98 $4,602,170 $0 $0 ($142,487) ($198,165) ($1,472,129) $2,789,388
Totals $5,124,456 $0 $0 ($183,495) ($195,900) ($1,641,242) $3,103,820
Plan ID: 290131A

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Number of Participants 0 50 98 72 58 48 1
Percent of Total 0% 15.3% 30% 22% 17.7% 14.7% .3%
Average Assets Under Management (AUM) $0 $13,444 $58,089 $288,571 $497,948 $605,727 $179,750
Number of Participants 30 47 16 18 28 25 11 19 133
Percent of Total 9.2% 14.4% 4.9% 5.5% 8.6% 7.7% 3.4% 5.8% 40.7%
Average Assets Under Management (AUM) $0 $6,578 $14,083 $21,969 $36,364 $60,699 $86,289 $145,485 $587,208
Number of Participants 3 11 36 29 27 39 182
Percent of Total .9% 3.4% 11% 8.9% 8.3% 11.9% 55.7%
Average Assets Under Management (AUM) $261,719 $989,055 $515,476 $526,529 $472,150 $389,681 $65,059
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Advice Recommendations
For many retirement plan participants (future retirees), they may be uncertain if they are on track for retirement. One of the many benefits of the GPS program is to
help participants determine if they are on track for reaching their retirement goals and if they are not, what steps are needed to help get on track.
On Track 231 0 0 0
(71% of GPS participants)
Not On Track 95 39 14 42
(29% of GPS participants)
Total GPS Participants 326 39 14 42
For participants currently “On Track” for participants may have a greater chance to contributions along with the GPS portfolio
reaching their retirement goals, the on-going reach their retirement goals if they continue with recommendation and 42 participants have been
asset management (portfolio updates and their current savings rates. Participants currently advised to both increase their contributions and
re-balancing) and automatic annual wealth “Not On Track” for reaching their retirement retire at a later age (work longer). On average,
forecast will help to enable these participants to goals receive advice recommendations to help these participants are advised to work 4 years
stay on track as the markets and financial get them on track. Of the plan participants in longer than their desired retirement age.
situations change. Along with the GPS portfolio this category, 39 have been advised to increase
recommendation, these their
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Active Loan Eligible Participant Positive Balance Participant

Assets borrowed by the account owner from their account Employees who have met eligibility rules as defined by the Any participant, regardless of their participant status, that
for which they are currently repaying. plan. has a closing balance that is greater than zero as of the
period ending date.
Active Participant Fixed Income Fund
Participants, regardless of ending account balance, who A fund that invests primarily in bonds and other Reporting Period Range
have made a deferral and/or received an employer fixed-income securities, often to provide shareholders with The date range covered in the plan review.
contribution during the reporting period. current income.
Retired Participant
Beneficiary Participant Global & International Equity Any participant with a participant status of “Retired.”
A plan account for a person or entity to whom all or a A fund that invests primarily in securities anywhere in the
portion of a deceased participant’s interest in the plan is world, including the United States. Small Cap Fund
due. A fund that invests primarily in small-cap stocks.
Hybrid
Deceased Participant A method of investing by which investors include a range of Specialty
Any participant with a participant status of “Deceased.” different investment classes — such as stocks, bonds, and A fund that focuses investing within a specific industry or
cash alternatives or equivalents — in their portfolios. sector of the economy.
Deemed Loan
A loan that has defaulted but still has an outstanding Large Cap Fund Terminated Participant
balance. A fund that invests primarily in large cap stocks. Any participant with a participant status of “Terminated”
and a balance greater than zero.
Defaulted Loan Mid Cap Fund
A default occurs when a loan payment is not made on a A fund that invests primarily in mid-cap stocks.
timely basis. Since the participant has not met a
distributable event, the loan remains open and interest on
the remaining balance continues to be accrued.
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Active Loan Count Investments Offered Tenure

The number of all loans in the plan with an active status. The count of investments offered by the plan. The number of full years with the company, calculated from
date of hire.
Average Account Balance Investments with a Balance
Total plan assets divided by the number positive balance The count of investments in the plan with a positive closing Total Plan Assets
participants. balance. Sum of all participant assets, based on the participant
transaction summary by investment data, for all funds, plus
Average Deferral Net Cash Flow any outstanding loan balances and plan holding accounts.
Total deferrals divided by the count of the active Total plan contributions less total plan distributions.
participants. Total Plan Contributions
Participant Investment Count The sum of all employee and employer contributions.
Average Number of Investment Options Held The count of investments a positive balance participant has
The total count of unique investments (including target date with a balance greater than zero. Total Plan Distributions
funds) with a balance divided by the number of positive The sum of all distributions (displayed as a negative
balance participants. Participants Plan Contributions number). Distributions include:
Salary deferrals and/or employer contributions made on Distributions
Average Outstanding Loan Balance behalf of the participant during the stated reporting period.
Defaulted Loan Balance
Total active loan balance divided by active loan count.
Corrective Activity
Participation Rate
Average Participant Contribution Number of active participants divided by the number of
Total deferral dollars divided by active participants. eligible participants.
Compensation Participants With a Balance

Calculated using quarter-end data. If full year data is not Count of positive balance participants as of the comparison
available, compensation will be calculated based on period date.
available quarterly data to determine an annual
compensation amount.
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Investing involves risk, including the possible loss of principal. Investment values of variable products fluctuate so that investment units, when redeemed, may be worth
more or less than their original cost.
The principal value of a fund is not guaranteed at any time, including at or after the target date, which is the approximate year an investor plans to retire (assumed to
be age 65) and likely stop making new investments in the fund. If an investor plans to retire significantly earlier or later than age 65, the fund may not be an
appropriate investment even if the investor is retiring on or near the target date.
Investors should carefully consider the investment objectives, risks, fees, charges and expenses before investing. This and other important information is contained in the
fund prospectus, which can be obtained from your financial professional, at www.aig.com/retirementservices, or calling 1-800-428-2542 and following the prompts.
Read the prospectuses carefully before investing.
This information represents the as of dates shown. The information does not constitute legal, tax, or accounting advice from AIG or its member companies, employees,
financial professionals or other representatives.
Securities and investment advisory services offered through VALIC Financial Advisors, Inc. (“VFA”), member FINRA, SIPC and an SEC-registered investment adviser.
Annuities issued by The Variable Annuity Life Insurance Company (“VALIC”), Houston, TX. Variable annuities distributed by its affiliate, AIG Capital Services, Inc.
(“ACS”), member FINRA.
AIG Retirement Services represents The Variable Annuity Life Insurance Company (“VALIC”) and its subsidiaries VALIC Financial Advisors, Inc. (“VFA”) and VALIC
Retirement Services Company (“VRSCO”). All are members of American International Group, Inc. (“AIG”).
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Communication
and Education
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For Plan Sponsor and Consultant use only. Not for Public Distribution.
Driving employee engagement.
41
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Challenges for your employees.
Competing financial Lack of

priorities. knowledge.
Limited Need help

time. and guidance.
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Key goals for employee engagement.
Data-driven education can help to ensure participants are getting the right message at the right time and
focuses on building financial confidence, including:
Diversification Mid-year checklist
Engagement Education
New Year’s resolution Focus on saving

Designate your personal financial resolution Increase savings to help support financial
and we can help you keep on track. wellness and retirement readiness.
Mid-year checklist Financial education

Progress on key financial wellness actions. Targeted education and quiz based on needs.
Financial wellness Diversification

Assess your own financial fitness and take Review your allocations to help ensure you are
steps to improve your financial health. properly diversified.
Milestones Protecting your future

Acknowledge key milestones/accomplishments Update beneficiaries and help ensure
and consider next steps. important documents are up to date.
Diversification cannot ensure a profit or protect against loss in a declining market. It is a strategy used to help mitigate risk. America Saves Week
45
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FutureFIT® Financial Wellness webinar series.
Monthly webinars offer broad educational curriculum across multiple topics each month.
Retirement Planning
Retirement Pathfinder.® Emotions and Your Money Your Life in Retirement
Your Life in Retirement.
Retirement Income Strategies.
Money Management
Simple Steps to Improving Your Financial Health.
Cash Management: Planning for Financial Health.
Insurance and Taxes

Risk Management.
Tax planning: The Importance of Having a Strategy.
Student Debt Solutions Retirement Income Strategies
Market Volatility
Emotions and Your Money: 5 Potentially Costly Mistakes and
How to Avoid Them.
Specialty Topics
Eldercare insight: The Power of Planning for Today, Tomorrow
and Far Into the Future.
Long-term Care: Planning for Financial Future.
Student Debt Solutions. & Student Loans 101.
Retirement Strategies For Women.
Millennials: Preparing for a Brighter Tomorrow.
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National events help support financial wellness.
• Leverage nationally recognized events to focus on financial wellness.

• Targeted emails focus on relevant educational content and encourage employees to take action.
• Additional toolkit materials provided for you to promote the national events internally.
America Saves National Financial National Retirement

Week Literacy Month Security Month
Our interactive retirement planning tool This initiative encourages participants During NRSM participants are
allows participants to explore saving to test their knowledge of the basic encouraged to take at least one step
scenarios to determine if they’re on the components of financial wellness. toward achieving the financial future
right path. they envision.
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2022 Calendar. Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Targeted education
New Year’s resolution ✓
Importance of saving (ASW) ✓
Financial Wellness Engagement ✓
Financial education (NFLM) ✓
Retirement Ready ✓
Mid-year checklist ✓
Importance of diversifying ✓
Maximize your savings ✓
Protecting your future ✓
National Retirement Security (NRSM) ✓
Milestones ✓
Thank you, holiday ✓
National events
America National National
Saves Financial Retirement
Toolkits Week Literacy Saving
(ASW) (NFLM) (NRSM)
Service/regulatory
Statements ✓ ✓ ✓ ✓
Webinars
National webinar series ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓
One-on-one support
Financial professional engagement ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓

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This material is general in nature, was developed for educational use only, and is not intended to provide financial, legal, fiduciary, accounting or tax
advice, nor is it intended to make any recommendations. Applicable laws and regulations are complex and subject to change. Please consult with your
financial professional regarding your situation. For legal, accounting or tax advice consult the appropriate professional.
Securities and investment advisory services offered through VALIC Financial Advisors, Inc. (VFA), member FINRA, SIPC and an SEC-registered
investment adviser.
Annuities are issued by The Variable Annuity Life Insurance Company (VALIC), Houston, TX. Variable annuities are distributed by its affiliate,
AIG Capital Services, Inc. (ACS), member FINRA.
AIG Retirement Services represents The Variable Annuity Life Insurance Company (VALIC) and its subsidiaries, VALIC Financial Advisors, Inc. (VFA) and
VALIC Retirement Services Company (VRSCO). All are members of American International Group, Inc. (AIG).
© American International Group, Inc. All rights reserved.

VC 38352 (10/2021) J698302 ER
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Mississippi Optional Retirement Plan
Annual Plan Review 07.01.21 – 06.30.22
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1
Your Voya Team MS ORP Plan Review with Voya
Agenda
Metrics that Matter
Jonathan Cox, CRPC®
Regional Vice President • Assets, Contributions, Distributions
Sallie O’Quinn • Local Education, Service & Guidance
Key Account Manager
• New Voya Technology & Purposeful Innovation
Tom Boyle • Q&A
Operations & Technology
Tom Krocheski
Plan Manager
David Linney
Senior Vice President
2
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Total Plan Assets
$477,488,176
$411,266,095
$361,974,000
$334,254,840
06/30/2019 06/30/2020 06/30/2021 06/30/2022
3
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Plan Summary 07/01/21- 06/30/22
Beginning Value as of 07/01/2021 $477,488,175.99
Contributions $32,174,189.39
Capital Transfers In $3,480,224.81
Interest Earned $1,726,661.41
Gain / Loss ($95,882,197.40)
Distributions ($7,720,958.85)
Ending Value as of 06/30/2022 $411,266,095.35
4
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New Enrollments
290
250 246
224
06/30/2019 06/30/2020 06/30/2021 06/30/2022
5
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Average Account Balance by Age Group
$233,519
$208,089
$112,439
$54,227
$14,704
<30 30s 40s 50s 60+
6
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Plan Asset Diversification as of 06/30/2022
8.81% 7.33% Asset Allocation - 7.33%

18.04% Stability of Principal - 18.04%
23.35%
Bonds - 6.29%
6.29%
Balanced - 5.65%
5.65%
13.58% Large Cap Value - 16.94%
16.94% Large Cap Growth - 13.58%
Small/Mid/Specialty - 23.35%
Global/International - 8.81%
7
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Personal Engagement with Our Local Team
By the numbers…
• 8,500 + Participant calls to our Local Advisors

and Support Team
• Over 115,000 Internet & Mobile App Inquires
• Over 16,000 Educational and Financial
Wellness communications to all participants
• Retirement & Legislative Updates sent to all HR
& Benefit directors monthly
• Over 4,600 Individual Participant Meetings
Account Reviews (Asset Allocation,
Rebalancing, Distribution Planning, etc.)
• Over 500 Advisor Assisted Transactions – Voya Servicing Locations:
Beneficiary Elections, Account Rebalancing & • 2458 S. Church Ave., Louisville, MS 39339
• 501 Heritage Dr., Ste. 125, Oxford, MS 38655
Fund Transfers, Address Changes, etc.
• 105 5th Street North, Ste. 300, Columbus, MS 39701
Supervisory Office:
• 2424 Edenborn Ave., Ste. 680, Metairie, LA 70001
8
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Online Scheduling Tool for MS ORP Faculty & Staff
Step 1: Select a location Step 2: Select time & date Step 3: Provide information
Hello, Hello,
Hello,
Thank you for taking the time to Thank you for taking the time to
Thank you for taking the time to
book an appointment with me. I book an appointment with me. I
book an appointment with me. I
am looking forward to meeting am looking forward to meeting
am looking forward to meeting
with you soon! with you soon!
with you soon!
Regards, Regards,
Regards,
Financial Advisor
Financial Advisor Financial Advisor
@voyafa.com
@voyafa.com [email protected]
Securities and Investment Advisory Services
offered through Voya Financial Advisors, Inc. Securities and Investment Advisory Services Securities and Investment Advisory Services
(Member SIPC) offered through Voya Financial Advisors, Inc. offered through Voya Financial Advisors, Inc.
(Member SIPC) (Member SIPC)
Investment advisor representative and
registered representative of, and securities Investment advisor representative and Investment advisor representative and
and investment advisory services offered registered representative of, and securities registered representative of, and securities
through Voya Financial Advisors, Inc. and investment advisory services offered and investment advisory services offered
(member SIPC). through Voya Financial Advisors, Inc. through Voya Financial Advisors, Inc.
(member SIPC). (member SIPC).
Step 4: Booking is confirmed
Hello,
Thank you for taking the time to
book an appointment with me. I
am looking forward to meeting
with you soon!
Regards,
Financial Advisor
@voyafa.com
Securities and Investment Advisory Services

offered through Voya Financial Advisors, Inc.
(Member SIPC)
Investment advisor representative and

registered representative of, and securities
and investment advisory services offered
through Voya Financial Advisors, Inc.
(member SIPC).
9
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Course-correcting when your employees are
“off track”
Combining psychology insights and economics to solve retirement savings
problems.
CN0403-41188-0520DBT
144/521
Shifting the mindset from accumulation to income
* Recipient of DALBAR’s 2021 Communications Seal for the participant website and mobile app, representing excellence in financial services communications.
CN755893_0520
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Helping MS ORP participants achieve financial
wellness one step at a time
Holistic financial guidance that helps your employees address, prioritize and balance key components
of financial health.
Protection
Spending
& Saving
Emergency Fund
Retirement
Other Goals
Debt
12
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Voya Learn: Where virtual, on-demand personal
education meets retirement planning
Provides actionable “coaching” that feels personal

and motivates you to take that best next step
Denis
Melinda
Beth
Vanessa
John Jose
Voya Learn provides retirement education and inspiration to MS ORP participants

- anywhere, anytime.
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13
Tailored Innovation for MS ORP!
MS ORP Retirement Overview™ helps all your Higher Education participants determine
if they are on track to pursuing their financial objectives in retirement. Using an integrated retirement
and paycheck analysis, participants can estimate how much they need to save today in order to reach
their financial objectives tomorrow.
To make the analysis more relevant to your Participants, MS

ORP MRO incorporates all of your employees retirement
plans
• MS Optional Retirement Plan (ORP)
• Mississippi Deferred Compensation (MDC) 457b or
the Voluntary 403(b) Savings Plans available from
the MS Institutions of Higher Learning
• Social Security (if eligible) and other savings
• Incorporates any State Level Defined Benefit Plans
when applicable
• Software demonstrations and personalized reports
provided in group seminars and during individual
meetings with your local advisors
14
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+ Voya’s S.A.F.E.® Guarantee
Voya is committed to safeguarding your Mississippi ORP plan participants’ accounts and
personal information from the risk of fraud, cyber threats and unauthorized activity – so
much so, we established the Voya S.A.F.E.® (Secure Accounts for Everyone) Guarantee.
What does the S.A.F.E. Guarantee mean?

If any assets are taken from your workplace retirement plan account due to
? unauthorized activity and through no fault of your own, we will restore the value of
your account subject to you taking action to satisfy the following key steps:
1. Register your account online.
2. Review your account information on a regular basis and keep your

contact information current.
3. Promptly report any suspected identity theft or unauthorized activity.
4. Practice safe computing habits.
Why the S.A.F.E. requirements?
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15
Q&A
16
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Not FDIC/NCUA/NCUSIF Insured • Not a Deposit of a Bank/Credit Union • May Lose Value Bank/Credit Union Guaranteed •
Not Insured by Any Federal Government Agency
Any insurance products, annuities and funding agreements that you may have purchased are sold as securities and are issued by
Voya Retirement Insurance and Annuity Company (“VRIAC”). Fixed annuities are issued by VRIAC. VRIAC is solely responsible for
meeting its obligations. Plan administrative services provided by VRIAC or Voya Institutional Plan Services, LLC (“VIPS”). Neither
VRIAC nor VIPS engage in the sale or solicitation of securities. If custodial or trust agreements are part of this arrangement, they may
be provided by Voya Institutional Trust Company. All companies are members of the Voya family of companies. Securities
distributed by Voya Financial Partners, LLC (member SIPC) or other broker-dealers with which it has a selling agreement. All
products or services may not be available in all states.
Thank you!
17
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PERS of Mississippi - Optional Retirement Plan
Retirement Provider Quarterly Summary of Investments, Fund Expenses and Record Keeping Costs
Retirement Provider: Voya

Quarter Ending: 6/30/2022
Summary of Investment Fees & Record Keeping Expenses paid by ORP Members
Investment Vehicle Expense reimbursements, fee

Net investment expense charged to
Type Gross Investment Expenses rebates, waivers or revenue sharing
participants by Mutual fund, Collective
Mutual Fund, Collective Investment Trust (CIT) or Variable Annuity Fund (Mutual Fund, CIT, Ticker # of Fund ID (inclusive of all other expenses, 12b-1 waived or credited back to offset
Investment Trust or Variable Annuity
Variable Annuity fees, management fees) participant investment fees
Fund
Fund) (if applicable)
AB Global Core Equity Port P1 CIT 97183C488 0.75 0.00 0.75

American Funds® Fundamental Investors® - Class R-6 Mutual Fund RFNGX 0.28 0.00 0.28
BlackRock Liquidity Federal Trust Fund - Inst Shares Mutual Fund TFFXX 0.23 0.06 0.17
GW&K Sm Md Cp Cr Eq Coll Inv I CIT 36249R105 0.65 0.00 0.65
Invesco Stable Value Trust C CIT 46X587XX5 0.26 0.00 0.26
Metropolitan West Total Return Bond Fund - Class I Shares Mutual Fund MWTIX 0.45 0.10 0.35
PIMCO Real Return Fund - Institutional Class Mutual Fund PRRIX 0.47 0.00 0.47
State Street Russ Small/Mid Cp Ind NL Fd K CIT CMK4N 0.04 0.00 0.04
State Street S&P 500 Index NL Fd K CIT CMDVQ 0.01 0.00 0.01
T Rowe Prc Inst LgCp Core Grw Mutual Fund TRRGX 0.56 0.00 0.56
T. Rowe Price Retirement 2015 Fund Mutual Fund TRRBX 0.51 0.15 0.36
T. Rowe Price Retirement 2020 Fund Mutual Fund TRRHX 0.53 0.15 0.38
T. Rowe Price Retirement 2025 Fund Mutual Fund TRRCX 0.55 0.15 0.40
T. Rowe Price Retirement 2030 Fund Mutual Fund TRRJX 0.58 0.15 0.43
T. Rowe Price Retirement 2035 Fund Mutual Fund TRRDX 0.59 0.15 0.44
T. Rowe Price Retirement 2040 Fund Mutual Fund TRRKX 0.60 0.15 0.45
T. Rowe Price Retirement 2045 Fund Mutual Fund TRRMX 0.62 0.15 0.47
T. Rowe Price Retirement 2050 Fund Mutual Fund TRRNX 0.63 0.15 0.48
T. Rowe Price Retirement 2055 Fund Mutual Fund TRRLX 0.64 0.15 0.49
T. Rowe Price Retirement 2060 Fund Mutual Fund TPLGX 0.64 0.15 0.49
T. Rowe Price Retirement 2065 Fund Mutual Fund TRSJX 0.64 0.15 0.49
Vangrd Equity Income Fund Adm Mutual Fund VEIRX 0.19 0.00 0.19
Vanguard® International Growth Fund - AdmiralShares Mutual Fund VWILX 0.32 0.00 0.32
Vanguard® REIT Index Fund - AdmiralShares Mutual Fund VGSLX 0.12 0.00 0.12
Vanguard® WellingtonFund - AdmiralShares Mutual Fund VWENX 0.16 0.00 0.16
Summary of Record Keeping Cost Paid by Participants to Retirement Provider

Annual Record Keeping Fee Paid by Participant $82
Total Number of Participants with this Provider 2,577
Total Amount Paid to Service Provider (quarterly estimate) $52,829
Optional Fee for Advisory Services 0.25
Represents all fees charged to participants
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PERFORMANCE UPDATE
Voya Retirement Insurance and Annuity Company
MISSISSIPPI ORP
Variable Annuity Account C, Non-Standardized Returns
Average Annual Total Returns as of: 06/30/2022 (shown in percentages)

Variable annuities are long-term investment vehicles designed for retirement purposes which allow you to allocate contributions among
variable investment options that have the potential to grow tax-deferred, or in the case of Roth contributions, tax free, with an option to
receive a stream of income at a later date. Early withdrawals may be subject to surrender charges, and if taken prior to age 59 1/2, a
10% IRS penalty may apply. Taxes are due upon withdrawal of tax-deferred assets; withdrawals will also reduce the applicable death
benefit and cash surrender value/account value.
The performance data quoted represents past performance. Past performance does not guarantee future results. For month-
end performance which may be lower or higher than the performance data shown please call 800-584-6001. Investment return
and principal value of an investment will fluctuate so that, when sold, an investment may be worth more or less than the
original cost.
These numbers reflect total Separate Account charges of 0.65% on an annual basis. They also assume reinvestment of all dividends
(ordinary income and capital gains) and are net of management fees and other fund operating expenses.
Depending upon the type of contract in which you participate, you have either received prospectuses and/or prospectus
summaries for the separate account and the funds. You should consider the investment objectives, risks and charges, and
expenses of the variable product and its underlying fund options carefully before investing. The prospectus contains this and
other information. Anyone who wishes to obtain a free copy of the separate account and/or fund prospectuses may call their
Voya representative or the number above. Please read the prospectus or prospectus summaries carefully before investing.
Returns less than one year are not annualized. Fund Inception Date is the date of inception for the underlying fund, and is the date
used in calculating the periodic returns. The fund inception date indicates the inception date of the underlying investment portfolio,
which may precede the portfolio's inclusion in the product.
Fund
Inception
Investment Options 1-Mo 3-Mo YTD 1-Yr 3-Yr 5-Yr 10-Yr Incept Date
Stability of Principal
Money Market - Taxable

Voya Government Money Market Portfolio - Class I - 003 (3) 0.00 -0.09 -0.25 -0.50 -0.21 0.22 -0.17 01/01/1980
The 7-day annualized Subaccount yield as of 06/30/2022 is 0.39%, which more closely reflects current earnings. (5)
Voya Fixed Account (4552) - 4552 (1)(4) 0.24 0.74 1.48 3.00 3.00 3.00 3.00
This fund is not part of the product's separate account.
Voya Fixed Plus Account II (4568) - 4568 (2)(4) 0.24 0.74 1.48 3.00 3.00 3.00 3.00
This fund is not part of the product's separate account.
Bonds
Intermediate Core-Plus Bond

Voya Intermediate Bond Portfolio - Class I - 004 -2.10 -6.29 -12.34 -12.71 -1.81 0.21 1.75 05/23/1973
World Bond
Voya Global Bond Portfolio - Initial Class - 422 -4.53 -10.49 -16.87 -18.70 -4.91 -1.64 -0.27 11/08/2004
Asset Allocation
Lifestyle
Voya Strategic Allocation Conservative Portfolio - Class I - 033 -4.62 -10.10 -15.78 -13.45 1.57 2.69 4.55 07/05/1995
Voya Strategic Allocation Growth Portfolio - Class I - 031 -7.08 -14.38 -20.28 -16.21 4.26 4.92 7.14 07/05/1995
Voya Strategic Allocation Moderate Portfolio - Class I - 032 -5.81 -12.58 -18.21 -14.51 3.26 4.11 6.02 07/05/1995
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See Performance Introduction Page for Important Information
Fund
Inception
Balanced
Allocation--50% to 70% Equity

Calvert VP SRI Balanced Portfolio - 101 -4.52 -11.13 -15.74 -11.08 5.67 6.95 7.24 09/02/1986
Voya Balanced Portfolio - Class I - 008 -6.11 -12.26 -17.63 -13.14 3.46 4.02 5.98 04/03/1989
VY® Invesco Equity and Income Portfolio - Initial Class - 452 -7.56 -11.48 -12.43 -8.65 6.16 5.15 7.76 12/10/2001
Large Cap Value/Blend
Large Blend
Invesco V.I. Core Equity Fund - Series I - 079 -7.33 -16.82 -22.03 -14.57 6.92 6.20 8.25 05/02/1994
Voya Growth and Income Portfolio - Class I - 001 -7.39 -14.41 -15.94 -7.85 11.12 10.59 11.47 12/31/1979
Voya Index Plus LargeCap Portfolio - Class I - 035 -8.13 -15.64 -20.69 -12.20 8.65 9.67 11.61 09/16/1996
Large Value
Fidelity® VIP Equity-Income Portfolio - Initial Class - 108 -7.10 -9.86 -10.96 -4.91 8.62 7.86 9.66 10/09/1986
VY® Invesco Comstock Portfolio - Service Class - 437 -10.58 -11.37 -8.10 -1.61 9.22 8.08 10.17 05/01/2002
Large Cap Growth
Large Growth
Fidelity® VIP Contrafund Portfolio - Initial Class - 133 -8.22 -19.44 -27.35 -18.69 9.29 9.65 11.27 01/03/1995
Fidelity® VIP Growth Portfolio - Initial Class - 109 -6.57 -18.13 -23.80 -17.62 13.61 14.58 14.62 10/09/1986
Invesco V.I. American Franchise Fund - Series I - 3384 -8.19 -20.44 -28.09 -28.37 7.90 9.63 11.95 07/03/1995
Voya Large Cap Growth Portfolio - Institutional Class - 742 -7.45 -22.50 -29.54 -24.37 6.48 9.73 11.85 05/03/2004
VY® T. Rowe Price Growth Equity Portfolio - Initial Class - 111 -8.92 -26.06 -37.52 -35.27 3.16 7.60 11.55 11/28/1997
Small/Mid/Specialty
Mid-Cap Blend
Voya Index Plus MidCap Portfolio - Class I - 053 -10.06 -15.48 -20.19 -14.72 5.35 4.66 9.05 12/16/1997
Mid-Cap Growth
VY® T. Rowe Price Diversified Mid Cap Growth Port - Initial - 449 -7.03 -18.82 -29.18 -26.62 3.94 8.68 11.26 12/10/2001
Global / International

Fidelity® VIP Overseas Portfolio - Initial Class - 107 -10.38 -17.83 -28.49 -22.59 1.55 2.76 5.83 01/28/1987
Foreign Large Value
Voya Intl High Dividend Low Volatility Port - Initial Class - 1586 -7.49 -9.33 -12.16 -10.16 0.57 0.25 3.77 01/03/2006
World Large-Stock Growth
VY® Invesco Global Portfolio - Initial Class - 432 -8.22 -18.91 -32.08 -30.01 2.24 4.83 8.75 05/01/2002
World Large-Stock Value
Voya Global High Dividend Low Volatility Prtf - Class I - 3056 -6.13 -7.68 -9.93 -3.58 4.21 4.99 4.73 03/05/2015
The risks of investing in small company stocks may include relatively low trading volumes, a greater degree of change in earnings and
greater short-term volatility.
Foreign investing involves special risks such as currency fluctuation and public disclosure, as well as economic and political risks.
Some of the Funds invest in securities guaranteed by the U.S. Government as to the timely payment of principal and interest; however,
shares of the Funds are not insured nor guaranteed.
High yielding fixed-income securities generally are subject to greater market fluctuations and risks of loss of income and principal than
are investments in lower yielding fixed-income securities.
Sector funds may involve greater-than average risk and are often more volatile than funds holding a diversified portfolio of stocks in
many industries. Examples include: banking, biotechnology, chemicals, energy, environmental services, natural resources, precious
metals, technology, telecommunications, and utilities.
Page 2 of 5
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PERFORMANCE UPDATE
Voya Retirement Insurance and Annuity Company
MISSISSIPPI ORP
Variable Annuity Account C, Standardized Returns

original cost.
These numbers reflect total Separate Account charges of 0.65% on an annual basis. They also assume reinvestment of all dividends
(ordinary income and capital gains) and are net of management fees and other fund operating expenses.
Returns less than one year are not annualized. VAA Inception Date is the date on which contributions were first received in this fund
under the Variable Annuity Account, and is the date used in calculating the periodic returns.
VAA
Inception

Voya Government Money Market Portfolio - Class I - 003 (3) 0.13 0.30 0.05 -0.11 -0.23 0.27 -0.13 09/30/1975
The 7-day annualized Subaccount yield as of 09/30/2022 is 1.20%, which more closely reflects current earnings. (5)
Bonds

Voya Intermediate Bond Portfolio - Class I - 004 -4.66 -4.55 -16.33 -16.67 -4.08 -0.91 0.93 05/31/1978
World Bond
Voya Global Bond Portfolio - Initial Class - 422 -5.57 -6.56 -22.33 -23.14 -7.10 -3.41 -1.35 03/23/2005
Asset Allocation
Lifestyle
Voya Strategic Allocation Conservative Portfolio - Class I - 033 -6.35 -5.13 -20.11 -17.58 -0.57 1.18 3.53 07/05/1995
Voya Strategic Allocation Growth Portfolio - Class I - 031 -8.59 -5.70 -24.82 -20.38 2.07 2.97 5.88 07/05/1995
Voya Strategic Allocation Moderate Portfolio - Class I - 032 -7.52 -5.24 -22.50 -18.64 1.12 2.41 4.89 07/05/1995
Balanced

Calvert VP SRI Balanced Portfolio - 101 -6.30 -4.41 -19.46 -14.87 3.39 5.54 6.40 05/31/1989
Voya Balanced Portfolio - Class I - 008 -7.67 -5.30 -22.00 -17.42 1.43 2.35 4.83 04/03/1989
VY® Invesco Equity and Income Portfolio - Initial Class - 452 -6.76 -3.30 -15.32 -11.56 4.80 3.85 6.86 03/22/2005
Large Blend
Invesco V.I. Core Equity Fund - Series I - 079 -9.15 -5.53 -26.35 -19.14 4.51 4.54 6.98 05/10/1999
Voya Growth and Income Portfolio - Class I - 001 -9.51 -6.76 -21.63 -14.84 7.88 8.57 9.85 05/01/1975
Voya Index Plus LargeCap Portfolio - Class I - 035 -9.30 -4.86 -24.55 -16.70 6.58 7.48 10.36 10/31/1996
Large Value
Fidelity® VIP Equity-Income Portfolio - Initial Class - 108 -7.44 -5.60 -15.94 -9.55 5.82 5.93 8.28 05/31/1994
VY® Invesco Comstock Portfolio - Service Class - 437 -8.67 -5.34 -13.01 -6.57 7.41 5.71 8.89 05/06/2002
Page 3 of 5
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VAA
Inception
Large Cap Growth
Large Growth
Fidelity® VIP Contrafund Portfolio - Initial Class - 133 -8.16 -3.93 -30.20 -23.07 8.12 7.89 10.15 05/31/1995
Fidelity® VIP Growth Portfolio - Initial Class - 109 -9.33 -4.53 -27.25 -21.09 12.29 12.11 13.37 05/31/1994
Invesco V.I. American Franchise Fund - Series I - 3384 -10.51 -7.14 -33.23 -31.60 5.38 7.08 10.50 04/27/2012
Voya Large Cap Growth Portfolio - Institutional Class - 742 -9.32 -2.73 -31.47 -26.97 4.91 8.05 10.75 06/18/2010
VY® T. Rowe Price Growth Equity Portfolio - Initial Class - 111 -9.80 -3.58 -39.76 -36.96 2.38 5.72 10.51 11/28/1997
Small/Mid/Specialty
Mid-Cap Blend
Voya Index Plus MidCap Portfolio - Class I - 053 -10.00 -3.87 -23.28 -17.34 4.10 3.57 8.04 05/04/1998
Mid-Cap Growth
VY® T. Rowe Price Diversified Mid Cap Growth Port - Initial - 449 -8.43 0.47 -28.85 -26.28 4.48 7.87 10.84 12/26/2002

Fidelity® VIP Overseas Portfolio - Initial Class - 107 -9.50 -9.17 -35.05 -30.91 -1.14 -0.28 4.14 05/31/1994
Foreign Large Value
Voya Intl High Dividend Low Volatility Port - Initial Class - 1586 -9.59 -12.51 -23.15 -20.62 -3.63 -3.28 1.56 04/25/2008
World Large-Stock Growth
VY® Invesco Global Portfolio - Initial Class - 432 -12.14 -9.38 -38.45 -36.72 0.39 1.61 6.88 03/22/2005
World Large-Stock Value
Voya Global High Dividend Low Volatility Prtf - Class I - 3056 -7.97 -7.98 -17.12 -10.94 1.20 2.55 3.60 03/06/2015
Additional Notes
Not all investment options are available under all contracts, plans or jurisdictions.
(1)The current rate for the Voya Fixed Account (4552) MC 901, Fund 4552 is 3.00%, expressed as an annual effective yield. The current
rate may change and be higher or lower than the previously identified rate but is guaranteed not to be less than 3.00%. VRIAC will not
apply a decrease to the current rate following a rate change initiated solely by us prior to the last day of the three-month period
measured from the first day of the month in which such change was effective. Note: The current rate for an initial investment in the fixed
account previously identified may be in effect for less than a full three-month period.
(2)The current rate for the Voya Fixed Plus Account II (4568) MC 901, Fund 4568 is 3.00%, expressed as an annual effective yield. The
current rate may change and be higher or lower than the previously identified rate but is guaranteed not to be less than 3.00%. VRIAC
will not apply a decrease to the current rate following a rate change initiated solely by us prior to the last day of the three-month period
measured from the first day of the month in which such change was effective. Note: The current rate for an initial investment in the fixed
account previously identified may be in effect for less than a full three-month period.
(3)YOU COULD LOSE MONEY BY INVESTING IN THE FUND. ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF
YOUR INVESTMENT AT $1.00 PER SHARE, IT CANNOT GUARANTEE IT WILL DO SO. AN INVESTMENT IN THE FUND IS NOT
INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT
AGENCY. THE FUND'S SPONSOR HAS NO LEGAL OBLIGATION TO PROVIDE FINANCIAL SUPPORT TO THE FUND, AND YOU
SHOULD NOT EXPECT THAT THE SPONSOR WILL PROVIDE FINANCIAL SUPPORT TO THE FUND AT ANY TIME.
(4)The Investment Option is not part of the Separate Account. The returns listed do not include the impact of contract charges. Please
refer to the contract to determine which Fixed Interest Options are available for your specific plan.
Page 4 of 5
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Additional Notes
(5)The current yield reflects the deduction of all charges that are deducted from the total return quotations shown.
Creation Date: Wednesday, October 05, 2022
Page 5 of 5 157/521
PERFORMANCE UPDATE
MISSISSIPPI ORP

Variable annuities and mutual funds offered through a retirement plan are intended as long-term investments designed for retirement
purposes. Money distributed from a 403(b) plan, 401(a)/(k) plan, or a 457 plan will be taxed as ordinary income in the year the money is
distributed. Early withdrawals from a 403(b) plan and a 401(a)/(k) plan, if taken prior to age 59 1/2, will be subject to the IRS 10%
premature distribution penalty tax, unless an exception applies. This IRS premature distribution penalty tax does not apply to 457 plans.
Account values fluctuate with market conditions, and when surrendered the principal may be worth more or less than the original
amount invested.
original cost.
Voya will assess an annual participant service fee of $82 to your account. The fee is deducted quarterly from your account and will be
pro-rated across balances held in each investment options. The returns displayed here do not reflect the fee, if reflected, returns would
be less favorable.
You should consider the investment objectives, risks and charges, and expenses of the funds carefully before investing. The
prospectus contains this and other information. Anyone who wishes to obtain a free copy of the fund prospectuses may call
their Voya representative or the number above. Please read the prospectus carefully before investing.
used in calculating the periodic returns. This date may also precede the portfolio's inclusion in the product.
Fund Gross Net

Inception Fund Fund
Investment Options 1-Mo 3-Mo YTD 1-Yr 3-Yr 5-Yr 10-Yr Incept Date Exp %* Exp %*

BlackRock Liquid Federal Trust Fund - Instl - 2574
0.07 0.13 0.15 0.15 0.49 0.95 0.53 12/03/1990 0.23 0.17
(1)(2)
The 7-day annualized yield as of 06/30/2022 is 1.12%, which more closely reflects current earnings. (4)
Stable Value
Invesco Stable Value Trust - Class C CIT - E102 0.13 0.39 0.73 1.44 1.94 2.04 1.73 03/31/1988 0.26 0.26
Bonds
Inflation-Protected Bond
PIMCO Real Return Fund - Institutional Class - 2695 -3.41 -6.43 -9.27 -5.84 3.14 3.19 1.70 01/29/1997 0.47 0.47
Metropolitan West Total Return Bond Fund - Class I
-2.24 -5.73 -11.67 -11.64 -0.80 1.06 2.27 03/31/2000 0.44 0.44
Shares - 2287
Asset Allocation
Lifecycle
T. Rowe Price Retirement 2015 Fund - Investor Class -
-5.05 -9.94 -14.29 -12.16 3.66 4.69 6.44 02/27/2004 0.51 0.51
1685 (3)
-5.16 -10.29 -14.81 -12.55 4.13 5.21 7.22 09/30/2002 0.53 0.53
1686 (3)
-5.59 -11.17 -16.03 -13.55 4.68 5.72 7.94 02/27/2004 0.55 0.55
1687 (3)
-6.18 -12.37 -17.61 -14.91 5.04 6.10 8.53 09/30/2002 0.58 0.58
1688 (3)
-6.75 -13.47 -19.00 -16.14 5.36 6.41 8.96 02/27/2004 0.59 0.59
1689 (3)
-7.29 -14.36 -20.09 -17.15 5.68 6.71 9.29 09/30/2002 0.60 0.60
1690 (3)
Page 1 of 6
158/521
Fund Gross Net
Inception Fund Fund
-7.54 -14.78 -20.56 -17.53 5.99 6.92 9.43 05/31/2005 0.62 0.62
1691 (3)
-7.59 -14.87 -20.68 -17.58 5.96 6.91 9.43 12/29/2006 0.63 0.63
1692 (3)
-7.62 -14.89 -20.67 -17.63 5.92 6.88 9.39 12/29/2006 0.64 0.64
1693 (3)
-7.68 -14.93 -20.74 -17.65 5.90 6.88 6.77 06/23/2014 0.64 0.64
6980 (3)
-7.61 -14.96 -20.65 -17.37 2.69 10/14/2020 0.64 0.64
E698
Balanced

Vanguard® Wellington™ Fund - Admiral™ Shares -
-5.55 -10.39 -16.09 -9.19 6.30 7.23 8.83 01/01/1986 0.16 0.16
8759
Large Blend
American Funds Fundamental Investors® - Class R-6 -
-9.45 -15.73 -20.54 -14.52 7.73 8.69 11.89 08/01/1978 0.28 0.28
2323
Large Value
Vanguard® Equity Income Fund - Admiral™ Shares -
-8.27 -8.36 -7.31 0.51 9.42 9.56 11.56 08/13/2001 0.19 0.19
7926
Large Cap Growth
Large Growth
T. Rowe Price Institutional Large-Cap Core Growth
-8.45 -24.98 -34.22 -31.19 3.97 9.71 13.28 09/30/2003 0.57 0.57
Fund - C870
Small/Mid/Specialty
Mid-Cap Blend
State Street Russell Small/Mid Cap Index Fund Class K
-9.08 -19.96 -27.18 -28.49 5.20 6.82 10.55 06/28/2002 0.04 0.04
- QB21
State Street S&P 500® Index NL Series Fund - Class K
-8.26 -16.11 -19.97 -10.64 10.57 11.28 12.94 01/31/2000 0.01 0.01
CIT - C320
Mid-Cap Growth
GW&K Small-Mid Cap Core Equity Collective Invst F -
-7.24 -13.97 -21.32 -14.17 9.84 9.23 9.21 04/01/2014 0.65 0.65
Cl I CIT - E470
Specialty - Real Estate
Vanguard® Real Estate Index Fund - Admiral™ Shares
-7.49 -15.46 -20.51 -8.05 4.77 5.71 7.48 11/12/2001 0.12 0.12
- 802

Vanguard® International Growth Fund - Admiral™
-7.44 -18.13 -31.60 -36.18 6.33 7.52 9.17 08/13/2001 0.32 0.32
Shares - 2190
World Large-Stock Blend
AB Global Core Equity CIT (W Series) - Fee Class P-1
-7.33 -14.59 -21.46 -19.52 -3.33 12/01/2020 0.75 0.75
CIT - E556
Page 2 of 6
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*The Gross Expense Ratios shown do not reflect temporary fee or expense waivers that may be in effect for a fund. The Net Expense
Ratios reflect any applicable temporary fee or expense waivers. The performance of a fund with a temporary fee or expense waiver
would have been lower if the gross fund fees/expenses listed had been reflected.
Page 3 of 6
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PERFORMANCE UPDATE
MISSISSIPPI ORP

Variable annuities and mutual funds offered through a retirement plan are intended as long-term investments designed for retirement
purposes. Money distributed from a 403(b) plan, 401(a)/(k) plan, or a 457 plan will be taxed as ordinary income in the year the money is
distributed. Early withdrawals from a 403(b) plan and a 401(a)/(k) plan, if taken prior to age 59 1/2, will be subject to the IRS 10%
premature distribution penalty tax, unless an exception applies. This IRS premature distribution penalty tax does not apply to 457 plans.
Account values fluctuate with market conditions, and when surrendered the principal may be worth more or less than the original
amount invested.
original cost.
Voya will assess an annual participant service fee of $82 to your account. The fee is deducted quarterly from your account and will be
pro-rated across balances held in each investment options. The returns displayed here do not reflect the fee, if reflected, returns would
be less favorable.
used in calculating the periodic returns. This date may also precede the portfolio's inclusion in the product.
Fund Gross Net

Inception Fund Fund

BlackRock Liquid Federal Trust Fund - Instl - 2574
0.19 0.46 0.60 0.61 0.47 1.00 0.57 12/03/1990 0.23 0.17
(1)(2)
The 7-day annualized yield as of 09/30/2022 is 1.89%, which more closely reflects current earnings. (4)
Stable Value
Invesco Stable Value Trust - Class C CIT - E102 0.17 0.49 1.22 1.57 1.88 2.05 1.74 03/31/1988 0.26 0.26
Bonds
Inflation-Protected Bond
PIMCO Real Return Fund - Institutional Class - 2695 -6.93 -5.41 -14.18 -12.34 0.86 1.85 0.87 01/29/1997 0.47 0.47
Metropolitan West Total Return Bond Fund - Class I
-4.94 -5.19 -16.25 -16.33 -3.26 -0.18 1.27 03/31/2000 0.44 0.44
Shares - 2287
Asset Allocation
Lifecycle
-6.18 -4.84 -18.44 -16.31 1.68 3.05 5.37 02/27/2004 0.51 0.51
1685 (3)
-6.41 -5.02 -19.09 -16.77 2.11 3.43 6.09 09/30/2002 0.53 0.53
1686 (3)
-6.84 -5.25 -20.44 -17.82 2.60 3.81 6.74 02/27/2004 0.55 0.55
1687 (3)
-7.39 -5.64 -22.25 -19.29 2.85 4.05 7.25 09/30/2002 0.58 0.58
1688 (3)
-7.94 -6.00 -23.86 -20.67 3.09 4.22 7.62 02/27/2004 0.59 0.59
1689 (3)
-8.36 -6.26 -25.09 -21.72 3.32 4.41 7.90 09/30/2002 0.60 0.60
1690 (3)
-8.54 -6.29 -25.55 -22.06 3.64 4.60 8.04 05/31/2005 0.62 0.62
1691 (3)
-8.59 -6.34 -25.71 -22.14 3.61 4.59 8.03 12/29/2006 0.63 0.63
1692 (3)
Page 4 of 6
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Fund Gross Net
Inception Fund Fund
-8.66 -6.44 -25.78 -22.25 3.53 4.53 7.99 12/29/2006 0.64 0.64
1693 (3)
-8.71 -6.41 -25.82 -22.27 3.54 4.53 5.70 06/23/2014 0.64 0.64
6980 (3)
-8.64 -6.43 -25.76 -22.06 -1.07 10/14/2020 0.64 0.64
E698
Balanced

Vanguard® Wellington™ Fund - Admiral™ Shares -
-7.12 -4.86 -20.17 -14.49 3.46 5.45 7.79 01/01/1986 0.16 0.16
8759
Large Blend
American Funds Fundamental Investors® - Class R-6 -
-8.74 -5.14 -24.62 -18.01 5.86 6.45 10.60 08/01/1978 0.28 0.28
2323
Large Value
Vanguard® Equity Income Fund - Admiral™ Shares -
-7.52 -5.30 -12.22 -4.58 6.65 7.42 10.36 08/13/2001 0.19 0.19
7926
Large Cap Growth
Large Growth
T. Rowe Price Institutional Large-Cap Core Growth
-10.45 -4.64 -37.27 -34.66 2.89 7.23 12.06 09/30/2003 0.57 0.57
Fund - C870
Small/Mid/Specialty
Mid-Cap Blend
State Street Russell Small/Mid Cap Index Fund Class K
-9.79 -2.40 -28.93 -27.98 4.95 5.28 9.69 06/28/2002 0.04 0.04
- QB21
State Street S&P 500® Index NL Series Fund - Class K
-9.21 -4.88 -23.88 -15.48 8.13 9.21 11.69 01/31/2000 0.01 0.01
CIT - C320
Mid-Cap Growth
GW&K Small-Mid Cap Core Equity Collective Invst F -
-8.51 -4.22 -24.65 -19.54 8.24 7.80 8.38 04/01/2014 0.65 0.65
Cl I CIT - E470
Specialty - Real Estate
Vanguard® Real Estate Index Fund - Admiral™ Shares
-12.84 -11.00 -29.25 -18.71 -1.59 3.09 6.24 11/12/2001 0.12 0.12
- 802

Vanguard® International Growth Fund - Admiral™
-11.30 -10.16 -38.55 -40.24 3.65 3.12 7.28 08/13/2001 0.32 0.32
Shares - 2190
World Large-Stock Blend
AB Global Core Equity CIT (W Series) - Fee Class P-1
-9.91 -8.86 -28.42 -24.34 -7.68 12/01/2020 0.75 0.75
CIT - E556
Page 5 of 6
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*The Gross Expense Ratios shown do not reflect temporary fee or expense waivers that may be in effect for a fund. The Net Expense
Ratios reflect any applicable temporary fee or expense waivers. The performance of a fund with a temporary fee or expense waiver
would have been lower if the gross fund fees/expenses listed had been reflected.
Additional Notes
(1)YOU COULD LOSE MONEY BY INVESTING IN THE FUND. ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF
YOUR INVESTMENT AT $1.00 PER SHARE, IT CANNOT GUARANTEE IT WILL DO SO. AN INVESTMENT IN THE FUND IS NOT
INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT
AGENCY. THE FUND'S SPONSOR HAS NO LEGAL OBLIGATION TO PROVIDE FINANCIAL SUPPORT TO THE FUND, AND YOU
SHOULD NOT EXPECT THAT THE SPONSOR WILL PROVIDE FINANCIAL SUPPORT TO THE FUND AT ANY TIME.
(2)BlackRock Liquidity Federal Trust Fund - Institutional Shares: As described in the Management of the Funds section of the Fund's
prospectus beginning on page 66, BlackRock, the Fund's investment manager, has contractually agreed to waive fees and/or reimburse
ordinary operating expenses in order to keep combined Management Fees and Miscellaneous/Other Expenses (excluding Dividend
Expense, Interest Expense, Acquired Fund Fees and Expenses and certain other Fund expenses) from exceeding 0.17% of average
daily net assets through June 30, 2023. The agreement may be terminated upon 90 days' notice by a majority of the non-interested
trustees of the Trust or by a vote of a majority of the outstanding voting securities of the Fund.
(3)T.Rowe Price Funds: This fund provides a simplified option for retirement investing including professional management, broad-based
diversification, and low-cost management fees. The principal value of the Retirement Funds is not guaranteed at any time, including at
or after the target date, which is the approximate date when investors turn age 65. The funds invest in a broad range of underlying
mutual funds that include stocks, bonds, and short-term investments and are subject to the risks of different areas of the market. The
funds emphasize potential capital appreciation during the early phases of retirement asset accumulation, balance the need for
appreciation with the need for income as retirement approaches, and focus more on income and principal stability during retirement. The
funds maintain a substantial allocation to equities both prior to and after the target date, which can result in greater volatility. In general,
the stock portion of the portfolio is subject to market risk, or falling share prices. The bond portion will be affected by interest rate and
credit risk.
(4)The current yield reflects the deduction of all charges that are deducted from the total return quotations shown.
The chart shows the performance for each investment option for the time periods shown.
Creation Date: Wednesday, October 05, 2022
Page 6 of 6 163/521
Investment Committee Meeting Agenda
Monday, October 24, 2022
11:30 A.M.
(or immediately following the Defined Contribution Committee)
I. Market Update and Performance Review - Callan

(Information Only)
II. Capital Market Assumptions Presentation-Callan

(Information Only)
III. Angelo Gordon Value-Add Fund XI

(Intended Outcome-Approval of Staff Recommendation)
IV. Fixed Income Manager Presentations

(Information Only)
a. Manulife
b. PIMCO
c. Loomis
d. PGIM
V. Miscellaneous Updates
(Information Only)
VI. Other
Investment
Committee Members: Mr. Kelly Breland, Committee Chair Mr. Bill Benson, Board Chair
Ms. Kimberly Hanna
Mr. Chris Howard
Dr. Randy McCoy
State Treasurer David McRae
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October 24, 2022
Public Employees’ Retirement

System of Mississippi
Executive Summary
3Q22 Performance Review - Preliminary
John Jackson, CFA

Alexander Ford
Vice President
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Mississippi PERS Executive Summary – 3Q 2022 (Preliminary)
Table of contents
● September 2022 Performance Review
– PERS Highlights and Economic & Market Overview
– PERS Portfolio Review
● Appendix
– Net of Fee Returns
– Benchmark Definitions
Mississippi PERS | October 24, 2022 2

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PERS of Mississippi Performance Highlights
As of September 30, 2022 (Preliminary)
● PERS Total Fund assets stood at $29.4 billion at the end of September, a decrease of
approximately $1.84 billion from the end of 2Q.
– A negative investment return decreased the market value of assets by approximately $1.6 billion, while net outflows reduced
assets by $237 million.
● Overall, the asset allocation was in line with its strategic target at the end of September.
– Overweight allocations to Private Equity (+5.1%), Real Estate (+2.6%), and Fixed Income (+0.3%) were offset by underweight
allocations to International Equity (-3.6%), Domestic Equity (-2.5%), and Global Equity (-1.5%).
● The PERS Total Fund returned ‐5.2% (gross of fees) during the third quarter versus the
‐5.0% return for the Policy Benchmark.
● Investments in the underlying asset classes performed as follows during the quarter:
– The domestic equity composite returned -4.2%, outperforming its benchmark by +0.3%.
– The international equity composite fell -9.8%, trailing its benchmark by -0.1%.
– The global equity composite returned -5.2%, outperforming its benchmark by +1.4%.
– The fixed income composite returned -4.3%, outperforming its benchmark by +0.5%.
– The real estate composite fell -1.5%, trailing its benchmark by -4.7%.
– The private equity composite returned -5.3%, trailing its benchmark by -1.6%.
● Over the long-term, the PERS Total Fund has outperformed its benchmark over the trailing
three-, five-, ten-, and fifteen-year periods.
*Note: The numbers in parenthesis above indicate benchmark relative performance for each asset class over the specified time period. Net of fee returns are included later in the executive summary
report and in the Appendix.

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Asset Class Performance
Returns for Periods Ended September 30, 2022
• Publicly traded asset classes remained 20%
challenged during 3Q following a
challenging first half start to 2022. Real 12.3%
estate has been the notable 10.9%
8.6% 9.2%
outperformer. 10% 7.7%
• U.S. Equities (Russell 3000) sank

3.2% 3.2%
-4.5% in the third quarter of 2022 and
0.3%
are down nearly 25% year-to-date.
0%
• Broad non-U.S. equities fared worse, (1.3%) (0.8%)(0.3%)
falling -9.7% in the third quarter, and are (3.3%) (3.3%) (3.3%)(3.1%)
(4.5%) (4.8%) (4.5%) (4.8%)
down -26.9% year-to-date. No sectors
delivered a positive return in 3Q. (10%)
(9.7%) (9.7%)
• Persistent high inflation led to (12.1%)
aggressive rate hikes from the Fed and (14.6%)
overseas. Both the Bloomberg

(20%)
Aggregate Index and Global Aggregate
Hedged Index fell during the quarter.
(24.6%)
• Year-to-date, the Bloomberg Aggregate
(26.9%)
has tumbled -14.6%, and the Global (30%)
Aggregate is down -12.1%.
(as of 10/21/2022) MTD

(40%)
Russell 3000 3Q'22 Calendear YTD Fiscal YTD 3 Years 5 Years
MSCI EAFE Russell 3000 MSCI ACWI ex US IMI

MSCI Emerging Markets Blmbg Aggregate Blmbg Global Aggregate Hedged
Bloomberg Aggregate NCREIF Total Index

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Callan Periodic Table of Investment Returns
As of September 30, 2022
Calendar Year Returns Quarterly Returns Year to Date
2016 2017 2018 2019 2020 2021 1Q22 2Q22 3Q22 YTD 2022
Small Cap Equity EM Equity NCREIF ODCE Eq Large Cap Equity Small Cap Equity Large Cap Equity NCREIF ODCE Eq NCREIF ODCE Eq NCREIF ODCE Eq NCREIF ODCE Eq
Wt Net Wt Net Wt Net Wt Net Wt Net
21.31% 37.28% 7.30% 31.49% 19.96% 28.71% 7.77% 4.35% 4.35% 17.34%
High Yield Dev Non-U.S. Interm. Fixed Small Cap Equity Large Cap Equity Real Estate Real Estate Interm. Fixed High Yield Interm. Fixed
Equity Income Income Income
17.13% 25.03% 0.88% 25.52% 18.40% 26.09% -3.96% -2.37% -0.65% -9.62%
Large Cap Equity Large Cap Equity U.S. Fixed Income Dev Non-U.S. EM Equity NCREIF ODCE Eq Interm. Fixed U.S. Fixed Income Small Cap Equity U.S. Fixed Income
Equity Wt Net Income
11.96% 21.83% 0.01% 22.01% 18.31% 21.88% -4.51% -4.69% -2.19% -14.61%
EM Equity Small Cap Equity High Yield Real Estate Dev Non-U.S. Small Cap Equity Large Cap Equity High Yield Interm. Fixed High Yield
Equity Income
11.19% 14.65% -2.08% 21.91% 7.82% 14.82% -4.60% -9.83% -3.06% -14.74%
NCREIF ODCE Eq Real Estate Large Cap Equity EM Equity U.S. Fixed Income Dev Non-U.S. High Yield EM Equity U.S. Fixed Income Large Cap Equity
Wt Net Equity
8.36% 10.36% -4.38% 18.44% 7.51% 11.26% -4.84% -11.45% -4.75% -23.87%
Real Estate High Yield Real Estate High Yield High Yield High Yield Dev Non-U.S. Dev Non-U.S. Large Cap Equity Small Cap Equity
Equity Equity
4.06% 7.50% -5.63% 14.32% 7.11% 5.28% -5.91% -14.51% -4.88% -25.10%
U.S. Fixed Income NCREIF ODCE Eq Small Cap Equity U.S. Fixed Income Interm. Fixed Interm. Fixed U.S. Fixed Income Large Cap Equity Dev Non-U.S. Dev Non-U.S.
Wt Net Income Income Equity Equity
2.65% 6.92% -11.01% 8.72% 6.43% -1.44% -5.93% -16.10% -9.36% -27.09%
Interm. Fixed U.S. Fixed Income Dev Non-U.S. Interm. Fixed NCREIF ODCE Eq U.S. Fixed Income EM Equity Small Cap Equity EM Equity EM Equity
Income Equity Income Wt Net
2.08% 3.54% -13.79% 6.80% 0.75% -1.54% -6.97% -17.20% -11.57% -27.16%
Dev Non-U.S. Interm. Fixed EM Equity NCREIF ODCE Eq Real Estate EM Equity Small Cap Equity Real Estate Real Estate Real Estate
Equity Income Wt Net
1.00% 2.14% -14.57% 5.18% -9.04% -2.54% -7.53% -17.45% -11.58% -29.90%
Sources: ● S&P 500 ● Russell 2000 ● MSCI EAFE ● MSCI Emerging Markets ● Bloomberg U.S. Aggregate ● Bloomberg Corp High Yield
● Bloomberg Multiverse ● NCREIF ODCE Equal Weight Net ● FTSE EPRA/NAREIT Developed

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U.S. Equity Performance: 3Q22
Markets continue their decline, across capitalizations and styles
– The S&P 500 was down over 4% in 3Q22 and other major
U.S. Equity: Quarterly Returns
stock indices fared no better; after a brief relief rally during the
summer, September 2022 was one of the most difficult on Russell 3000 -4.5%
record as the S&P 500 fell by 11% during the month. Russell 1000 -4.6%
Russell 1000 Growth -3.6%
– Energy continues to be the best (and only positive) performing -5.6%
Russell 1000 Value
sector on a YTD basis; however, Consumer Discretionary had S&P 500 -4.9%
a strong quarter due to exceptional returns in July. Russell Midcap -3.4%
Russell 2500 -2.8%
– Small cap stocks fared better than larger cap stocks in 3Q.
Russell 2000 -2.2%
– Somewhat counterintuitively, value underperformed growth
(Russell 1000 Value: -5.6%; Russell 1000 Growth: -3.6%) but U.S. Equity: One-Year Returns
value remains ahead on a YTD basis (Russell 1000 Value:
-17.8%; Russell 1000 Growth: -30.7%). Russell 3000 -17.6%
Russell 1000 -17.2%
Russell 1000 Growth -22.6%
Russell 1000 Value -11.4%
S&P 500 -15.5%
Russell Midcap -19.4%
Russell 2500 -21.1%
Russell 2000 -23.5%
Industry Sector Quarterly Performance (S&P 500)

4.4%
2.3%
-3.1% -4.7%
-6.6% -5.2% -6.2% -6.0%
-7.1%
-12.7% -11.0%
Communication Consumer Consumer Energy Financials Health Care Industrials Information Materials Real Estate Utilities
Services Discretionary Staples
Last Quarter Technology
Sources: FTSE Russell, S&P Dow Jones Indices

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Global ex-U.S. Equity Performance: 3Q22
Strong dollar a headwind for returns
– Global ex-U.S. markets fared poorly, driven mostly by U.S.
Global Equity: Quarterly Returns
dollar strength. The MSCI ACWI ex USA Index fell 9.9%
(Local: -4.9%), bringing its YTD loss to 26.5% (Local: EAFE -9.4%
-16.2%). ACWI -6.8%
World -6.2%
– The U.S. dollar continued to strengthen, benefiting from its ACWI ex USA -9.9%
“safe haven” status as well as attractive interest rates World ex USA -9.2%
ACWI ex USA Small Cap -8.4%
relative to other developed markets. The yen and euro lost -9.5%
World ex USA Small Cap
6% versus the greenback and the British pound fell 8%. Europe ex UK -9.9%
United Kingdom -10.8%
– Across developed market countries, losses were broad- -8.8%
Pacific ex Japan
based with several posting double-digit declines. As in the Japan -7.7%
U.S., value (MSCI ACWI ex USA Value: -10.4%) Emerging Markets -11.6%
China -22.5%
underperformed growth (MSCI ACWI ex USA Growth: Frontier Markets -6.5%
-9.4%). Unlike the U.S., no sectors delivered a positive
return in 3Q.
Global Equity: One-Year Returns
– Emerging markets (MSCI Emerging Markets: -11.6%; Local:
-8.2%) underperformed developed markets for the quarter EAFE -25.1%
but returns were mixed across countries. China (MSCI ACWI -20.7%
World -19.6%
China: -22.5%) was one of the worst performers while ACWI ex USA -25.2%
several countries posted positive returns; two of the best World ex USA -23.9%
ACWI ex USA Small Cap -28.9%
were India (+6.5%) and Brazil (+8.5%).
World ex USA Small Cap -30.8%
– Returns were also mixed across regions: Latin America Europe ex UK -27.8%
United Kingdom -14.1%
(+3.6%), Emerging Europe (-12.4%), and Emerging Asia
Pacific ex Japan -18.8%
(-14.0%). Japan -29.3%
Emerging Markets -28.1%
China -35.4%
Frontier Markets -25.2%
Source: MSCI

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U.S. Fixed Income Performance: 3Q22
Treasury yields climb; Aggregate continues to fall
– The 10-year U.S. Treasury briefly touched an intra-quarter

U.S. Fixed Income: Quarterly Returns
high of 4.0% in late September, the highest since 2008,
before closing the quarter at 3.83%. At quarter-end, the yield -1.5%
Bloomberg Gov/Cr 1-3 Yr
curve was inverted by about 40 bps with the 10-year at 3.8%
Bloomberg Aggregate -4.8%
and the 2-year at 4.2%.
– The Bloomberg US Aggregate Bond Index fell 4.8% in 3Q, Bloomberg Long Gov/Cr -9.0%
bringing its YTD return to a startling -14.6%, a historical S&P/LSTA Leveraged Loans 1.4%
worst for the first nine months of a year. Notably, the sharp -0.6%
Bloomberg High Yield
sell-off has eroded gains over the past 10 years; the
Bloomberg TIPS -5.1%
Aggregate’s 10-year annualized gain is now a muted 0.9%.
Bloomberg Muni 1-10 Yr -2.3%
– Mortgages and corporates underperformed U.S. Treasuries,
with mortgage-backed securities doing especially poorly, Bloomberg Municipal -3.5%
underperforming like-duration U.S. Treasuries by 160 bps on
poor technicals and rising rates. The yield-to-worst of the
U.S. Fixed Income: One-Year Returns
Aggregate Index climbed to 4.75%, up sharply from 1.75% at
the beginning of the year.
Bloomberg Gov/Cr 1-3 Yr -5.1%
– TIPS (Bloomberg TIPS: -5.1%; -13.6% YTD) were not
Bloomberg Aggregate -14.6%
immune from the sell-off. High yield corporates (Bloomberg
High Yield: -0.6%) fared better, but the Index is down a Bloomberg Long Gov/Cr -27.4%
similar 14.7% YTD. The yield-to-worst was 9.7% as of S&P/LSTA Leveraged Loans -2.5%
quarter-end.
Bloomberg High Yield -14.1%
– The Bloomberg Municipal Bond Index fell 3.5% for the
Bloomberg TIPS -11.6%
quarter and is down 12.1% YTD. The shorter duration 1-10
Year Blend fell 2.3% for the quarter and 7.7% YTD. Bloomberg Muni 1-10 Yr -7.6%
Bloomberg Municipal -11.5%
Source: Bloomberg

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PERS Portfolio Review
3Q 2022 (Preliminary)
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PERS Asset Allocation versus Policy Target
Actual Asset Allocation Target Asset Allocation
Domestic Equity Domestic Equity

24% 27%
Cash
1% Cash
1%
Global Equity
Priv ate Equity 10% Priv ate Equity
8% Global Equity
13% 12%
Real Estate
10%
Real Estate International Equity

13% 18%
International Equity
22%
Total Fixed Income Total Fixed Income
20% 20%
$Millions Weight Percent $Millions
As s et Clas s Actual Actual Target Difference Difference
Dom es tic Equity 7,182 24.5% 27.0% (2.5%) (746)
Global Equity 3,078 10.5% 12.0% (1.5%) (445)
International Equity 5,396 18.4% 22.0% (3.6%) (1,065)
Total Fixed Incom e 5,966 20.3% 20.0% 0.3% 93
Real Es tate 3,707 12.6% 10.0% 2.6% 771
Private Equity 3,851 13.1% 8.0% 5.1% 1,502
Cas h 184 0.6% 1.0% (0.4%) (110)
Total 29,364 100.0% 100.0%
● Overall, the PERS asset allocation was in line with its strategic target allocation.
– Overweight allocations to Private Equity (+5.1%), Real Estate (+2.6%), and Fixed Income (+0.3%) were offset by underweight
allocations to the other asset classes.

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PERS Asset Class Cash Flows
September 30, 2022 June 30, 2022

Market Value Weight Net New Inv. Inv. Return Market Value Weight
Domestic Equity $7,181,827,950 24.46% $(78,393,094) $(315,800,688) $7,576,021,732 24.28%
Global Equity $3,078,443,973 10.48% $(2,590,680) $(169,820,868) $3,250,855,522 10.42%
International Equity $5,395,551,875 18.37% $(4,834,281) $(586,446,003) $5,986,832,159 19.19%
Total Fixed Income $5,965,597,142 20.32% $(102,998,855) $(264,196,791) $6,332,792,789 20.29%
Real Estate $3,707,110,976 12.62% $(53,004,781) $(55,497,355) $3,815,613,112 12.23%
Private Equity $3,851,495,037 13.12% $44,008,806 $(213,285,663) $4,020,771,893 12.88%
Cash $184,025,852 0.63% $(38,899,229) $716,450 $222,208,631 0.71%
Total Fund $29,364,052,805 100.0% $(236,712,113) $(1,604,330,919) $31,205,095,838 100.0%
● PERS Total Fund assets stood at $29.4 billion at the end of September, falling approximately $1.84 billion from the
end of 2Q.
– The Fund lost $1.6 billion in investment returns.
– Net outflows reduced assets by approximately $237 million.

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Asset Class Performance – Gross of Fees
As of September 30, 2022 Market Last
Value Ending Last Quarter/ Last 3
$(000) Weight Fiscal YTD Year Years
Domestic Equity $7,181,828 24.46% (4.21%) (18.56%) 7.77%
Domestic Equity Benchmark - - (4.46%) (17.63%) 7.70%
Global Equity $3,078,444 10.48% (5.23%) (22.65%) 3.56%

Global Equity Benchmark - - (6.64%) (21.18%) 3.64%
International Equity $5,395,552 18.37% (9.80%) (28.00%) (0.84%)

International Equity Benchmark - - (9.69%) (25.72%) (1.27%)
Total Fixed Income $5,965,597 20.32% (4.25%) (15.26%) (2.89%)

Total Fixed Income Benchmark - - (4.75%) (14.60%) (3.26%)
Real Estate $3,707,111 12.62% (1.48%) 15.20% 10.71%

Real Estate Benchmark - - 3.23% 19.15% 10.88%
Private Equity $3,851,495 13.12% (5.25%) 5.90% 23.26%

Priv ate Equity Benchmark - - (3.69%) (11.69%) 12.01%
Cash Composite $184,026 0.63% 0.68% 0.95% 0.60%

Cash Benchmark - - 0.48% 0.61% 0.51%
Total Fund $29,364,053 100.00% (5.20%) (14.49%) 5.64%

Total Fund Benchmark - - (4.99%) (15.32%) 3.93%
The Domestic Equity Benchmark is represented by the Russell 3000 Index. The Global Equity Benchmark is currently represented by the MSCI ACWI IMI Index.
The International Equity Benchmark is represented by the MSCI ACWI ex-US IMI Index. The Total Fixed Income Benchmark is currently represented by the Barclays Aggregate Index.
The Real Estate Benchmark is currently represented by the NCREIF Total Index. The Private Equity Benchmark is currently represented by the S&P 500 Index plus 3%.
The table above shows periodic rates of return. The returns are gross of fees, with the exception of Private Equity and Private Real Estate.

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Asset Class Performance – Gross of Fees (Continued)
As of September 30, 2022 Last Last Last
5 10 15
Years Years Years
Domestic Equity 8.57% 11.14% 8.00%
Domestic Equity Benchmark 8.62% 11.39% 7.92%
Global Equity 4.64% 8.17% 3.78%

Global Equity Benchmark 4.16% 7.17% -
International Equity (0.38%) 3.63% 1.24%

International Equity Benchmark (0.78%) 3.18% 0.69%
Total Fixed Income 0.23% 1.74% 3.63%

Total Fixed Income Benchmark (0.27%) 0.80% 2.96%
Real Estate 9.78% 10.31% 6.04%

Real Estate Benchmark 9.19% 9.73% 5.95%
Private Equity 20.58% 18.21% -

Priv ate Equity Benchmark 12.92% 15.23% 12.55%
Cash Composite 1.10% 0.71% 0.78%

Cash Benchmark 1.07% - -
Total Fund 6.06% 7.89% 5.87%

Total Fund Benchmark 4.82% 7.02% 5.33%
The table above shows periodic rates of return. The returns are gross of fees, with the exception of Private Equity and Private Real Estate.

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Appendix: Net of Fees Performance
178/521
Asset Class Performance – Net of Fees
$(000) Weight Fiscal YTD Year Years
Domestic Equity $7,181,828 24.46% (4.26%) (18.72%) 7.55%
Domestic Equity Benchmark - - (4.46%) (17.63%) 7.70%
Global Equity $3,078,444 10.48% (5.30%) (22.91%) 3.20%

Global Equity Benchmark - - (6.64%) (21.18%) 3.64%
International Equity $5,395,552 18.37% (9.88%) (28.24%) (1.13%)

International Equity Benchmark - - (9.69%) (25.72%) (1.27%)
Total Fixed Income $5,965,597 20.32% (4.30%) (15.42%) (3.07%)

Total Fixed Income Benchmark - - (4.75%) (14.60%) (3.26%)
Real Estate $3,707,111 12.62% (1.65%) 14.35% 9.81%

Real Estate Benchmark - - 3.23% 19.15% 10.88%
Private Equity $3,851,495 13.12% (5.34%) 5.52% 22.71%

Priv ate Equity Benchmark - - (3.69%) (11.69%) 12.01%
Cash Composite $184,026 0.63% 0.68% 0.95% 0.60%

Cash Benchmark - - 0.48% 0.61% 0.51%
Total Fund $29,364,053 100.00% (5.27%) (14.77%) 5.30%

Total Fund Benchmark - - (4.99%) (15.32%) 3.93%
The table above shows periodic rates of return. The PERS returns shown are net of fees. Peer group returns are gross of fees.

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Asset Class Performance – Net of Fees (Continued)
As of September 30, 2022 Last Last Last
5 10 15
Years Years Years
Domestic Equity 8.31% 10.86% 7.74%
Domestic Equity Benchmark 8.62% 11.39% 7.92%
Global Equity 4.24% 7.71% 3.32%

Global Equity Benchmark 4.16% 7.17% 3.98%
International Equity (0.69%) 3.31% 0.94%

International Equity Benchmark (0.78%) 3.18% 0.69%
Total Fixed Income 0.05% 1.55% 3.47%

Total Fixed Income Benchmark (0.27%) 0.80% 2.96%
Real Estate 8.88% 9.60% 5.53%

Real Estate Benchmark 9.19% 9.73% 5.95%
Private Equity 19.95% 17.61% -

Priv ate Equity Benchmark 12.92% 15.23% 12.55%
Cash Composite 1.10% 0.71% 0.78%

Cash Benchmark 1.07% 0.62% 0.66%
Total Fund 5.70% 7.55% 5.56%

Total Fund Benchmark 4.82% 7.02% 5.33%
The table above shows periodic rates of return. The PERS returns shown are net of fees. Peer group returns are gross of fees.

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Periodic Rates of Return – Net of Fees
$(Dollars) Weight Fiscal YTD Year Years
Domestic Equity $7,181,827,950 24.46% (4.26%) (18.72%) 7.55%
Russell 3000 Index - - (4.46%) (17.63%) 7.70%
Large Cap Equity $5,082,175,797 17.31% (4.83%) (17.27%) 7.55%

Russell 1000 Index - - (4.61%) (17.22%) 7.95%
Managed Large Cap Equity $658,152,552 2.24% (4.60%) (28.10%) 4.16%
Eagle Capital 658,152,552 2.24% (4.60%) (28.10%) 4.16%

S&P 500 Index - - (4.88%) (15.47%) 8.16%
Northern Trust S&P 500 $4,424,023,246 15.07% (4.86%) (15.38%) 8.17%

S&P 500 Index - - (4.88%) (15.47%) 8.16%
Mid Cap Equity $1,201,529,729 4.09% (3.60%) (22.39%) 6.71%

Russell MidCap Index - - (3.44%) (19.39%) 5.19%
Northern Trust Russell Mid-Cap 379,226,804 1.29% (2.65%) (18.67%) 5.48%

Russell MidCap Index - - (3.44%) (19.39%) 5.19%
Artisan Partners 360,034,509 1.23% (2.21%) (35.89%) 6.67%

Russell MidCap Growth Idx - - (0.65%) (29.50%) 4.26%
Small Cap Equity $898,122,424 3.06% (1.79%) (20.92%) 7.05%

Russell 2000 Index - - (2.19%) (23.50%) 4.29%
Dimensional Fund Adv isors 321,679,594 1.10% (3.36%) (9.75%) 10.90%

Russell 2000 Value Index - - (4.61%) (17.69%) 4.72%
Wellington Small Cap 316,198,517 1.08% (2.23%) (15.97%) 4.74%

Russell 2000 Index - - (2.19%) (23.50%) 4.29%
Riv erbridge Partners 260,244,313 0.89% 0.80% (35.91%) 4.99%

Russell 2000 Growth Index - - 0.24% (29.27%) 2.94%
Note: See appendix for benchmark definitions.

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Periodic Rates of Return – Net of Fees (Continued)
As of September 30, 2022 Market Last Last Last
Value Ending 5 10 15
$(Dollars) Weight Years Years Years
Domestic Equity $7,181,827,950 24.46% 8.31% 10.86% 7.74%
Russell 3000 Index - - 8.62% 11.39% 7.92%
Large Cap Equity $5,082,175,797 17.31% 8.73% 11.01% -

Russell 1000 Index - - 9.00% 11.60% 8.03%
Managed Large Cap Equity $658,152,552 2.24% 6.16% 9.11% -
Eagle Capital 658,152,552 2.24% 6.64% 10.64% 8.56%

S&P 500 Index - - 9.24% 11.70% 8.03%
Northern Trust S&P 500 $4,424,023,246 15.07% 9.23% 11.68% 8.03%

S&P 500 Index - - 9.24% 11.70% 8.03%
Mid Cap Equity $1,201,529,729 4.09% 6.62% 9.96% 8.07%

Russell MidCap Index - - 6.48% 10.30% 7.55%
Northern Trust Russell Mid-Cap 379,226,804 1.29% - - -

Russell MidCap Index - - 6.48% 10.30% 7.55%
Artisan Partners 360,034,509 1.23% 9.60% 11.09% 9.24%

Russell MidCap Growth Idx - - 7.62% 10.85% 8.01%
Small Cap Equity $898,122,424 3.06% 7.34% 10.89% 7.41%

Russell 2000 Index - - 3.55% 8.55% 6.40%
Dimensional Fund Adv isors 321,679,594 1.10% 4.92% 9.22% 6.41%

Russell 2000 Value Index - - 2.87% 7.94% 5.70%
Wellington Small Cap 316,198,517 1.08% 7.34% 12.29% 8.87%

Russell 2000 Index - - 3.55% 8.55% 6.40%
Riv erbridge Partners 260,244,313 0.89% 8.70% - -

Russell 2000 Growth Index - - 3.60% 8.81% 6.82%

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Global Equity $3,078,443,973 10.48% (5.30%) (22.91%) 3.20%
Global Equity Benchmark (2) - - (6.64%) (21.18%) 3.64%
Acadian Global Equity 843,995,485 2.87% (3.70%) (18.97%) 7.37%
Epoch Inv estments 838,228,379 2.85% (5.91%) (19.98%) 2.29%
Harding-Loev ner 739,000,109 2.52% (5.66%) (31.60%) 3.61%
MSCI ACWI Index - - (6.82%) (20.66%) 3.75%
International Equity $5,395,551,875 18.37% (9.88%) (28.24%) (1.13%)

International Equity Bnmk (3) - - (9.69%) (25.72%) (1.27%)
International Eq Custom Bnmk (4) - - (9.84%) (26.37%) (1.44%)
Developed Markets $569,875,978 1.94% (9.76%) (28.90%) (3.12%)

MSCI EAFE Index - - (9.36%) (25.13%) (1.83%)

183/521
Global Equity $3,078,443,973 10.48% 4.24% 7.71% 3.32%
Global Equity Benchmark (2) - - 4.16% 7.17% 3.98%
Acadian Global Equity 843,995,485 2.87% 5.65% 8.22% 3.69%
Epoch Inv estments 838,228,379 2.85% 3.77% 7.49% -
Harding-Loev ner 739,000,109 2.52% 4.64% 8.29% -
MSCI ACWI Index - - 4.44% 7.28% 4.07%
International Equity $5,395,551,875 18.37% (0.69%) 3.31% 0.94%

International Equity Bnmk (3) - - (0.78%) 3.18% 0.69%
International Eq Custom Bnmk (4) - - (0.96%) 3.20% 0.70%
Developed Markets $569,875,978 1.94% (1.62%) 3.29% 0.55%

MSCI EAFE Index - - (0.84%) 3.67% 0.61%

184/521
Small Cap $553,193,180 1.88% (9.91%) (32.86%) (4.46%)
Mondrian 261,412,834 0.89% (11.79%) (35.47%) (5.21%)
Principal Sm Cap Intl 291,644,488 0.99% (8.15%) (30.34%) (3.68%)
MSCI World Small Cap x US - - (9.46%) (30.80%) (1.27%)
All Country ex US $3,712,853,784 12.64% (9.38%) (29.04%) 1.22%

Arrowstreet Capital 769,070,239 2.62% (10.61%) (23.12%) 4.87%
Baillie Gif f ord 574,352,257 1.96% (8.94%) (39.03%) (2.00%)
Marathon Asset Mgmt 669,819,079 2.28% (9.17%) (25.66%) (0.66%)
MSCI ACWI ex US IMI Index - - (9.69%) (25.72%) (1.27%)
NT MSCI World ex US 1,699,612,209 5.79% (9.05%) - -
MSCI World xUS Index - - (9.20%) (23.91%) (1.21%)
Emerging Markets $1,112,822,114 3.79% (11.54%) (29.05%) (3.19%)

Lazard Emerging Markets 589,738,284 2.01% (10.66%) (23.65%) (2.93%)
Fisher Inv estments 523,083,830 1.78% (12.51%) (34.30%) (3.78%)
MSCI Emerging Mkts Idx - - (11.57%) (28.11%) (2.07%)
Total Equity $15,655,823,799 53.32% (6.46%) (23.03%) 3.56%

MSCI ACWI IMI Index - - (6.64%) (21.18%) 3.64%
Total Equity Custom Bnmk (5) - - (6.78%) (21.26%) 3.63%

185/521
Small Cap $553,193,180 1.88% (2.90%) 3.03% -
Mondrian 261,412,834 0.89% (2.79%) 2.98% -
Principal Sm Cap Intl 291,644,488 0.99% - - -
MSCI World Small Cap x US - - (1.24%) 4.78% 2.25%
All Country ex US $3,712,853,784 12.64% 1.18% - -

Arrowstreet Capital 769,070,239 2.62% 3.04% - -
Baillie Gif f ord 574,352,257 1.96% (0.39%) - -
Marathon Asset Mgmt 669,819,079 2.28% (0.05%) - -
MSCI ACWI ex US IMI Index - - (0.78%) 3.19% 0.79%
NT MSCI World ex US 1,699,612,209 5.79% - - -
MSCI World xUS Index - - (0.39%) 3.62% 0.72%
Emerging Markets $1,112,822,114 3.79% (3.21%) 0.25% 0.58%

Lazard Emerging Markets 589,738,284 2.01% (2.90%) 0.48% 1.12%
Fisher Inv estments 523,083,830 1.78% (3.72%) - -
MSCI Emerging Mkts Idx - - (1.80%) 1.05% 0.27%
Total Equity $15,655,823,799 53.32% 4.26% 7.69% 5.01%

MSCI ACWI IMI Index - - 4.16% 7.25% 4.18%
Total Equity Custom Bnmk (5) - - 4.31% 7.68% 4.72%

186/521
Domestic Fixed-Income $3,896,303,357 13.27% (4.61%) (14.99%) (2.66%)
Blmbg Aggregate Index - - (4.75%) (14.60%) (3.26%)
Core Fixed Income $1,809,635,808 6.16% (4.84%) (14.70%) (3.17%)

PIMCO 616,330,770 2.10% (4.86%) (14.87%) (3.16%)

Manulif e Asset Management 648,058,755 2.21% (4.77%) (14.66%) (2.97%)
Northern Trust BB Agg 545,246,284 1.86% (4.89%) (14.54%) (3.43%)
Core Plus $2,086,667,549 7.11% (4.41%) (15.24%) (2.22%)

Loomis Say les 1,041,183,470 3.55% (4.36%) (14.47%) (1.80%)
Prudential Core Plus 1,045,484,079 3.56% (4.46%) (16.01%) (2.65%)
Emerging Markets Debt $570,526,779 1.94% (4.48%) (24.48%) (6.54%)

Wellington EMD 570,526,779 1.94% (4.48%) (24.48%) (6.54%)
EMBI Global Dv sf d Index - - (4.57%) (24.28%) (7.15%)
Global Fixed Income $1,498,767,006 5.10% (3.41%) (12.70%) (2.89%)

PIMCO Global 718,759,303 2.45% (3.51%) (12.12%) (2.51%)
AllianceBernstein Global 780,007,703 2.66% (3.29%) (13.26%) (3.29%)
Blmbg Global Agg (Hedged) - - (3.34%) (12.05%) (3.07%)
Total Fixed Income $5,965,597,142 20.32% (4.30%) (15.42%) (3.07%)

Total Fixed Inc Custom Bnmk (6) - - (4.38%) (14.97%) (3.54%)

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Domestic Fixed-Income $3,896,303,357 13.27% 0.29% 1.48% 3.35%
Blmbg Aggregate Index - - (0.27%) 0.89% 2.74%
Core Fixed Income $1,809,635,808 6.16% (0.13%) 1.14% 2.99%

PIMCO 616,330,770 2.10% (0.01%) 1.19% 3.41%

Manulif e Asset Management 648,058,755 2.21% (0.02%) - -
Northern Trust BB Agg 545,246,284 1.86% - - -
Core Plus $2,086,667,549 7.11% 0.66% 2.11% -

Loomis Say les 1,041,183,470 3.55% 0.75% 2.01% -
Prudential Core Plus 1,045,484,079 3.56% 0.55% 2.18% -
Emerging Markets Debt $570,526,779 1.94% (2.34%) 1.44% -

Wellington EMD 570,526,779 1.94% (2.34%) 1.44% -
EMBI Global Dv sf d Index - - (2.62%) 1.08% 3.99%
Global Fixed Income $1,498,767,006 5.10% 0.27% - -

PIMCO Global 718,759,303 2.45% 0.60% - -
AllianceBernstein Global 780,007,703 2.66% (0.07%) - -
Blmbg Global Agg (Hedged) - - 0.32% 1.69% 2.96%
Total Fixed Income $5,965,597,142 20.32% 0.05% 1.55% 3.47%

Total Fixed Inc Custom Bnmk (6) - - (0.31%) 1.03% 2.93%

188/521
Market Last
As of September 30, 2022 Value Ending Last Quarter/ Last 3
REIT Composite $383,989,596 1.31% (10.94%) (18.96%) (2.00%)
REIT Comp Custom Bnmk (7) - - (10.88%) (19.65%) (4.45%)
Centersquare 202,804,665 0.69% (10.38%) (16.06%) (0.67%)

FTSE NAREIT Equity Index - - (9.94%) (16.41%) (2.05%)
Cohen & Steers 181,184,930 0.62% (11.55%) (21.96%) (3.45%)

EPRA/NAREIT Dev REIT Idx - - (11.39%) (22.12%) (5.63%)
Core Real Estate $2,224,737,968 7.58% (0.16%) 19.76% 10.21%

Principal Capital (Net) 1,159,710,190 3.95% 0.45% 21.98% 11.64%
UBS Trumbull Property (Net) 505,246,674 1.72% (0.12%) 17.17% 7.06%
JPMCB Strategic Property (Net) 559,781,104 1.91% (1.44%) 17.90% 10.38%
NFI-ODCE Equal Weight Net - - 4.35% 26.00% 13.44%
NFI-ODCE Value Weight Net - - 4.54% 26.05% 12.92%
Core Plus Real Estate $376,092,668 1.28% (0.60%) 19.93% 11.54%

UBS Trumbull Property G&I (Net) 376,092,668 1.28% (0.60%) 19.93% 11.54%
Non-Core Real Estate $671,569,210 2.29% 0.73% 23.55% 15.58%

AEW Partners VI 742,746 0.00% 3.77% 2.99% 28.63%
AEW Partners VII 4,907,827 0.02% (0.38%) (0.04%) (5.29%)
AEW Partners VIII 15,789,262 0.05% 4.00% 43.20% 25.90%
AEW Partners IX 45,006,600 0.15% 1.93% 5.91% -
Heitman VP III 484,150 0.00% (0.01%) 0.87% 9.80%
Heitman VP IV 52,277,114 0.18% 1.35% 24.93% 20.87%
Heitman VP V 28,535,715 0.10% 2.13% - -
AG Core Plus III 3,079,189 0.01% (0.04%) (3.67%) (7.90%)
AG Core Plus IV 59,160,467 0.20% (4.47%) (3.60%) 5.80%
AG Realty Fund X 75,377,455 0.26% 0.91% 35.88% 25.48%
Inv esco US Income Fund 25,418,313 0.09% - - -
Inv esco VA Fund IV 4,858,453 0.02% (8.03%) (4.19%) 3.64%
Inv esco VA Fund V 80,760,243 0.28% 0.92% 22.95% 16.25%
Inv esco Real Estate US Fund VI 24,844,944 0.08% - - -
TA Associates Realty Fund XI 59,569,527 0.20% (0.72%) 35.46% 24.14%
TA Associates Realty Fund XII 122,527,369 0.42% 2.91% 72.45% -
Westbrook RE Fund X 22,540,009 0.08% 0.10% 7.07% 7.63%
Westbrook RE Fund XI 30,102,398 0.10% 1.83% 14.50% -
NCREIF Total Index - - 3.23% 19.15% 10.88%
Timber Composite $50,721,535 0.17% (17.76%) (0.14%) 8.97%

Hancock Timber Portf olio 50,721,535 0.17% (17.76%) (0.14%) 8.97%
NCREIF Timberland Index - - 1.87% 11.98% 5.62%
Total Real Estate $3,707,110,976 12.62% (1.65%) 14.35% 9.81%

Real Estate Benchmark (8) - - 3.23% 19.15% 10.88%

189/521
Market Last Last Last
As of September 30, 2022 Value Ending 5 10 15
REIT Composite $383,989,596 1.31% 3.19% 5.81% 3.31%
REIT Comp Custom Bnmk (7) - - 1.03% 4.66% 3.06%
Centersquare 202,804,665 0.69% 4.26% - -

FTSE NAREIT Equity Index - - 2.93% 6.26% 4.86%
Cohen & Steers 181,184,930 0.62% 2.05% 5.20% -

EPRA/NAREIT Dev REIT Idx - - 0.06% 3.77% 1.74%
Core Real Estate $2,224,737,968 7.58% 8.38% 9.26% -

Principal Capital (Net) 1,159,710,190 3.95% 9.99% 10.77% 6.23%
UBS Trumbull Property (Net) 505,246,674 1.72% 5.34% 6.98% 4.65%
JPMCB Strategic Property (Net) 559,781,104 1.91% 8.23% 9.55% -
NFI-ODCE Equal Weight Net - - 10.64% 10.64% 6.13%
NFI-ODCE Value Weight Net - - 10.17% 10.37% 6.07%
Core Plus Real Estate $376,092,668 1.28% 10.73% 13.25% -

UBS Trumbull Property G&I (Net) 376,092,668 1.28% 10.73% 13.25% -
Non-Core Real Estate $671,569,210 2.29% 15.06% 14.38% 5.45%

AEW Partners VI 742,746 0.00% 36.35% 25.93% -
AEW Partners VII 4,907,827 0.02% 3.32% - -
AEW Partners VIII 15,789,262 0.05% 21.30% - -
AEW Partners IX 45,006,600 0.15% - - -
Heitman VP III 484,150 0.00% 12.10% - -
Heitman VP IV 52,277,114 0.18% - - -
Heitman VP V 28,535,715 0.10% - - -
AG Core Plus III 3,079,189 0.01% (6.87%) 4.88% -
AG Core Plus IV 59,160,467 0.20% 7.19% - -
AG Realty Fund X 75,377,455 0.26% - - -
Inv esco US Income Fund 25,418,313 0.09% - - -
Inv esco VA Fund IV 4,858,453 0.02% 7.37% - -
Inv esco VA Fund V 80,760,243 0.28% - - -
Inv esco Real Estate US Fund VI 24,844,944 0.08% - - -
TA Associates Realty Fund XI 59,569,527 0.20% 18.82% - -
TA Associates Realty Fund XII 122,527,369 0.42% - - -
Westbrook RE Fund X 22,540,009 0.08% 10.08% - -
Westbrook RE Fund XI 30,102,398 0.10% - - -
NCREIF Total Index - - 9.19% 9.76% 7.20%
Timber Composite $50,721,535 0.17% 6.86% 7.98% -

Hancock Timber Portf olio 50,721,535 0.17% 6.86% 7.98% -
NCREIF Timberland Index - - 4.58% 5.85% 5.00%
Total Real Estate $3,707,110,976 12.62% 8.88% 9.60% 5.53%

Real Estate Benchmark (8) - - 9.19% 9.73% 5.95%

190/521
Private Equity $3,851,495,037 13.12% (5.34%) 5.52% 22.71%
Pathway PEF XXIII Series 2008 334,555,072 1.14% (15.28%) (15.18%) 16.18%
Pathway PEF XXIII Series 2013 867,365,113 2.95% (6.47%) (0.88%) 23.61%
Pathway PEF XXIII Series 2016 1,250,476,723 4.26% (5.42%) 7.60% 27.62%
Pathway PEF XXIII Series 2021 132,485,316 0.45% (3.11%) 1.31% -
Grosv enor Div ersif ied Partners 209,174,425 0.71% (3.13%) 2.77% 11.80%
Grosv enor Div Partners 2014 Series 713,514,736 2.43% (2.50%) 19.77% 25.06%
Grosv enor Div Partners 2018 Series 343,923,652 1.17% 1.47% 20.60% 16.41%
Priv ate Equity Benchmark (9) - - (3.69%) (11.69%) 12.01%
Cash $184,025,852 0.63% 0.68% 0.95% 0.60%

1mo T-Bill - - 0.48% 0.61% 0.51%
Total Fund $29,364,052,805 100.00% (5.27%) (14.77%) 5.30%

Policy Benchmark* - - (4.99%) (15.32%) 3.93%

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Private Equity $3,851,495,037 13.12% 19.95% 17.61% -
Pathway PEF XXIII Series 2008 334,555,072 1.14% 15.60% 16.16% -
Pathway PEF XXIII Series 2013 867,365,113 2.95% 22.84% - -
Pathway PEF XXIII Series 2016 1,250,476,723 4.26% 19.91% - -
Pathway PEF XXIII Series 2021 132,485,316 0.45% - - -
Grosv enor Div ersif ied Partners 209,174,425 0.71% 12.10% 13.87% -
Grosv enor Div Partners 2014 Series 713,514,736 2.43% 20.38% - -
Grosv enor Div Partners 2018 Series 343,923,652 1.17% - - -
Priv ate Equity Benchmark (9) - - 12.92% 15.23% 12.55%
Cash $184,025,852 0.63% 1.10% 0.71% 0.78%

1mo T-Bill - - 1.07% 0.62% 0.58%
Total Fund $29,364,052,805 100.00% 5.70% 7.55% 5.56%

Policy Benchmark* - - 4.82% 7.02% 5.33%

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Appendix: Benchmark Definitions
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Benchmark Definitions
1) Domestic Equity Custom Benchmark: 65% S&P 500 Index and 35% Russell 2500 Index through 9/30/2015; then 70% S&P 500
Index and 30% Russell 2500 thereafter.
2) Global Equity Benchmark: MSCI World Index through 6/30/2012; MSCI ACWI through 9/30/2015; then MSCI ACWI IMI thereafter.
3) International Equity Benchmark: MSCI ACWI ex US through 6/30/2013; then MSCI ACWI ex US IMI thereafter.
4) International Equity Custom Benchmark: MSCI ACWI ex US through 6/30/13; MSCI ACWI ex US IMI Index through 9/30/2015;
then 35% MSCI EAFE Hedged; 35% MSCI ACWI ex US IMI; 20% MSCI Emerging Markets; 5% MSCI ACWI ex US Small Cap; and
5% MSCI World ex US Small Cap thereafter.
5) Total Equity Custom Benchmark: 49% Russell 3000 Index, 36% MSCI ACWI ex US IMI Index, and 15% MSCI AC World Index
through 9/30/2015; then 44% Russell 3000 Index, 36% MSCI ACWI ex US IMI Index, and 20% MSCI ACWI IMI thereafter
6) Total Fixed Income Custom Benchmark: 55% Barclays Aggregate Index, 25% Barclays Global Aggregate Index Hedged, 10%
Barclays US TIPS Index, and 10% EMBI Global Diversified through 9/30/2015; then 65% Barclays Aggregate Index, 25% Barclays
Global Aggregate Index Hedged, and 10% EMBI Global Diversified thereafter.
7) REIT Composite Custom Benchmark: 50% US Select REIT Index and 50% EPRA/NAREIT Developed REIT Index.
8) Real Estate Benchmark: NFI-ODCE Equal Weight Net to 5/31/99; No Benchmark to 9/30/03; 50% NFI-ODCE Equal Weight Net
and 50% US Select REIT Index to 6/30/06; 80% NFI-ODCE Equal Weight Net and 20% US Select REIT Index to 6/30/10; 20%
NAREIT RE 50 Index, 15% NCREIF Property Index, 10% NCREIF Timberland Index, 55% NFI-ODCE Equal Weight Net to
6/30/12;15% NAREIT RE 50 Index, 15% NCREIF Property Index, 10% NCREIF Timberland Index, and 60% NFI-ODCE Equal
Weight Net to 6/30/13; then NCREIF Property Index thereafter.
9) Private Equity Benchmark: S&P 500 Index + 5% through 3/31/13; then S&P 500 Index + 3% thereafter.

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October 24, 2022
Mississippi Public Employees’

Retirement System
Preliminary 2023 Capital Markets
Assumptions and Asset Allocation
Review
John Jackson, CFA

Alexander Ford
Vice President
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Preliminary 2023 Asset Allocation Update
Presentation Agenda
● Process Overview
● Current Market Conditions – What Has Changed in 2022?
● 2023 PERS Asset Allocation Update (Preliminary)
● Appendix:
– Fixed Income Detail
– Equity Detail
– Alternatives Detail
MSPERS | Preliminary 2023 Capital Markets Assumptions and Asset Allocation Review 2
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Process Overview
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Why Make Capital Markets Projections?
Guiding objectives and process
A long-term strategic investment plan is the cornerstone of a prudent process
● Capital markets projections are key elements to set reasonable return and risk expectations for the appropriate
time horizon.
● Projections represent our best thinking regarding the long-term (10-year) outlook, recognizing our median
projections represent the midpoint of a range, rather than a specific number.
● Develop results that are readily defensible both for individual asset classes and for total portfolios
● Be conscious of the level of change suggested in strategic allocations for long-term investors: DB plan sponsors,
foundations, endowments, trusts, DC participants, families, and individuals
● Reflect common sense and recent market developments, within reason
Callan’s forecasts are informed by current market conditions, but are not built directly from them
● Balance recent, immediate performance and valuation against long-term equilibrium expectations
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How are Capital Market Projections Constructed?
Guiding objectives and process
Underlying beliefs guide the development of the projections:
● An initial bias toward long-run averages
● A conservative bias
● An awareness of risk premiums
● A presumption that markets are ultimately clear and rational
Reflect our beliefs that long-term equilibrium relationships between the capital markets and lasting trends in global
economic growth are key drivers to setting capital market expectations
Long-term compensated risk premiums represent “beta”—exposure to each broad market, whether traditional or
“exotic,” with limited dependence on successful realization of alpha
The projection process is built around several key building blocks:

● Advanced modeling at the individual asset class level (e.g., a detailed bond model, an equity model)
● A path for interest rates and inflation
● A cohesive economic outlook
● A framework that encompasses Callan beliefs about the long-term operation and efficiencies of the capital markets
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Current Market Conditions – What Has
Changed in 2022?
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First Half of 2022 Capital Markets Review
Big jump in rates; equities off more than 20%
Inflation and interest rates dramatically increased

● Yields across the curve rose by 2+ standard deviations.
● The 10-year Treasury yield had almost doubled, moving from 1.52% to 2.98%.
– The yield was 0.93% at the end of 2020.
– At one point the yield was up to 3.49%.
● Inflation was up 7%-9% depending upon the metric used.

– Inflation levels did NOT drive our update to assumptions.
● Our Aggregate Treasury yield was not projected to be at June 30th levels for another 13 years.
– The rate rise accounts for the majority of the negative return for the first half of the year.
– Going forward, core fixed income should be considered a much more attractive asset class.
Equities performed poorly

● The equity market was down more than 20%, bringing many valuation metrics back to reasonable historical levels.
– The drop in equity markets is NOT driving our actions now.
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Interest Rate Movement Through 6/30/22
Yields have shifted dramatically higher this year
● The rate increases across the yield Treasury Yield Curve Change
curve equate to a 2+ standard 3.5 12/31/2021 6/30/2022
deviation event.
– 10-year UST yield is up 146 bps. 3.0
– 30-year UST yield is up 124 bps.
– Long corporate AA rates rose 176 bps. 2.5
– Our original interest rate forecast did not
have 10-year yields this high until year 13 of 2.0
the forecast.
– For 10-year forecast, losses up front will be 1.5
offset by higher yields in the following
periods; 10-year forecast can be 1.0
meaningfully higher if yield increases are
early and high enough, AND yields are 0.5
maintained.
● The yield curve shifted up even more 0.0

0 5 10 15 20 25 30
dramatically on the short end.
– Higher yields increase the risk of inducing
3 Month 1 Year 3 Year 5 Year 10 Year 30 Year
recession, which could lead to reversal in
interest rates and lower return. 12/31/2021 0.06 0.39 0.97 1.26 1.52 1.90
06/30/2022 1.72 2.80 2.99 3.01 2.98 3.14
Sources: Bloomberg, Federal Reserve
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The Effect of Higher Rates on Callan’s Interest Rate Forecasts
The blue line is our original forecast of Yield Curve Paths
interest rates for the next 30 years. Aggregate Treasury: Callan 2022 Projection
4.5% Aggregate Treasury: Rates End 2022 at 6/30/22 Level 1
The teal line is a revised forecast that
incorporates the rise in rates 4.0%
experienced in the first half of 2022. 3.5%
Things to note: 3.0% 2

1 30-year terminal point remains 2.5%
unchanged.
2.0%
2 Our original forecast did not project
6/30/22 rates for another 13 years. 1.5%
In other words, the bond market
took on 13 years worth of “pain” in 1.0%
six months. 0.5%

● Given the magnitude of rate movement
0.0%
we believe it was necessary to update Year Year Year Year Year Year Year Year Year Year Year Year Year Year Year Year
our assumptions for studies done in 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30
the second half of the year. Otherwise,

we would be projecting low fixed
income returns on top of losses that
have already been experienced.
– Bad forecasted returns on top of bad
The terminal point of our interest rate forecasts remains unchanged.
experienced returns (aka “bad on bad”) The 10-year Treasury was not projected to be this high until 2035.
Source: Callan
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Preliminary 2023 Capital Market Assumptions
● Increase inflation by 0.25% to 2.50%
● Increase cash by 1.20% to 2.40%
● Increase core fixed by 2.15% to 3.90%
● Increase U.S. large cap equities by 0.50% to 7.00%

– Reflects pass-through of our increased inflation assumption
– Removes the negative 0.25% valuation adjustment from higher valuations at beginning of year
● All other asset class return assumptions were adjusted as appropriate to make a cohesive set
● Asset class volatility (risk) and correlations have not changed

– These variables will be re-visited during the annual update process later this year
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Preliminary 2023–2032 Risk and Return Assumptions
2023–2032 2022–2031 10-Year Expected Return*

Asset Class Index 10-Year Expected Return* 10-Year Expected Return* Difference
Equities
Broad U.S. Equity Russell 3000 7.10% 6.60% 0.50%
Large Cap U.S. Equity S&P 500 7.00% 6.50% 0.50%
Smid Cap U.S. Equity Russell 2500 7.20% 6.70% 0.50%
Global ex-U.S. Equity MSCI ACWI ex USA 7.35% 6.80% 0.55%
Developed ex-U.S. Equity MSCI World ex USA 7.00% 6.50% 0.50%
Emerging Market Equity MSCI Emerging Markets 7.40% 6.90% 0.50%
Fixed Income
Short Duration Gov/Credit Bloomberg 1-3 Yr G/C 3.20% 1.50% 1.70%
Core U.S. Fixed Bloomberg Aggregate 3.90% 1.75% 2.15%
Global ex-U.S. Fixed Bloomberg Glbl Agg xUSD 2.00% 0.80% 1.20%
TIPS Bloomberg TIPS 3.25% 1.25% 2.00%
Long Gov/Credit Bloomberg Long Gov/Credit 4.10% 1.80% 2.30%
High Yield Bloomberg High Yield 6.00% 3.90% 2.10%
Bank Loans S&P / LSA Leveraged Loan 6.10% 4.60% 1.50%
Emerging Market Debt EMBI Global Diversified 5.80% 3.60% 2.20%
Alternatives
Core Real Estate NCREIF ODCE 6.15% 5.75% 0.40%
Private Infrastructure MSCI Glb Infra/FTSE Dev Core 50/50 6.50% 6.10% 0.40%
Private Equity Cambridge Private Equity 8.50% 8.00% 0.50%
Private Credit N/A 6.50% 5.50% 1.00%
Hedge Funds Callan Hedge FOF Database 4.80% 4.10% 0.70%
Commodities Bloomberg Commodity 2.75% 2.50% 0.25%
Cash Equivalents 90-Day T-Bill 2.40% 1.20% 1.20%

Inflation CPI-U 2.50% 2.25% 0.25%
* Geometric returns derived from arithmetic returns and the associated risk (standard deviation).
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2023–2032 Callan Capital Markets Assumption Correlations
Summary of Callan’s Lon-Term Capital Markets Assumptions (2023–2032)

Broad U.S. Equity 1.00
Large Cap U.S. Equity 1.00 1.00 – Relationships between asset classes are
Smid Cap U.S. Equity 0.93 0.90 1.00 as important as standard deviation
Global ex-U.S. Equity 0.82 0.81 0.80 1.00 – To determine portfolio mixes, Callan
Dev ex-U.S. Equity 0.78 0.77 0.77 0.98 1.00 employs mean-variance optimization
Em Market Equity 0.80 0.79 0.76 0.93 0.84 1.00
Short Dur Gov/Credit -0.06 -0.06 -0.08 -0.08 -0.06 -0.10 1.00
– Return, standard deviation, and
Core U.S. Fixed -0.10 -0.10 -0.12 -0.12 -0.11 -0.14 0.78 1.00
correlation determine the composition of
Long Government -0.15 -0.15 -0.16 -0.15 -0.13 -0.16 0.67 0.84 1.00
efficient asset mixes
Long Credit 0.27 0.28 0.25 0.26 0.26 0.24 0.64 0.80 0.69 1.00
Long Gov/Credit 0.09 0.09 0.07 0.09 0.09 0.07 0.71 0.88 0.90 0.94 1.00
TIPS -0.08 -0.08 -0.08 -0.09 -0.09 -0.10 0.56 0.70 0.53 0.52 0.57 1.00
High Yield 0.72 0.71 0.68 0.71 0.69 0.69 -0.01 0.00 -0.08 0.40 0.20 0.06 1.00
Global ex-U.S. Fixed 0.01 0.01 0.00 0.06 0.05 0.08 0.48 0.50 0.42 0.49 0.50 0.45 0.12 1.00
EM Sovereign Debt 0.56 0.56 0.54 0.59 0.55 0.61 0.08 0.14 0.05 0.35 0.24 0.18 0.60 0.15 1.00
Core Real Estate 0.64 0.64 0.60 0.61 0.60 0.56 -0.01 -0.04 -0.09 0.24 0.10 -0.02 0.53 -0.02 0.33 1.00
Private Infrastructure 0.65 0.65 0.60 0.62 0.61 0.58 0.00 0.01 -0.03 0.27 0.15 -0.02 0.50 0.03 0.35 0.76 1.00
Private Equity 0.77 0.77 0.73 0.76 0.73 0.72 -0.10 -0.19 -0.21 0.15 -0.01 -0.14 0.59 0.06 0.40 0.50 0.62 1.00
Private Credit 0.68 0.68 0.65 0.67 0.65 0.64 0.00 -0.06 -0.10 0.28 0.12 -0.09 0.63 0.06 0.48 0.47 0.52 0.65 1.00
Hedge Funds 0.79 0.79 0.74 0.77 0.75 0.74 0.10 0.13 0.07 0.39 0.27 0.09 0.64 0.05 0.53 0.45 0.47 0.57 0.61 1.00
Commodities 0.28 0.28 0.27 0.28 0.27 0.27 -0.10 -0.10 -0.10 0.01 -0.04 0.10 0.15 0.15 0.19 0.21 0.18 0.23 0.17 0.23 1.00
Cash Equivalents -0.06 -0.06 -0.08 -0.10 -0.10 -0.10 0.30 0.15 0.08 -0.05 0.01 0.12 -0.11 0.00 -0.07 0.00 -0.07 0.00 -0.06 -0.04 -0.02 1.00
Inflation -0.01 -0.02 0.02 0.01 0.00 0.03 -0.21 -0.25 -0.23 -0.25 -0.26 0.08 0.05 -0.10 0.00 0.10 0.06 0.06 0.06 0.15 0.29 0.05 1.00
Broad Large Smid Global Dev Em Short Core Long Long Long TIPS High Global EM Core Private Private Private Hedge Comm Cash Inflation
Equity Cap Cap ex-US Mkts Dur Fixed Gov Credit Gov/Cr Yield ex-US Real Infra Equity Credit Funds Equiv
Equity Fixed Estate
Source: Callan.
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Stock Market Returns by Calendar Year
2021 performance in perspective: History of the U.S. stock market (232 years of returns)
2015 return: +1.4% 2015 2020 return: +18.4%

2011
2007 2020
2005
1994
2016
2014
2016 return: +12.0%
1992 2012
1987 2010
1984 2006
1978
1970
2004
1993
2021
2017
2021 return: +28.7%
1960 1988 2009
1956 1986 2003
1953 1972 1999
1948
1947
1971
1968
1998
1996
2017 return: +21.8%
2018 return: -4.4% 2018
2000
1939
1934
1965
1964
1983
1982
1990 1929 1959 1979 2009 return: +26.5%
1981 1923 1952 1976
1977 1916 1942 1967
1969 1912 1921 1963
1966 1911 1909 1961
1962 1906 1905 1955
1946 1902 1900 1951
S&P 500 1941
1940
1896
1895
1899
1891
1950
1949
1932 1894 1886 1944
Five-year return: +18.5% 1914 1892 1878 1943
1913 1889 1872 1938
Ten-year return: +16.6% 1910

1890
1888
1882
1871
1868
1925
1924 2019 return: +31.5%
1887 1881 1865 1922
1883 1875 1861 1919 2019
1877
1873
1874
1870
1855
1845
1918
1901
2013
1997
2013 return: +32.4%
As of December 31, 2021 2001 1869 1867 1844 1898 1995
1973 1859 1866 1840 1897 1991
1957 1853 1864 1835 1885 1989
1926 1838 1851 1829 1880 1985
1920 1837 1849 1824 1860 1980
1903 1831 1848 1823 1856 1975
1893 1828 1847 1821 1834 1945
1884 1825 1846 1820 1830 1936
2002 1876 1819 1833 1818 1817 1928
1974 1858 1812 1827 1813 1809 1927
1930 1842 1811 1826 1806 1800 1915 1958 1954
1917 1841 1797 1822 1803 1799 1904 1935 1933
2008 return: -37.0% 1931
2008
1937
1907
1857
1839
1836
1796
1795
1816
1815
1802
1793
1798
1794
1852
1850
1908
1879
1862
1808 1843
1807 1801 1854 1810 1792 1805 1791 1790 1832 1863 1804 1814
Source: Ibbotson, Callan -50% -40% -30% -20% -10% 0 10% 20% 30% 40% 50% 60% 70% 80%
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2023 PERS Asset Allocation Update
Preliminary
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PERS Asset Allocation Policy
New target projected risk and return
● PERS’ approved target asset allocation includes new MSPERS
investments in private credit and private Target
infrastructure. U.S. Equity 25%
– These new allocations have yet to be funded. Non-U.S. Equity 20%
● The System’s expected (median) return over the next Global Equity 12%
decade (2023 – 2032) is 7.2% using Callan’s Fixed Income 18%
preliminary 2023 capital market assumptions. Real Estate 10%
Private Equity 10%
● This reflects an 0.8% increase in the total System’s Private Infrastructure 2%
expected return relative to our 2022 assumption
Private Credit 2%
suite.
Cash 1%
● Our preliminary assumptions did not update the Total 100%
standard deviation (risk) expectations, so the portfolio
risk is the same under both sets of assumptions. 2023 Statistics (Preliminary)
– Risk expectations will be revisited and updated when we Projected 10-Year Geometric Return 7.2%
finalize the assumption suite later this year Projected Standard Deviation (Risk) 14.2%
2022 Statistics
Projected 10-Year Geometric Return 6.4%
Projected Standard Deviation (Risk) 14.2%
Difference
Return (10-Year Geometric) +0.8%
Risk (Standard Deviation) 0.0%
Source: Callan.
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Outlook for PERS Asset Allocation Policy
2022 versus 2023 capital market assumptions
Range of Projected Rates of Return Range of Projected Rates of Return

MSPERS Target MSPERS Target
Optimization Set: 2022 Optimization Set: 2023
40% 40%
30% 30%
Annual Rates of Return (%)
Annual Rates of Return (%)

20% 20%
10% 47 40 10% 50 47
7.55% 7.55%
68 92 70 95
0% 0.00% 0% 0.00%
(10%) (10%)
(20%) (20%)
(30%) (30%)
1 Year 10 Years 1 Year 10 Years
5th Percentile 32.6% 14.3% 5th Percentile 33.6% 15.2%

25th Percentile 17.0% 9.5% 25th Percentile 17.9% 10.4%
Median 6.7% 6.3% Median 7.5% 7.1%
75th Percentile (3.0%) 3.2% 75th Percentile (2.2%) 4.0%
95th Percentile (15.3%) (1.0%) 95th Percentile (14.6%) (0.2%)
Prob > 7.55% 47.3% 39.8% Prob > 7.55% 49.8% 46.6%
Prob > 0.00% 67.6% 92.2% Prob > 0.00% 69.5% 94.5%
Higher expected returns under the preliminary 2023 assumptions improve the probabilities of achieving a
7.55% rate of return (the System’s actuarial discount rate) over any single year and over a full 10-year
investment horizon.
● Probabilities of producing an absolute return greater than zero also improved.
Source: Callan.
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Appendix: Fixed Income Detail
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Bond Characteristics – Year-to-Date Change
Interest Rate Option Adjusted DTS (Duration

Yield to Worst Duration Convexity Spread (OAS) ex OAS)
12/31/2021
U.S. Aggregate 1.75% 6.8 0.4 36 2.4
U.S. Intermediate Credit 1.73% 4.4 0.2 61 2.7
U.S. Long Government 1.90% 18.5 4.2 0 0.0
U.S. Long Credit 3.10% 15.0 3.2 130 19.5
U.S. Long Government/Credit 2.58% 16.5 3.6 74 12.3
STRIPS 20+ 1.95% 26.3 7.0 0 0.0
U.S. High Yield 4.21% 3.8 -0.2 283 10.8
06/30/2022
U.S. Aggregate 3.72% 6.4 0.6 55 3.5
U.S. Intermediate Credit 4.31% 4.2 0.2 122 5.1
U.S. Long Government 3.34% 17.1 3.7 0 0.0
U.S. Long Credit 5.09% 13.4 2.6 184 24.7
U.S. Long Government/Credit 4.30% 15.1 3.1 101 15.2
STRIPS 20+ 3.34% 25.4 6.6 0 0.0
U.S. High Yield 8.89% 4.3 0.1 569 24.4
Change
U.S. Aggregate 1.97% -0.3 0.2 19 1.1
U.S. Intermediate Credit 2.58% -0.2 0.0 61 2.5
U.S. Long Government 1.44% -1.4 -0.5 0 0.0
U.S. Long Credit 2.00% -1.6 -0.5 55 5.2
U.S. Long Government/Credit 1.72% -1.5 -0.5 27 2.9
STRIPS 20+ 1.40% -0.9 -0.4 0 0.0
U.S. High Yield 4.68% 0.5 0.3 286 13.5
Source: Barclays Live
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Comparison of Core Fixed Income Return Components
Total Return Attribution: Callan 2022 Projection

Nominal Yield Capital Appreciation Downgrades/defaults Roll Yield Total Return
3.2%
3.5%
3.4%
3.3%
3.1%
3.0%
3.0%
2.9%
2.9%
2.7%
2.7%
2.5%
2.2%
2.5%
1.0%
2.3%
2.2%
2.0%
1.8%
0.4%
0.3%
0.3%
0.3%
0.3%
0.3%
0.3%
0.3%
0.3%
0.3%
0.3%
1.2%
1.4%
0.2%
-1.4%
-1.3%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-1.7%
-0.5%
-0.8%
-2.0%
-0.6%
-0.7%
-0.7%
-0.8%
-0.9%
-2.6%
-1.8%
-2.8%
2022 2023 2024 2025 2026 2027 2028 2029 2030 2031
Total Return Attribution: Using 6/30/2022 Rate Level

Nominal Yield Capital Appreciation Downgrades/defaults Roll Yield Total Return
3.7%
3.6%
3.4%
3.4%
3.2%
3.0%
2.6%
5.0%
0.3%
0.3%
0.3%
0.3%
0.3%
0.3%
0.3%
0.3%
0.3%
0.3%
3.8%
3.9%
4.0%
3.7%
4.0%
3.8%
4.1%
3.9%
4.1%
4.0%
4.1%
4.1%
3.0%
1.0%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-0.1%
-1.0%
-0.2%
-0.3%
-0.3%
-0.3%
-0.4%
-0.7%
-0.8%
-0.9%
-1.1%
-3.0%
-5.0%
-8.9%
-7.0%
-12.5%
-9.0%
-11.0%
-13.0%
2022 2023 2024 2025 2026 2027 2028 2029 2030 2031
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Preliminary 2023 Capital Markets Assumptions Fixed Income Detail
10-year projections
2023 2022
Income Capital Credit Roll Expected Expected
Return + Gain/Loss + Default + Return = Return Return Change
Cash 2.40% 0.00% 0.00% 0.00% 2.40% 1.20% 1.20%
Short Duration 1-3 Year Gov/Credit 2.95% 0.10% -0.10% 0.25% 3.20% 1.50% 1.70%
1-3 Year Government 2.75% 0.10% 0.00% 0.25% 3.10%
1-3 Year Credit 3.35% 0.00% -0.20% 0.25% 3.40%
Intermediate Gov/Credit 3.55% -0.10% -0.10% 0.25% 3.60% 1.70% 1.90%
Intermediate Government 3.15% 0.00% 0.00% 0.25% 3.40%
Intermediate Credit 4.15% -0.10% -0.40% 0.25% 3.90%
Aggregate 4.05% -0.30% -0.10% 0.25% 3.90% 1.75% 2.15%
Government 3.65% -0.30% 0.00% 0.25% 3.60%
Securitized 3.65% 0.00% 0.00% 0.25% 3.90%
Credit 4.85% -0.50% -0.50% 0.25% 4.10%
Long Duration Gov/Credit 4.80% -1.10% -0.30% 0.60% 4.00% 1.80% 2.20%
Long Government 3.80% -1.10% 0.00% 0.60% 3.30%
Long Credit 5.40% -1.00% -0.50% 0.60% 4.50%
TIPS 3.50% -0.50% 0.00% 0.25% 3.25% 1.25% 2.00%
Non-U.S. Fixed (unhedged) 2.25% -0.30% -0.20% 0.25% 2.00% 0.80% 1.20%
High Yield 7.65% 0.40% -2.30% 0.25% 6.00% 3.90% 2.10%
Emerging Market Debt 7.05% -0.10% -1.40% 0.25% 5.80% 3.60% 2.20%
Bank Loans 7.60% 0.00% -1.50% 0.00% 6.10% 4.60% 1.50%
STRIPS 20+ 3.90% -1.70% 0.00% 0.60% 2.80% -0.30% 3.10%
STRIPS 10–20 3.75% -1.00% 0.00% 0.45% 3.20% 1.00% 2.20%
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Appendix: Equity Detail
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Public Equity Capital Appreciation
S&P 500 characteristics
S&P 500 Index: Forward P/E Ratio Valuation 25-year Std Dev Over- /
Measure Latest Average Under-valued
30x Forward P/E 15.94x 16.85x -0.27
Shiller’s P/E 28.74x 28.01x 0.11
Dividend yield 1.76% 1.99% 0.70
25x Price to book 3.36x 3.10x 0.32
Price to cash flow 12.14x 11.16x* 0.45
EY minus Baa yield 0.93% 0.22% -0.36 +1 Std dev: 20.2x
20x
25-year average: 16.9x
15x
-1 Std dev: 13.5x
Jun 30, 2022
15.9x
10x
5x
0x
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
● Valuations have returned to pre-pandemic levels. ● Cyclically adjusted price earnings ratio (CAPE) is in
– Most are within 0.5 standard deviations of their 25-year line with its long-term average.
averages. – Its longer-term nature provides a more stable perspective on
equity market valuations.
– Dividend yield is the exception, but it can fluctuate significantly
Sources: FactSet, FRB, Robert Shiller, S&P Dow Jones Indices, Thomson Reuters, J.P. Morgan Asset Management. Price-to-earnings is price divided by consensus analyst estimates of earnings per share
with
for the the
next 12 index
months value.by IBES since March 1997 and by FactSet since January 2022. Current next 12-months consensus earnings estimates are $233. Average P/E and standard deviations are
as provided
calculated using 25 years of history. Shiller’s P/E uses trailing 10-years of inflation-adjusted earnings as reported by companies. Dividend yield is calculated as the next 12-months consensus dividend divided
by most recent price. Price-to-book ratio is the price divided by book value per share. Price-to-cash flow is price divided by NTM cash flow. EY minus Baa yield is the forward earnings yield (consensus analyst
estimates of EPS over the next 12 months divided by price) minus the Moody’s Baa seasoned corporate bond yield. Std. dev. over-/under-valued is calculated using the average and standard deviation over
25 years for each measure. *P/CF is a 20-year average due to cash flow availability. Guide to the Markets – U.S. Data are as of June 30, 2022.
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Public Equity Capital Appreciation
S&P 500 forecast earnings growth
Earnings Growth (Year-Over-Year) 265.3%
139.1%
35.2%
32.9%
14.5%
13.2%
11.6%
24.0%
10.7%
10.4%
10.2%
9.8%
8.7%
22.1%
7.0%
5.8%
5.4%
4.8%
4.8%
4.6%
17.8%
2.6%
15.3%
14.2%
1.6%
1.4%
-13.4%
-0.3%
-0.3%
-0.9%
-1.1%
-6.1%
-25.3%
-9.7%
-9.9%
-11.1%
-12.5%
-26.0%
07/25/2022% CY 2022 CY 2023

Consumer Discretionary Consumer Services Consumer Staples Energy
Financials Health Care Industrials Information Technology
Materials Real Estate S&P 500 Utilities
● Earnings growth is expected to be very volatile.

– Energy earnings expected to dive from more than 250% in 2Q22 to -12.5% in 2023.
– Financials struggle through the end of the year but recover in 2023.
● The S&P 500 is expected to increase earnings by 8.7% in 2023.

– The expectation has fallen from earlier projections of more than 10%.
Source: Callan, FactSet
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Public Equity Income
S&P 500 yield components
● S&P 500 companies resumed S&P 500 Yield Components
returning more capital to investors via
buybacks than dividends. 7%
Dividend Yield
● Dividend yields have fallen as stock 6%
Buyback Yield
prices have increased more quickly Total Yield
than dollar payouts. 5%
– Dividends have increased in terms of
dollars paid. 4%
– The yield path will be retraced with recent
index losses. 3%
● Buybacks offer flexibility because 2%

reducing them does not carry the
stigma associated with reducing 1%
dividends.
0%
1Q17 3Q17 1Q18 3Q18 1Q19 3Q19 1Q20 3Q20 1Q21 3Q21 1Q22
Sources: Callan, S&P Dow Jones Indices
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Public Equity Assumptions
Return components
Current Forecasts Net Buyback Real Earnings Valuation Total Geometric

Index Dividend Yield* Dividend Yield Yield Inflation Growth** Adjustment Return
S&P 500 1.64% 1.75% 0.50% 2.50% 2.25% 0.00% 7.00%
Russell 2500 1.57% 1.75% 0.00% 2.50% 3.00% 0.00% 7.25%
Russell 3000 1.67% 1.75% 0.45% 2.50% 2.35% 0.00% 7.05%
MSCI World ex USA 3.36% 3.50% 0.00% 1.75% 1.75% 0.00% 7.00%
MSCI Emerging Markets 3.09% 3.10% -2.70% 3.00% 4.00% 0.00% 7.40%
Aggregate 3.90%
Cash 2.40%
Forecast ERP Historical ERP Forecast ERP Historical ERP Delta ERP
Index Cash Cash^ Delta ERP Cash Bonds Bonds^^ Aggregate
S&P 500 4.60% 7.56% -2.96% 3.10% 4.46% -1.36%
Russell 2500 4.85% 7.50% -2.65% 3.35% 4.39% -1.04%
* Index yields as of June 30, 2022
** S&P 500 real earnings growth is forecast real GDP growth. R 2500 real earnings growth is an 75 bps
spread over S&P 500. Developed and emerging markets earnings growth in line with their respective GDP assumptions.
^ Return relative to 90-day T-Bills for 40 years ended June 30, 2022
^^ Return relative to the Bloomberg Aggregate for 40 years ended June 30, 2022
● Dividend yields are expected to improve modestly.

● Net buybacks are only a modest factor except in emerging markets.
● A 25 bps increase in inflation translates directly into a 25 bps increase in nominal returns.
● Real earnings growth is consistent with real GDP growth.
● Valuations are generally in line with history.
Source: Callan
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Appendix: Private Markets
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Real Estate
Return Projections
Background
2022 Preliminary 2023
The rising interest rate environment will
impact values in sectors where income
9%
growth does not outpace borrowing 8%
costs. Diversified portfolios and sectors 7%
with strong net income growth will 7.00%

6%
6.50%
remain attractive to investors as overall 6.15%
5%
5.75%
real estate fundamentals remain healthy.
4%
Weakening expectations for some real 3%

3.90%
estate sectors, such as office and retail,
may continue to be offset by sectors 2.40% 2.25% 2.50%
2%
such as industrial and residential. Non- 1%

1.75%
1.20%
traditional sectors like life sciences, 0%
medical office, data centers, cold Real Estate Large Cap Aggregate Cash Inflation
storage, and self-storage continue to
grow in institutional portfolios due to both
relative low capital expenditure
requirements and demographically
driven demand.
2023 real estate return projection:

6.15% (up 40 bps)
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Private Equity
Return Projections
Background
The private equity market in aggregate is
driven by many of the same economic
9%
factors as public equity markets. Buyout 8%

8.50%
8.00%
valuations appear reasonable while 7%
venture/growth equity valuations are 7.00%

6%
6.50%
high.
5%
Consequently, the private equity 4%
performance expectations changed in 3%

3.90%
line with public equity expectations.
2.40% 2.25% 2.50%
2%
We see tremendous disparity between 1%

1.75%
the best- and worst-performing private 1.20%
equity managers.
0%
Private Equity Large Cap Aggregate Cash Inflation

The ability to select skillful managers
could result in realized returns
significantly greater than projected here.
2023 private equity return projection:

8.50% (up 50 bps)
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Private Credit
Return Projections
Background
Return projection is anchored on middle
market direct lending where yields
9%
returned to pre-COVID lows before rising 8%
in the first half of 2022. 7%
7.00%
While banks are no longer major
6%
6.50% 6.50%
investors in this market, there is strong 5%
5.50%
appetite from institutional and retail 4%
investors. 3%
3.90%
50 bps is a reasonable return premium 2.40% 2.25% 2.50%

2%
relative to high yield (6%), albeit 1%

1.75%
narrower than 2022 as the high yield 1.20%
asset class appears more in line with
0%
Private Credit Large Cap Aggregate Cash Inflation

long-term history.
A portfolio with more distressed and

specialty finance exposure would have a
higher return though with a lower current
yield and higher volatility and higher
correlation to public and private equity.
2023 private credit return projection:

6.50% (up 100 bps)
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Private Credit
Loan Yields
– Return calculations assume 4.9% cost Large Corp Middle Market
10%
of leverage and 0.75% unlevered
loss ratio 8%
– Corresponds to 6.50% geometric 6%
4%
2%
Unlevered Yield 8.4%
Leverage 0.85x 0%
4Q10 4Q11 4Q12 4Q13 4Q14 4Q15 4Q16 4Q17 4Q18 4Q19 4Q20 4Q21
Levered Yield 11.4%
Management Fee and Middle Market Premium
Operating Expense 1.7%
2.5%
Incentive Rate 15%
Hurdle 4% 2.0%
Incentive Fee 0.9%

1.5%
Total Fees and Exp. 2.6%
1.0%
Loss Ratio 1.4%
Net Arithmetic 7.4% 0.5%
0.0%
4Q10 4Q11 4Q12 4Q13 4Q14 4Q15 4Q16 4Q17 4Q18 4Q19 4Q20 4Q21
Source: Refinitiv LPC. All-in yield (LIBOR + Spread + OID) assuming 3-year takeout
Note: 1Q22 and 2Q22 were combined in the final datapoint due to lack of middle market data in 2Q22. 2Q20 was less reliable due to lack of data points to calculate a MM institutional all-in yield statistic.
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Disclaimers
This report is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision you make
on the basis of this content is your sole responsibility. You should consult with legal and tax advisers before applying any of this
information to your particular situation.
This report may consist of statements of opinion, which are made as of the date they are expressed and are not statements of fact.
Reference to or inclusion in this report of any product, service or entity should not be construed as a recommendation, approval,
affiliation or endorsement of such product, service or entity by Callan.
Past performance is no guarantee of future results.
The statements made herein may include forward-looking statements regarding future results. The forward-looking statements herein:
(i) are best estimations consistent with the information available as of the date hereof and (ii) involve known and unknown risks and
uncertainties such that actual results may differ materially from these statements. There is no obligation to update or alter any forward-
looking statement, whether as a result of new information, future events or otherwise. Undue reliance should not be placed on forward-
looking statements.
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Value-Add Real Estate Fund Recommendation
Angelo Gordon Value-Add Fund XI
October 24, 2022
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Date: September 1, 2022
To: PERS Investment Committee
Re: Additional Value-Add Real Estate Commitment
In 2011 the PERS Board adopted a real estate portfolio structure which called for a 15% allocation to Value-add
real estate funds within the real estate asset class. As of 6/30/2022, the value of PERS’ Value-add real estate
investment was $517,758,594, which equates to approximately 14% of the total real estate asset class 15%
target. The value-added real estate segment of the PERS portfolio currently consists of commitments to
seventeen funds with six different general partner fund managers. Value-add real estate investments target an
11-15% annual return from properties with in-place cash flows but seek to increase that cash flow over time by
making improvements to or repositioning the property not operating at its full potential. Value-add investments
will typically generate higher returns to investors than Core investments through an appreciation in asset value.
Of the seventeen Value-add Real Estate funds PERS is currently funding, nine are in the liquidation phase of their
lifecycle, while the other eight funds remain in the investment or value add phase. As these funds near the end
of their lifecycle, the value-add thesis is realized, the fund enters the liquidation phase, assets are sold, and
monies are distributed to investors over a period. Unlike the public markets, this process of cash recycling over
time reduces PERS’s overall exposure to real estate. This requires what might appear to be an over commitment
to Value-add real estate; however, pacing projections indicate that to achieve the 15% target exposure within
the real estate asset class, PERS must continue to commit to an average of two additional Value-added funds
each year, at a pace of $75 million per commitment.
Historically, PERS has chosen to continue investing through its established Value-add fund relationships. This
decision is always predicated on pacing needs, favorable analysis of the firm’s prior funds, continuity of the
fund’s investment team, acceptable deal terms, and relation to NCREIF benchmark. A current general partner,
Angelo Gordon Realty is actively seeking partnership commitments to its Value Fund XI investment opportunity.
Like most of the PERS Value-add real estate investments, the Angelo Gordon funds have traditionally performed
well relative to their peers and the NCREIF Total Index Benchmark. PERS of MS first partnered with Angelo
Gordon in their 2006 Core Plus closed-end Fund II and continued the relationship with a commitment to Fund
III, and Fund IV, before the Core Plus series of funds were discontinued. Beginning with the Angelo Gordon
Value Fund X in 2018, PERS continued the relationship with the expectation of higher returns in a broader
geographic and sector diversified portfolio than in previous Angelo Gordon partnerships. The Fund XI strategy
will be very similar to that of Value Fund X, with limited international exposure and added exposure to both
traditional and niche property types.
When notified of AG Realty’s intention to launch a new fund, Callan’s real estate team was asked to evaluate
the investment opportunity and provide feedback. The findings from that analysis have been provided for the
Investment Committee’s review of confirmation that this fund is found suitable for PERS’ continued partnership
participation. Based on tenure, stability, and their success in managing Value-added real estate funds, staff is
recommending a $75 million commitment be made to the AG Realty Value Fund XI.
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Existing Partnerships with Angelo Gordon Realty:
Core Plus Fund II – 2006 – This fund has performed as well as can be hoped for given the challenging
timing of the real estate environment during the Global Financial Crisis in which it participated. Core
Plus Fund II recently finished its lifecycle and closed its final disposition in the fourth quarter of 2021,
realizing a since inception gross internal rate of return (IRR) of over 10.4% and has earned 1.32x on
PERS’ capital invested, which places the fund’s performance in the top decile relative to its vintage
year peers.
Core Plus Fund III – 2011 – While at the end of the liquidation phase of its lifecycle, this fund has only
3 remaining assets as of 3/31/22. This fund has a realized net internal rate of return (IRR) since
inception of 19.4% and has returned approximately 1.65x of PERS’ invested capital, which in both cases
is significantly above initially targeted projections.
Core Plus Fund IV – 2015 – Well into the investment phase of this fund’s life cycle, this fund is currently
looking like it will slightly underperform initially expected target returns. Since inception, this fund has
a 9.2% net internal rate of return (IRR) and has so far returned approximately 1.4x of PERS’ invested
capital. This fund is done accumulating assets and is in the value add and early harvest phase of its
lifecycle and has just begun to realize investment appreciation. One reason this fund has struggled
during the Covid pandemic, and is expected to continue being challenged, is due to the fund’s
significant exposure to office assets, and lack of exposure to industrial and residential assets relative
to its NCREIF benchmark.
Realty Value Fund X – 2018 – This fund is still in the investment phase of its lifecycle but shows great
promise primarily due to a change in strategy to move away from primary market office assets. Over
the last year this fund ranked in the top 2 percentile among peer Value-add managers, outperforming
the NCREIF Benchmark by 2.4%. Although still early, this fund since inception has a 24.7% net internal
rate of return (IRR) and has so far returned 1.33x on invested capital. This fund is still accumulating
assets in its investment phase and has just begun to realize investment appreciation and income
benefit. This fund has done well during the Covid pandemic due to the fund’s significant
underexposure to urban office assets, and increased exposure to residential, industrial, and alternative
property type assets, such as self-storage and life science.
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July 1, 2022
Mississippi Public Employees’

Retirement Fund
AG Realty Value Fund XI, L.P.
Information contained herein is the confidential and proprietary information of Callan and should not be used other than by the intended recipient for its
intended purpose or disseminated to any other person without Callan’s permission. Certain information herein has been compiled by Callan and is based
on information provided by a variety of sources believed to be reliable for which Callan has not necessarily verified the accuracy or completeness of or
updated. This content may consist of statements of opinion, which are made as of the date they are expressed and are not statements of fact. This
content is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision you make on the basis of this
content is your sole responsibility. You should consult with legal and tax advisers before applying any of this information to your particular situation. Past
performance is no guarantee of future results. For further information, please see Appendix for Important Information and Disclosures.
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Table of Contents
Executive Summary and Review Process .................................................................................................................................................. 3
Investment Strategy ................................................................................................................................................................................... 3
Sponsorship ............................................................................................................................................................................................... 6
Investment Process .................................................................................................................................................................................. 11
Historical Performance ............................................................................................................................................................................. 13
Key Terms ................................................................................................................................................................................................ 17
Fund Status .............................................................................................................................................................................................. 27
Summary .................................................................................................................................................................................................. 27
Appendix .................................................................................................................................................................................................. 29
Organization Chart ................................................................................................................................................................................... 30
Biographies .............................................................................................................................................................................................. 31
Disclosure................................................................................................................................................................................................. 34
Important Information and Disclosures ..................................................................................................................................................... 35
Knowledge. Experience. Integrity.
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Executive Summary and Review Process
This report provides a summarized review and recommendation regarding a potential investment by Mississppi Public Employees’
Retirement Fund (“MSPERS”) in AG Realty Value Fund XI, L.P. (the “Fund” or “Fund XI”), sponsored by Angelo, Gordon & Co. (“Angelo
Gordon,” “AG,” “the Sponsor,” or “the Firm”). MSPERS made a $75 million investment in AG Realty Fund X, L.P. (“Fund X”), which is
part of the same fund series, a $50 million investment in Angelo Gordon Core Plus Fund IV L.P. (“Core Plus Fund IV”), and a $50
million investment in Angelo Gordon Core Plus Fund III, L.P. (“Core Plus Fund III”). It is standard practice within closed-end fund
investing to commit to follow on funds within a series to maintain vintage year diversification, barring significant changes to or
challenges within the management organization, fund strategy or performance.
Callan’s process included the collection and review of various materials provided to Callan by the Sponsor, including the response to
Callan’s due diligence questionnaire, Private Placement Memorandum (“PPM”), limited partnership agreement, other offering
documents, and data requests. Additionally, Callan conducted a virtual meeting with Angelo Gordon via Zoom on May 26, 2022. The
below professionals from Angelo Gordon attended:
Name Title Name Title

Ms. Aliana Spungen Managing Director, Investor Relations Mr. Reid Liffmann Managing Director, Head and Co-PM,
US Real Estate
Mr. Matt Jackson Managing Director, Co-PM US Real
Estate
The virtual meeting focused on the Sponsor organization, investment strategy, investment process, team, and track record. Callan had
ongoing communication and interaction with the Sponsor during the due diligence process, with Ms. Spungen serving as the primary
point of contact.
Investment Strategy1
AG Realty Value Fund XI will target a broad spectrum of non-core investments in commercial real estate. Previously, the non-core
spectrum was targeted by two fund series: the Realty Fund Series investing in opportunistic real estate, targeting a gross internal rate
of return (“IRR”) of 20% and a net IRR of 15%; and the Core Plus Realty Fund series investing in value-add real estate targeting a
gross IRR target of 13% to 15% and a net IRR target of 11% to 12%. AG Realty Value Fund XI, a continuation of the strategy pursued
by Realty Value Fund X, is targeting a gross IRR of 16% to 17% and a net IRR of 12% to 13%.
Investments may be in real estate or real estate-related interests, including income-producing and non-income-producing real property,
performing and non-performing debt obligations secured directly or indirectly by real property, and securities of, or other interests in,
entities that own significant interests in real property. The spectrum of opportunities will range from assets with in-place cash flow,
considered light value-add, to distressed assets in need of capital restructuring and asset repositioning in order to stabilize, considered
heavy value-add. Investments will be made in the United States as well as Asia and Europe across a broad range of geographic
markets and product types, including residential, industrial, office buildings, hotels, retail properties, and certain niche sectors such as
senior housing, self-storage, medical office, life sciences, and single-family rental. Additionally, the real estate team may make
investments in operating companies and debt securities, including loan originations.
Angelo Gordon employs a “bottom-up” investment philosophy, whereby no pre-specified allocation is made to specific property types or
geographic regions. Nonetheless, diversification will be monitored at the portfolio-level. Within the U.S., Angelo Gordon will aim for
1
Includes quoted and paraphrased excerpts from representative materials provided to, and reviewed by, Callan.
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investments to be diversified geographically across the top 20 to 30 markets. Up to 20% of the Fund will be invested in Europe and/or
Asia, and investments in those regions will be sourced and managed by Angelo Gordon’s European or Asian real estate teams, which
manage funds that follow the same investment philosophy and approach as AG’s U.S. core plus and opportunistic funds. While
investments will be made directly into assets alongside the Europe and Asia-focused funds and not as fund-level investments, the
European and Asian portfolio managers will make the ultimate decisions including sales. Angelo Gordon is offering a U.S.-only sleeve
for the Fund in order to accommodate those investors that do not want global exposure. Non-U.S. deals have historically had
opportunistic return profiles.
In more recent funds, residential assets have received increased investment both in growing and declining markets. Additionally, both
Core Plus Fund IV and Realty Fund IX had significant exposure to office. Similarly, Angelo Gordon expects Fund XI to be weighted
heavily toward office and residential, with the remaining portfolio invested in retail, lodging, industrial, and, to a lesser extent, other
investments such as debt and operating platforms. Broadly, Angelo Gordon’s approach to investing in the various property types is as
follows:
 Housing: Investments to date have been active in suburban areas, but multifamily assets located in gateway central business
districts may be oversold and under-rented, offering relative value compared to the more favored, but pricey, non-gateway
suburban markets. In addition to acquisitions of existing assets, acquisitions may also selectively pursue ground-up
development of multifamily assets in certain markets where it presents more attractive risk-adjusted returns. The firm expects
to continue to be active in the single-family rental sector with a focus on new product with minimal capital requirements and
strong cash flow.
 Industrial: The Fund will focus on aggregating a sizeable industrial portfolio through off-market transactions and
recapitalizations as well as in pursuing select ground-up development opportunities.
 Niche: Investment in a self-storage aggregation strategy and a scalable management platform. Angelo Gordon is cautious on
life sciences due to single-industry exposure and limited creditworthiness of tenants. Investment opportunities are expected in
other niche asset classes, such as student housing, senior and age-restricted housing, industrial service facilities (“ISF”), and
medical office buildings.
 Office: Angelo Gordon believes the negative sentiment surrounding the office sector will lead to increased inefficiencies that
may create opportunities to acquire high-quality office assets from owners that are unwilling or unable to invest the capital
required to maintain occupancy and maximize value. The focus will continue to be small- to medium-sized high-quality
suburban offices in markets with reasonable net effective rents and will generally avoid large, concentrated office positions. In
gateway markets, the firm is generally avoiding assets with short lease terms and limited in-place cash flow.
 Retail: Investments in urban infill assets in markets with strong demographics and high barriers to entry. AG is open to
grocery-anchored and community-focused retail, as well as smaller differentiated urban retail. Rent assumptions in
underwriting will reflect the weakened retail market.
 Hotel: AG is willing to pursue select investments in leisure and high-quality CBD hotels where the basis is well below
replacement cost.
Diversification is expected to be as follows:
● Office: 20%-30%
● Multifamily: 25%-35%
● Industrial: 15%-30%
● Retail: 5%-10%
● Lodging: 5%-15%
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● Other (Self-Storage, Student Housing, Industrial Service Facilities, Single-Family Residential, Life Sciences): 15%-20%
Geographically, over the prior two funds, Angelo Gordon meaningfully increased exposure to growth-oriented markets in the Southeast
and Southwest and expects to continue to do so in Realty Value Fund XI. In addition, the Fund is expected to expand the allocation to
the Pacific Northwest and Mountain State regions and other innovation markets, while deemphasizing the Midwest.
The team will focus on executing a value-add business plan to improve the income stream. The Fund’s targeted hold period for assets
is expected to be three to six years, depending on the asset. Angelo Gordon will seek to invest in a portfolio of assets that, after
stabilization, (i) will be highly sought after by institutional real estate investors and (ii) will continue to appreciate even after asset
underperformance has been corrected. Angelo Gordon anticipates making approximately 20 investments per year. The average
investment size for U.S. deals for both the Core Plus Fund series and the Realty Fund series has historically been $50 to $100 million,
equating to $20 to $50 million in average equity.
Generally investments will be structured as joint ventures with local operating partners that, alongside Angelo Gordon, will seek to
correct asset performance, increase cash flow, and add value. Operating partners are also integral to Angelo Gordon’s deal-sourcing
process. Joint-venture arrangements will typically be structured as limited liability companies, with Angelo Gordon serving as the
Managing Member. It is standard practice for Angelo Gordon to maintain full control of all decisions. Historically, Angelo Gordon has
only taken a minority interest in debt investments that were loan portfolios and have limited instances of co-control. Typically, AG
negotiates agreements that include a number of controls, including buy/sell rights, forced-sale rights, sole approval rights for annual
budgets, tenant leases and all significant vendor/construction contracts, as well as timing of re-financings or dispositions. Angelo
Gordon may remove an operating partner at any time without cause. The Firm also has cash controls in place for every joint-venture
investment, which include approvals for all unbudgeted expenses and significant cash disbursements (generally disbursements in
excess of $50,000). In addition, all excess cash from each investment is swept to an Angelo Gordon-controlled cash account. AG has
existing relationships with over 50 operating partners within the U.S.
Operating partners are required to make a meaningful commitment during the acquisition of the property; however, Angelo Gordon
does not maintain a pre-specified commitment requirement, although in the U.S. operating partners typically invest between 2% and
20%. These commitments are made pari passu with Angelo Gordon invested equity. Through the property management agreement, the
operating partner is compensated by an annual management fee and an incentive fee. For the incentive fee, the operating partner
typically receives a tiered structure for deals. For higher-returning deals (approximately 18%-22% target returns), the standard structure
is 15% of profits over a 10% IRR, 25% of profits above a 15% IRR, and 35% of profits over a 25% IRR and a 2.0x multiple with no
catch-up provisions. For lower-returning deals targeting an IRR in the mid-teens, the standard structure is 10% of profits above an 8%
IRR, 20% of profits above a 12% IRR, 30% of profits above an 18% IRR and a 1.8x multiple with no catch-up.
The investment strategy is subject to investment restrictions specified in the Offering Memorandum, including: (1) the Fund will not
invest more than the greater of (a) $100 million or (b) 15% of aggregate capital commitments in a single investment; (2) the Fund will
not make any investments in real estate assets located outside of the United States and Canada if the aggregate amount of such
investments would exceed 20% of aggregate capital commitments; (3) the Fund will not invest more than 10% of the capital
commitments in real estate assets that are publicly traded securities; (4) the Fund will not make an investment in any pooled investment
vehicles; and (5) investment in property technology companies is limited to 1% of commitments. The last limitation is new to Fund XI as
Angelo Gordon envisions using this allocation to potentially invest in companies focused on technologies to improve property/portfolio
management, energy efficiency and broader environmental enhancements, leasing, and more cost-effective maintenance and
construction methodologies and materials, among other technologies.
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The Fund’s leverage strategy is consistent with prior funds. Angelo Gordon believes in the conservative use of leverage and plans to
apply debt at the investment level. The targeted leverage of the Fund is 55% to 65%, with a maximum of 70%, and loans are generally
first mortgages, non-recourse to the Fund. Angelo Gordon intends to use both fixed and floating-rate debt. On floating-rate debt, AG
typically purchases interest rate caps to minimize the exposure to excess interest rate movements. AG tries to avoid cross-
collateralization and unhedged interest rates. Historically, AG has not cross-collateralized loans except within portfolios that are
purchased as part of a single investment or single platform. Additionally, AG has not used recourse debt in prior funds except for
customary carve-outs related to fraud, intentional misrepresentation, misappropriation of funds, criminal acts, or other matters
constituting a willful act in violation of the obligation. The Fund will have a credit facility/line of credit that can be used to fund
acquisitions prior to calling the capital from investors and to bridge the time between purchasing assets and placing debt on the assets.
Capital can be outstanding on the credit line for up to six months.
Sponsorship2
Angelo, Gordon & Co. was founded in 1988 by John Angelo and Michael Gordon to focus on non-traditional asset management and
became a Registered Investment Adviser in 1989. The team originally consisted of 15 individuals who previously worked at L.F.
Rothschild and jointly managed $135 million on behalf of clients of the predecessor firm. The firm continues to be 100% employee
owned by 95 partners as well as the founders’ related parties. The portion of ownership held by the founders and related parties has
been decreasing since 2017. The Firm has grown to over 550 employees with more than 200 investment professionals managing $51
billion in assets. Angelo Gordon is headquartered in New York and has offices across the United States, in Europe, and in Asia. Since
the inception of Angelo Gordon, the investment philosophy has been to generate consistent absolute returns with considerably less
volatility than the overall stock and bond markets, while placing a strict emphasis on capital preservation.
On January 1, 2016, John Angelo, co-founder and CEO of Angelo Gordon, passed away. At the time, Mr. Angelo’s estate and Michael
Gordon together owned approximately 75% of the firm, with the remaining 25% owned by other senior professionals. The firm had been
entirely managed by the two. In September 2016, Angelo Gordon established a Management Committee to manage the Firm and to
position it to transition governance to the Firm’s next generation of leadership. Changes in ownership began through a dilution of Mr.
Gordon and Mr. Angelo’s estate in favor of senior management. Essentially, senior professionals were given the ability to purchase
ownership at a 50% discount to the market value with payments made over a three-year period. Profits accrued immediately to their
capital account, but are subject to a six- to eight-year vesting. Mr. Angelo’s ownership stake has been transferred to related parties. A
plan for an orderly, long-term return of capital to a co-founder and his related parties out of excess cash flow is in place. The Firm has
an indefinite period of time to buy back capital. The related parties’ ownership interests have become a largely passive investment with
standard minority investor protections, including protection against dilution, protection against artificial reductions in profit, and veto
rights over a very limited set of material business decisions such as firm-level acquisition or disposition transactions, expansion of firm
business outside of the alternative investments arena, and dissolution of the firm. All transfers, including any by the founders, require
consent of the Firm.
Michael Gordon stepped down as CEO and Co-CIO of Angelo Gordon effective December 31, 2020. As of January 1, 2021, Mr.
Gordon assumed the newly created position of non-Executive Chair of the Partnership Advisory Board. Co-CIO Adam Schwartz, Head
of Real Estate, and Josh Baumgarten, Head of Credit, became co-CEOs of the Firm with Mr. Baumgarten adding co-CIO to his role. At
the end of 2021, Kirk Wickman stepped down from the role of President of Angelo Gordon and retired from the Firm. Mr. Wickman
remains both an investor in the Firm and a member of the Firm’s Partnership Advisory Board. Concurrent with these changes, effective
January 1, 2021, the Management Committee was disbanded. In its place, Angelo Gordon created the aforementioned Partnership
2
Includes quoted and paraphrased excerpts from representative materials provided to, and reviewed by, Callan.
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Advisory Board, which acts in both an advisory and governance capacity and provides input to the co-CEOs on major strategic,
financial, and personnel decisions. The Partnership Advisory Board members are:
 Micheal Gordon
 Josh Baumgarten
 Adam Schwartz
 Kirk Wickman
 Trevor Clark, Head of Middle Market Direct Lending
 Maureen D'Alleva, Head of Performing Credit and Chair of the Executive Committee
 TJ Durkin, co-Head of Structured Credit, Head of Residential & Consumer Debt
 Reid Liffmann, Head of U.S. Real Estate
 Ryan Mollett, Head of Distressed & Corporate Special Situations
 David Roberts, Managing Director
 Frank Stadelmaier, Chief Operating Officer.
The four core businesses of Angelo Gordon are Credit, Real Estate, Private Equity, and Multi-Strategy. These businesses can be
further broken down into distressed debt, non-investment grade corporate credit, residential and consumer debt, energy credit, middle
market direct lending, real estate debt and equity, private equity, convertible arbitrage, risk arbitrage, and multi-strategy. Angelo Gordon
was active over the last decade in growing the firm by adding strategies that have complemented existing investment platforms. In
2013, the Firm hired a four-person energy credit team (now eight investment professionals) and opened an office in Houston. The
investment strategy focuses on senior and junior secured debt investment in the energy sector. In 2014, the Firm announced the
establishment of a middle market direct lending business based in Chicago. In 2017, the Firm hired a team of two to focus on
investment grade debt and high yield debt in a long/short credit strategy based in the New York office. The Firm will continue to look for
new opportunities focusing on credit and real estate and will add strategies it feels will be accretive to the Firm’s investment platform.
However, Angelo Gordon noted that the only growth currently anticipated is within the Firm’s existing strategies.
The following chart details the breakout of real estate and real estate-related strategies, as well as other strategies sponsored by the
firm.
Angelo Gordon Lines of Business ($bn)

Structured Credit, $6.6 , Private Equity, $0.3 , 1%
13%
Real Estate, $11.9 , 24%
Energy Lending, $0.8 ,
2%
Middle Market Direct

Lending, $9.5 , 19% Net Lease, $2.1 , 4%
Convertible & Merger

Arbitrage, $0.2 , 0% Distressed Debt, $11.0 ,
Non-Investment Grade 22%
Corporate Credit, $7.7 ,
15%
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The real estate group was founded in 1993 by David Roberts, who built the business through operating partner relationships. In 1997,
Keith Barket joined the team to grow the overall real estate platform, while Mr. Roberts subsequently went on to establish the Firm’s
private equity investing capabilities. Mr. Barket joined after serving as an operating partner on select investments made by the Angelo
Gordon real estate team. The opportunistic real estate strategy that was employed grew upon a foundation of a distressed real estate
debt strategy that had already existed within the Firm. Later the real estate platform grew to include an Asia/Pacific real estate
investment strategy, a European real estate investment strategy, a net lease strategy, a core-plus strategy, and commercial real estate
debt. Investments have been capitalized by public and private pension funds, endowments, foundations, fund-of-funds, family offices
and high-net-worth individuals, as well as the Firm’s Multi-Strategy Fund. However, given the Multi-Strategy Fund’s focus on actively re-
weighting the portfolio among the various Angelo Gordon strategies and the limited ability to rotate the portfolio into and out of real
estate, Angelo Gordon ceased making real estate investments in the Multi-Strategy Fund in 2010.
The following chart illustrates the growth of the real estate platform over time.
Angelo Gordon Private Real Estate AUM ($mm)

$70,000
$60,000
$50,000
$40,000
$30,000
$20,000
$10,000
$0
2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2Q2021
Gross AUM Net AUM
The Angelo Gordon real estate team has primarily capitalized real estate investments through commingled funds; however, in its
history, the team has managed three opportunistic separate accounts representing a total of $265 million in called capital and one core
plus separate account representing $68 million in called capital. Deals were shared between the funds and separate accounts. In AG
Fund documents, the opportunistic funds were given the right to at least 70% of each deal; however, in practice the splits were more
typically 90%/10% between the Fund and the separate accounts. All separate accounts have been reported as fully invested. Separate
accounts that have the same strategy as Fund XI will not be pursued.
Senior Real Estate Team and Investment Committee

The following chart lists the senior professionals of the real estate team at the VP level and above. The list focuses on the U.S. team
and includes the Heads of Asia Real Estate and the Co-PM of Europe as well as the Head of Real Estate Finance. The Investment
Committee is comprised of the Managing Directors on the table below.
Years with Years of

Name Role Firm Experience
Adam Schwartz Managing Director – Co-CIO, Co-CEO, Head of Real Estate, IC Member 22 25
Reid Liffmann Managing Director – Co-U.S. PM, IC Member 12 35
Matt Jackson Managing Director – Co-U.S. PM, IC Member 13 15
Chris Oka Managing Director – U.S./Europe Hotels and Florida, IC Member 9 19
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Years with Years of
Name Role Firm Experience
Cory Elbaum Managing Director – New York Tri-State Area, IC Member 2 19
Andrew Schaffler Managing Director – Public Securities, Single-Family Residential, IC Member 3 18
Steve White Managing Director – West Coast Region, IC Member 18 23
Louis Friedel Managing Director – West Coast Region, IC Member 16 18
Laura Metzger Managing Director – Pacific Northwest, Northern California, IC Member 1 16
Mark Maduras Real Estate & Private Equity CFO, COO 21 32
Scott Glassberg Director – Midwest, Mountain, Self-Storage 10 11
Matt Lazar Director – Texas/Southeast Region (excluding Florida) 11 12
Kris Olsen Director – Texas/Southeast Region (excluding Florida) 9 12
Frank Virga Director – U.S. Hotels, Student/Senior Housing, Florida 7 15
James Idol Director – Southwest, Southern California 1 10
Taylor Galbraith Vice President – Mid Atlantic/Northeast (excluding NY Tri-State) 2 9
Amanda Jacinto Vice President – Texas/Southeast Region (excluding Florida) 3 5
Douglas Profenius Vice President – New York Tri-State Area 4 6
Wilson Leung Managing Director, Head of Asia Real Estate 20 21
Steven Cha Managing Director, Co-PM Asian Fund, Co-Head Korea Real Estate 16 21
EK Choi Managing Director, Co-Head Korea Real Estate 14 15
Tetsu Yaoka Managing Director, Head of Japan Real Estate 14 17
Ken Ng Managing Director, Co-Head China Real Estate 16 23
Zoe Zuo Managing Director, Co-Head China Real Estate 13 16
Anuj Mittal Managing Director, Head of Europe Real Estate, Co-PM Europe Fund 16 20
Tom Rowley Managing Director, Co-PM Europe Fund 10 23
Europe and Asia have separate Investment Committees, which consist of the heads of each region or country and other members of
the deal teams. Adam Schwartz sits on both along with Mark Maduras. Reid Liffmann and Matt Jackson, as co-Portfolio Managers of
Fund XI, decide which non-U.S. deals will go into the Fund. Non-U.S. deals are allocated to Fund XI based on capital availability and
diversification; the final non-U.S. allocation is established after the final close.
The overall global real estate team consists of 63 investment professionals, including 18 professionals in Europe and 17 in Asia. Angelo
Gordon does not have any plans to add to its senior professional team; however, it may add at the associate or analyst level.
There have been some changes in the Investment Committee over time. In the last few years, Christina Lyndon and Chris Oka were
added to the Investment Committee when they were promoted to Managing Director in 2015; however, Ms. Lyndon left the firm in 2021
as discussed below; Michael Gordon, Wilson Leung, and Michael Chang departed from the Investment Committee. Mr. Gordon moved
to an observer role; Mr. Leung moved off the Investment Committee as he was not very involved in U.S. real estate; and Mr. Chang
moved off the Investment Committee when he became more focused on the Net Lease strategy. He has since left the firm. Additionally,
Will Abbate, previously an IC member, left the firm as discussed below. Laura Metzger was added to the Investment Committee when
she was promoted from Director to Managing Director in 2021. The Investment Committee process is fully outlined in the Investment
Process section; decisions require unanimous consent of the voting members of the Investment Committee.
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The Angelo Gordon real estate team has had net additions in the prior five years. The following tables outline the additions and
departures of the equity real estate professionals over the past five years.
Team Additions, Prior Five Years
Name Title Year Joined Function

Matthew Hennessy Associate 2018 All US
Zachary Gardner Analyst 2018 All US
Douglas Profenius Vice President 2018 New York Tri-State Area
Kerry Kartsonis Vice President 2018 New York Tri-State Area
Andrew Schaffler Managing Director 2018 Public Securities, Single-Family Residential
Andrew Kradjel Associate 2019 Midwest/Denver
Amanda Jacinto Vice President 2019 Texas/Southeast Region (excl. FL)
Cubby Sporrong Associate 2019 West Coast Region/West Coast Hotels
Cory Elbaum Managing Director 2020 New York Tri-State Area
Ben Miller Analyst 2020 Eastern US
Taylor Galbraith Vice President 2020 Mid Atlantic/Northeast (excl. NY Tri-State)
Sydney O'Connor Analyst 2020 U.S. Hotels, Student/Senior Housing, Florida
Laura Metzger Managing Director 2020 Pacific Northwest, Northern California
James Idol Director 2021 Southwest, Southern California
Patrick O'Haren Associate 2021 West Coast
Savanna Steinberg Associate 2021 Mid Atlantic/Northeast (excl. NY Tri-State)
Drew Isaak Associate 2021 Eastern U.S.
Garrett Collins Analyst 2021 Eastern U.S.
Ben Rich Analyst 2021 West Coast
Bhavik Desai Analyst 2022 Eastern U.S.
Jeremy Cohn Analyst 2022 Eastern U.S.
Team Departures Prior Five Years

Date Departure
Name Title Joined Date Reason for Departure
Ryan Klenovich Director 2010 2018 Pursue other opportunity
Sachin Nagpal Vice President 2013 2018 Pursue other opportunity
Danny Rudin Managing Director 2009 2019 Pursue other opportunity
Allan Sternberg Director 2008 2019 Pursue other opportunity
Dana Roffman Managing Director 1994 2019 Retired
Zachary Gardner Analyst 2018 2020 Pursue other opportunity
Matt Towerman Vice President 2015 2020 Entered family business
Eliot Saeedi Vice President 2012 2020 Pursue other opportunity
Kerry Kartsonis Vice President 2018 2021 Pursue other opportunity
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Date Departure
Name Title Joined Date Reason for Departure
Matthew Hennessy Associate 2018 2021 Pursue other opportunity
Alexander Chan Vice President 2010 2021 Pursue other opportunity
Christina Lyndon Managing Director 2006 2021 Named PM on core plus open end fund that did not launch
Drew Isaak Associate 2021 2022 Entered family business
Ryan Klenovich left to work for an operating partner in April 2018; Scott Glasberg, who worked with Mr. Klenovich on the Midwest team,
has taken over primary responsibilities for that regional coverage. Danny Rudin departed when Matt Jackson was promoted to co-PM of
US Real Estate. Mr. Rudin’s responsibilities were assumed by the team at the time. Dana Roffman’s intention to retire was
communicated in 2018, but she formally retired in 2019. Cory Elbaum was hired in 2020 to cover the Tri-State area. Allan Sternberg
departed in 2019 as well. He had responsibilities for the Southwest. While his duties were absorbed by the team at the time, James Idol
was hired as a Director in 2021 and covers the Southwest and Southern California. Christina Lyndon was named as the portfolio
manager for a new core-plus open end vehicle that Angelo Gordon began softly marketing in 2020. However, the firm decided not to
launch the fund, and Ms. Lyndon departed shortly thereafter. Taylor Galbraith took over her duties on the real estate team. Generally,
Angelo Gordon seeks to grow its team from within. Thirteen analysts and associates have been hired since 2018, with the intention to
grow them through the ranks. The senior hires made more recently have been for specific reasons. For example, Cory Elbaum was
hired to cover the New York Tri-State region as the junior person wasn’t ready to assume responsibility for the region, and on the West
Coast, senior hires like Laura Metzger were made in order to upgrade the team as well as become more active in regions where the
team had not previously focused as much (e.g., the Pacific Northwest).
Members of the real estate team are compensated with a salary and bonus, determined by the overall profitability of the Firm, the
profitability of the group and the performance of the individual. Individuals at the Vice President level and above generally become
eligible to share in the funds’ carried interest, which is split 50% to the Firm and 50% to the real estate team. The Portfolio Managers
will receive approximately 30% to 40% of the team share; Managing Directors and Directors will receive 40% to 50% of the team share;
and the balance will be awarded to mid-level professionals at the Vice President and Associate level as well as marketing and
accounting. Generally, 50% of the carry is awarded during the initial year of the investment period and the remaining 50% is allocated in
subsequent years based on aggregate investment by team member and performance of those investments. The carry vests over an
eight-year period. Two-thirds of the carried interest vests over the first four years of the fund’s life and the remaining one-third vests
over the next four years. Investment Professionals at the Vice President level and above are expected to invest cash into the fund to
maintain an alignment of interest. Finally, select senior-level professionals are offered partnership interests in the Firm, which may
supplement compensation. Those that are partners in the Firm receive a proportionate amount of carry from the Firm’s allocated
amount.
Investment Process
Due Diligence
Real estate personnel are not separated by function (e.g., asset management, acquisition), but rather each senior team member
oversees a group of assets from underwriting through disposition. Regional and property-specific deal teams maintain relationships with
operating partners to identify potential transactions and initiate the investment process. The evaluation process is supported by a
formalized real estate due diligence checklist, a formalized legal due diligence checklist, and a list of items and matters to be jointly
reviewed by Angelo Gordon and local operating partners.
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Angelo Gordon employs an iterative, five-stage acquisitions process to evaluate and pursue real estate investment opportunities. The
acquisitions process begins with deal sourcing. Investment opportunities are primarily sourced through a proprietary network of
relationships with local operating partners. These opportunities are generally sourced off-market ahead of widely marketed bidding
processes. The team cites the speed of execution and the capacity to execute complex deals as primary drivers of proprietary deal
flow. Approximately 75% of deals presented are eliminated from the pipeline after an initial look.
Deals that pass the initial screen go through a preliminary investment review. At this stage, the investment team reviews seller-
prepared information, gathers market data, speaks with local contacts, analyzes financial information, and, usually, discusses pricing
with the brokers or sellers. The preliminary investment review generally eliminates over 75% of the deals reviewed at this stage.
Following the preliminary investment review, properties that have not been eliminated are visited and the corresponding markets are
toured. The physical condition and competitive positions of the properties are assessed and information about competition, tenant, and
broker sentiment is gathered. Approximately 50% of the deals visited are eliminated from the investment pipeline. Deals that are still
desirable after the property tours may receive a first round offer.
An intermediate investment review is conducted for remaining investment opportunities. At this stage the team collects copies of
significant leases, support for renovation budgets, environmental studies, ground leases, historical and year-to-date financial
information, and other information unique to the assets. A review of the materials collected generally eliminates 33% of the deals that
reach this stage and final offers are made for the balance of the opportunities. Angelo Gordon cites its reputation as being unlikely to re-
trade as a primary driver for winning bids even when the team is not the high bidder.
A full due diligence review begins if Angelo Gordon is the winning bidder after the team is granted an exclusive review period after
signing a letter of intent. Due diligence at this stage will follow a formalized checklist and will involve a review of information previously
provided. At this stage the team commissions all necessary legal work and third-party reports.
Angelo Gordon’s asset management process is driven by the same individuals responsible for identifying and executing transactions.
The team’s opportunistic investments follow a defined plan for turnaround including measurable timetables and financial milestones
specific to each asset. Implementation is managed through constant communication, both over the phone and in person, with operating
partners and formalized through quarterly and monthly operating reports that detail quarterly cash flow forecasts, variance reports,
financial statements, changes in cash flow statements, delinquency reports, check registers, bank reconciliations, leasing reports, and
engineering/construction updates. Additionally, Angelo Gordon’s accounting department reviews and tracks all accrual basis accounting
and bank statement reporting. Finally, Angelo Gordon controls all owner decisions including the selection of accountants; approval of all
leases, budgets, and capital items; and the strategic and exit strategies of the property. In the event of operating partner
underperformance or a divergence of opinion, Angelo Gordon retains the ability to remove and replace the operating partner.
As assets are managed and repositioning plans are executed, the Angelo Gordon team monitors and revises its disposition plan for
each asset quarterly. First, the deal team will perform the following steps: review the asset’s business plan, performance, and remaining
objectives; perform a hold/sell analysis; analyze the capital markets appetite for the product; and confer with the operating partner on
an appropriate strategy (although Angelo Gordon has 100% control over the sell decision). Hold/sell analyses are performed as part of
Angelo Gordon’s semi-annual valuation and projection process, as well as on an as-needed basis if the business plan or market
conditions dictate. Sometimes an unsolicited offer is received or a broker issues an opinion of value that leads to a hold/sell analysis.
Properties are monitored continuously and AG formally reviews business plans, asset performance, and disposition plans on each
property quarterly. Through such reviews, assets may be chosen for early disposition if they have stabilized earlier than projected. The
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Fund’s co-portfolio managers are responsible for reviewing the hold/sell analyses, and if the incremental IRR does not meet return
requirements, then it is likely that the asset will be sold.
Investment Committee Process

Once an acquisition is identified that meets all of the required underwriting criteria, and upon recommendation of the portfolio
managers, it is presented to, and requires unanimous consent of, the Fund’s Investment Committee. Debt at the asset level is included
in the Investment Committee presentation, but it is not specifically approved by the Investment Committee. Follow-on investments are
also reviewed by the Investment Committee.
Valuation
Real estate valuations are updated on a quarterly basis. The investment team conducts the valuations, and the accounting team and
portfolio managers review them. AG also uses third-party appraisal firms to assist in the valuation process. Independent appraisals are
obtained for approximately one-third of the portfolio on an annual basis. The investments selected for appraisal are rotated, in order to
independently appraise each investment in the portfolio no less than one time during each three-year period.
Historical Performance
Angelo Gordon has sponsored four prior funds within the Core Plus Fund series, nine prior funds pursuing an opportunistic strategy,
and one prior fund that targeted investments across the return spectrum for both prior fund series. The Core Plus Fund Series has
called approximately $3.5 billion across the prior funds as of December 31, 2021; the Realty Fund Series (opportunistic investments)
has called $4.8 billion; and Realty Value Fund X has called $2.1 billion. Within the Core Plus fund series, 129 investments have been
made, of which 100, or 78%, have been realized. The Realty Fund Series, including Fund X, has made 524 investments, 358 of which
have been realized, representing 88% of investments. Core Plus Funds I and II as well as Realty Funds I through VI are fully realized,
while Fund VII has sold all investments and has a small remaining residual value.
The following tables provide a summary of the prior commingled funds. In the Core Plus Fund Series, Core Plus Fund I and Fund III
have realized or are projected to realize fund-level returns in excess of targeted returns. Funds II and IV are expected to underperform
targets. However, given that Fund II is a 2006 vintage year fund, impacted by the Global Financial Crisis (“GFC”), returning a high
single digit net return is better than many of its peers.
The following table highlights key performance details for the prior funds in the Core Plus Fund series as of December 31, 2021.
Fund/Vehicle Core Plus Fund I Core Plus Fund II Core Plus Fund III Core Plus Fund IV
Vintage Year 2003 2006 2011 2015
Return Objective (net) 12%-13% 12%-13% 12%-13% 11%-12%
Commitments ($millions) $533 $794 $1,014 $1,308
# Investments 18 37 31 43
# Realized Investments 18 37 28 17
Current Leverage % N/A N/A 70% 63%
Peak Leverage % 67% 85% 70% 64%
Called Capital ($millions) $507 $751 $963 $1,242
Projected Capital Calls ($millions) N/A N/A N/A N/A
Distributed Capital ($millions) $769 $985 $1,522 $806
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Fund/Vehicle Core Plus Fund I Core Plus Fund II Core Plus Fund III Core Plus Fund IV
Portfolio NAV ($millions) $0 $0 $75 $997
Realized IRR (gross) 21% 11% 26% 21%
Realized Multiple (gross) 1.6x 1.4x 2.0x 1.8x
Fund Level Since-Inception IRR (gross) 21% 11% 24% 13%
Fund Level Since-Inception Multiple (gross) 1.6x 1.4x 1.8x 1.6x
Fund Level Since-Inception IRR (net) 18% 8% 19% 9%
Fund Level Since-Inception Multiple (net) 1.5x 1.3x 1.6x 1.4x
Projected IRR (gross) NA NA 24% 13%
Projected Equity Multiple (gross) NA NA 1.8x 1.7x
Projected IRR (net) NA NA 19% 9%
Projected Equity Multiple (net) NA NA 1.6x 1.5x
In the Realty Fund Series, Funds I through VII have realized all assets. While all funds are projected to have positive returns, Fund III, a
1997 vintage year fund, and Fund VI, a 2005 vintage year fund, will drastically underperform compared to the targeted return. Fund IV,
a 1999 vintage fund, underperformed, but still delivered positive results. Both 1997 and 2005 were challenging vintage years in general.
1997 and 1999 vintage year funds were affected by the Dot-Com Bubble burst in 2000. 1997 funds were especially impacted while
1999 funds generally had more positive results. Funds in the 2005 vintage year have had particularly poor results with many unable to
return capital. Therefore, AG has performed well on a relative basis.
The following tables highlight key performance details for the prior funds in Realty Fund series and as of December 31, 2021.
Fund/Vehicle Realty Fund I Realty Fund II Realty Fund III Realty Fund IV Realty Fund V
Vintage Year 1994 1995 1997 1999 2001
Return Objective (net) 15%-20% 15%-20% 15%-20% 15%-20% 15%-20%
Commitments ($millions) $30 $33 $61 $255 $333
# Investments 16 19 19 42 37
# Realized Investments 16 19 19 42 37
Current Leverage % NA NA NA NA NA
Peak Leverage % NP NP NP NP 71%
Called Capital ($millions) $30 $33 $61 $245 $300
Projected Capital Calls ($millions) NA NA NA NA NA
Distributed Capital ($millions) $59 $71 $80 $377 $479
Portfolio NAV ($millions) $0 $0 $0 $0 $0
Realized IRR (gross) 27% 31% 5% 11% 32%
Realized Multiple (gross) 1.9x 2.0x 1.3x 1.5x 1.7x
Fund Level Since-Inception IRR (gross) 27% 31% 5% 11% 32%
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Fund/Vehicle Realty Fund I Realty Fund II Realty Fund III Realty Fund IV Realty Fund V
Fund Level Since-Inception Multiple
1.9x 2.0x 1.3x 1.5x 1.7x
(gross)
Fund Level Since-Inception IRR (net) 23% 25% 3% 8% 26%
Fund Level Since-Inception Multiple (net) 1.9x 2.1x 1.3x 1.5x 1.6x
Projected IRR (gross) NA NA NA NA NA
Projected Equity Multiple (gross) NA NA NA NA NA
Projected IRR (net) NA NA NA NA NA
Projected Equity Multiple (net) NA NA NA NA NA
Note: The Since Inception/Projected Net Equity Multiple and Since Inceptions/Projected Net IRR assume that a line of credit was used to make all fund
investments during the initial portion of the investment period. This adjustment is necessary to make the net returns comparable from a cash
management perspective to Angelo Gordon's more recent funds, which all utilize lines of credit to bridge investor capital calls.
Realty Value
Fund/Vehicle Realty Fund VI Realty Fund VII Realty Fund VIII Realty Fund IX
Fund X
Vintage Year 2005 2007 2011 2015 2018
Return Objective (net) 15%-20% 20% 20% 15%-16% 12%-13%
Commitments ($millions) $514 $1,257 $1,265 $1,329 $2,775
# Investments 38 65 71 89 128
# Realized Investments 38 65 64 44 14
Current Leverage % NA NA 49% 50% 48%
Peak Leverage % 65% 53% 54% 65% 59%
Called Capital ($millions) $514 $1,182 $1,193 $1,230 $2,146
Projected Capital Calls ($millions) NA NA NA NA $629
Distributed Capital ($millions) $562 $1,777 $1,596 $829 $501
Portfolio NAV ($millions) $0 $10 $349 $984 $2,347
Realized IRR (gross) 5% 18% 21% 25% 66%
Realized Multiple (gross) 1.2x 1.7x 1.7x 2.0x 1.7x
Fund Level Since-Inception IRR

5% 18% 18% 13% 33%
(gross)

1.2x 1.7x 1.6x 1.5x 1.4x
(gross)
Fund Level Since Inception IRR

2% 12% 13% 10% 24%
(net)

1.1x 1.5x 1.5x 1.4x 1.3x
(net)
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Realty Value
Fund/Vehicle Realty Fund VI Realty Fund VII Realty Fund VIII Realty Fund IX
Fund X
Projected IRR (gross) NA 18% 18% 14% 24%
Projected Equity Multiple (gross) NA 1.7x 1.7x 1.6x 1.8x
Projected IRR (net) NA 12% 13% 10% NP
Projected Equity Multiple (net) NA 1.5x 1.6x 1.6 NP
In the most recent vintage year funds, results have been positive; however, Funds VII through IX are not projected to meet target
returns. Realty Fund VII is a 2007 vintage fund that was raised immediately before the Global Financial Crisis and has exited all 65 of
its assets. The fund delivered a 12% net IRR compared to a target of 20%. While this fund underperformed its original target, there
were headwinds created by the GFC for funds of its vintage. Angelo Gordon was slow to put capital to work during the first few years of
the fund. The early investments made were predominately distressed residential lots, discounted REIT bonds, and Asia investments,
which performed well during the downturn. As of mid-2009, only 22% of the fund was invested, and the balance of the assets reflects
post-correction pricing.
Realty Fund VIII is a 2011 vintage fund that has sold 65 of the 71 investments. The fund is projected to deliver a 13% net IRR.
However, average leverage for the fund is 48%, which is lower than a typical opportunistic fund. Angelo Gordon believes it did not
adjust its fund target downward like many other managers at the time.
Realty Fund IX is a 2015 vintage fund. Angelo Gordon has sold 47 of the fund’s 87 investments. The current projection is a 10% net
IRR. Certain assets in the fund have been particularly impacted by COVID, and projected gross returns are down approximately 300
basis points from pre-COVID levels. Specifically, the fund owns two assets in Chicago that have been impacted and underperformed.
Two Chicago assets, 131 S. Dearborn (office) and Walton on the Park (multifamily), are responsible for a large part of the
underperformance for the fund. The balance of the impact is primarily due to COVID-related issues in U.S. hotels, retail, and certain
office assets. Prior to the pandemic, Angelo Gordon began to shift away from office, which has been a positive strategy for Realty Value
Fund X.
The following graphs highlight the IRR distribution for realized and unrealized investments from all investments in the prior Angelo
Gordon Funds. The first graph is categorized by number of investments and is based on levered gross returns. The majority of the
previous investments fell in positive territory, with almost 50% of realized investments in the categories above a 10% gross IRR. Prior
fund targets across all Angelo Gordon funds range from 13% gross IRR and above. A minimal number of investments returned a
negative IRR, most of which are realized and were investments made in challenging vintage years. The distribution of returns reflects
gross since-inception or realized returns.
Distribution of Returns by Number of Investments (as of December 31, 2021)

180
160
140
120
100
80
60
40
20
0
-80%--70% -70%--60% -60%--50% -50%--40% -40%--30% -30%--20% -20%--10% -10%-0% 0%-10% 10%-20% 20%-30% 30%-40% 40%-50% 50%+
Unrealized Realized
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The next IRR distribution graph is categorized by the amount of equity invested and is based on levered gross returns. From a total
invested dollar standpoint, the return profile looks similar to the distribution by number of investments. A limited amount of equity in the
funds sponsored by Angelo Gordon has returned negative IRRs. Unrealized deals are primarily in Realty Value Fund X and Realty
Fund IX, which are a 2018 and 2015 vintage fund respectively, and returns to date are generally projected to improve over the
remainder of each fund’s life.
Distribution of Returns by Invested Equity (as of December 31, 2021)

$3,000
$2,500
$2,000
$1,500
$1,000
$500
$0
-80%--70% -70%--60% -60%--50% -50%--40% -40%--30% -30%--20% -20%--10% -10%-0% 0%-10% 10%-20% 20%-30% 30%-40% 40%-50% 50%+
Unrealized Realized
Key Terms
Terms have largely remained unchanged from the prior fund. The fund size has grown, but in line with expectations for a the
broadened fund strategy. There have been some adjustments in investment limitations.
Terms Comparison to Prior Fund

Fund XI Terms Comparison to Fund X
Target Returns 16% to 17% Gross IRR, 12% to 13% Net IRR No change
Target Fund Size $3.25 billion; $3.75 billion hard cap Target $2.5 billion
Sponsor Commitment 3%, up to a maximum of $33 million. 3%, up to a maximum of $25 million.
Management Fee For each Limited Partner with a Capital No change.

Commitment at least equal to $75 million but
less than $150 million, (1) 0.75% on Capital
Commitments attributable to Capital
Commitments made as of the Initial Closing
Date; 1.00% on Capital Commitments
attributable to Capital Commitments made
during the Subsequent Closing Period; and
1.25% on Capital Commitments attributable to
Capital Commitments made during closings
thereafter, and (2) 1.50% of such Limited
Partner’s Net Funded Capital Commitments.
Distribution Priorities Portfolio test. Hurdle: 8%; Carried Interest: 20%; No change
After LPs receive 8% preferred return, 50%/50%
GP/LP split until GP has earned 20% of total
distributions. Thereafter 80%/20% LP/GP split.
The General Partner may receive Carried
Interest with respect to the Global Fund
attributable to distributions at the Investment
Partnership level. To the extent the General
Partner receives Carried Interest at such level,
the General Partner will make adjustments to
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allocations and the distributions to the General
Partner at the Global Fund level to take into
account such Carried Interest at the Investment
Partnership level.
Commitment Period The Fund’s “Commitment Period” will begin on Term was modified as follows:
the Initial Closing Date and will end on the fourth  The previous end date was based only on the
anniversary of the last day of the month Management Fee Start Date
immediately following the month in which the
 A clause was added providing that prior to the
later of (i) the Management Fee Start Date or (ii)
Full Investment Date, termination of the
the final date on which the General Partner
Commitment Period by the General Partner shall
elects to accept Capital Commitments from
require the consent of the Advisory Committee;.
investors (the “Final Closing Date”) occurs,
unless terminated earlier (A) by the General
Partner; provided that prior to the Full
Investment Date (as defined below), such
termination shall require the consent of the
Advisory Committee; (B) in connection with a
Key Person Event (as defined below); or (C)
upon the vote of a majority in interest of Limited
Partners within 60 days of receipt of notice of
the occurrence of Cause (as defined below).
The Commitment Period may be extended by
the General Partner with the consent of a
majority of the Capital Commitments of all
Limited Partners.
Partners will be released from their remaining

Capital Commitments at the close of the
Commitment Period, except as needed: (i) to
cover Fund expenses, including Management
Fees, indemnification obligations, repayment of
any outstanding obligations pursuant to any
credit facility or other lending arrangement,
guarantee or other similar obligation; (ii) to
hedge currency, interest rate, market or other
risk with respect to existing Property
Investments; and (iii) for such other purpose as
provided under “Re-investments, Returns and
Distributions”.
Re-investments, The Fund is permitted to re-invest or otherwise Clause added for Fund XI specifying that amounts
utilize rather than distribute all cash flow derived distributed prior to the end of the Commitment Period
Returns and from Property Investments during the representing the cost basis of realized Property
Distributions Commitment Period representing the cost basis Investments will be available to be redrawn.
of realized Property Investments (including the
expenses of such Property Investments). Fund
cash flow that is re-invested or otherwise utilized
as described in the preceding sentence (which
might otherwise represent distributions payable
to Partners) will not reduce the unfunded portion
of a Partner’s Capital Commitment.
Alternatively, the General Partner will be

permitted to make periodic distributions at any
time during the Commitment Period of rental
income, interest income, other cash generated
from the ownership and operation of the
Property Investments, the proceeds from the
realization of Property Investments and net cash
returns on the Interim Investments (subject to
the recall provisions described below), in each
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case net of the Fund’s operating expenses and
reserves. Amounts distributed prior to the end of
the Commitment Period representing the cost
basis of realized Property Investments will be
available to be redrawn.
In addition, the General Partner may in its

discretion cause a Partnership to return to the
Partners capital contributions (i) drawn down to
fund a Property Investment (or for another
purpose) that was either not made or used or
that was made or used in a lesser amount than
the amount specified in the drawdown notice,
and will be entitled to redraw these amounts
from the Partners or (ii) in connection with the
admission of additional Limited Partners or
increases in Capital Commitments by existing
Partners at subsequent closings. Any capital
contribution returned pursuant to the
immediately preceding sentence (excluding, for
the avoidance of doubt, any carrying charges
returned in connection with clause (ii)), are
referred to herein as “Returned Contributions”.
Such Returned Contributions will be restored or
added to such Partner’s unfunded Capital
Commitment and be available to be drawn.
The Fund will not make any new Property

Investments after the close of the Commitment
Period, other than to: (i) complete transactions
that, at the end of the Commitment Period, are
committed or otherwise with respect to which
the General Partner has made an affirmative
determination that the Fund should participate,
subject to completion of “due diligence”
procedures and negotiation of acceptable price
and other terms; and (ii) make follow-on
investments in (or related to) an existing
Property Investment, provided that capital
contributions for all such follow-on investments
shall not exceed 20% of the Capital
Commitments. Capital called by the General
Partner on or after the first anniversary of the
Commitment Period expiration date for the
purpose of funding such follow-on investments,
when added to all capital called for the purpose
of funding such follow-on investments after the
Commitment Period expiration date but prior to
such date, shall not exceed 15% of the Capital
Commitments. Capital called by the General
Partner on or after the second anniversary of the
Commitment Period expiration date for the
purpose of funding such follow-on investments,
when added to all capital called for the purpose
of funding such follow-on investments after the
Commitment Period expiration date but prior to
such date, shall not exceed 10% of Capital
Commitments. No Limited Partner shall be
required to make a capital contribution for any
such follow-on investments after the fourth
anniversary of the end of the Commitment
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Period. The General Partner will use reasonable
best efforts to complete any transactions that
are committed or otherwise in process at the
end of the Commitment Period within 12 months
of the end of the Commitment Period.
Following the close of the Commitment Period,

net cash flow derived from Property Investments
and Interim Investments, including proceeds
received by the Fund from any sale or other
disposition, including certain refinancings, will
generally be distributed to the Partners in
accordance with the provisions described below,
except to the extent that the General Partner
determines that such amounts are required with
respect to the acquisition of permitted Property
Investments, to cover Fund expenses, including
Management Fees, indemnification obligations,
repayment of any outstanding obligations
pursuant to any credit facility or other lending
arrangement, guarantee or other similar
obligation, to hedge currency, interest rate,
market or other risk with respect to existing
Property Investments, or as the General Partner
determines in its discretion to establish reserves
for future obligations, commitments or
contingencies.
Amounts distributed or returned to a Partner

prior to the end of the Commitment Period up to
the cost basis of realized Property Investments
(including the expenses of such Property
Investments) may, in the discretion of the
General Partner, be restored to such Partner’s
unfunded Capital Commitment and be available
to be redrawn. Fund cash flow that is re-
invested or otherwise utilized as described
above (which might otherwise represent
distributions payable to Partners) will not reduce
the unfunded portion of a Partner’s Capital
Commitment.
Term The term of the Fund is eight years from the Fund X did not allow for Advisory Committee objection
Final Closing Date, subject to the discretion of
the General Partner to extend the term for a
one-year period. The General Partner may
extend the term of the Fund for a second one-
year period unless a majority of the members of
the Advisory Committee object to such second
extension in writing within 15 Business Days of
the General Partner giving notice thereof.
Investment Without the consent of the Advisory Committee, Term was modified to limit investment in Property
the Fund will not Technology companies to 1% of commitments
Restrictions
 invest more than the greater of (i) $100
million or (ii) 15% of aggregate Capital
Commitments in a single Property
Investment (or, in the case of a
Property Investment in real estate
assets situated outside of the United
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States, 15% of aggregate Capital
Commitments of the Global Funds).
The General Partner will determine
whether to treat as a single Property
Investment any related group of real
estate assets generally on the basis of
whether any components of the
portfolio are marketable on a separate
basis.
 make any direct or indirect Property
Investment in real estate assets
situated outside of the United States if
the aggregate equity invested in such
investments, measured with respect to
Property Investments held at the time
of such investment, would exceed 20%
of the aggregate Capital Commitments
of all Partners thereof. For the
avoidance of doubt, in determining
whether an investment is situated
outside of the United States, the
General Partner shall consider the
location of the underlying properties
rather than the headquarters, listing
location, or jurisdiction of organization
of any entity through which such
properties are directly or indirectly held.
Any operating company investment in
which the majority of the revenue is
derived from the United States shall be
considered a U.S.-based investment.
 make an investment that will cause
more than 10% of the Capital
Commitments, measured with respect
to Property Investments held at the
time of investment, to be invested in
publicly traded securities, except to the
extent (i) the General Partner believes
the transaction in which they are
acquired is in connection with or in
furtherance of the Fund’s acquisition of
any real estate assets that are not
publicly traded securities or (ii) the
investment is a publicly traded debt
instrument with respect to which (A) the
General Partner believes the Fund can
achieve returns consistent with the
Fund’s investment objective and (B)
the underlying collateral is real estate
assets.
 make an investment that will cause
more than 1% of the Capital
Commitments, measured with respect
to Property Investments held at the
time of investment, to be invested
either directly or indirectly, including
through a third-party managed private
pooled investment vehicle, in property
technology companies.
 make an investment in any private
pooled investment vehicle (i) that
invests in multiple, unaffiliated
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companies, (ii) that provides for a
payment by the Fund of carried interest
or other incentive-based fee and (iii) in
which none of the General Partner, the
Fund Advisor or any of their affiliates
are involved in the selection or
monitoring of investments. The
foregoing will not apply to private
placements pursuant to Rule 144A
under the Securities Exchange Act of
1933, as amended, or to property
technology investments made indirectly
through a private pooled investment
vehicle, as described in the preceding
paragraph. If the Fund makes any
investment in a private pooled
investment vehicle for which an Angelo
Gordon Affiliate serves as discretionary
investment manager, the Fund will not
bear the cost of any performance-
based compensation or management
fee payable to such Angelo Gordon
Affiliate.
Borrowing The Fund will have the ability to borrow or No change

leverage its investments, on a recourse or non-
recourse basis. The Fund may employ
borrowing and/or leverage for purposes
including for making investments and/or hedging
exposure to market, credit or other risk. The
Fund is expected to borrow 50-70% of the value
of each investment. The General Partner will not
cause the Fund to incur any borrowings for
investment purposes (excluding temporary
borrowings under the credit facility pending the
receipt of capital contributions and borrowings
among the Fund and any investment vehicles) in
excess of 70% of the sum of (i) the aggregate
fair market value of the Fund’s total assets and
(ii) one-third of unfunded Capital Commitments,
determined in each case at the time of such
borrowing, without the consent of the Advisory
Committee (as defined below), unless at the
time of such borrowing, cumulative distributions
to Limited Partners are at least equal to 75% of
their cumulative capital contributions. The fair
market value of the Fund’s assets shall be
estimated in good faith by the General Partner in
accordance with its valuation policy and shall
not require independent corroboration.
The Fund may obtain a credit facility to finance

its Property Investments and for other purposes,
including to pay Fund expenses (including
Management Fees), satisfy any withholding or
other tax obligations and to fund instruments to
hedge exposure to market, credit and other
risks. Such credit facility may be secured by a
pledge of the Partners’ undrawn Capital
Commitments. Partners may be required to
confirm the terms of their Capital Commitments
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to the lender, to honor capital calls made by the
lender, to provide financial information to the
lender and to execute other documents in
connection with obtaining such facility.
The General Partner intends to limit the duration

of any borrowing under the credit facility to a
period of six months, excluding (i) amounts that
the General Partner reasonably believes will be
repaid through mortgage financing obtained
within 90 days of the end of such six-month
period and (ii) amounts borrowed with respect to
Property Investments which Angelo Gordon
anticipates will be held for a short period of time.
Advisory Committee The Fund will have an advisory committee Term modified to reflect no Advisory Committee approval
(“Advisory Committee”) comprised of is needed to make investments in real estate operating
representatives of Limited Partners and companies alongside other Angelo Gordon funds.
investors in any Additional Funds appointed by Additionally, consent from the Advisory Committee
the General Partner. The Advisory Committee represents a consent of the Fund.
will have the authority to resolve issues involving
conflicts of interest and will be available to
advise Angelo Gordon on other matters at its
request. Advisory Committee consent will not be
required for (i) the provision of short-term loans
between the Fund or its investment vehicles, on
the one hand, and Angelo Gordon Affiliates or
Other Angelo Gordon Accounts, on the other
hand, for the purpose of bridging capital
contributions or other borrowings to facilitate
completion of a Property Investment; provided
that such loans are made on market terms and
conditions no less favorable to the Fund than
those available from unaffiliated third parties or
(ii) any Property Investments alongside real
estate operating companies in which an Other
Angelo Gordon Account has made an entity-
level investment in the general partner, manager
or managing member of such investment.
Similarly, no consent will be required for any
Successor Fund (as defined below) to invest
alongside any such real estate companies in
which the Fund has made an entity-level
investment.
Any action by the Advisory Committee shall

require the approval of a majority of its
members, and unless the members of the
Advisory Committee determine otherwise,
attendance at Advisory Committee meetings
may be taken by telephone conference,
members of the Advisory Committee may waive
notice of any meeting before or after it is held,
and any action may be taken by majority written
consent in lieu of a meeting. The Advisory
Committee may establish such other rules of
procedure as a majority of its members shall
agree upon, subject to the approval of the
General Partner, such approval not to be
unreasonably withheld. In all cases where the
notice to, vote, waiver or consent of the Advisory
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Committee is required or permitted under a
Partnership Agreement, the General Partner
may determine that such notice to, vote, waiver
or consent with respect to the relevant
Partnership(s) will be submitted to, and
calculated solely as if, the Advisory Committee
is comprised only of members representing
Limited Partners in such Partnership(s) or only
members representing investors in any
Additional Fund, as applicable, if the General
Partner in good faith determines that a matter
relates solely to such Partnership(s) or an
Additional Fund or involves a conflict between or
among such Partnership(s) and any Additional
Fund.
Upon the request of the Advisory Committee,

the Partnership will obtain an independent third-
party valuation of any Property Investment no
more frequently than every twelve months.
A consent by the Advisory Committee to any

matter presented for Advisory Committee
approval will be deemed to constitute the
consent of the Fund.
General Partner A calculation will be made with respect to a No change

Limited Partner (i) upon the request of the
Clawback Obligation Advisory Committee, on the close of any
calendar year following the expiration of the
Commitment Period but prior to the eighth
anniversary of the Initial Closing Date; (ii) on the
eighth anniversary of the Initial Closing Date and
each anniversary thereafter; (iii) at the final
liquidating distribution to each Limited Partner;
and (iv) when such Limited Partner is required to
make an LP Clawback Payment (as defined
below) in order to determine whether the
aggregate amounts of Carried Interest
distributions and Tax Distributions paid to the
General Partner on a cumulative basis over the
life of the Fund exceed the amount that the
General Partner would have received assuming
(i) the General Partner was not entitled to any
Tax Distributions and (ii) the General Partner
was entitled to only a single Carried Interest
distribution based on cumulative results from
inception through the relevant calculation date.
Any such excess amount (net of certain tax
amounts) will be returned by the General
Partner to the Fund for distribution to any such
Limited Partner, provided that in no event shall
the General Partner be obligated to repay an
amount greater than the aggregate Carried
Interest distributions previously received by the
General Partner less the Tax Distributions
received thereon, determined by the General
Partner in its reasonable discretion.
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Key Persons Event If at any time during the Commitment Period any Matt Jackson was added to the Key Person list
two of Adam Schwartz, Reid Liffmann and Matt
Jackson (“Key Persons”) (or any qualified
replacement for any Key Person approved by
the Advisory Committee) cease to be actively
involved with the General Partner or Angelo
Gordon in the management of the Fund (a “Key
Person Event”), the Commitment Period will be
automatically suspended. The General Partner
will have the ability to present for the approval of
the Advisory Committee a successor(s) to the
role of Key Person, for a period of 90 days from
the Key Person Event. If the Advisory
Committee approves one such successor, the
suspension of the Commitment Period will be
automatically lifted. If a replacement is not
approved by the Advisory Committee within 90
days of the Key Person Event, the Commitment
Period will be terminated 15 days thereafter
unless, on or before the end of such 15 day
period, the General Partner obtains or receives
notice of the written election or vote of at least
two thirds of the members of the Advisory
Committee to reinstate the Commitment Period,
in which event the Commitment Period will
continue otherwise in accordance with each
Partnership Agreement (without further regard to
such Key Person Event).
During any suspension of the Commitment

Period, the Fund shall not acquire any new
Property Investment other than as permitted
following the end of the Commitment Period
without the consent of the Advisory Committee
(and, for the avoidance of doubt, the Fund may
issue capital calls during any suspension of the
Commitment Period as permitted following the
end of the Commitment Period).
Dissolution Each Partnership will be dissolved upon the The threshold vote for dissolution was lowered to 75% of
happening of any of the following events: LPs for Fund XI.
(a) the expiration of the Fund’s term;
(b) the determination of the General Previously “Cause” applied to Michael Gordon and not
Partner in its discretion to dissolve Matt Jackson.
such Partnership;
(c) the withdrawal, dissolution or
bankruptcy of the General Partner
(unless another general partner has
been admitted to such Partnership);
(d) for “Cause” upon the vote of Limited
Partners whose Capital Commitments
represent at least a majority of the
Capital Commitments of all Limited
Partners within 90 days of notice of the
occurrence of a Cause Event; or
(e) the vote in favor of the dissolution of
the Fund by Limited Partners whose
Capital Commitments represent at
least 75% of the Capital Commitments
of all Limited Partners.
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For this purpose, “Cause” includes:
(i) the conviction of the General Partner or

the Fund Advisor, or the conviction of
Adam Schwartz, Reid Liffmann, or Matt
Jackson if such individual was an
employee of the Fund Advisor at the
time of the conduct giving rise to such
conviction, of any act that would
constitute a felony under the laws of the
State of New York, United States or
U.S. federal criminal law or plea of nolo
contendere thereto in connection with
any financial, business or commercial
enterprise or transaction;
(ii) the entry of a final judgment finding that

the General Partner or Angelo Gordon
has committed a material and
intentional violation of law, or the entry
of a final judgment finding that Adam
Schwartz, Reid Liffmann, or Matt
Jackson has committed a material and
intentional violation of law if such
individual was an employee of Angelo
Gordon or its affiliates at the time of the
conduct giving rise to such judgment, in
each case in connection with any
transaction involving the purchase,
sale, loan or other disposition of, or the
rendering of investment advice with
respect to, any security, futures or
forward contract, insurance contract,
debt instrument or currency;
(iii) the entry of a final judgment finding that

has engaged in conduct constituting
fraud (other than non-scienter based
fraud under U.S. federal securities
laws, the Martin Act or other laws),
dishonesty, bad faith, willful misconduct
or gross negligence in connection with
the performance of any services on
behalf of the Fund;
(iv) the General Partner or Angelo Gordon

has filed for bankruptcy protection or
is declared bankrupt by a court with
appropriate jurisdiction; or
(v) the intentional failure of the General Partner

to make a capital contribution when due, which
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failure has not been cured for a period of thirty
days from the date of the General Partner
having actual knowledge that it failed to make
such capital contribution when due.
Service Companies The General Partner may, from time to time, Term was modified slightly to include a clause specifying
appoint companies to provide services to the the ability to use affiliate services if those services would
Fund (the “Service Companies”), including asset be provided on a more efficient basis than available from
management, acquisition, structuring and unaffiliated third parties.
financing, and due diligence. Service
Companies may include affiliates of the General
Partner when the General Partner reasonably
believes that it would be advantageous to the
Fund to have affiliates of the General Partner
providing such services as compared to
engaging a third party, whether due to the fact
that fees paid to such Service Companies will be
more favorable than those that could be
obtained from unaffiliated third parties or that
services would be provided on a more efficient
basis than available from unaffiliated third
parties. Such arrangements shall not require the
approval of the Advisory Committee. The
General Partner may replace any Service
Company at any time without notice to the
Limited Partners. The General Partner expects
that the arrangements with Service Companies
will include customary indemnification
provisions.
Organizational The Fund will not bear any placement or Fund X expenses were capped at $3 million.
solicitation fees. The Fund will bear up to $4
Expenses million of all other expenses incurred in
connection with the organization of the Fund
Fund Expenses The Fund will be responsible for all costs and Term is generally the same, however some expense
expenses incurred in connection with the descriptions were more specifically defined for Fund XI.
operation of the Fund and locating, structuring,
evaluating, consummating, maintaining,
developing, and disposing of investments and
potential investments (whether or not the
acquisition is consummated) as well as
expenses related to the acquisition and
disposition of investments.
Fund Status
A first close was held in April 2022 for $1.1 billion; the subsequent close will be held on July 28th.
Summary
Angelo Gordon has been a stable organization since Fund X. While the real estate team has made some changes, it has strengthened
the leadership for the Fund by adding Matt Jackson to the portfolio management team. Ownership within the firm has been broadened
and includes members of the real estate team. Additionally, the team now receives 50% of the carried interest versus 45% in the prior
fund. Callan believes the investment program would be consistent with Fund XI making it suitable as a follow on investment by
Mississippi Public Employees’ Retirement System. Callan has identified the following key changes between Fund XI and the prior fund:
– Change in fund size: Fund XI is targeting $3.25 billion, whereas Fund X targeted $2.5 billion. Upsizing a fund is a standard
practice for the market. Additionally, Angelo Gordon previously had two fund series and Fund X was the first in the new combined
strategy.
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– Change in investment limitations: Fund XI is allowed to invest up to 1% of commitments in property technology companies in order
to benefit properties within the portfolio.
– Addition of Matt Jackson to Key Person Event: Matt Jackson is now the co-portfolio manager of the Fund and his elevation
warranted the addition.
– Dissolution: Fund XI requires a 75% vote of investors in order to dissolve the Partnership rather than an 80% vote.
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Appendix
29
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Organization Chart
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Biographies
Adam Schwartz is co-Chief Executive Officer and co-Chief Investment Officer of Angelo Gordon. He is the head of the firm’s global
real estate group, with particular focus on the U.S. and Europe. Since joining Angelo Gordon in 2000, Adam has been directly
responsible for, or overseen, in excess of $22 billion of real estate assets. He has significant experience in the acquisition and
repositioning of all property types. Prior to joining the firm, Adam worked in the acquisitions group at Vornado Realty Trust, a public
real estate investment trust. His work focused on the acquisition of public and private real estate companies in addition to single
asset acquisitions. Adam is a member of the executive committee of the Zell-Lurie Real Estate Center at The Wharton School and is
a trustee of the Urban Land Institute. He is also a member of the board of directors of SparkYouth NYC (formerly The Catalog for
Giving). Adam has a B.A. degree from the University of Pennsylvania.
Reid Liffmann joined Angelo Gordon’s real estate group in 2010 and is the Head of U.S. Real Estate and a member of the firm’s
Executive Committee and Partnership Advisory Board. During his tenure at Angelo Gordon, Reid has been directly responsible for, or
overseen, in excess of $13 billion of real estate assets. Reid has over 20 years of direct real estate ownership and operating
experience with a focus on development, redevelopment, and asset repositioning. Formerly, Reid was a partner with Greenebaum &
Rose Associates, a real estate development and investment firm focusing on the mid-Atlantic. Reid was previously one of Angelo
Gordon’s operating partners and completed several real estate transactions with the firm before joining as an employee. Reid began
his career as a real estate financial analyst at LaSalle Partners. He holds a Bachelor of Accountancy from George Washington
University and an M.B.A. degree from the Wharton School of the University of Pennsylvania.
Matt Jackson is the co-Portfolio Manager of Angelo Gordon’s U.S. real estate funds. Matt joined the firm in 2009 and, prior to his
portfolio management role, was responsible for the firm’s real estate activities in the Southeast and Texas as well as real estate
special situations. Prior to joining Angelo Gordon, Matt worked in the Acquisitions and Capital Markets Group of Vornado Realty Trust
where he focused on both public and private real estate acquisitions and asset management. Matt received his B.S. degree from the
Wharton School at the University of Pennsylvania.
Jeremy Cohn joined Angelo Gordon’s real estate group in 2022. He supports the New York real estate team on acquisitions, asset
management, and dispositions. Prior to joining the firm, Jeremy was an analyst at Eastdil Secured in New York where he focused on
investment sales. Jeremy received a B.B.A. from the Ross School of Business at the University of Michigan.
Garrett Collins joined Angelo Gordon’s real estate group in 2021. Garrett is responsible for supporting acquisitions, asset
management, and dispositions across the Eastern U.S. Prior to joining the firm, Garrett worked at Starwood Capital Group, where he
focused on acquisitions. Garrett received his B.A. in Government from Dartmouth College.
Bhavik Desai joined Angelo Gordon’s real estate group in 2022 and is based in New York. He supports the New York real estate
team on acquisitions, asset management, and dispositions. Prior to joining the firm, Bhavik worked as an intern for Northwood
Investors and Eastdil Secured in their respective New York offices. Bhavik received a B.S. degree in Real Estate from New York
University.
Cory Elbaum joined Angelo Gordon’s real estate group in 2020. Cory oversees the firm’s assets in New York, New Jersey, and
Connecticut. Prior to joining the firm, Cory worked at Dune Real Estate Partners where he focused on distressed and value-add
strategies in the U.S. Previously, Cory managed the North American acquisitions group at Thor Equities. Cory received his B.A.
degree from the University of Michigan.
Louis Friedel manages Angelo Gordon’s Los Angeles office. Prior to joining the firm in 2006, Louis worked for Lubert-Adler
Management, where he focused on real estate fund acquisitions and asset management. Louis received his B.S. degree from the
Wharton School of the University of Pennsylvania.
Taylor Galbraith joined Angelo Gordon’s real estate group in 2020 and oversees the firm’s assets in the Mid-Atlantic and Northeast
(excluding the New York Tri-State area). Prior to joining the firm, Taylor worked for Spear Street Capital, where he focused on
opportunistic office acquisitions, asset management, and dispositions. Prior to Spear Street, Taylor worked for Ackman-Ziff where he
focused on the execution of the firm’s debt and equity transactions. Taylor holds an M.S. in real estate investment from New York
University and a B.A. degree from Union College.
Scott Glassberg joined Angelo Gordon’s real estate group in 2012 and oversees the firm’s assets in the Midwest and Mountain
regions, as well as self-storage assets nationally. Prior to joining the firm, Scott worked for PricewaterhouseCoopers, where he
worked on real estate valuation, acquisition underwriting, and securitization due diligence. Scott received his B.S. in Corporate
Finance & Accounting and M.S. in Accounting from Bentley University, and is on the Generation Harvest board for City Harvest.
James Idol joined Angelo Gordon’s real estate group in 2021 and is based in Los Angeles. James is responsible for the firm’s real
estate activities in Southern California, the Southwest, and Hawaii. Prior to joining the firm, James worked for Goldman Sachs’
Merchant Banking Division as a Vice President, where he was responsible for acquisitions on the West Coast. Prior to Goldman
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Sachs, James practiced law in New York for Jones Day’s Mergers and Acquisitions department. James participates as an advisory
board member to Carbon Lighthouse, a real estate technology company focused on energy efficiency. James holds a B.S. from the
University of Maryland in Finance and Accounting, and his J.D. from Georgetown Law.
Amanda Jacinto joined Angelo Gordon’s real estate group in 2019. Amanda works with Matt Lazar and Kris Olsen on acquisitions,
asset management, and dispositions in Texas and the Southeast (excluding Florida). Prior to joining the firm, Amanda worked at
PwC in its Financial Markets practice, where she focused on real estate valuations and securitization due diligence. Amanda received
her B.S. and M.S. in Accounting from Lehigh University.
Andrew Kradjel joined Angelo Gordon’s real estate group in 2019. Andrew works with Scott Glassberg on acquisitions, asset
management, and dispositions across the Midwest and Mountain regions, as well as self-storage nationally. Prior to joining the firm,
Andrew worked for JBG Smith, where he focused on acquisitions, asset management, and dispositions. Andrew received his B.S.
degree from the Wharton School at the University of Pennsylvania.
Matt Lazar joined Angelo Gordon’s real estate group in 2011. He is responsible for acquisitions, asset management, and dispositions
in Texas and the Southeast (excluding Florida). Prior to joining Angelo Gordon full time, Matt interned with both the real estate
accounting/finance group and the real estate investment team. Matt received his B.A. from the Ross School of Business at the
University of Michigan and his M.S. in Accounting from the Zicklin School of Business at Baruch College. He is an active board
member of SparkYouth NYC, a leading supporter of community-based programs for underprivileged NYC youth.
Laura Metzger joined Angelo Gordon’s real estate group in 2020 and is based in Los Angeles. She is responsible for the firm’s real
estate activities in the Pacific Northwest and Northern California. Prior to joining the firm, Laura was at J.P. Morgan Asset
Management, where she focused on real estate acquisitions in various markets and regions, most recently in the Pacific Northwest.
Laura is a member of Urban Land Institute and participates in the Urban Development Mixed-Use Council - Platinum flight. She
received a B.S. in Finance from the University of Connecticut.
Ben Miller joined Angelo Gordon’s real estate group in 2020. He is responsible for supporting acquisitions, asset management, and
dispositions across the Eastern U.S. Prior to joining Angelo Gordon full time, Ben spent two years as an intern with the real estate
investment team. Ben received his B.B.A. from the Wisconsin School of Business at the University of Wisconsin-Madison.
Sydney O'Connor joined Angelo Gordon’s real estate group in 2020. Sydney works with Chris Oka and Frank Virga on acquisitions,
asset management, and dispositions for all real estate activities within the hospitality, student housing, and senior housing sectors in
the U.S. as well as the firm’s real estate activities in Florida. Prior to joining the firm, Sydney worked for JLL’s Capital Markets group,
where she focused on Investment Advisory and Equity Placement in the New York City market. Sydney received her B.A. degree in
Mathematical Economics from Colgate University and has three years of experience in commercial real estate.
Patrick O'Haren joined Angelo Gordon’s real estate group in 2021 and is based in Los Angeles. He supports the West Coast real
estate team on acquisitions, asset management, and dispositions. Prior to joining the firm, Patrick was an analyst at Eastdil Secured
in San Francisco where he focused on investment sales. Patrick received his B.S. degree in Industrial Engineering from California
Polytechnic State University San Luis Obispo.
Christopher Oka joined Angelo Gordon’s real estate group in 2013. He is responsible for the firm’s hospitality investments across
the U.S. and Europe, real estate activities in Florida, and nationwide coverage of the student housing and senior housing sectors.
Prior to joining the firm, Chris worked for Fortress Investment Group in its credit and real estate funds, where he focused on asset
and entity level acquisitions, distressed debt, and lending opportunities within the hospitality sector. Chris holds a B.A. degree from
UCLA and an M.B.A. degree from UC Berkeley’s Haas School of Business.
Kris Olsen joined Angelo Gordon in 2013 and works on acquisitions, asset management, and dispositions for the firm’s real estate
activities in the Southeast and Texas. Prior to joining the firm, Kris worked for Ernst & Young in its Transaction Real Estate group,
where he worked on acquisition underwriting, real estate valuation, and securitization due diligence. Kris is a NYC board member for
the Cornell Real Estate Council and cofounded YHIP (Young Hospitality Investment Professionals), a networking organization for
young investment professionals in the hospitality industry. He holds a B.S. degree from the School of Hotel Administration at Cornell
University.
Doug Profenius joined Angelo Gordon’s real estate group in 2018. He works with Cory Elbaum on acquisitions, asset management,
and dispositions in the New York Tri-State area. Prior to joining the firm, Doug worked in the Acquisitions and Capital Markets group
at the LeFrak Organization. Doug received a B.S. degree from the School of Hotel Administration at Cornell University.
Ben Rich joined Angelo Gordon’s real estate group in 2021 and is based in Los Angeles. He supports the West Coast real estate
team on acquisitions, asset management, and dispositions. Prior to joining the firm, Ben was an analyst at AEW Capital Management
where he focused on the acquisition and disposition of core, value-add, and opportunistic assets on the West Coast. Ben received his
B.S. degree in Real Estate Development from the University of Southern California.
Andrew Schaffler joined Angelo Gordon’s real estate group in 2018 and is responsible for identifying inefficiencies and providing
capital market solutions in the listed property markets in the U.S. and Europe. Prior to joining the firm, Andrew served as the Director
of Listed Real Estate Securities for Madison International Realty, where he was responsible for all aspects of the firm’s public
markets investing activities. He was the portfolio manager for a Listed Property separate account and commingled fund and a
member of the investment committee for the firm’s private equity real estate funds. Prior to joining Madison in 2015, Andrew spent
nine years at Cohen & Steers Capital Management on the real estate securities investment team, including five years on a long/short
real estate hedge fund. Previously, he served as an analyst at Neuberger Berman LLC. Andrew earned a B.S. degree in Policy
Analysis and Management from Cornell University and is a CFA charterholder.
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Cubby Sporrong joined Angelo Gordon’s real estate group in 2019 and is based in Los Angeles. She supports the West Coast real
estate team on acquisitions, asset management, and dispositions and works with Chris Oka and Frank Virga on the firm’s West
Coast hospitality investments. Prior to joining the firm, Cubby was an associate at Eastdil Secured in New York where she focused
on investment sales and corporate advisory. Cubby received her B.S. degree in Business Administration from the University of
Southern California.
Savanna Steinberg joined Angelo Gordon’s real estate group in 2021. Savanna works with Taylor Galbraith on acquisitions, asset
management, and dispositions in the Mid-Atlantic and Northeast (excluding the New York Tri-State area). Prior to joining Angelo
Gordon, Savanna worked for J.P. Morgan’s Real Estate Americas group, covering acquisitions, asset management, and dispositions
for the Southeast Investment Team. Savanna received a B.S. degree from Cornell University.
Frank Virga is based in New York and works with Chris Oka on acquisitions, asset management, and dispositions for all real estate
activities within the hospitality, student housing and senior housing sectors in the U.S. as well as the firm’s real estate activities in
Florida. Prior to joining the firm in 2015, Frank worked in the Acquisitions Group at CWCapital. Frank received a B.A. degree in
Economics with honors from the College of Arts & Sciences of Boston College.
Steve White is based in Angelo Gordon’s Los Angeles office and works on sourcing and asset management for the firm’s assets in
California. Prior to joining Angelo Gordon in 2004, Steve worked in the real estate investment banking group at Goldman Sachs
where he participated in the disposition and recapitalization of office, retail, hotel, and multifamily properties. Previously, Steve was a
partner and co-founder of a private real estate investment company in the Los Angeles area. Steve is a member of the National
Council for the Humane Society of the United States and the Los Angeles Leadership Committee for the National Resources Defense
Council. Steve holds an A.B. degree from Dartmouth College and an M.B.A. degree from the Wharton School of the University of
Pennsylvania.
Stephen Yih joined Angelo Gordon’s real estate group in 2015 and is based in Los Angeles. He supports the West Coast real estate
team on acquisitions, asset management, and dispositions. Prior to joining the firm, Stephen interned at Equity Group Investments
where he focused on real estate investments and a large corporate takeover. Previously, he interned with the acquisitions team at
Starwood Capital Group. Stephen received his B.A. degree in Economics from Northwestern University.
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Disclosure
As indicated below, one or more of the candidates listed in this report may, itself, be a client of Callan as of the date of the most recent quarter end.
These clients pay Callan for educational, software, database and/or reporting products and services. Given the complex corporate and organizational
ownership structures of investment management firms and/or trust/custody or securities lending firms, the parent and affiliate firm relationships are not
listed here.
The client list below may include names of parent companies who allow their affiliates to use some of the services included in their client contract (e.g.,
educational services including published research and attendance at conferences and workshops). Affiliates will not be listed if they don’t separately
contract with Callan. Parent company ownership of the firms included in this report and any relationship with Callan can be provided at your request.
Because Callan’s clients list of investment managers changes periodically, the above information may not reflect recent changes. Clients are welcome to
request a complete list of Callan’s investment manager clients at any time.
As a matter of policy, Callan follows strict procedures so that investment manager client relationships do not affect the outcome or process by which
Callan’s searches or evaluations are conducted.
Is an Investment Manager Is Not an Investment

Firm Client of Callan* Manager Client of Callan*
Angelo, Gordon & Co.
*Based upon Callan manager clients as of the most recent quarter end.
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Important Information and Disclosures
This investment evaluation of the candidate sponsor and the candidate investment vehicle(s) was compiled by Callan at the request of Mississippi
Public Employees’ Retirement Fund, exclusively for use by Mississippi Public Employees’ Retirement Fund.
This investment evaluation and the information contained herein is confidential and proprietary information of Callan and should not be used other than
by Mississippi Public Employees’ Retirement Fund for its intended purpose or disseminated to any other person without Callan’s permission.
This investment evaluation gives consideration to the investment requirements and guidelines provided to Callan by Mississippi Public Employees’
Retirement Fund, and should not be relied upon by any person other than Mississippi Public Employees’ Retirement Fund or used in whole or in
part for any purpose other than considering an investment in the candidate vehicle(s).
Information contained herein has been compiled by Callan and is based on information provided by various sources believed to be reliable but which
Callan has not necessarily verified the accuracy or completeness of or updated. Information considered by Callan, includes information provided by the
investment sponsor and information that is publicly available, as well as information developed by Callan from other sources, which may not be current
as of the date of this investment evaluation. Callan does not make any representation or warranty, express or implied as to the accuracy or
completeness of the information contained in this investment evaluation. Callan undertakes no obligation to update this investment evaluation except as
specifically requested by Mississippi Public Employees’ Retirement Fund.
This investment evaluation is for informational purposes only and should not be construed as legal or tax advice. Mississippi Public Employees’
Retirement Fund is urged to consult with legal and tax advisers before investing in the candidate investment vehicle(s) or any other investment vehicle.
A potential investor in the candidate investment vehicle(s) should undertake an independent review of the sponsor’s private placement memorandum,
related offering documents and due diligence questionnaire, which describe, among other important information, the sponsor’s background, experience
and track record, investment strategy, investment risk factors, compensation program, and investor rights and obligations. Callan makes no
representation or warranty, express or implied, as to the accuracy or completeness of the sponsor’s offering materials. It is incumbent upon Mississippi
Public Employees’ Retirement Fund to make an independent determination of the suitability and consequences of an investment in the candidate
investment vehicle(s).
The appropriateness of the candidate investment vehicle(s) discussed in this investment evaluation is based on Callan’s understanding of Mississippi
Public Employees’ Retirement Fund’s portfolio as of July 1, 2022.
Opinions expressed in the investment evaluation are based on Callan’s standard evaluation procedures which are designed to provide objective
comments based upon information provided to Callan. Such opinions may be amended, supplemented or restated, based on changes in Mississippi
Public Employees’ Retirement Fund’s investment objectives or investment portfolio, the macroeconomic environment, legal/regulatory/political
climate, the organization or team of the candidate general partner(s) or candidate investment vehicle(s) or other identified or unidentified factors.
Callan undertakes no obligation to update any opinion expressed in this investment summary except as specifically requested by Mississippi Public
Employees’ Retirement Fund.
Nothing contained in this investment evaluation should be relied upon as a promise or representation as to past or future performance of the candidate
investment vehicle(s) or other entity. Past performance is no guarantee of future results.
Certain operational topics may be addressed in this investment evaluation for informational purposes; however, Callan has not conducted due diligence
of the operations of the candidate sponsor, or candidate investment vehicle(s), as may typically be performed in an operational due diligence evaluation
assignment.
The issues considered and risks highlighted in this investment evaluation may not be comprehensive and other undisclosed or heretofore unknown risks
may exist that may be deemed material to Mississippi Public Employees’ Retirement Fund regarding the candidate sponsor and candidate
investment vehicle(s).
The investment evaluation and any related due diligence questionnaire completed by the candidate sponsor may contain highly confidential information
that is covered by a non-disclosure or other related agreement with the candidate sponsor which must be respected by Mississippi Public Employees’
Retirement Fund and its representatives. Mississippi Public Employees’ Retirement Fund agrees to adhere to the conditions of any confidentiality or
non-disclosure agreement provided with the investment evaluation.
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Acts, events, occurrences or accidents beyond reasonable control, including but not limited to pandemics, acts of terrorism, volatile market conditions, or
other disruptions could have a negative and long-lasting impact on the business operations and financial condition of the candidate sponsor, the
candidate investment vehicle, and investments and may materially adversely impact fundraising, operations, deal sourcing, management and due
diligence of investments, liquidity, valuations and performance, among other potential impacts.
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New Fund Investing with Existing Manager in Value-Add Real Estate
• From each of our existing partnerships with Value-add real estate managers, a new fund is
offered on a 3–5-year timeframe and commitment documents are released for review of
strategy and terms. If the partnership is beneficial to continue and the terms are agreeable,
PERS can either continue the relationship with the next fund or decide not to continue with
the partnership and begin a search process for a new manager.
• For those funds which are a continued partnership, once terms are agreeable and the fund
has been thoroughly reviewed by both PERS Investment staff as well as Callan’s Real Assets
team, a recommendation to invest will then need to be presented to the Investment
Committee at their next meeting. Items to include for Investment Committee:
o Callan’s Consultant Review
o Staff Recommendation Memo
• PERS Investment staff presents the Investment Committee with a staff report, as well as
Callan’s fund review report, as a recommendation to invest. These reports include such
specifics as pacing information, current allocation to asset class, and details specific to
manager relationship and past performance. The committee would discuss before making a
motion to approve.
• Once the recommendation to invest has passed by the PERS Board, the fund’s Limited
Partnership Agreement (LPA) and Subscription documents are reviewed by PERS Investment
staff before being forwarded to outside legal counsel (Chapman & Cutler, LLP) for review of
changes in structure and legality of terms. Once approved by Chapman & Cutler, a copy of
the documents with comments will be sent to PERS’ internal counsel for review, before
being sent to the Executive Director for a signature. Once these documents are signed, they
should be submitted to Chapman & Cutler, who would then submit to the General
Partner/Fund Manager’s legal counsel.
• Within 18 months of submitting completed commitment documents, the Limited Partners

with a Many Favored Nations clause will have the opportunity to “opt in” for terms
negotiated by other Limited Partners. The Many Favored Nations Agreement would also
need to be signed by the Executive Director.
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PERS of MS Real Estate Value-Added Portfolio Terms
Value-added Real Estate – These investments are considered closed-end funds since there is a set start and
end date, outside investors cannot typically buy into the fund, and they are non-liquid investments.
Liquidity is only realized through distributions upon the sale of a property held within the fund. These funds
typically target properties that have in-place cash flows but seek to increase that cash flow over time by
making improvements to or repositioning the property not operating at its full potential. Successful value-
add projects will typically generate higher financial returns to investors than core investments due to this
appreciation in value, but also has the potential for greater losses than core fund investments. Heitman
Value Partners is an example of a value-added investment manager within the PERS of MS portfolio.
Currently there are 18 value-added investments within the PERS of MS portfolio.
IRR (Internal Rate of Return) – Used regularly in Real Estate and Private Equity as a quantitative measure
return on investment. A property’s IRR is an estimate of the value it generates during the time frame in
which you own it. Effectively, the IRR is the percentage of interest earned on each dollar invested in a
property over the entire holding period beginning at inception.
Pacing Schedule – A suggested amount of capital that a portfolio should invest on an annual basis to ensure
a consistent growth rate that allows continued alignment with that asset class’ strategic allocation target.
Currently Callan conducts a pacing study every two years on the PERS of MS real estate portfolio. It has
been recommended that this study be conducted on an annual basis. The 2017 pacing study suggested
increased commitments of Value-add funds for PERS from $50 million per fund to $75 million per fund. The
2019 study reaffirmed this suggestion.
Life Cycle of a Value-added fund:
• Initial Closing – Starting at the initial closing date, Limited Partners such as PERS of MS can begin
making commitments to invest in the proposed fund. There can be incentives for LP’s who
participate in closing on this date or allowed window. Committed capital levels give the Funds
Manger a good idea of interest in the fund and the strategy being used.
• Commitment Period – Also known as the fund-raising period, is the time allotted to bring other
Limited Partners into the fund. This period usually lasts between 1-2 years depending on the
interest of the fund and how quickly it reaches its target fund size.
• Final Closing – The commitment period ends at the date of the final close. No new investors can
commit new capital to the fund after this date.
• Investment Period – This is the period during the life of the fund where investor capital is used to
make purchases that will fulfill the strategy of the fund. This period begins with the initial call of
capital from the investors and ends on a set date approximately 3 years after the final closing.
Extensions to the investment period may be enacted to allow for more opportunities for
acquisitions consistent with the fund’s strategy during market dislocation.
• Liquidation Period – After the investment period is complete, the fund seeks opportunities to
achieve the stated strategy and realize profits from income generation and the selling of properties
held before the fund’s lifecycle is complete, approximately 8-10 years after the final closing. If
market conditions necessitate, the fund manager may also utilize extensions at this time to allow for
a change in the market cycle before selling remaining properties.
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New Fund Investing with an Existing Manager in Value-Add Real Estate
• The life cycle of a value-add real estate fund is typically between 10-12 year from the beginning
of the fundraising period until all assets have been sold and the fund closes. Fund managers
typically offer a new fund every 3-5 years once fund raising is complete and all dedicated capital
from the previous fund offering has been used to purchase assets. In the case of existing fund
manager relationships, if the partnership is beneficial to continue and the terms are agreeable,
PERS can either continue the relationship with the next fund or decide not to continue with the
partnership and begin a search process for a new manager.
• For those funds which are a continued partnership, once terms are agreeable and the fund has
been thoroughly reviewed by both PERS Investment staff as well as Callan’s Real Assets team, a
recommendation to invest will then need to be presented to the Investment Committee at their
next meeting. These reports include such specifics as pacing information, current allocation to
asset class, and details specific to manager relationship and past performance. The committee
would discuss before making a motion to approve. Items to include for Investment Committee:
o Callan’s Consultant Review
o Staff Recommendation Memo
• Once the recommendation to invest has passed through the Investment Committee and the
PERS Board, the fund’s Limited Partnership Agreement (LPA) and Subscription documents are
reviewed by PERS Investment staff before being forwarded to outside legal counsel (Chapman
& Cutler, LLP) for review of changes in structure and legality of terms. Once approved by
Chapman & Cutler, a copy of the documents with comments will be sent to PERS’ internal
counsel for review, before being sent to the Executive Director for a signature. Once these
documents are signed, they are submitted to Chapman & Cutler, who then submits to the
General Partner/Fund Manager’s legal counsel as a commitment to invest.
• Within 18 months of submitting completed commitment documents, the Limited Partners with
a Many Favored Nations clause will have the opportunity to “opt in” for terms negotiated by
other Limited Partners. The Many Favored Nations Agreement would also need to be signed by
the Executive Director.
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Fixed Income Manager Preview
Core & Core Plus
October 24, 2022
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Core Funds
 Manulife Asset Management
 PIMCO
Core Plus Funds
 Loomis Sayles
 Prudential (PGIM)
Fixed Income Manager Review – October 24, 2022
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Manulife Asset Management
PERS Assets Strategy Assets
Strategy PERS Inception
09/30/2022 09/30/2022
Core Fixed Income $648,553,179 $9.7 Billion March 2017
Key Comments:
 Manulife utilizes a bottom-up active management process to

identify relative value in sector allocation, issue selection and
yield curve positioning. Manulife performs fundamental
research to identify attractive points on the yield curve with the
greatest return potential. The team evaluates potential effects
of rate shocks to quantify effects on income, pricing and roll-
down.
 As of September 30, Manulife returned -14.58% for the trailing
12 months, which was 2bps over the benchmark (gross).
Relative performance was driven by security selection and
duration positioning, including a focus on high quality exposure
in Corporate Credit and ABS.
 Manulife has an underweight allocation to US Treasuries and is
overweight to ABS (Asset-Backed Securities), relative to the
benchmark.
 Since inception with PERS (March 2017), Manulife has added
44bps of annualized excess returns.
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PIMCO
9/30/2022 06/30/2022
Core Fixed Income $616,636,040 $9.3 Billion July 1983
Key Comments:
 PIMCO utilizes top-down macroeconomic forecasting combined

with sector and security analysis for portfolio positioning.
 As of September 30, PIMCO earned -14.80% for the trailing 12
months and underperformed the Index by 20bps (gross).
Performance has been affected by both Interest Rate and
Spread Sector strategies.
 Positioning on the yield curve, which included an underweight
to duration in the US, was a positive contributor to the strategy,
relative to the benchmark. An overweight allocation to
Mortgage-backed Securities was a detractor to relative
performance.
 PIMCO currently enjoys a 39-year relationship with PERS, and
has outperformed the Index on multiple time horizons. The
portfolio has outperformed the Index across 3-year, 5-year, and
10-year periods and added 60bps of excess returns annually
since inception (1983)
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Loomis Sayles
9/30/2022 06/30/2022
Core Plus
$1,042,215,552 $26.3 Billion August 2009
Fixed Income
Key Comments:
 Loomis Sayles manages the portfolio by being a benchmark-

aware, macro (top-down) positioning and a bottom-up / sector
rotation security selection. They seek to achieve the objective
through both income and capital appreciation.
 As of September 30, Loomis Sayles portfolio returned -14.31%
for the trailing 12 months, adding 29bps of outperformance
(gross).
 The portfolio benefitted, relative to the benchmark, by having
an underweight allocation to US Treasury securities, plus
strategic yield curve positioning and security selection.
 Long-term performance has continued to exceed the
benchmark. Loomis has added an annualized 127bps of
excess returns over 5 years and 199bps since inception (2009).
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Prudential (PGIM)
09/30/2022 06/30/2022
Core Plus
$1,045,286,013 $89.6 Billion January 2012
Fixed Income
Key Comments:
 Prudential seeks to derive a large portion of its excess return

from active top-down sector allocation with the remainder
coming each from bottom-up security / sector selection and
also from duration / yield curve management.
 As of September 30, Prudential returned -15.99% for the
trailing 12 months, underperforming the benchmark by 139bps
(gross).
 Positive relative performance was driven from yield curve
positioning and some sector allocation, specifically MBS.
Detractors from performance were an allocation to High Yield
and Emerging Markets.
 Prudential has continued to perform well over the long-term,
earning an annualized 117bps of excess returns over 5 years
and 171bps since inception (2012).
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October 24, 2022
US Core Fixed Income

Strategy
Prepared for Public Employees’ Retirement System
of Mississippi
Howard C. Greene, CFA

Senior Managing Director, Senior Portfolio Manager
Amy McPike
Managing Director, Relationship Management
197 Clarendon Street, Boston, MA 02116
This presentation is provided supplemental to your Client Statements; please see the Client Reporting Disclosure
page at the end of this presentation for important information.
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Manulife Investment Management
Part of a leading global financial services group
Protecting More than 38,000 $980B in assets • Global wealth and

customer assets employees serving more than under management asset management
since 1887 33M customers worldwide and administration • Financial advice
• Insurance
• Institutional asset
management 1,000+ $747B in assets More than 16M retirement 303,441
institutional under management plan participants and retirement plans
• Retirement and administration investor accounts served globally
accounts
• Retail investments
Source: MFC Statistical Information Package. Manulife Investment Management is the unified global brand for Manulife’s global wealth and asset management business, which serves individual investors and institutional
clients in three businesses: retirement, retail and institutional asset management (public and private markets). Global Wealth and Asset Management AUMA at June 30, 2022, which includes $170.62 billion of assets
managed on behalf of other segments and $127.67 billion of assets under administration. Assets shown in U.S. dollars.
For Institutional/Investment Professional Use Only. Not for distribution to the public. PB.2381237 2
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Client Profile
Public Employees’ Retirement System of Mississippi
Investment Strategy: US Core Fixed Income
The Board expects the following minimum performance standards over a rolling three-year period:
(a) Consistent above median performance in US Core Fixed Income manager universe provided by
the Board’s Investment Consultant.
(b) Performance which consistently exceeds the Bloomberg Barclays Aggregate Index by 75 basis
Investment Objective:
points net of fees.
(c) The risk associated with this portfolio as measured by the variability of quarterly returns (standard
deviation), should not exceed that of the Bloomberg Barclays Aggregate Index without a
corresponding increase in performance.
Benchmark: Bloomberg US Aggregate Bond Index
Performance Inception Date: March 17, 2017
MV as of September 30, 2022: $648,553,178.98
For Institutional/Investment Professional Use Only. Not for distribution to the public. PRS.CLT 3
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U.S. core and core plus fixed-income team
Investment team Assets under management*
Portfolio Management Client Portfolio Managers $1,981
$2,899
Howard C. Greene, CFA1 Trish Klawitter $1,674
Senior Portfolio Manager 25 years’ experience
39 years’ experience $9,699 U.S. Core
Lee M. Giunta, CFA
Jeffrey N. Given, CFA1 11 years’ experience U.S. Core Plus
Senior Portfolio Manager $5,766
29 years’ experience LDI
Implementation Analysts
U.S Int Credit
Pranay Sonalkar
Associate Portfolio Manager
Michael A. Bowler
10 years’ experience
Total US$51.5B Stable Value
Non-Agg
Ednize Silveira $29,438
Connor Minnaar, CFA2
Associate Portfolio Manager
Research and trading

Spencer Godfrey, CFA Investment risk and quantitative analytics
Head of Global Developed-Market Fixed Income Research ESG research & integration
19 years’ experience Peter Mennie, ASIP
Amirali Assef, CFA
Global Head of Investment Chief Sustainable Investment
Corporate Credit Securitized Assets Risk and Quantitative Analytics Officer
14 analysts 4 analysts Risk analysts: 8 ESG analysts: 13
17 avg years experience 16 avg years experience
Jason Fromer Macroeconomic and strategy

Head of U.S. FICC Trading
30 years’ experience Frances Donald
12 traders Global Chief Economist and Strategist
17 avg years experience 4 macroeconomic strategists
As of September 30, 2022. *Assets under management as of June 30, 2022. AUM does not included Money Market or Balanced strategies.
1 As co-leads, they have joint management responsibilities for all aspects of the team. 2 Dual role.
For Institutional/Investment Professional Use Only. Not for distribution to the public. MSTR.553838 4
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Market Update
For Institutional/Investment Professional Use Only. Not for distribution to the public. 5
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Core & Core Plus Fixed Income Strategies
Historic sell-off in fixed income driven by higher rates and inflation
Yield Curve Credit Spreads Agency MBS
Yield curve shifted higher and inverted on Corporate credit spreads widened Higher mortgage rates and expectations
aggressive Federal Reserve policy to through long-term averages on weaker for quantitative tightening caused
control record inflation. sentiment and recession concerns. spreads to widen significantly.
4.50 600 175

4.22 543
4.00
150
3.83 500
3.79 148
3.50 449
3.33 125
3.00 400
100
2.50 310
300
2.00 75
2.44
1.52 206 59
1.50 200
173 50
167 47
1.00
0.73 121 133
100 25
0.50 98
0.06
0.00 0 0
1-Mo 3-Mo 6-Mo 1-Yr 2-Yr 3-Yr 5-Yr 7-Yr 10-Yr20-Yr30-Yr
9/30/2022 12/31/2021
BofA ML US High Yield Master II Index MBS (ZV Spread)
BofA ML US Corporate BBB Index
BofA ML US Corporate Index 10-Yr Avg
BofA ML US High Yield Master II Index - 10 Yr Avg
BofA ML US Corporate BBB Index - 10 Yr Avg
BofA ML US Corporate Index - 10 Yr Avg
Source: US Federal Reserve Bank, Bank of America Merrill Lynch, Bloomberg, September 2022
For Institutional/Investment Professional Use Only. Not for distribution to the public. QMSR.552378 6
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Historic inflation caused much steeper rate hiking path
10.0
8.0
6.0
Inflation 4.0
remains 2.0
high…
0.0
-2.0
12-Month Percentage Change, Consumer Price Index Recession
4.50 2004
4.00
Change in Fed Funds Rate
3.50
2022 1994
3.00
…leading to a 2.50 2015
steeper 2.00
1999
hiking path 1.50
1.00
0.50
0.00
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36
Months since initial Fed Funds rate hike
Source: Bureau of Labor Statistics, St. Louis Federal Reserve (FRED)
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Market quick to price in the Fed’s aggressive interest rate stance
While rate expectations increased sharply to reflect aggressive Fed policy, future implied Fed Funds rate
suggests a more stable rate environment peaking in Q2 2023.
Change in Dec 2022 Implied Federal Funds Rate Future Implied Federal Funds Rate
4.50
5.00
4.00
4.50
3.50
4.00
3.00 3.50
2.50 3.00
2.00 2.50
1.50 2.00
1.50
1.00
1.00
0.50
0.50
0.00
Jun-21
Jul-21
Nov-21
Dec-21
Aug-21
Sep-21
Jan-22
Feb-22
Jun-22
Mar-22
Apr-22
Jul-22
Aug-22
Sep-22
Oct-21
May-22
0.00
Jul-23
Nov-22
Dec-22
Jan-23
Nov-23
Dec-23
Feb-23
Jun-23
Mar-23
Apr-23
Aug-23
Sep-23
Jan-24
May-23
Oct-23
Source: Bloomberg. As of September 30, 2022.
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Increase in supply and higher rates caused mortgages to widen
250 250
200 200
• Agency MBS has underperformed YTD driven
MBS Purchases [$B]
MBS ZV Spreads [bp]

by material widening of spreads.
150 150
100 100
• Markets needed to adjust for a new
supply/demand imbalance as Fed shifted 50 50
from largest buyer to a supply source.
0 0
Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22
• Higher rates are also putting pressure on Fed MBS Purchases (Bln) MBS ZV Spreads
valuations.
Fed 30-yr MBS Ownership by Coupon
• The Fed’s purchases occurred in a low rate 100%
environment, resulting in their balance sheet
80%
exposure tilted towards lower coupon MBS.
60%
• While we expect outright MBS sales to be a 40%
2023 event, the supply influx would be felt 20%

lower in the coupon stack.
0%
<=2 2.5 3 3.5 4 4.5 5 5.5 6+
Fed Ownership Total Ex Fed
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Shift in IG corp positioning through reduction in longer-maturity exposure
QoQ Changes to IG Corporate CTD %

40.0% 35.9%
35.0% 31.4% 30.0% 30.2%
30.0% 26.9% 26.40% 27.7% 26.80%
24.30%
25.0%
20.0%
15.0%
10.0%
5.0%
0.0%
Core Plus Core US Aggregate
Q1 2022 Q2 2022 Q3 2022
Core Plus IG Corp Duration Exposure Core IG Corp Duration Exposure

2.50 2.2 2.2 2.2 2.50 2.2 2.3 2.3
1.9 1.8 2.0
2.00 2.00 1.9
1.7
1.6
1.50 1.50
0.9 0.8
1.00 0.7 1.00 0.7 0.6
0.6 0.6 0.6 0.6
0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5 0.5
0.50 0.50
0.0 0.0 0.0 0.0 0.0 0.0
0.00 0.00
KRD 6M KRD 2Y KRD 5Y KRD 10Y KRD 20Y KRD 30Y KRD 6M KRD 2Y KRD 5Y KRD 10Y KRD 20Y KRD 30Y
Q1 2022 Q2 2022 Q3 2022 Q1 2022 Q2 2022 Q3 2022
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Not all corporates perform the same in rising rate environment
June 1999 – May 2000 June 2004 – June 2006

0.00% 3.00%
1.92%
2.00%
-2.00%
-1.85% 1.09%
-2.18% 0.80% 0.86% 0.80%
1.00% 0.51% 0.60%
-3.01% 0.33%
-4.00% -3.34% -3.32%
0.01%
-3.76% -3.74%
0.00%
-4.84%
-5.11%
-6.00% -0.54%
-6.08%
-1.00%
-8.00% -2.00%
December 2015 – December 2018 March 2022 – June 2022

5.00% 4.67% 0.00%
3.78%
4.00% -3.00%
3.00% -6.00%
2.26% 2.23%
1.98%
2.00% 1.49% 1.53% 1.64% -9.00%
-9.22%
0.99%
0.78%
1.00% -12.00% -11.15%
-12.08%-11.68% -12.37%-12.12%
-12.89% -13.19% -13.45%
0.00% -15.00% -13.92%
Source: ICE Data Indices. Return data shown is based on excess returns, with periods greater than one year annualized.
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Gradually positioning for a late cycle environment
1-Year Marginal
Sector Market Factors Implementation
Adjustments
• Late cycle environment highlights

• Material reduction in credit overall
Corporate importance of security selection
• Overweight to financials • Emphasis on shorter maturity
Credit • Benefit from global demand for
issues
yield
• Add carry at front end of the market

• High quality exposure
ABS • Looking to more esoteric sectors • Reduced exposure
• Source of floating rate exposure
with yield advantages
• Uncertainty in commercial real

estate • Security selection key with a focus
CMBS on structure, credit enhancement, • Added modestly
• High dollar price creates and property type
unattractive risk/return profile
• Focus on current coupon specified

• Federal Reserve implementing
pools, primarily conventional 30-
quantitative tightening measures • Increased exposure gradually,
Agency MBS year
remain underweight
• Spreads wider in response to Fed,
• Coupon, loan balance, servicer are
greater extension risk
key to extension protection
• Unfavorable risk/reward profile as • Maintained significant

• Efficient market, difficult to add
Treasuries the Fed expected to continue
value from a bottom-up perspective
underweight
interest rate hikes • Allocation primarily to long end
As of September 2022. The views and opinions expressed are subject to change as market and other conditions warrant and are not meant as investment advice.
For Institutional/Investment Professional Use Only. Not for distribution to the public. QMSR.552378 12
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Performance & Positioning
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Slight outperformance in historic twelve months for fixed income
Returns 1-Year 1-Year Key Contributors/Detractors
PERS of Mississippi – Gross -14.58
Bloomberg US Aggregate Index -14.60 -0.07

IG Corporate
Excess Return 0.02 0.28
0.02
1-Year Performance Attribution
Emerging Markets
0.00
-0.32
US Treasuries
Duration/Yield Curve 0.06
-0.02
0.07
Agency MBS
-0.07
Security Selection 0.10
0.26
ABS
-0.12
Sector Allocation -0.12

Sector Allocation 0.03
CMBS
Security Selection 0.02
-0.15 -0.10 -0.05 0.00 0.05 0.10 0.15
-0.40 -0.30 -0.20 -0.10 0.00 0.10 0.20 0.30 0.40
In USD
287/521
Investment Results as of September 30, 2022
Gross Annualized Returns (%)

6.00
0.19 0.75 0.31

1.00
-0.27
-4.00 -2.71 -3.26
-4.60 -4.75
-9.00
-14.00
-14.46 -14.61 -14.58 -14.60
-19.00
3-Month YTD 1-Year 3-Year 5-Year Since Inception
PERS of Mississippi Bloomberg US Aggregate Bond Index
Gross Returns (%) 0

3Q22 2Q22 1Q22 4Q21 YTD 1-Year 3-Year 5-Year
PERS of Mississippi (Gross) -4.60 -4.79 -5.81 -0.14 -14.46 -14.58 -2.71 0.19
Bloomberg US Aggregate Bond Index -4.75 -4.69 -5.93 0.01 -14.61 -14.60 -3.26 -0.27
Excess Return 0.15 -0.10 0.12 -0.15 0.15 0.02 0.54 0.46
Annualized Standard Deviation

Since Inception
PERS of Mississippi (Gross) 4.61
Bloomberg US Aggregate Bond Index 4.60
Source: Manulife Investment Management

Inception Date: March 17, 2017
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Characteristics as of September 30, 2022
PERS of PERS of Bloomberg

PERS of Bloomberg US Mississippi Mississippi US Aggregate
Characteristic Mississippi Aggregate Index Sector Allocation (%) Sep-22 Sep-21 Index
Average Rating AA2 AA2 US Government 25.78 24.34 42.86
Average Coupon (%) 3.03 2.63 US Treasuries 24.85 22.82 40.96

US Agency 0.00 0.00 1.27
Average Life (Years) 9.13 8.50
Municipal 0.93 1.52 0.63
Yield to Maturity (%) 5.13 4.75
Credit 23.46 32.01 23.56
Yield to Worst (%) 5.13 4.75
IG Corporates 23.46 32.01 23.56
Effective Duration (Years) 6.21 6.20
HY Corporates 0.00 0.00 0.00
Bank Loans 0.00 0.00 0.00
Quality (%) Convertibles 0.00 0.00 0.00
Equities 0.00 0.00 0.00
68.46 Securitized 49.77 42.52 29.90
Aaa/AAA
73.62 Agency MBS 26.94 17.57 27.61
Non-Agency MBS 4.69 3.86 0.00
2.91
Aa/AA ABS 11.80 16.79 0.39
3.13
CMBS 6.34 4.29 1.89
14.94 Foreign Developed 0.00 0.24 2.45
A
10.80
Govt & Agency 0.00 0.24 1.07
12.69
Supranationals 0.00 0.00 1.38
Baa/BBB
12.46 Emerging Markets 0.00 0.00 1.24
Emerging Markets — USD 0.00 0.00 1.24
0.00 10.00 20.00 30.00 40.00 50.00 60.00 70.00 80.00
Emerging Markets — Non-USD 0.00 0.00 0.00
PERS of Mississippi Bloomberg US Aggregate Index
In USD
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Appendix
MSTR.506087 17
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Summary as of June 30, 2022
Consistent Long-term Track Record in Core & Core Plus Fixed Income
• Lead portfolio managers Howard Greene and Jeffrey Given have worked on the strategy
together for 19+ years
• Top quartile performance over 7 and 10 years
Sector Allocation & Bottom-Up Security Selection

• True drivers of portfolio performance
• Repeatable process
• Not dependent on predicting the timing of macro and market events
Collaborative Team Approach

Proven performance
• Effective, constant communication among portfolio managers, analysts and traders through diverse
• Flat structure and unique research team model and expertise maximize efficiency market conditions
Physical Bond Portfolio Implementation

• Allows targeted and precise sector and security specific selection
• Permits yield curve implementation and key rate duration management
• Provides transparency
Competitive Historical Returns with Efficient Use of Risk

• Top quartile Sharpe ratio over 5, 7 and 10 years
• Core: 5-year Up Market Capture of 109.57%, Down Market Capture of 99.83%
• Core Plus: 5-year Up Market Capture of 118.11%, Down Market Capture of 104.25%
Performance calculated in USD.

Source: eVestment Alliance and Manulife Investment Management
Past results are not necessarily indicative of future results.
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Biographies
Howard C. Greene, CFA

Senior Portfolio Manager, Co-Head of U.S. Core and Core Plus Fixed Income
Howard is co-head of the U.S. Core and Core Plus Fixed Income team and serves as a lead portfolio manager for the Core Plus Fixed Income
Strategy and the Core Fixed Income Strategy. Prior to joining the company, he spent more than 14 years at Sun Life Financial Services of
Canada as a senior vice president for Sun Capital Advisers managing investment-grade and high-yield fixed-income portfolios. Earlier in his
career, Howard worked at Baring Asset Management as a fixed-income analyst. Howard holds the Chartered Financial Analyst designation and
is a member of CFA Society Boston.
Education: B.B.A. in Business Administration, University of Massachusetts; M.B.A., Northeastern University
Joined the company: 2002
Began career: 1983
Jeffrey N. Given, CFA

Senior Portfolio Manager, Co-Head of U.S. Core and Core Plus Fixed Income
Jeff is co-head of the U.S. Core and Core Plus Fixed Income team and is responsible for securitized, core and core plus fixed income,
government bond, and municipal bond strategies. Prior to joining the portfolio management team, he was focused on research and trading in
mortgage-backed securities within the Manulife fixed-income teams. Previously, he was an investment compliance analyst at the company.
Jeff holds the Chartered Financial Analyst designation and is a member of the CFA Society Boston.
Education: B.S. in Business Administration, Boston University; M.S. in Finance, Boston College
Began career: 1993
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Biographies
Trish Klawitter
Client Portfolio Manager, U.S. Core and Core Plus Fixed Income, and Securitized Fixed-Income Teams, Manulife Investment Management
Trish supports the firm’s core, core-plus, and securitized fixed-income teams by effectively communicating and positioning investment strategies.
Prior to joining the firm, she worked at Baird Advisors as director of marketing and client services, where she was responsible for representing the
firm’s fixed-income capabilities to current and prospective clients. Prior to that, Trish spent more than five years at PIMCO as a vice president and
account manager in their investment due diligence group, responsible for supporting the firm’s fixed-income strategies for emerging, international,
and global markets. She was also responsible for developing marketing collateral and messaging on macroeconomic themes, as well as
partnering with sales teams to present to a variety of audiences. Before that, Trish spent nearly nine years at Nuveen Investments in a variety of
fixed-income roles, including vice president and client portfolio manager.
Education: B.A., American Studies, M.B.A., University of Notre Dame
Began career: 1997
Pranay Sonalkar
Associate Portfolio Manager, U.S. Core and Core Plus Fixed Income, Manulife Investment Management
Pranay is an associate portfolio manager on the firm’s U.S. Core and Core Plus Fixed Income team. Previously, he was a credit research analyst
and sector lead responsible for research coverage of the industrials, utilities, and energy sectors. Prior to that, he was a lead credit analyst with
Standard & Poor's on various chemical and environmental services issuers and, before that, he worked for Barclays Capital as a sell-side credit
analyst assisting coverage in multiple sectors.
Education: B.A., Economics and Mathematical Science, Colby College; M.B.A., Cornell University–Samuel Curtis Johnson Graduate School of
Management
Began career: 2007
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Biographies
Connor Minnaar, CFA

Associate Portfolio Manager, Core and Core-Plus Fixed Income, Manulife Investment Management
Effective March 31, 2022, Connor is a portfolio manager on the core and core-plus fixed-income team. Previously, he was an investment analyst
on the firm’s securitized assets research team, where he was responsible for coverage of agency and nonagency mortgage-backed securities
sectors. Prior to joining the company, he was a senior capital reporting and control specialist at Pioneer Investments. Connor holds the Chartered
Financial Analyst designation.
Education: B.A., Economics, Drew University; M.B.A., Boston University
Began career: 2002
Amy C. McPike
Managing Director, Relationship Management, Manulife Investment Management
Amy is responsible for developing and managing relationships with new and existing institutional clients. Amy has extensive experience in client
service and relationship management with both sub-advisory and institutional clients, most recently at Declaration Management and Research, a
Manulife Asset Management affiliate.
Education: Millersville University, BA, 1998: London School of Economics, MSc
Joined Company: Declaration Management & Research 2001; Manulife Asset Management 2012
Began Career: 2001
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Client Reporting Disclosure
© 2022 Manulife Investment Management. All rights returns for each one-year period end in December.
reserved. Manulife Investment Management, the Stylized M Discrepancies may occur due to rounding.
Design, and Manulife Investment Management & Stylized M
Performance information shown is generally for
Design are trademarks of The Manufacturers Life Insurance
discretionary strategies/solutions and managed by an entity
Company and are used by it, and by its affiliates under
which is GIPS compliant and falls under the definition of a
license.
corresponding GIPS firm. Some investment
This confidential document is for the exclusive use of the strategies/solutions may not be included in a GIPS
intended recipient. compliant firm under certain circumstances, e.g., SMA/UMA
business in Canada or UMA models in the US.
About Manulife Investment Management
Any commentary in this report is provided to our clients for
Manulife Investment Management is the global wealth and
informational purposes only and is not an endorsement of
asset management segment of Manulife Financial
any security or sector. The opinions expressed are those of
Corporation. We draw on more than 150 years of financial
Manulife Investment Management as of the date of writing
stewardship to partner with clients across our institutional,
and are subject to change. The information in this document
retail, and retirement businesses globally. Our specialist
including statements concerning financial market trends,
approach to money management includes the highly
future events, targets, management discipline or other
differentiated strategies of our fixed-income, specialized
expectations are based on current market conditions, which
equity, multi-asset solutions, and private markets teams—
will fluctuate and may be superseded by subsequent market
along with access to specialized, unaffiliated asset
events or for other reasons. There is no assurance that
managers from around the world through our multimanager
such events will occur, and if they were to occur, the results
model.
may be significantly different than that shown here. This
Additional information about Manulife Investment material does not constitute an offer or an invitation by or on
Management may be found at behalf of Manulife Investment Management to any person to
www.manulifeim.com/instutitional. buy or sell any security.
The gross returns provided are shown gross of advisory Gain/loss, tax or cost basis data provided is not the official
and investment management fees and other expenses an accounting book of record and should not be used in any
investor would incur which would reduce returns, but net of external financial reporting. Neither Manulife Investment
transaction costs, unless otherwise noted. The net returns Management or its affiliates, nor any of their directors,
shown reflect the deduction of monthly accrued investment officers or employees shall assume any liability or
management fees from the gross returns. The monthly responsibility for any direct or indirect loss or damage or
management fee accruals used are estimates based on any other consequence of any person acting or not acting in
historical assets under management and are subject to reliance on such information contained herein.
change based on actual fees billed. Past performance is
not indicative of future results. Unless otherwise noted,
returns greater than one year are annualized; calendar year
295/521
Holdings
Quarter Ending 30 Sep 2022 in USD - Final
Accrued % of
Units Security Description Security ID Rating Local Price Original Cost Accruals Market Value Portfolio
Fixed Income
Agency Mortgage-Backed Security
Agency MBS
92,586.110 Fannie Mae Pool 4.000% 01 Aug 2032 3138M5KX6 AAA 95.9139 USD 97,768.21 308.62 89,111.52 0.01
722,449.554 Fannie Mae Pool 3.500% 01 Feb 2033 3138EKRW7 AAA 93.0316 USD 745,479.93 2,107.14 674,213.81 0.10
828,820.928 Fannie Mae Pool 3.500% 01 Feb 2042 31417A4Y2 AAA 93.9329 USD 848,078.06 2,417.39 780,953.13 0.12
864,591.233 Fannie Mae Pool 3.000% 01 Jul 2043 31417HBN3 AAA 89.6039 USD 855,723.35 2,161.48 776,869.16 0.12
1,026,748.624 Fannie Mae Pool 3.500% 01 Oct 2044 3138Y3XN6 AAA 92.4223 USD 1,049,023.37 2,994.68 951,939.01 0.15
175,488.655 Fannie Mae Pool 3.500% 01 Apr 2045 3138YDXL8 AAA 92.3598 USD 179,117.93 511.84 162,592.75 0.03
765,871.196 Fannie Mae Pool 4.000% 01 Oct 2045 3140E8C71 AAA 94.4607 USD 802,228.74 2,552.90 726,000.38 0.11
611,575.014 Fannie Mae Pool 3.500% 01 Nov 2045 3138WF2V7 AAA 92.4223 USD 629,444.45 1,783.76 567,015.24 0.09
552,106.858 Fannie Mae Pool 3.000% 01 Dec 2045 3140X43Z7 AAA 89.0414 USD 566,685.90 1,380.27 492,984.08 0.08
34,624.340 Fannie Mae Pool 3.500% 01 Jan 2046 3140EAF40 AAA 92.3598 USD 35,274.59 100.99 32,079.95 0.00
34,477.585 Fannie Mae Pool 3.500% 01 Feb 2046 3140EVLN5 AAA 92.3598 USD 35,125.08 100.56 31,943.98 0.00
860,286.780 Fannie Mae Pool 4.000% 01 May 2046 3138WG6W9 AAA 94.4295 USD 903,142.75 2,867.62 815,231.91 0.13
1,767,143.061 Fannie Mae Pool 3.000% 01 May 2046 3138WG5Q3 AAA 88.7914 USD 1,716,889.96 4,417.86 1,573,489.37 0.24
1,297,678.858 Fannie Mae Pool 3.500% 01 Jun 2046 3140F7P78 AAA 92.7348 USD 1,326,236.81 3,784.90 1,207,184.34 0.19
173,668.786 Fannie Mae Pool 3.500% 01 Jun 2046 3140FBL73 AAA 92.3598 USD 176,930.32 506.53 160,906.61 0.02
2,231,512.248 Fannie Mae Pool 3.500% 01 Jun 2046 3138ETT71 AAA 92.5785 USD 2,281,318.39 6,508.58 2,072,409.48 0.32
47,065.540 Fannie Mae Pool 3.500% 01 Aug 2046 3140FBMD9 AAA 92.6098 USD 48,114.21 137.27 43,724.56 0.01
798,768.127 Fannie Mae Pool 3.500% 01 Sep 2046 3138WH3Q3 AAA 92.4223 USD 816,565.06 2,329.74 740,569.34 0.11
1,807,700.938 Fannie Mae Pool 3.000% 01 Oct 2046 3138ERP87 AAA 88.6977 USD 1,782,266.28 4,519.25 1,607,907.95 0.25
779,389.755 Fannie Mae Pool 3.000% 01 Jan 2047 3138WJTD0 AAA 88.7289 USD 780,607.54 1,948.47 693,492.62 0.11
300,492.669 Fannie Mae Pool 3.000% 01 Feb 2047 3140J7TQ8 AAA 88.9164 USD 297,018.26 751.23 267,938.57 0.04
952,980.096 Fannie Mae Pool 4.000% 01 Mar 2047 3140FS7E7 AAA 94.2982 USD 1,000,006.97 3,176.60 901,819.91 0.14
974,713.939 Fannie Mae Pool 4.000% 01 Mar 2047 3140FS7D9 AAA 94.3232 USD 1,023,422.58 3,249.05 922,630.67 0.14
936,973.983 Fannie Mae Pool 3.000% 01 Oct 2047 3140J7LP8 AAA 88.7602 USD 937,559.58 2,342.43 834,002.18 0.13
343,941.119 Fannie Mae Pool 3.500% 01 Nov 2047 3140Q7WR4 AAA 91.9535 USD 355,869.80 1,003.16 317,269.11 0.05
807,283.468 Fannie Mae Pool 3.500% 01 Jan 2048 3140J7V28 AAA 91.8285 USD 817,752.90 2,354.58 743,671.00 0.11
1,401,194.225 Fannie Mae Pool 3.500% 01 Mar 2048 3140J8A60 AAA 92.0160 USD 1,412,907.34 4,086.82 1,293,409.91 0.20
1,326,135.803 Fannie Mae Pool 3.500% 01 Jun 2048 3140J84L4 AAA 91.8910 USD 1,332,973.72 3,867.90 1,222,467.55 0.19
435,381.107 Fannie Mae Pool 3.000% 01 Nov 2048 3140JATG3 AAA 88.9164 USD 446,945.93 1,088.45 388,213.77 0.06
275,172.393 Fannie Mae Pool 3.000% 01 Dec 2048 3140X4P91 AAA 88.6039 USD 281,793.74 687.93 244,501.47 0.04
4,783,006.442 Fannie Mae Pool 4.000% 01 Jan 2049 3140XFX97 AAA 94.0545 USD 4,829,341.82 15,943.35 4,514,574.95 0.70
1,703,774.264 Fannie Mae Pool 3.500% 01 Jun 2049 3140XDXC5 AAA 91.6723 USD 1,708,033.69 4,969.34 1,566,857.80 0.24
511,906.195 Fannie Mae Pool 4.000% 01 Jul 2049 3140XGX87 AAA 94.2107 USD 515,905.46 1,706.35 483,976.89 0.07
1,026,419.411 Fannie Mae Pool 4.000% 01 Aug 2049 3140X5Q48 AAA 94.1795 USD 1,040,211.92 3,421.40 970,097.81 0.15
763,059.035 Fannie Mae Pool 3.000% 01 Sep 2049 3140QBTF5 AAA 87.5805 USD 783,446.99 1,907.65 670,198.45 0.10
597,923.408 Fannie Mae Pool 3.000% 01 Sep 2049 3140JVEN8 AAA 87.8305 USD 614,436.33 1,494.81 526,653.84 0.08
429,240.934 Fannie Mae Pool 3.500% 01 Sep 2049 3140JVSJ2 AAA 91.1176 USD 442,721.78 1,251.95 392,365.88 0.06
322,518.894 Fannie Mae Pool 3.000% 01 Oct 2049 3140JVS52 AAA 87.8305 USD 327,696.82 806.30 284,076.21 0.04
1,103,337.464 Fannie Mae Pool 3.000% 01 Oct 2049 3140X4XS0 AAA 88.3305 USD 1,130,920.91 2,758.34 977,341.67 0.15
For Institutional/Investment Professional Use Only.

Confidential. Not for distribution to the public. 11
296/521
Holdings
Accrued % of
Fixed Income
Agency MBS
578,863.883 Fannie Mae Pool 3.000% 01 Nov 2049 3140X5CA9 AAA 88.0180 USD 589,988.93 1,447.16 510,951.49 0.08
732,285.911 Fannie Mae Pool 3.000% 01 Nov 2049 3140X47C4 AAA 87.5805 USD 751,851.66 1,830.71 643,170.26 0.10
1,180,166.883 Fannie Mae Pool 3.000% 01 Nov 2049 3140QCBQ8 AAA 87.9867 USD 1,205,061.02 2,950.42 1,041,340.73 0.16
1,026,008.244 Fannie Mae Pool 3.500% 01 Jan 2050 3140X5M42 AAA 91.0238 USD 1,067,850.16 2,992.52 936,904.47 0.14
781,820.020 Fannie Mae Pool 4.000% 01 Feb 2050 3140XECP7 AAA 94.1482 USD 786,950.72 2,606.07 738,675.74 0.11
12,429,662.985 Fannie Mae Pool 2.500% 01 Sep 2050 3140QEY48 AAA 85.0732 USD 13,227,880.41 25,895.13 10,600,211.53 1.63
5,549,500.429 Fannie Mae Pool 2.000% 01 Sep 2050 3140X7ZQ5 AAA 81.7056 USD 5,784,487.11 9,249.17 4,543,500.96 0.70
1,550,197.380 Fannie Mae Pool 2.500% 01 Oct 2050 3140QFBK4 AAA 85.0107 USD 1,648,295.80 3,229.58 1,321,063.77 0.20
2,303,111.138 Fannie Mae Pool 2.500% 01 Dec 2050 3140QF5Y1 AAA 84.8857 USD 2,442,377.40 4,798.15 1,959,810.97 0.30
2,724,551.176 Fannie Mae Pool 2.000% 01 Feb 2051 3140X9UH6 AAA 81.6743 USD 2,736,683.92 4,540.92 2,229,799.98 0.34
5,004,489.171 Fannie Mae Pool 4.000% 01 Mar 2051 3140XHPY7 AAA 93.9295 USD 5,037,331.14 16,681.63 4,717,372.03 0.73
1,365,002.151 Fannie Mae Pool 2.500% 01 Aug 2051 3140XCL97 AAA 84.6904 USD 1,380,678.35 2,843.75 1,158,869.87 0.18
1,783,853.582 Fannie Mae Pool 4.000% 01 Aug 2051 3140XHFS1 AAA 94.2107 USD 1,805,036.84 5,946.18 1,686,527.57 0.26
7,735,357.892 Fannie Mae Pool 2.500% 01 Aug 2051 3140XCRR1 AAA 84.7529 USD 8,101,578.73 16,115.33 6,572,057.40 1.01
1,872,321.528 Fannie Mae Pool 2.500% 01 Aug 2051 3140XCB72 AAA 84.7607 USD 1,895,140.43 3,900.67 1,590,894.16 0.25
3,675,190.538 Fannie Mae Pool 4.000% 01 Oct 2051 3140XGHK8 AAA 93.7107 USD 3,695,289.24 12,250.64 3,456,298.34 0.53
727,898.517 Fannie Mae Pool 2.500% 01 Oct 2051 3140XGYW3 AAA 84.6904 USD 666,482.09 1,516.46 617,976.81 0.10
1,499,707.341 Fannie Mae Pool 2.500% 01 Nov 2051 3140XDYY6 AAA 84.7842 USD 1,519,156.69 3,124.39 1,274,638.89 0.20
1,649,624.966 Fannie Mae Pool 2.500% 01 Jan 2052 3140XFGC9 AAA 84.4951 USD 1,654,780.03 3,436.72 1,397,289.23 0.22
813,085.398 Fannie Mae Pool 3.500% 01 Feb 2052 3140XGNB1 AAA 91.0238 USD 813,847.67 2,371.50 742,472.93 0.11
2,298,010.051 Fannie Mae Pool 3.000% 01 Feb 2052 3140XFYP0 AAA 87.4242 USD 2,254,563.32 5,745.03 2,014,762.74 0.31
2,080,969.950 Fannie Mae Pool 3.000% 01 Feb 2052 3140XFWE7 AAA 87.4867 USD 2,095,114.05 5,202.42 1,825,775.09 0.28
9,271,044.751 Fannie Mae Pool 2.000% 01 Feb 2052 3140XFY54 AAA 81.3618 USD 8,835,015.93 15,451.74 7,558,543.87 1.17
9,132,531.728 Fannie Mae Pool 2.500% 01 Mar 2052 3140QNQL9 AAA 84.3701 USD 8,393,367.44 19,026.11 7,724,153.63 1.19
334,999.131 Fannie Mae Pool 4.000% 01 Apr 2052 3140XGZB8 AAA 93.2420 USD 336,360.06 1,116.66 313,476.47 0.05
1,064,336.751 Fannie Mae Pool 3.500% 01 Apr 2052 3140XGKT5 AAA 90.3441 USD 1,060,511.79 3,104.32 964,670.15 0.15
4,992,899.231 Fannie Mae Pool 4.000% 01 Jun 2052 3140XHTL1 AAA 93.5857 USD 5,031,906.26 16,643.00 4,689,283.94 0.72
1,390,000.049 Fannie Mae Pool 4.500% 01 Jun 2052 3140QPJK4 AAA 95.7185 USD 1,343,956.30 2,085.00 1,332,571.85 0.21
3,180,592.778 Fannie Mae Pool 4.500% 01 Jun 2052 3140XHMR5 AAA 95.5310 USD 3,069,769.00 4,770.89 3,043,222.18 0.47
5,261,868.488 Fannie Mae Pool 4.000% 01 Jul 2052 3140QPRJ8 AAA 93.3279 USD 5,002,474.81 7,015.82 4,917,807.97 0.76
342,512.799 Fannie Mae Pool 4.500% 01 Aug 2052 3140XHVH7 AAA 95.6810 USD 348,720.84 1,284.42 329,004.01 0.05
1,552,801.705 Fannie Mae Pool 4.500% 01 Aug 2052 3140QPYA9 AAA 95.4060 USD 1,573,910.10 5,823.01 1,487,288.62 0.23
2,554,631.274 Fannie Mae Pool 4.500% 01 Aug 2052 3140QP3D7 AAA 95.4060 USD 2,458,832.60 3,831.95 2,441,102.83 0.38
872,420.333 Freddie Mac Gold Pool 3.500% 01 Jun 2043 3132JAZU2 AAA 92.4152 USD 892,412.19 2,544.56 808,793.60 0.12
540,247.037 Freddie Mac Gold Pool 4.000% 01 Jan 2046 31335APE2 AAA 94.8936 USD 568,724.49 1,800.82 514,460.49 0.08
624,088.579 Freddie Mac Gold Pool 3.500% 01 Jan 2046 31335ANJ3 AAA 92.5090 USD 637,820.49 1,820.26 579,158.08 0.09
1,385,138.976 Freddie Mac Gold Pool 3.000% 01 Oct 2046 3132WHEE1 AAA 88.7827 USD 1,364,440.68 3,462.85 1,233,227.12 0.19
635,732.827 Freddie Mac Gold Pool 3.500% 01 Oct 2046 31335AZ84 AAA 92.1340 USD 655,102.80 1,854.22 587,580.02 0.09
891,599.454 Freddie Mac Gold Pool 3.500% 01 Nov 2046 3132WH3H6 AAA 92.3527 USD 893,131.87 2,600.50 826,016.71 0.13

297/521
Holdings
Accrued % of
Fixed Income
Agency MBS
227,443.839 Freddie Mac Gold Pool 3.500% 01 Nov 2046 3132WH5R2 AAA 92.4152 USD 228,385.59 663.38 210,856.07 0.03
380,401.329 Freddie Mac Gold Pool 3.000% 01 Dec 2046 3132L8EV5 AAA 88.9390 USD 376,002.93 951.00 339,276.08 0.05
1,475,348.407 Freddie Mac Gold Pool 3.000% 01 Dec 2046 31335BC20 AAA 88.7827 USD 1,474,541.56 3,688.37 1,313,543.04 0.20
278,453.240 Freddie Mac Gold Pool 3.500% 01 Dec 2046 31335A2V9 AAA 92.5090 USD 286,393.51 812.16 258,406.34 0.04
438,393.531 Freddie Mac Gold Pool 3.000% 01 Apr 2047 31335BD45 AAA 88.7827 USD 438,804.56 1,095.98 390,313.75 0.06
877,381.538 Freddie Mac Gold Pool 4.000% 01 Aug 2047 31335BJ80 AAA 94.5186 USD 914,944.45 2,924.61 832,213.05 0.13
147,259.067 Freddie Mac Non Gold Pool 3.262% 01 Dec 2034 3128JR2N5 AAA 102.2598 USD 155,512.37 788.39 151,375.17 0.02
2,244,004.301 Freddie Mac Pool 3.000% 01 Apr 2047 3132AEKM7 AAA 88.6039 USD 2,261,009.63 5,610.01 1,993,885.90 0.31
1,845,365.084 Freddie Mac Pool 3.000% 01 Sep 2049 3133KGP44 AAA 88.0180 USD 1,903,032.71 4,613.41 1,628,866.57 0.25
1,002,275.609 Freddie Mac Pool 3.000% 01 Oct 2049 3132DMDD4 AAA 88.1117 USD 1,015,743.68 2,505.69 885,628.12 0.14
1,005,602.924 Freddie Mac Pool 3.000% 01 Dec 2049 3133KG6M5 AAA 88.1117 USD 1,029,014.62 2,514.01 888,568.19 0.14
2,260,664.075 Freddie Mac Pool 3.000% 01 Jan 2050 3133A1A51 AAA 88.3617 USD 2,339,434.10 5,651.66 2,003,213.66 0.31
1,576,961.661 Freddie Mac Pool 3.000% 01 Jan 2050 3133A1CC4 AAA 88.1117 USD 1,670,840.15 3,942.40 1,393,430.68 0.21
1,775,387.053 Freddie Mac Pool 2.500% 01 Aug 2050 3132DVLC7 AAA 85.1357 USD 1,891,896.83 3,698.72 1,515,187.54 0.23
2,099,216.423 Freddie Mac Pool 2.500% 01 Aug 2051 3132DVLY9 AAA 84.8232 USD 1,924,719.07 4,373.37 1,784,996.65 0.28
1,492,609.895 Freddie Mac Pool 2.500% 01 Nov 2051 3132DMZF5 AAA 84.6201 USD 1,501,938.72 3,109.60 1,266,157.81 0.20
478,541.240 Freddie Mac Pool 2.000% 01 Nov 2051 3132DMZK4 AAA 81.4243 USD 465,082.24 797.57 390,446.59 0.06
1,576,378.480 Freddie Mac Pool 2.000% 01 Dec 2051 3133KNGS6 AAA 81.3931 USD 1,531,303.91 2,627.30 1,285,690.38 0.20
494,155.656 Freddie Mac Pool 2.500% 01 Dec 2051 3133KNED1 AAA 84.2139 USD 497,321.32 1,029.49 417,177.07 0.06
540,981.956 Freddie Mac Pool 2.000% 01 Jan 2052 3133B3DL8 AAA 81.3618 USD 525,682.31 901.64 441,054.49 0.07
855,879.330 Freddie Mac Pool 3.500% 01 Mar 2052 3133KNWL3 AAA 90.6566 USD 857,216.64 2,496.31 778,407.71 0.12
4,994,597.252 Freddie Mac Pool 4.000% 01 May 2052 3133BAUW9 AAA 93.5232 USD 5,032,056.73 16,648.66 4,687,757.09 0.72
724,402.200 Freddie Mac Pool 4.500% 01 Jul 2052 3132DNEX7 AAA 95.5310 USD 737,984.74 2,716.51 694,745.00 0.11
444,441.285 Freddie Mac Pool 4.500% 01 Aug 2052 3132DNTK9 AAA 95.6810 USD 452,496.78 1,666.65 426,912.40 0.07
6,342,613.541 Freddie Mac Pool 4.000% 01 Aug 2052 3132DNPH0 AAA 93.1092 USD 5,985,841.53 8,456.82 5,914,011.33 0.91
2,200,854.786 Freddie Mac Pool 4.500% 01 Aug 2052 3132DNT86 AAA 95.7185 USD 2,164,059.25 3,301.28 2,109,925.92 0.33
1,822,138.815 Freddie Mac Pool 4.500% 01 Aug 2052 3132DNTB9 AAA 95.7185 USD 1,751,530.94 2,733.21 1,746,856.70 0.27
1,104,000.000 Freddie Mac Pool 4.500% 01 Sep 2052 3132DNYB3 AAA 95.4560 USD 1,081,402.50 1,656.00 1,055,489.96 0.16
Total Agency MBS 179,096,064.20 425,192.37 159,457,806.59 24.59
Total Agency Mortgage-Backed Security 179,096,064.20 425,192.37 159,457,806.59 24.59
Asset Backed Security
ABS
1,547,000.000 Aligned Data Centers Issuer LLC 1.937% 15 Aug 2046 01627AAA6 A3 85.4273 USD 1,529,768.98 1,331.80 1,322,892.13 0.20
AmeriCredit Automobile Receivables Trust
672,000.000 1.590% 20 Oct 2025 03067DAF2 Aa2 96.9828 USD 671,897.32 385.84 652,110.46 0.10
2020-1
1,275,000.000 AMSR 2020-SFR2 Trust 1.632% 17 Jul 2037 00178UAA7 AAA 91.6679 USD 1,275,014.95 1,734.00 1,170,499.47 0.18
308,000.000 AMSR 2020-SFR4 Trust 1.355% 17 Nov 2037 66981FAA8 AAA 89.3835 USD 307,990.70 347.78 275,648.84 0.04
167,000.000 AMSR 2021-SFR4 Trust 2.117% 17 Dec 2038 66982FAA7 AAA 87.0539 USD 166,998.75 294.62 145,674.60 0.02

298/521
Holdings
Accrued % of
Fixed Income
ABS
946,440.000 Applebee's Funding LLC / IHOP Funding 4.194% 05 Jun 2049 03789XAD0 Baa2 95.0627 USD 947,845.88 2,866.77 902,578.19 0.14
346,106.982 Aqua
LLC Finance Trust 2021-A 1.540% 17 Jul 2046 03842VAA5 A3 90.6148 USD 345,809.79 207.28 313,831.36 0.05
939,000.000 Avis Budget Rental Car Funding AESOP 2.360% 20 Mar 2026 05377RDQ4 AAA 93.7367 USD 947,355.81 677.12 880,864.45 0.14
694,000.000 Avis
LLC Budget Rental Car Funding AESOP 2.330% 20 Aug 2026 05377RDU5 AAA 92.1265 USD 698,318.38 494.09 639,852.28 0.10
1,089,091.675 Beacon
LLC Container Finance II LLC 2.250% 22 Oct 2046 07359BAA5 A2 85.8732 USD 1,088,617.92 748.75 935,986.62 0.14
BRE Grand Islander Timeshare Issuer
270,056.676 3.280% 26 Sep 2033 05588UAA0 A2 93.8541 USD 273,082.10 123.03 253,582.37 0.04
2019-A LLC
1,024,105.717 CarMax Auto Owner Trust 2020-3 0.620% 17 Mar 2025 14315FAD9 AAA 98.1236 USD 1,026,801.72 282.20 1,005,171.60 0.15
736,034.681 CARS-DB4 LP 2.690% 15 Feb 2050 12510HAA8 AAA 93.0722 USD 738,965.17 879.97 685,923.71 0.11
1,064,000.000 Carvana Auto Receivables Trust 2021-P2 0.800% 10 Jan 2027 14687TAD9 AAA 90.5857 USD 1,063,635.79 496.53 964,328.38 0.15
1,244,520.730 CF Hippolyta Issuer LLC 1.690% 15 Jul 2060 12530MAA3 Aa3 88.9381 USD 1,227,981.30 934.77 1,107,787.99 0.17
1,133,293.792 CF Hippolyta Issuer LLC 1.530% 15 Mar 2061 12530MAE5 Aa3 86.1637 USD 1,110,954.57 770.64 977,258.16 0.15
1,231,587.011 CLI Funding VI LLC 2.080% 18 Sep 2045 12563LAN7 A2 87.0120 USD 1,228,206.11 925.06 1,072,553.92 0.17
945,384.247 CLI Funding VIII LLC 1.640% 18 Feb 2046 12565KAA5 A2 85.6167 USD 936,877.80 559.88 809,966.86 0.12
946,576.533 CLI Funding VIII LLC 2.720% 18 Jan 2047 12565KAE7 A2 85.8111 USD 913,320.95 929.75 813,197.67 0.13
5,137,000.000 CNH Equipment Trust 2021-B 0.700% 17 May 2027 12657WAD2 AAA 90.2220 USD 5,135,839.55 1,598.18 4,636,302.32 0.71
362,900.000 DB Master Finance LLC 4.030% 20 Nov 2047 233046AF8 Baa2 91.1685 USD 349,546.45 1,665.61 332,515.95 0.05
1,592,962.500 DB Master Finance LLC 2.045% 20 Nov 2051 233046AN1 Baa2 85.2494 USD 1,592,962.50 3,710.05 1,361,700.55 0.21
1,018,000.000 Diamond Infrastructure Funding LLC 1.760% 15 Apr 2049 25265LAA8 A2 82.2940 USD 1,004,080.00 547.46 838,300.38 0.13
2,838,000.000 DLLAA 2021-1 LLC 0.670% 17 Apr 2026 23291YAC9 AAA 94.0287 USD 2,837,590.19 739.46 2,669,272.83 0.41
1,174,650.000 Domino's Pizza Master Issuer LLC 4.118% 25 Jul 2047 25755TAH3 Baa1 92.2680 USD 1,174,231.49 8,868.22 1,092,694.05 0.17
875,912.500 Domino's Pizza Master Issuer LLC 2.662% 25 Apr 2051 25755TAN0 Baa1 82.6380 USD 863,761.59 4,274.74 728,111.66 0.11
886,302.500 DRIVEN BRANDS FUNDING LLC 2.791% 20 Oct 2051 26209XAD3 Baa3 78.9491 USD 886,385.00 4,878.63 704,606.03 0.11
324,414.674 Elara HGV Timeshare Issuer 2019-A LLC 2.610% 25 Jan 2034 28416TAA3 AAA 92.6664 USD 324,326.89 141.12 300,764.36 0.05
280,157.906 Exeter Automobile Receivables Trust 2020- 2.490% 15 Jan 2025 30167HAE8 AAA 99.8971 USD 281,202.77 310.04 280,179.75 0.04
344,000.000 Exeter
1 Automobile Receivables Trust 2021- 0.740% 15 Jan 2026 30166RAE7 Aa1 98.0611 USD 343,915.24 113.14 337,443.32 0.05
1,197,598.142 FirstKey
2 Homes 2020-SFR1 Trust 1.339% 17 Aug 2037 33767MAA3 AAA 88.8924 USD 1,199,437.15 1,336.32 1,065,910.05 0.16
821,314.440 FirstKey Homes 2020-SFR2 Trust 1.266% 19 Oct 2037 33767JAA0 AAA 89.6546 USD 817,229.21 866.49 737,212.83 0.11
608,999.093 FirstKey Homes 2021-SFR1 Trust 1.538% 17 Aug 2038 33767WAA1 AAA 85.9349 USD 608,954.39 780.53 524,123.53 0.08
1,060,000.000 FirstKey Homes 2021-SFR1 Trust 1.888% 17 Aug 2038 33767WAE3 A2 85.0074 USD 1,059,949.33 1,667.73 902,746.17 0.14
440,550.000 Five Guys Funding LLC 4.600% 25 Jul 2047 33830JAA3 Baa3 96.8464 USD 440,550.00 3,715.31 430,372.21 0.07
2,484,000.000 Ford Credit Auto Owner Trust 2018-REV1 3.190% 15 Jul 2031 34532RAA4 AAA 96.2084 USD 2,541,509.18 3,521.76 2,393,339.16 0.37
1,162,000.000 Ford Credit Auto Owner Trust 2020-REV1 2.040% 15 Aug 2031 34531NAA4 AAA 93.0645 USD 1,174,849.96 1,053.55 1,082,462.69 0.17
1,478,000.000 Ford Credit Floorplan Master Owner Trust A 3.060% 15 Apr 2026 34528QGW8 AAA 97.2588 USD 1,525,198.61 2,010.08 1,439,495.14 0.22
929,000.000 Ford Credit Floorplan Master Owner Trust A 1.060% 15 Sep 2027 34528QHQ0 AAA 89.2711 USD 928,963.37 437.66 829,765.71 0.13
235,000.000 GM Financial Automobile Leasing Trust 0.410% 20 May 2025 380144AD7 AAA 96.1097 USD 234,980.21 29.44 225,887.28 0.03
607,000.000 GMF
2021-2Floorplan Owner Revolving Trust 0.680% 15 Aug 2025 361886CH5 AAA 96.6187 USD 607,484.84 183.45 586,659.02 0.09
1,050,000.000 GMF Floorplan Owner Revolving Trust 2.900% 15 Apr 2026 361886CD4 AAA 97.2594 USD 1,049,554.91 1,353.33 1,022,576.93 0.16
1,830,000.000 Golden Credit Card Trust 3.440% 15 Aug 2025 380881ER9 AAA 99.1849 USD 1,917,907.61 2,797.87 1,817,881.36 0.28

299/521
Holdings
Accrued % of
Fixed Income
ABS
218,165.426 Hilton Grand Vacations Trust 2017-A 2.660% 26 Dec 2028 43283AAA3 Aa2 98.4368 USD 214,666.65 96.72 214,851.70 0.03
137,701.946 Hilton Grand Vacations Trust 2018-A 3.540% 25 Feb 2032 43284BAA0 AAA 97.1652 USD 140,701.41 81.24 133,879.58 0.02
911,125.999 Home Partners of America 2019-1 Trust 2.908% 17 Sep 2039 43731QAA6 AAA 90.2502 USD 911,092.58 2,207.96 824,500.54 0.13
352,162.023 Home Partners of America 2021-2 Trust 1.901% 17 Dec 2026 43732VAT3 AAA 86.9015 USD 352,154.59 557.88 306,591.89 0.05
481,000.000 Honda Auto Receivables 2021-2 Owner 0.550% 16 Aug 2027 43811JAD9 AAA 92.6753 USD 480,546.62 117.58 445,885.77 0.07
448,000.000 Hotwire
Trust Funding LLC 2.311% 20 Nov 2051 44148JAA7 A2 85.8291 USD 448,000.00 316.35 384,830.72 0.06
274,815.000 Jack in the Box Funding LLC 4.970% 25 Aug 2049 466365AC7 Baa2 89.1807 USD 281,078.90 1,365.83 246,447.72 0.04
843,480.000 Jack in the Box Funding LLC 3.445% 26 Feb 2052 466365AD5 Baa2 86.9981 USD 843,480.00 2,905.79 736,717.70 0.11
484,000.000 John Deere Owner Trust 2020-B 0.720% 15 Jun 2027 47787NAD1 AAA 95.0301 USD 484,891.39 154.88 460,100.32 0.07
400,330.425 JPMorgan Chase Bank NA - CACLN 0.760% 26 Feb 2029 46591HCD0 Aa2 95.7141 USD 399,384.12 50.71 383,223.41 0.06
97,753.756 Laurel Road Prime Student Loan Trust 2.730% 25 Oct 2048 51889RAB5 AAA 97.9718 USD 97,751.25 44.48 95,815.62 0.01
1,064,000.000 Mercedes-Benz
2019-A Auto Lease Trust 2021-B 0.510% 15 Mar 2027 58769KAE4 AAA 94.1719 USD 1,063,846.78 241.17 1,002,230.08 0.15
2,566,000.000 MMAF Equipment Finance LLC 2021-A 0.560% 13 Jun 2028 55317JAC4 AAA 93.2466 USD 2,563,391.85 718.48 2,393,425.72 0.37
273,073.634 MVW Owner Trust 2018-1 3.450% 21 Jan 2036 62848BAA9 AAA 97.1414 USD 275,729.38 287.87 265,555.37 0.04
136,052.316 Navient Private Education Loan Trust 2016- 3.910% 15 Dec 2045 63939NAB9 AAA 97.3188 USD 136,981.75 236.43 132,640.88 0.02
A
Navient Private Education Refi Loan Trust
276,272.837 2.640% 15 May 2068 63941MAB7 AAA 94.7550 USD 276,174.91 324.16 262,106.43 0.04
2019-E
388,524.898 2.600% 15 Aug 2068 63935CAB7 AAA 92.7431 USD 390,414.44 448.96 360,779.15 0.06
2019-F
538,745.346 2.120% 15 Jan 2069 63941GAB0 AAA 91.5025 USD 538,520.88 507.62 493,473.19 0.08
2020-B
526,811.862 1.170% 16 Sep 2069 63941UAA1 AAA 89.4300 USD 529,240.13 273.94 471,401.79 0.07
2020-G
671,647.420 1.310% 15 Jan 2069 63935BAA1 AAA 90.9076 USD 671,590.21 391.05 610,969.67 0.09
2020-H
684,794.503 0.840% 15 May 2069 63942BAA2 AAA 88.0563 USD 684,568.70 255.66 603,260.57 0.09
2021-A
561,032.311 Navient Student Loan Trust 2020-2 1.320% 26 Aug 2069 63942HAA9 Aa1 84.7931 USD 561,209.87 123.43 475,840.34 0.07
1,259,000.000 New Economy Assets Phase 1 Sponsor 1.910% 20 Oct 2061 643821AA9 Aa3 84.7883 USD 1,236,174.20 734.77 1,068,219.09 0.16
381,000.000 New
LLC Economy Assets Phase 1 Sponsor 2.410% 20 Oct 2061 643821AB7 A3 83.7918 USD 378,625.91 280.56 319,527.17 0.05
490,524.263 Progress
LLC Residential 2020-SFR1 Trust 1.732% 17 Apr 2037 74331CAA6 AAA 92.6505 USD 490,507.98 707.99 455,181.27 0.07
1,863,886.642 Progress Residential 2021-SFR2 Trust 1.546% 19 Apr 2038 74333DAA2 AAA 87.3830 USD 1,846,592.62 2,401.31 1,631,121.75 0.25
1,178,793.253 Progress Residential 2021-SFR5 Trust 1.427% 17 Jul 2038 74333FAA7 AAA 86.0469 USD 1,178,747.17 1,401.78 1,015,717.30 0.16
402,000.000 Progress Residential 2021-SFR8 Trust 1.681% 17 Oct 2038 74333TAC3 Aa3 85.6436 USD 401,990.96 563.14 344,850.57 0.05
1,303,000.000 Santander Revolving Auto Loan Trust 2019- 2.510% 26 Jan 2032 80286JAA3 AAA 94.1406 USD 1,327,185.65 545.09 1,227,197.37 0.19
593,000.000 SCF
A Equipment Leasing 2021-1 LLC 1.370% 20 Aug 2029 783897AD3 AAA 89.6372 USD 592,772.53 248.24 531,797.07 0.08

300/521
Holdings
Accrued % of
Fixed Income
ABS
Sierra Timeshare 2019-1 Receivables
96,426.302 3.200% 20 Jan 2036 82653EAA5 AAA 97.4035 USD 96,424.64 94.28 94,016.89 0.01
Funding LLC
Sierra Timeshare 2021-1 Receivables
444,243.817 0.990% 20 Nov 2037 82652QAA9 AAA 92.7440 USD 444,119.11 134.38 412,143.95 0.06
Funding LLC
595,051.525 SMB Private Education Loan Trust 2019-B 2.840% 15 Jun 2037 83192CAB3 AAA 94.5276 USD 595,014.28 751.09 563,239.25 0.09
716,159.288 SMB Private Education Loan Trust 2020- 1.600% 15 Sep 2054 78449VAB2 AAA 89.3713 USD 709,853.14 190.98 640,232.13 0.10
508,518.779 SMB
PT-A Private Education Loan Trust 2021-A 1.070% 15 Jan 2053 78448YAJ0 AAA 85.2275 USD 506,020.76 241.83 433,639.52 0.07
116,927.734 Sofi Professional Loan Program 2019-B 3.090% 17 Aug 2048 83404WAB3 AAA 94.5890 USD 120,837.49 160.58 110,761.32 0.02
642,333.334 Sonic
LLC Capital LLC 4.336% 20 Jan 2050 83546DAJ7 Baa2 87.4263 USD 685,253.99 851.02 562,419.29 0.09
586,080.000 Sonic Capital LLC 2.190% 20 Aug 2051 83546DAN8 Baa2 79.9746 USD 586,225.48 392.19 469,107.44 0.07
1,372,627.500 Taco Bell Funding LLC 1.946% 25 Aug 2051 87342RAG9 Baa2 83.8502 USD 1,372,820.41 2,671.13 1,153,622.31 0.18
382,000.000 Tesla Auto Lease Trust 2020-A 0.780% 20 Dec 2023 88167HAD8 AAA 98.5873 USD 381,907.79 91.04 376,694.68 0.06
1,326,243.333 TIF Funding II LLC 2.090% 20 Aug 2045 872480AA6 A2 86.6667 USD 1,325,344.10 846.95 1,150,258.02 0.18
577,362.500 TIF Funding II LLC 1.650% 20 Feb 2046 872480AE8 A2 82.9378 USD 576,143.73 291.09 479,143.08 0.07
2,061,000.000 Toyota Auto Loan Extended Note Trust 2.560% 25 Nov 2031 89231XAA9 AAA 96.4127 USD 2,070,605.39 879.36 1,987,944.49 0.31
322,000.000 Toyota
2019-1 Auto Receivables 2020-C Owner 0.570% 15 Oct 2025 89237VAC3 AAA 95.1311 USD 322,002.69 81.57 306,403.84 0.05
1,046,130.377 Tricon
Trust American Homes 2020-SFR2 Trust 1.482% 17 Nov 2039 89613JAA8 AAA 82.6140 USD 1,045,728.85 1,291.97 865,541.91 0.13
1,294,800.000 Triton Container Finance VIII LLC 2.110% 20 Sep 2045 89680HAA0 A2 86.2552 USD 1,280,926.59 834.79 1,117,666.60 0.17
955,387.500 Triton Container Finance VIII LLC 1.860% 20 Mar 2046 89680HAE2 A2 84.1313 USD 920,051.96 542.98 804,323.19 0.12
1,033,131.634 Vantage Data Centers Issuer LLC 3.188% 15 Jul 2044 92212KAA4 A3 95.5215 USD 1,065,369.57 1,463.83 988,326.25 0.15
789,000.000 Vantage Data Centers Issuer LLC 1.645% 15 Sep 2045 92212KAB2 A3 87.9847 USD 788,354.57 576.85 694,775.82 0.11
655,000.000 Vantage Data Centers LLC 1.992% 15 Sep 2045 92212KAC0 A3 83.4821 USD 647,007.93 579.89 547,387.58 0.08
296,570.960 VSE 2017-A VOI Mortgage LLC 2.330% 20 Mar 2035 918288AA9 AAA 95.7162 USD 295,995.14 211.14 284,077.53 0.04
857,150.000 Wendy's Funding LLC 2.370% 15 Jun 2051 95058XAK4 Baa2 79.8324 USD 849,407.53 902.86 685,186.28 0.11
230,872.604 Willis Engine Structured Trust V 3.228% 15 Mar 2045 97064FAA3 A2 80.1462 USD 230,869.20 331.23 185,366.94 0.03
Total ABS 82,114,152.20 94,594.15 74,080,450.40 11.42
Emerging Markets
794,895.000 DRIVEN BRANDS FUNDING LLC 3.237% 20 Jan 2051 26209XAC5 Baa3 84.9012 USD 782,671.30 5,074.68 679,949.99 0.10
1,055,000.000 SCF Equipment Leasing 2019-2 LLC 3.110% 21 Jun 2027 784034AD2 Aa2 94.1452 USD 1,126,212.50 1,002.54 994,234.72 0.15
Total Emerging Markets 1,908,883.80 6,077.22 1,674,184.71 0.26
Total Asset Backed Security 84,023,036.00 100,671.37 75,754,635.11 11.68
Collateralized Mortgage Obligation
Non-Agency MBS
299,824.866 Angel Oak Mortgage Trust 2020-R1 0.990% 25 Apr 2053 034651AA7 AAA 94.4004 USD 299,783.84 247.36 283,283.29 0.04
249,872.410 Angel Oak Mortgage Trust 2021-2 0.985% 25 Apr 2066 03465DAA1 AAA 85.3717 USD 249,830.25 205.10 213,525.37 0.03
577,187.529 Angel Oak Mortgage Trust 2021-4 1.035% 20 Jan 2065 03464EAA0 AAA 81.2982 USD 568,919.75 497.82 469,740.60 0.07

301/521
Holdings
Accrued % of
Fixed Income
Non-Agency MBS
707,587.662 Angel Oak Mortgage Trust 2021-5 0.951% 25 Jul 2066 03465HAA2 AAA 83.1071 USD 707,326.82 560.76 588,616.20 0.09
408,674.652 Arroyo Mortgage Trust 2021-1R 1.175% 25 Oct 2048 042853AA9 AAA 86.0300 USD 408,672.98 400.16 351,982.84 0.05
450,006.129 BRAVO Residential Funding Trust 2021- 0.941% 25 Feb 2049 10569TAA6 AAA 92.3042 USD 435,770.96 352.88 415,727.35 0.06
259,115.173 Citigroup
NQM1 Mortgage Loan Trust 2014-A 4.000% 25 Jan 2035 17322GAA7 AAA 94.4719 USD 268,890.22 863.72 245,654.62 0.04
879,190.668 COLT 2020-RPL1 Trust 1.390% 25 Jan 2065 19687YAA3 AAA 86.5897 USD 879,189.62 1,018.18 762,306.30 0.12
579,532.112 COLT 2021-2 Mortgage Loan Trust 0.924% 25 Aug 2066 19685WAA9 AAA 83.1506 USD 577,184.81 446.24 482,330.78 0.07
798,199.657 COLT 2021-3 Mortgage Loan Trust 0.956% 27 Sep 2066 19688FAA3 AAA 80.4033 USD 796,796.75 635.90 642,414.69 0.10
672,556.170 COLT 2021-HX1 Mortgage Loan Trust 1.110% 25 Oct 2066 19688KAA2 AAA 82.7035 USD 672,145.11 622.11 556,849.67 0.09
709,518.085 Connecticut Avenue Securities Trust 2022- 4.381% 25 Mar 2042 20753XAA2 A3 98.8719 USD 709,576.80 431.69 701,945.84 0.11
304,389.494 Connecticut
R03 Avenue Securities Trust 2022- 4.281% 25 Mar 2042 20753YCH3 A3 98.8949 USD 304,389.50 180.97 301,206.72 0.05
412,244.386 Connecticut
R04 Avenue Securities Trust 2022- 5.031% 25 May 2042 20754NAB1 A3 99.9658 USD 412,806.44 288.04 412,391.52 0.06
938,155.687 CSMC
R06 2021-AFC1 Trust 0.830% 25 Mar 2056 12657LAA2 AAA 82.5038 USD 938,144.90 648.89 774,663.17 0.12
422,584.931 CSMC 2021-NQM2 1.179% 25 Feb 2066 12662EAA1 AAA 87.1967 USD 422,389.01 415.19 368,895.22 0.06
356,289.554 CSMC 2021-NQM3 1.015% 25 Apr 2066 12660LAA7 AAA 83.2124 USD 356,285.38 301.36 296,778.45 0.05
370,099.181 CSMC 2021-NQM5 Trust 0.938% 25 May 2066 22946DAA0 AAA 77.9272 USD 370,096.33 289.29 288,697.18 0.04
684,025.538 CSMC 2021-NQM6 1.174% 25 Jul 2066 12662KAA7 AAA 80.3832 USD 684,022.05 669.20 550,510.61 0.08
979,261.001 CSMC 2021-RPL2Trust 1.115% 25 Jan 2060 12656TAB4 AAA 83.5923 USD 979,260.70 909.54 819,496.33 0.13
889,886.995 Deephaven Residential Mortgage Trust 0.899% 25 Apr 2066 24381WAA6 AAA 84.9402 USD 846,860.94 666.67 756,538.46 0.12
174,910.116 Ellington
2021-2 Financial Mortgage Trust 2017-1 0.797% 25 Feb 2066 31574XAA6 AAA 84.6885 USD 174,907.06 116.17 148,244.91 0.02
421,667.677 Ellington Financial Mortgage Trust 2021-2 0.931% 25 Jun 2066 31572LAA4 AAA 83.7408 USD 421,662.43 327.14 353,435.19 0.05
845,476.775 Flagstar Mortgage Trust 2021-1 2.500% 01 Feb 2051 33852DAB7 AAA 80.0203 USD 873,747.40 1,761.41 678,314.80 0.10
844,018.298 Freddie Mac STACR REMIC Trust 2022- 3.281% 25 Jan 2042 35564KPU7 A3 97.1904 USD 843,087.57 384.58 820,689.09 0.13
754,000.000 Freddie
DNA1 Mac STACR REMIC Trust 2022- 4.681% 25 Feb 2042 35564KRF8 Baa2 93.1139 USD 754,000.00 490.17 702,568.90 0.11
558,554.278 Freddie
DNA2 Mac STACR REMIC Trust 2022- 3.581% 25 Feb 2042 35564KRE1 A2 98.2702 USD 558,554.27 277.78 549,170.02 0.08
759,882.425 Freddie
DNA2 Mac STACR REMIC Trust 2022- 4.281% 25 Apr 2042 35564KUW7 A2 99.0521 USD 759,882.42 451.78 753,131.58 0.12
459,000.000 Freddie
DNA3 Mac STACR REMIC Trust 2022- 5.181% 25 Apr 2042 35564KUX5 Baa2 94.6209 USD 459,000.00 330.27 434,640.02 0.07
700,000.000 Freddie
DNA3 Mac STACR REMIC Trust 2022- 5.631% 25 May 2042 35564KWT2 Baa3 95.2760 USD 700,000.00 547.43 667,479.08 0.10
840,806.096 Freddie
DNA4 Mac STACR REMIC Trust 2022- 4.481% 25 May 2042 35564KWS4 A2 99.1653 USD 841,739.69 523.25 834,311.22 0.13
1,076,000.000 Freddie
DNA4 Mac STACR REMIC Trust 2022- 6.781% 25 Jun 2042 35564KYP8 Baa3 100.4758 USD 1,076,000.00 1,013.34 1,082,132.95 0.17
391,186.100 GCAT
DNA5 2021-NQM1 Trust 0.874% 25 Jan 2066 36167TAA7 AAA 86.1371 USD 381,970.09 284.91 337,241.27 0.05
323,806.399 GCAT 2021-NQM2 Trust 1.036% 25 May 2066 36166XAA9 AAA 85.0080 USD 323,811.56 279.55 275,540.89 0.04
497,016.514 GCAT 2021-NQM3 Trust 1.091% 25 May 2066 36167HAA3 AAA 83.5108 USD 496,999.77 451.87 415,514.54 0.06
GS Mortgage-Backed Securities Corp Trust
224,359.609 1.017% 25 Jul 2061 36262EAA4 AAA 86.0412 USD 224,355.74 190.14 193,231.91 0.03
2021-NQM1
GS Mortgage-Backed Securities Trust 2020-
96,172.903 1.382% 27 Sep 2060 36259WAA9 AAA 91.6674 USD 96,170.92 110.76 88,269.98 0.01
NQM1
319,613.599 Imperial Fund Mortgage Trust 2021-NQM1 1.071% 25 Jun 2056 452764AA1 AAA 84.1570 USD 319,405.50 285.26 269,262.54 0.04
488,264.222 MFA 2021-INV1 Trust 0.852% 25 Jan 2056 552747AA5 AAA 92.5176 USD 480,680.14 346.67 452,077.06 0.07

302/521
Holdings
Accrued % of
Fixed Income
Non-Agency MBS
260,171.358 MFA 2021-NQM1 Trust 1.153% 25 Apr 2065 55283FAA6 AAA 92.4785 USD 260,170.87 249.98 240,852.63 0.04
289,366.573 New Residential Mortgage Loan Trust 2020- 3.500% 25 Oct 2059 64830TAD0 AAA 94.8807 USD 297,277.23 843.99 275,397.02 0.04
955,561.116 NMLT
1 2021-INV1 Trust 1.185% 25 May 2056 62923JAA0 AAA 85.3618 USD 946,423.31 943.62 816,627.31 0.13
342,581.942 NYMT Loan Trust 2022-CP1 2.042% 25 Jul 2061 62955VAA4 AAA 89.8668 USD 342,581.20 583.07 308,450.64 0.05
179,028.596 OBX 2020-EXP2 Trust 2.500% 25 May 2060 67448VAM2 AAA 88.6434 USD 181,893.11 372.98 159,070.07 0.02
553,975.093 OBX 2021-NQM2 Trust 1.101% 25 May 2061 670857AA9 AAA 82.5859 USD 553,974.06 508.27 458,013.59 0.07
673,419.753 OBX 2021-NQM3 Trust 1.054% 25 Jul 2061 67114JAA8 AAA 80.2714 USD 673,410.45 591.49 541,155.22 0.08
340,062.314 Starwood Mortgage Residential Trust 2021- 0.943% 25 May 2065 85573HAA8 AAA 93.5479 USD 340,057.77 267.23 318,388.42 0.05
745,457.178 Starwood
2 Mortgage Residential Trust 2022- 2.447% 25 Dec 2066 85573TAA2 AAA 88.0563 USD 745,444.79 1,520.11 657,942.12 0.10
242,000.000 Towd
1 Point Mortgage Trust 3.407% 25 Oct 2053 89171DAE7 AAA 96.7864 USD 258,183.75 687.13 234,910.15 0.04
523,837.699 Towd Point Mortgage Trust 2015-2 3.371% 25 Nov 2060 89171YAF8 AAA 98.7826 USD 547,410.39 1,447.42 518,907.81 0.08
1,085,000.000 Towd Point Mortgage Trust 2015-6 3.750% 25 Apr 2055 89172RAD7 AAA 93.4134 USD 1,114,881.99 3,390.63 1,016,925.59 0.16
24,540.428 Towd Point Mortgage Trust 2017-2 2.750% 25 Apr 2057 89173HAA4 AAA 99.1698 USD 24,624.86 56.24 24,392.94 0.00
100,551.942 Towd Point Mortgage Trust 2018-1 3.000% 25 Jan 2058 89176EAA8 AAA 97.2258 USD 100,487.14 251.38 98,013.80 0.02
445,336.471 Towd Point Mortgage Trust 2018-4 3.000% 25 Jun 2058 89175TAA6 AAA 93.7249 USD 431,834.56 1,113.34 418,504.37 0.06
69,191.985 Towd Point Mortgage Trust 2018-5 3.250% 25 Jul 2058 89176VAK8 AAA 97.0459 USD 68,280.29 187.39 67,335.37 0.01
400,984.601 Towd Point Mortgage Trust 2018-6 3.750% 25 Mar 2058 89176LAA2 AAA 98.3844 USD 399,314.67 1,253.08 395,759.25 0.06
754,161.173 Towd Point Mortgage Trust 2018-6 3.750% 25 Mar 2058 89176LAL8 AAA 95.9950 USD 738,606.60 2,356.75 726,313.62 0.11
380,290.453 Towd Point Mortgage Trust 2019-1 3.692% 25 Mar 2058 89177BAA3 AAA 94.5583 USD 384,397.53 1,153.88 360,750.07 0.06
374,777.665 Towd Point Mortgage Trust 2019-4 2.900% 25 Oct 2059 89178BAA2 AAA 94.6118 USD 373,808.57 905.71 355,489.68 0.05
554,732.246 Towd Point Mortgage Trust 2020-4 1.750% 25 Oct 2060 89179JAA4 AAA 89.5548 USD 562,430.94 808.98 497,598.22 0.08
153,246.218 Verus Securitization Trust 2020-5 1.218% 25 May 2065 92538CAA9 AAA 92.7939 USD 153,245.23 155.54 142,358.62 0.02
370,290.961 Verus Securitization Trust 2021-1 0.815% 25 Jan 2066 92537QAA9 AAA 86.6021 USD 370,516.31 251.49 320,931.13 0.05
583,918.848 Verus Securitization Trust 2021-3 1.046% 25 Jun 2066 92539LAA8 AAA 82.3938 USD 584,065.84 492.02 481,605.18 0.07
299,588.742 Verus Securitization Trust 2021-4 0.938% 25 Jul 2066 92538HAA8 AAA 80.7348 USD 299,583.42 234.18 242,106.58 0.04
649,199.201 Verus Securitization Trust 2021-5 1.013% 25 Sep 2066 92538KAA1 AAA 83.8414 USD 641,851.61 548.03 544,845.99 0.08
239,753.386 Verus Securitization Trust 2021-R1 0.820% 25 Oct 2063 92538BAA1 AAA 91.7054 USD 239,657.36 163.83 220,030.73 0.03
271,172.684 Verus Securitization Trust 2021-R2 0.918% 25 Feb 2064 92538DAA7 AAA 91.9038 USD 271,168.50 207.45 249,425.56 0.04
435,534.144 Visio 2020-1R Trust 1.312% 25 Nov 2055 92837MAA5 AAA 94.4839 USD 414,041.43 476.18 411,985.82 0.06
Total Non-Agency MBS 33,993,941.50 40,844.94 30,442,898.66 4.69
Total Collateralized Mortgage Obligation 33,993,941.50 40,844.94 30,442,898.66 4.69
Commercial Mortgage-Backed Security
CMBS
BAMLL Commercial Mortgage Securities
415,000.000 3.218% 14 Apr 2033 05526QAA4 AAA 93.4149 USD 438,392.39 1,112.89 388,784.56 0.06
Trust 2015-200P
BAMLL Commercial Mortgage Securities
395,000.000 3.716% 14 Apr 2033 05526QAG1 A3 91.1105 USD 393,458.39 1,223.07 361,109.62 0.06
Trust 2015-200P

303/521
Holdings
Accrued % of
Fixed Income
CMBS
340,000.000 BBCMS Mortgage Trust 2020-C6 2.690% 15 Feb 2053 05492TAB6 AAA 94.2030 USD 350,191.50 762.17 321,052.47 0.05
675,000.000 BBCMS Trust 2015-SRCH 5.122% 10 Aug 2035 05547HAN1 Baa3 86.0028 USD 716,686.52 2,400.83 582,919.46 0.09
713,200.100 Benchmark 2019-B12 Mortgage Trust 3.001% 15 Aug 2052 08162FAB9 AAA 95.6858 USD 734,593.13 1,783.48 684,214.92 0.11
223,000.000 BOCA Commercial Mortgage Trust 2022- 5.164% 15 May 2039 05592LAC0 Aa3 97.5135 USD 222,675.27 511.86 217,966.97 0.03
594,000.000 BOCA Commercial Mortgage Trust 2022- 4.615% 15 May 2039 05592LAA4 AAA 98.1037 USD 593,137.16 1,218.35 583,954.57 0.09
1,687,000.000 BPR
BOCATrust 2022-OANA 4.743% 15 Apr 2037 05592DAA2 AAA 98.7240 USD 1,682,812.87 3,556.48 1,669,030.36 0.26
312,000.000 BX 2021-MFM1 4.318% 15 Jan 2034 05608VAJ5 Baa2 93.9753 USD 305,224.69 598.72 293,801.53 0.05
692,884.603 BX Commercial Mortgage Trust 2020-VKNG 3.748% 15 Oct 2037 12433YAA5 AAA 97.2475 USD 690,424.58 1,154.10 674,967.26 0.10
504,000.000 BX Commercial Mortgage Trust 2021-ACNT 3.668% 15 Nov 2038 05609QAA4 AAA 96.1641 USD 502,756.83 821.63 485,488.49 0.07
1,458,000.000 BX Commercial Mortgage Trust 2021-CIP 3.739% 15 Dec 2038 12434FAA5 AAA 95.9248 USD 1,455,111.86 2,422.87 1,401,006.16 0.22
589,000.000 BX Commercial Mortgage Trust 2021-VOLT 3.918% 15 Sep 2036 05609VAJ4 A3 92.8357 USD 589,622.50 1,025.57 547,827.90 0.08
1,262,000.000 BX Commercial Mortgage Trust 2022-AHP 3.835% 17 Jan 2039 05610FAA5 AAA 96.0586 USD 1,258,012.15 2,151.22 1,214,410.37 0.19
187,000.000 CAMB Commercial Mortgage Trust 2019- 4.568% 15 Dec 2037 12482HAL8 A3 96.4939 USD 187,248.36 379.65 180,823.26 0.03
LIFE
Cantor Commercial Real Estate Lending
1,241,000.000 3.623% 15 May 2052 12529MAB4 AAA 97.1379 USD 1,274,962.92 3,747.20 1,209,228.66 0.19
2019-CF1
656,000.000 Citigroup Commercial Mortgage Trust 2019- 3.341% 10 May 2036 29429JAA8 AAA 97.5852 USD 684,480.38 1,826.41 641,985.06 0.10
PRM
Citigroup COmmercial Mortgage Trust
336,000.000 4.149% 10 Jan 2036 29429MAA1 AAA 97.6292 USD 361,294.22 1,161.72 329,195.66 0.05
2019-SMRT
Citigroup Commercial Mortgage Trust 2020-
1,110,000.000 2.708% 15 Feb 2053 17328RAX7 AAA 93.8816 USD 1,143,250.16 2,504.90 1,044,590.22 0.16
GC46
1,243,153.692 COMM 2012-CCRE3 Mortgage Trust 1.747% 15 Oct 2045 12624PAF2 A2 0.2693 USD 88,234.78 1,810.00 5,157.44 0.00
440,000.000 COMM 2013-300P Mortgage Trust 4.540% 10 Aug 2030 12625XAL1 Baa3 94.0553 USD 466,348.44 1,664.65 415,507.84 0.06
1,775,000.000 COMM 2013-CCRE10 Mortgage Trust 4.210% 10 Aug 2046 12626BAD6 AAA 99.3222 USD 1,921,160.16 6,227.29 1,769,195.81 0.27
259,000.000 COMM 2017-PANW Mortgage Trust 3.244% 10 Oct 2029 12595HAA6 AAA 94.4010 USD 263,836.02 700.16 245,198.75 0.04
8,079,212.394 COMM 2018-COR3 Mortgage Trust 0.576% 10 May 2051 12595VAE7 Aa1 2.0181 USD 302,694.69 3,879.47 166,926.86 0.03
410,000.000 COMM 2020-CBM Mortgage Trust 2.896% 10 Feb 2037 20049AAB4 AAA 91.8943 USD 416,511.97 989.47 377,756.26 0.06
Credit Suisse Mortgage Capital Certificates
291,000.000 4.048% 15 May 2036 12653VAC0 Aa1 98.1084 USD 276,086.25 523.54 286,018.98 0.04
2019-ICE4
186,957.266 CSMC 2020-NET 2.257% 15 Aug 2037 126438AA8 AAA 90.6042 USD 192,726.12 351.62 169,742.72 0.03
906,000.000 DBJPM 20-C9 Mortgage Trust 1.900% 15 Aug 2053 233063AF3 AAA 90.9034 USD 917,823.55 1,434.50 825,018.94 0.13
Freddie Mac Multifamily Structured Pass
9,258,379.436 1.238% 25 Mar 2024 3137BBBE9 AAA 1.1984 USD 605,411.11 9,550.73 120,505.00 0.02
Through Certificates
1,582,422.728 Government National Mortgage Association 0.272% 16 Apr 2057 38379RG98 AAA 2.2253 USD 99,890.44 359.12 35,572.93 0.01
2,095,168.431 Government National Mortgage Association 0.685% 16 Nov 2057 38379U7Q3 AAA 3.9278 USD 0.00 1,195.56 83,489.38 0.01
703,595.605 Government National Mortgage Association 0.797% 16 Dec 2057 38379RNC3 AAA 4.1196 USD 68,160.80 467.13 29,452.74 0.00
1,515,234.010 Government National Mortgage Association 0.618% 16 Jul 2058 38379RPH0 AAA 3.1018 USD 113,169.06 780.62 47,780.00 0.01

304/521
Holdings
Accrued % of
Fixed Income
CMBS
2,161,294.971 Government National Mortgage Association 0.470% 16 Sep 2058 38379RZB2 AAA 2.6118 USD 150,108.68 847.32 57,296.67 0.01
1,408,907.262 Government National Mortgage Association 0.610% 16 Jan 2059 38379RW58 AAA 3.1836 USD 103,246.49 716.03 45,569.86 0.01
1,071,571.903 Government National Mortgage Association 0.486% 16 Feb 2059 38379R4P5 AAA 3.4499 USD 72,168.96 433.93 37,402.14 0.01
1,349,126.952 Government National Mortgage Association 0.769% 16 May 2059 38379RSQ7 AAA 4.1311 USD 113,832.59 864.08 56,597.73 0.01
1,943,326.777 Government National Mortgage Association 0.545% 16 Jul 2059 38379RZH9 AAA 3.6624 USD 158,502.60 883.23 72,055.05 0.01
4,317,362.809 Government National Mortgage Association 0.475% 16 Jan 2060 38380J2B3 AAA 4.2873 USD 235,768.46 1,707.45 186,804.88 0.03
5,609,548.776 Government National Mortgage Association 0.423% 16 Jan 2060 38380JJ90 AAA 3.6193 USD 298,007.21 1,976.90 205,004.42 0.03
2,959,984.940 Government National Mortgage Association 0.602% 16 Apr 2060 38380JQ50 AAA 4.9441 USD 175,286.57 1,486.13 147,830.45 0.02
1,799,068.248 Government National Mortgage Association 0.710% 16 Apr 2060 38380MFV8 AAA 4.3430 USD 106,538.56 1,064.49 79,197.48 0.01
1,942,035.913 Government National Mortgage Association 0.471% 16 Jun 2060 38380J7L6 AAA 3.9734 USD 109,239.49 762.72 77,927.96 0.01
2,768,016.891 Government National Mortgage Association 0.762% 16 May 2061 38380MUV1 AAA 5.3436 USD 207,493.14 1,757.21 149,670.07 0.02
2,086,136.583 Government National Mortgage Association 0.802% 16 Jul 2061 38380NPW3 AAA 5.7416 USD 181,233.10 1,393.68 121,170.46 0.02
1,173,826.293 Government National Mortgage Association 0.760% 16 May 2062 38380PV76 AAA 6.4009 USD 100,142.03 743.66 75,879.22 0.01
2,160,877.109 Government National Mortgage Association 0.784% 16 May 2062 38380PXL3 AAA 6.2791 USD 184,687.46 1,411.32 137,094.31 0.02
6,456,634.347 Government National Mortgage Association 0.846% 16 Jun 2062 38380PWY6 AAA 6.2132 USD 551,735.18 4,554.03 405,716.99 0.06
4,199,952.132 Government National Mortgage Association 0.886% 16 Jun 2062 38380P2F0 AAA 6.5150 USD 376,450.85 3,099.53 276,726.41 0.04
2,388,667.677 Government National Mortgage Association 0.601% 16 Aug 2062 38380PY57 AAA 5.3757 USD 192,586.34 1,196.60 129,604.69 0.02
7,769,164.543 Government National Mortgage Association 0.794% 16 Sep 2062 38380P4X9 AAA 6.0550 USD 652,915.87 5,139.43 475,561.57 0.07
6,384,737.779 Government National Mortgage Association 0.866% 16 Sep 2062 38380RQC7 AAA 6.7628 USD 564,151.43 4,610.26 436,396.03 0.07
4,963,600.398 Government National Mortgage Association 0.832% 16 Nov 2062 38380RGN4 AAA 6.6273 USD 423,457.15 3,443.42 332,395.12 0.05
3,746,318.482 Government National Mortgage Association 0.957% 16 Dec 2062 38380RBL3 AAA 7.2456 USD 328,095.55 2,988.50 274,431.56 0.04
5,254,113.642 Government National Mortgage Association 1.021% 16 Dec 2062 38380RRL6 AAA 7.4229 USD 480,874.54 4,468.40 394,476.00 0.06
2,800,664.529 Government National Mortgage Association 0.872% 16 Jan 2063 38381D8R4 AAA 6.6901 USD 225,365.97 2,034.10 189,401.50 0.03
1,651,936.073 Government National Mortgage Association 0.824% 16 Feb 2063 38380RE71 AAA 6.6910 USD 133,703.58 1,134.21 111,664.59 0.02
3,524,178.108 Government National Mortgage Association 0.983% 16 May 2063 38380RQU7 AAA 7.5796 USD 318,690.34 2,887.74 270,007.75 0.04
9,048,367.493 Government National Mortgage Association 0.866% 16 Jul 2063 38381EEL8 AAA 6.9996 USD 636,213.35 6,531.71 639,879.43 0.10
5,416,732.834 Government National Mortgage Association 0.756% 16 Sep 2063 38381EW61 AAA 6.5078 USD 379,375.06 3,411.77 355,921.91 0.05
1,870,795.792 Government National Mortgage Association 0.783% 16 Oct 2063 38381ERF7 AAA 6.8747 USD 148,202.10 1,220.06 129,832.03 0.02
3,725,893.435 Government National Mortgage Association 0.796% 16 Mar 2064 38381D2H2 AAA 6.7216 USD 309,569.34 2,472.94 252,911.85 0.04
4,264,064.921 Government National Mortgage Association 0.802% 16 Jun 2064 38381EVR6 AAA 6.9557 USD 334,810.88 2,848.47 299,443.61 0.05
7,179,474.343 Government National Mortgage Association 0.713% 16 Jun 2064 38381E3Q9 AAA 6.1048 USD 482,370.92 4,262.93 442,558.71 0.07
420,000.000 GS Mortgage Securities Corp Trust 2020- 2.751% 10 Feb 2037 36258PAA5 AAA 92.0781 USD 432,595.80 962.85 387,690.70 0.06
1,294,000.000 GS
UPTNMortgage Securities Corp Trust 2021- 3.768% 15 Dec 2036 36264LAA6 AAA 96.0715 USD 1,294,000.00 2,166.85 1,245,331.67 0.19
720,000.000 GS
STARMortgage Securities Trust 2019-GC40 2.971% 10 Jul 2052 36257HBM7 AAA 96.1270 USD 741,569.76 1,782.60 693,896.64 0.11
283,000.000 IMT Trust 2017-APTS 3.478% 15 Jun 2034 44974AAS6 AAA 95.7657 USD 291,180.47 820.23 271,837.02 0.04
337,500.000 IMT Trust 2017-APTS 3.613% 15 Jun 2034 44974ABA4 A1 94.1915 USD 337,229.70 1,016.20 318,912.34 0.05
1,037,000.000 INTOWN 2022-STAY Mortgage Trust 5.334% 15 Aug 2037 46117NAA0 AAA 99.1550 USD 1,031,814.95 2,458.20 1,030,695.24 0.16
581,000.000 Irvine Core Office Trust 2013-IRV 3.279% 15 May 2048 46361TAC6 AAA 98.4240 USD 594,842.04 1,111.26 572,954.87 0.09

305/521
Holdings
Accrued % of
Fixed Income
CMBS
J.P. Morgan Chase Commercial Mortgage
653,000.000 3.024% 05 Jan 2039 46655AAA6 AAA 86.6584 USD 671,282.69 1,535.96 567,414.99 0.09
Securities Trust 2022-NXSS
JPMBB Commercial Mortgage Securities
947,255.524 4.096% 15 Nov 2045 46640NAD0 AAA 98.9323 USD 1,018,003.65 3,233.30 940,374.79 0.14
Trust 2013-C15
JPMCC Commercial Mortgage Securities
1,331,045.298 3.150% 13 Jun 2052 46591EAR8 AAA 96.9164 USD 1,370,971.47 3,493.88 1,293,495.60 0.20
Trust 2019-COR5
958,000.000 KNDL 2019-KNSQ Mortgage Trust 3.868% 15 May 2036 482598AJ8 Aa2 97.2971 USD 948,806.88 1,646.91 933,753.03 0.14
620,254.164 Life 2021-BMR Mortgage Trust 4.218% 15 Mar 2038 53218CAG5 A3 94.9574 USD 617,993.33 1,162.77 590,139.94 0.09
698,891.776 Life 2021-BMR Mortgage Trust 3.518% 15 Mar 2038 53218CAA8 AAA 96.2607 USD 698,729.59 1,092.76 673,850.81 0.10
1,690,000.000 Life 2022-BMR Mortgage Trust 4.141% 15 May 2039 53218DAA6 AAA 97.3215 USD 1,681,549.83 3,110.07 1,647,843.08 0.25
749,148.732 MHP 2022-MHIL 3.660% 15 Jan 2027 55293DAA9 AAA 95.6777 USD 745,998.79 1,218.61 717,986.96 0.11
1,775,000.000 Olympic Tower 2017-OT Mortgage Trust 3.566% 10 May 2039 68162MAA0 AAA 89.0049 USD 1,828,244.91 5,274.71 1,585,111.69 0.24
1,155,000.000 SLG Office Trust 2021-OVA 2.851% 15 Jul 2041 78449RAG0 A3 75.4940 USD 1,189,770.67 2,743.71 874,699.64 0.13
1,682,000.000 SMRT 2022-MINI 3.846% 15 Jan 2039 78457JAA0 AAA 96.0976 USD 1,681,631.88 2,875.10 1,619,236.56 0.25
Wells Fargo Commercial Mortgage Trust
1,005,055.070 3.039% 15 Jun 2052 95001VAR1 AAA 97.0284 USD 1,035,178.57 2,545.30 977,734.56 0.15
2019-C51
Total CMBS 46,262,608.04 172,900.50 41,219,071.73 6.36
Total Commercial Mortgage-Backed Security 46,262,608.04 172,900.50 41,219,071.73 6.36
Corporate Bond
ABS
790,000.000 SBA Tower Trust 2.836% 15 Jan 2025 78403DAN0 A2 93.6392 USD 790,000.00 995.75 740,745.75 0.11
IG Corp Financial Institutions
AerCap Ireland Capital DAC / AerCap
391,000.000 1.650% 29 Oct 2024 00774MAU9 Baa3 91.4476 USD 390,522.98 2,723.97 360,284.15 0.06
Global Aviation Trust
AerCap Ireland Capital DAC / AerCap
2,361,000.000 2.450% 29 Oct 2026 00774MAV7 Baa3 84.4845 USD 2,235,531.69 24,423.23 2,019,101.33 0.31
Global Aviation Trust
375,000.000 Air Lease Corp 2.875% 15 Jan 2026 00914AAJ1 Baa2 89.6122 USD 380,088.75 2,276.04 338,321.64 0.05
390,000.000 Air Lease Corp 2.100% 01 Sep 2028 00914AAQ5 Baa2 78.0215 USD 383,459.70 682.50 304,966.39 0.05
381,000.000 American Homes 4 Rent LP 4.250% 15 Feb 2028 02666TAA5 Baa3 92.2445 USD 384,072.39 2,069.04 353,520.61 0.05
730,000.000 Ares Capital Corp 3.875% 15 Jan 2026 04010LAZ6 Baa3 91.0866 USD 786,421.70 5,971.81 670,904.34 0.10
760,000.000 Ares Capital Corp 2.150% 15 Jul 2026 04010LBA0 Baa3 83.9223 USD 756,906.80 3,449.56 641,259.41 0.10
582,000.000 Ares Capital Corp 2.875% 15 Jun 2028 04010LBB8 Baa3 78.8612 USD 579,287.88 4,926.79 463,898.78 0.07
1,218,000.000 Athene Holding Ltd 3.500% 15 Jan 2031 04686JAC5 Baa1 80.2194 USD 1,204,810.90 8,999.67 986,071.45 0.15

306/521
Holdings
Accrued % of
Fixed Income
Corporate Bond
Australia & New Zealand Banking Group
875,000.000 3.700% 16 Nov 2025 05253JAL5 Aa3 96.5452 USD 915,941.25 12,140.63 856,911.30 0.13
Ltd/New York NY
600,000.000 Banco Santander SA 4.379% 12 Apr 2028 05964HAJ4 A3 89.3389 USD 600,000.00 12,334.18 548,367.78 0.08
938,000.000 Bank of America Corp 3.248% 21 Oct 2027 06051GGA1 A2 89.7472 USD 1,033,536.66 13,540.55 855,368.83 0.13
1,095,000.000 Bank of America Corp 2.087% 14 Jun 2029 06051GJZ3 A2 81.3415 USD 1,095,000.00 6,792.32 897,481.65 0.14
3,160,000.000 Bank of America Corp 4.271% 23 Jul 2029 06051GHM4 A2 91.3276 USD 3,744,252.40 25,493.12 2,911,444.90 0.45
967,000.000 Bank of America Corp 2.592% 29 Apr 2031 06051GJB6 A2 79.4065 USD 969,933.78 10,582.85 778,443.42 0.12
1,657,000.000 Bank of America Corp 2.687% 22 Apr 2032 06051GJT7 A2 78.1895 USD 1,673,800.18 19,664.59 1,315,264.07 0.20
919,000.000 Bank of America Corp 3.846% 08 Mar 2037 06051GKL2 Baa1 80.8131 USD 919,000.00 2,258.14 744,930.92 0.11
3,309,000.000 Bank of Montreal 1.850% 01 May 2025 06367WB85 A2 92.1129 USD 3,420,116.22 25,506.88 3,073,521.09 0.47
3,135,000.000 BlackRock Inc 3.200% 15 Mar 2027 09247XAN1 Aa3 94.3236 USD 3,263,933.65 4,458.67 2,961,504.35 0.46
733,000.000 Blackstone Private Credit Fund 2.350% 22 Nov 2024 09261HAH0 Baa3 91.3235 USD 732,494.23 6,172.47 675,573.66 0.10
165,000.000 Blackstone Private Credit Fund 3.250% 15 Mar 2027 09261HAK3 Baa3 82.9118 USD 164,749.20 238.33 137,042.83 0.02
811,000.000 Blackstone Private Credit Fund 4.000% 15 Jan 2029 09261HAR8 Baa3 80.2041 USD 805,339.22 6,848.44 657,303.77 0.10
1,654,000.000 Charles Schwab Corp/The 1.150% 13 May 2026 808513BR5 A2 87.5957 USD 1,650,162.72 7,291.38 1,456,123.58 0.22
1,775,000.000 Charles Schwab Corp/The 3.300% 01 Apr 2027 808513BW4 A2 93.6069 USD 1,957,416.75 29,287.50 1,690,810.53 0.26
530,000.000 Citigroup Inc 2.561% 01 May 2032 172967MY4 A3 76.8937 USD 530,000.00 5,655.54 413,191.95 0.06
1,077,000.000 Citizens Financial Group Inc 3.250% 30 Apr 2030 174610AT2 Baa1 81.9033 USD 1,151,621.33 14,681.60 896,779.83 0.14
1,029,000.000 Credit Agricole SA 3.250% 14 Jan 2030 225313AM7 Baa1 79.1979 USD 1,022,743.68 7,152.98 822,099.68 0.13
679,000.000 Deutsche Bank AG/New York NY 2.311% 16 Nov 2027 251526CP2 Baa2 81.2370 USD 679,000.00 5,884.38 557,483.54 0.09
1,117,000.000 Deutsche Bank AG/New York NY 2.552% 07 Jan 2028 25160PAH0 Baa2 81.3073 USD 1,117,000.00 6,651.36 914,853.71 0.14
2,356,000.000 Goldman Sachs Group Inc/The 2.615% 22 Apr 2032 38141GYB4 A2 77.6300 USD 2,330,249.16 27,210.82 1,856,173.78 0.29
1,076,000.000 Host Hotels & Resorts LP 4.000% 15 Jun 2025 44107TAV8 Baa3 95.0618 USD 1,156,394.05 12,672.89 1,035,537.42 0.16
358,000.000 Host Hotels & Resorts LP 4.500% 01 Feb 2026 44107TAW6 Baa3 95.0523 USD 389,531.50 2,685.00 342,972.30 0.05
887,000.000 Host Hotels & Resorts LP 3.375% 15 Dec 2029 44107TAY2 Baa3 81.1412 USD 898,548.74 8,814.56 728,537.26 0.11
1,000,000.000 JPMorgan Chase & Co 6.750% 46625HJQ4 Baa2 99.1551 USD 1,097,500.00 11,250.00 1,002,801.10 0.15
1,260,000.000 JPMorgan Chase & Co 4.080% 26 Apr 2026 46647PCZ7 A1 96.3444 USD 1,256,724.00 22,134.00 1,236,073.35 0.19
2,004,000.000 JPMorgan Chase & Co 2.522% 22 Apr 2031 46647PBL9 A1 79.1798 USD 2,010,984.10 22,322.22 1,609,084.41 0.25
490,000.000 Lazard Group LLC 4.375% 11 Mar 2029 52107QAK1 Baa1 91.9204 USD 486,280.90 1,190.97 451,600.73 0.07
757,000.000 Liberty Mutual Group Inc 5.500% 15 Jun 2052 53079EBN3 Baa2 86.5068 USD 755,327.03 13,300.07 668,156.21 0.10
3,309,000.000 MetLife Inc 3.000% 01 Mar 2025 59156RBM9 A3 96.6893 USD 3,553,866.00 8,272.50 3,207,720.78 0.49
1,326,000.000 Morgan Stanley 2.484% 16 Sep 2036 61747YEF8 Baa1 71.8039 USD 1,326,000.00 1,372.41 953,492.34 0.15
1,192,000.000 NatWest Markets PLC 1.600% 29 Sep 2026 63906YAD0 A1 84.5654 USD 1,191,713.92 105.96 1,008,125.29 0.16
404,000.000 New York Life Insurance Co 3.750% 15 May 2050 64952GAT5 Aa2 74.2483 USD 401,531.56 5,723.33 305,686.58 0.05
615,000.000 Nippon Life Insurance Co 5.100% 16 Oct 2044 654579AD3 A3 97.3364 USD 674,040.00 14,375.63 612,994.53 0.09
1,115,000.000 Nippon Life Insurance Co 2.750% 21 Jan 2051 654579AH4 A3 78.1377 USD 1,115,000.00 5,962.15 877,197.94 0.14
1,500,000.000 PNC Bank NA 3.250% 01 Jun 2025 69353REQ7 A2 95.8866 USD 1,527,465.00 16,250.00 1,454,549.12 0.22
3,866,000.000 PNC Bank NA 3.100% 25 Oct 2027 69353RFG8 A2 91.5497 USD 4,230,771.56 51,933.27 3,591,243.55 0.55
984,000.000 PNC Financial Services Group Inc/The 6.460% 693475AK1 Baa2 99.7125 USD 1,079,940.00 10,771.46 991,942.01 0.15

307/521
Holdings
Accrued % of
Fixed Income
Corporate Bond
1,161,000.000 PNC Financial Services Group Inc/The 3.400% 693475BC8 Baa2 74.8778 USD 1,161,000.00 1,754.40 871,085.10 0.13
454,000.000 Prudential Financial Inc 5.125% 01 Mar 2052 744320BJ0 Baa1 86.8320 USD 454,000.00 2,003.59 396,220.87 0.06
709,000.000 Santander Holdings USA Inc 2.490% 06 Jan 2028 80282KBC9 Baa1 83.5201 USD 709,000.00 4,168.33 596,325.97 0.09
3,931,000.000 Simon Property Group LP 2.450% 13 Sep 2029 828807DF1 A3 81.4741 USD 4,000,715.38 4,815.48 3,207,561.45 0.49
334,000.000 SMBC Aviation Capital Finance DAC 2.300% 15 Jun 2028 78448TAF9 A3 79.0386 USD 333,979.96 2,261.92 266,250.75 0.04
454,000.000 Societe Generale SA 6.221% 15 Jun 2033 83368RBL5 Baa3 88.7845 USD 454,000.00 8,316.09 411,397.53 0.06
Teachers Insurance & Annuity Association
1,210,000.000 4.270% 15 May 2047 878091BF3 Aa3 81.5167 USD 1,222,966.50 19,518.64 1,005,871.27 0.16
of America
1,793,000.000 UnitedHealth Group Inc 3.750% 15 Jul 2025 91324PCP5 A2 97.2926 USD 1,853,442.03 14,194.58 1,758,651.35 0.27
1,775,000.000 US Bancorp 3.150% 27 Apr 2027 91159HHR4 A1 93.1219 USD 1,773,935.00 23,918.13 1,676,831.77 0.26
1,229,000.000 Wells Fargo & Co 2.879% 30 Oct 2030 95000U2G7 A1 82.2929 USD 1,278,776.23 14,841.17 1,026,220.79 0.16
666,000.000 Wells Fargo & Co 3.350% 02 Mar 2033 95000U2U6 A1 81.2272 USD 666,000.00 1,797.28 542,770.72 0.08
727,000.000 Wells Fargo & Co 3.068% 30 Apr 2041 95000U2Q5 A1 68.8674 USD 727,000.00 9,355.44 510,021.10 0.08
Total IG Corp Financial Institutions 74,663,826.68 621,450.81 63,505,926.86 9.79
IG Corp Industrial
2,262,000.000 AbbVie Inc 3.200% 21 Nov 2029 00287YBX6 Baa2 87.6256 USD 2,348,721.24 26,138.67 2,008,230.13 0.31
3,309,000.000 Adobe Inc 1.900% 01 Feb 2025 00724PAB5 A2 94.1117 USD 3,436,595.04 10,478.50 3,124,634.19 0.48
Alaska Airlines 2020-1 Class B Pass
215,425.220 8.000% 15 Aug 2025 01166WAA5 Baa2 102.1253 USD 233,168.89 2,202.12 222,205.84 0.03
Through Trust
754,000.000 Amazon.com Inc 4.050% 22 Aug 2047 023135BJ4 Aa3 84.6419 USD 831,403.14 3,308.18 641,507.75 0.10
American Airlines 2021-1 Class A Pass
416,000.000 2.875% 11 Jul 2034 02379KAA2 A3 81.5253 USD 416,000.00 2,657.78 341,802.86 0.05
Through Trust
1,232,000.000 American Tower Corp 3.800% 15 Aug 2029 03027XAW0 Baa3 87.8601 USD 1,152,210.97 5,982.04 1,088,418.23 0.17
1,845,000.000 American Tower Corp 3.100% 15 Jun 2050 03027XBD1 Baa3 62.5347 USD 1,832,472.45 16,840.75 1,170,606.72 0.18
636,000.000 Anheuser-Busch InBev Worldwide Inc 4.600% 15 Apr 2048 035240AN0 Baa1 83.1070 USD 629,575.04 13,490.27 542,050.78 0.08
3,309,000.000 Applied Materials Inc 3.900% 01 Oct 2025 038222AJ4 A2 97.9925 USD 3,690,097.53 64,525.50 3,307,095.67 0.51
1,775,000.000 Applied Materials Inc 3.300% 01 Apr 2027 038222AL9 A2 93.9131 USD 1,768,698.75 29,287.50 1,696,244.49 0.26
408,000.000 Ashtead Capital Inc 1.500% 12 Aug 2026 045054AN3 Baa3 83.9610 USD 406,943.28 833.00 343,393.90 0.05
246,000.000 Ashtead Capital Inc 4.250% 01 Nov 2029 045054AL7 Baa3 87.3827 USD 246,000.00 4,356.25 219,317.74 0.03
710,000.000 Ashtead Capital Inc 5.500% 11 Aug 2032 04505AAA7 Baa3 92.9731 USD 702,963.90 5,423.61 665,532.75 0.10
1,132,000.000 AT&T Inc 3.500% 01 Jun 2041 00206RJZ6 Baa2 72.2370 USD 1,187,748.88 13,206.67 830,929.11 0.13
1,460,000.000 AT&T Inc 3.650% 01 Jun 2051 00206RKA9 Baa2 67.8302 USD 1,397,334.39 17,763.33 1,008,084.10 0.16
1,060,000.000 BMW US Capital LLC 2.800% 11 Apr 2026 05565EAH8 A2 92.6571 USD 1,028,390.80 14,015.56 996,181.23 0.15
2,685,000.000 BMW US Capital LLC 3.300% 06 Apr 2027 05565EAT2 A2 92.4883 USD 2,810,973.85 43,071.88 2,526,382.55 0.39
1,834,000.000 Boeing Co/The 5.150% 01 May 2030 097023CY9 Baa3 92.6222 USD 1,778,238.41 39,354.58 1,738,046.22 0.27
942,000.000 Booking Holdings Inc 4.625% 13 Apr 2030 09857LAR9 A3 94.1542 USD 1,137,508.21 20,331.50 907,263.84 0.14
2,481,000.000 Bristol-Myers Squibb Co 1.125% 13 Nov 2027 110122DP0 A2 83.6815 USD 2,423,391.18 10,699.31 2,086,838.54 0.32

308/521
Holdings
Accrued % of
Fixed Income
Corporate Bond
IG Corp Industrial
British Airways 2013-1 Class A Pass
279,034.580 4.625% 20 Jun 2024 11042AAA2 A2 97.2810 USD 298,567.00 394.33 271,841.96 0.04
Through Trust
237,589.670 4.125% 20 Sep 2031 11043HAA6 Baa2 84.7616 USD 235,831.49 299.46 201,684.27 0.03
Through Trust
207,650.580 4.250% 15 Nov 2032 11044MAA4 A3 90.2534 USD 207,650.58 1,127.66 188,539.26 0.03
Through Trust
British Airways 2020-1 Class B Pass
313,168.490 8.375% 15 Nov 2028 11042WAA4 Baa2 101.3046 USD 367,161.96 3,351.34 320,605.36 0.05
Through Trust
2,701,000.000 Broadcom Inc 4.750% 15 Apr 2029 11135FBA8 Baa3 93.4093 USD 3,082,660.62 59,159.40 2,582,145.13 0.40
498,000.000 Broadcom Inc 4.926% 15 May 2037 11135FBV2 Baa3 82.6454 USD 486,730.26 11,107.31 422,681.28 0.07
1,780,000.000 Burlington Northern Santa Fe LLC 3.400% 01 Sep 2024 12189LAT8 A3 97.7408 USD 1,821,598.60 5,043.33 1,744,830.35 0.27
760,000.000 CGI Inc 1.450% 14 Sep 2026 12532HAC8 Baa1 86.5806 USD 758,647.20 520.39 658,532.81 0.10
875,000.000 Choice Hotels International Inc 3.700% 01 Dec 2029 169905AF3 Baa3 84.4181 USD 869,785.00 10,791.67 749,449.81 0.12
1,224,000.000 Cisco Systems Inc/Delaware 2.950% 28 Feb 2026 17275RBC5 A1 94.9605 USD 1,227,035.52 3,309.90 1,165,626.54 0.18
3,125,000.000 Colonial Enterprises Inc 3.250% 15 May 2030 19565CAA8 A3 86.9518 USD 3,267,189.36 38,368.06 2,755,611.81 0.42
731,000.000 CVS Health Corp 5.050% 25 Mar 2048 126650CZ1 Baa2 88.3004 USD 786,359.89 615.26 646,090.99 0.10
621,000.000 Dell International LLC / EMC Corp 5.300% 01 Oct 2029 24703TAG1 Baa2 93.3093 USD 616,878.17 16,456.50 595,907.22 0.09
773,000.000 Dell International LLC / EMC Corp 3.450% 15 Dec 2051 24703DBG5 Baa2 57.0901 USD 772,713.99 7,852.39 449,159.15 0.07
174,000.000 Delta Air Lines Inc / SkyMiles IP Ltd 4.500% 20 Oct 2025 830867AA5 Baa2 97.1256 USD 174,000.00 1,544.25 170,542.72 0.03
631,220.000 Delta Air Lines Inc / SkyMiles IP Ltd 4.750% 20 Oct 2028 830867AB3 Baa2 93.2723 USD 680,506.20 5,913.30 594,666.97 0.09
1,381,000.000 Dollar Tree Inc 4.200% 15 May 2028 256746AH1 Baa2 93.3455 USD 1,383,943.41 21,911.87 1,311,012.80 0.20
472,000.000 Energy Transfer LP 4.200% 15 Apr 2027 29273RBK4 Baa3 92.6214 USD 522,626.72 9,141.07 446,313.88 0.07
700,000.000 Energy Transfer LP 5.150% 15 Mar 2045 29273RBF5 Baa3 78.9542 USD 713,517.00 1,602.22 554,281.62 0.09
519,000.000 Energy Transfer LP 5.400% 01 Oct 2047 86765BAV1 Baa3 81.2268 USD 490,740.45 14,013.00 435,579.98 0.07
1,223,000.000 Enterprise Products Operating LLC 5.250% 16 Aug 2077 29379VBN2 Baa3 83.7138 USD 1,209,464.65 8,025.94 1,031,845.93 0.16
441,000.000 Equinix Inc 3.200% 18 Nov 2029 29444UBE5 Baa2 84.6797 USD 481,474.98 5,213.60 378,651.03 0.06
928,000.000 Expedia Group Inc 5.000% 15 Feb 2026 30212PAM7 Baa3 98.4461 USD 1,038,905.28 5,928.89 919,508.82 0.14
679,000.000 Expedia Group Inc 4.625% 01 Aug 2027 30212PBK0 Baa3 94.0666 USD 758,782.50 5,233.96 643,946.15 0.10
1,330,000.000 Expedia Group Inc 3.800% 15 Feb 2028 30212PAP0 Baa3 88.9511 USD 1,418,152.40 6,457.89 1,189,507.52 0.18
474,000.000 Expedia Group Inc 2.950% 15 Mar 2031 30212PBH7 Baa3 77.7164 USD 469,643.94 621.47 368,997.31 0.06
1,440,000.000 Fresenius Medical Care US Finance III Inc 3.750% 15 Jun 2029 35805BAA6 Baa3 83.9041 USD 1,417,838.40 15,900.00 1,224,119.05 0.19
1,078,000.000 Fresenius Medical Care US Finance III Inc 2.375% 16 Feb 2031 35805BAB4 Baa3 72.8143 USD 1,074,755.22 3,200.31 788,138.37 0.12
1,654,000.000 General Dynamics Corp 3.500% 01 Apr 2027 369550BL1 A3 94.6295 USD 1,844,110.76 28,945.00 1,594,117.49 0.25
1,672,000.000 General Motors Financial Co Inc 2.400% 15 Oct 2028 37045XDP8 Baa3 79.1238 USD 1,667,820.00 18,503.47 1,341,453.51 0.21
1,654,000.000 General Motors Financial Co Inc 3.600% 21 Jun 2030 37045XCY0 Baa3 81.1199 USD 1,762,182.61 16,540.00 1,358,262.50 0.21
840,000.000 Gilead Sciences Inc 4.750% 01 Mar 2046 375558BD4 Baa1 87.3545 USD 868,115.64 3,325.00 737,102.88 0.11
544,000.000 Huntington Ingalls Industries Inc 4.200% 01 May 2030 446413AT3 Baa3 88.3681 USD 582,972.65 9,520.00 490,242.33 0.08

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Holdings
Accrued % of
Fixed Income
Corporate Bond
IG Corp Industrial
344,000.000 Hyundai Capital America 2.375% 15 Oct 2027 44891ABP1 Baa1 83.6328 USD 343,907.12 3,767.28 291,464.26 0.04
JBS USA LUX SA / JBS USA Food Co /
359,000.000 5.125% 01 Feb 2028 46590XAG1 Baa3 93.9145 USD 356,124.41 5,110.76 342,263.82 0.05
JBS USA Finance Inc
JBS USA LUX SA / JBS USA Food Co /
979,000.000 5.750% 01 Apr 2033 46590XAH9 Baa3 90.5640 USD 965,078.62 15,636.81 902,258.37 0.14
JBS USA Finance Inc
543,061.200 JetBlue 2019-1 Class AA Pass Through 2.750% 15 May 2032 477143AH4 A2 82.2668 USD 545,134.01 5,641.80 452,400.93 0.07
1,654,000.000 John
Trust Deere Capital Corp 1.750% 09 Mar 2027 24422EVF3 A2 87.7433 USD 1,689,295.36 1,768.86 1,453,043.54 0.22
1,045,000.000 Kraft Heinz Foods Co 4.375% 01 Jun 2046 50077LAB2 Baa3 77.9542 USD 910,100.95 15,239.58 829,860.90 0.13
1,051,000.000 Marriott International Inc/MD 4.650% 01 Dec 2028 571903BB8 Baa3 93.1762 USD 1,205,833.32 16,290.50 995,572.08 0.15
1,723,000.000 Mars Inc 2.450% 16 Jul 2050 571676AQ8 A2 60.3540 USD 1,713,196.13 8,794.48 1,048,694.69 0.16
1,018,000.000 Marvell Technology Inc 2.450% 15 Apr 2028 573874AF1 Baa3 82.7431 USD 1,017,806.58 11,500.57 853,825.05 0.13
2,150,000.000 Micron Technology Inc 5.327% 06 Feb 2029 595112BN2 Baa3 94.6689 USD 2,575,332.74 17,497.72 2,052,878.68 0.32
4,674,000.000 Microsoft Corp 3.125% 03 Nov 2025 594918BJ2 AAA 96.1190 USD 5,086,981.74 60,047.92 4,552,648.06 0.70
426,000.000 MPLX LP 4.950% 01 Sep 2032 55336VBU3 Baa2 90.9707 USD 423,584.58 2,928.75 390,463.96 0.06
1,078,000.000 Oracle Corp 2.950% 01 Apr 2030 68389XBV6 Baa2 80.7233 USD 1,089,207.36 15,900.50 886,097.78 0.14
3,309,000.000 PayPal Holdings Inc 1.650% 01 Jun 2025 70450YAG8 A3 92.1679 USD 3,392,883.15 18,199.50 3,068,036.57 0.47
673,000.000 Pfizer Inc 4.125% 15 Dec 2046 717081ED1 A2 87.1584 USD 674,353.40 8,174.15 594,750.21 0.09
880,000.000 Sabine Pass Liquefaction LLC 5.000% 15 Mar 2027 785592AS5 Baa2 96.0653 USD 942,418.40 1,955.56 847,330.47 0.13
1,289,000.000 Sabine Pass Liquefaction LLC 4.500% 15 May 2030 785592AX4 Baa2 91.2444 USD 1,474,590.22 21,913.00 1,198,053.70 0.18
3,440,000.000 Salesforce Inc 0.625% 15 Jul 2024 79466LAG9 A2 93.2896 USD 3,438,245.60 4,538.89 3,213,701.92 0.50
1,780,000.000 Shell International Finance BV 3.250% 11 May 2025 822582BD3 Aa3 96.1572 USD 1,777,419.00 22,497.22 1,734,095.43 0.27
Targa Resources Partners LP / Targa
751,000.000 4.000% 15 Jan 2032 87612BBU5 Baa3 82.6730 USD 727,531.25 6,341.78 627,216.01 0.10
Resources Partners Finance Corp
944,000.000 Telefonica Emisiones SA 5.213% 08 Mar 2047 87938WAU7 Baa3 76.3304 USD 1,208,990.65 3,144.02 723,702.88 0.11
United Airlines 2014-2 Class A Pass
688,181.860 3.750% 03 Sep 2026 90932QAA4 Baa1 90.8463 USD 702,904.83 2,007.20 627,194.82 0.10
Through Trust
658,874.750 3.450% 07 Jul 2028 90931MAA4 Baa2 81.0106 USD 648,854.25 5,303.94 539,062.20 0.08
Through Trust
433,501.590 4.550% 25 Aug 2031 90931EAA2 Baa2 82.6929 USD 436,753.31 1,972.43 360,447.34 0.06
Through Trust

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Holdings
Accrued % of
Fixed Income
Corporate Bond
IG Corp Industrial
2,537,698.760 5.875% 15 Oct 2027 90931GAA7 A3 96.6118 USD 2,704,586.22 31,474.51 2,483,189.95 0.38
Through Trust
United Airlines 2020-1 Class B Pass
296,908.000 4.875% 15 Jan 2026 90932VAA3 Baa3 93.5301 USD 296,908.00 3,055.68 280,753.91 0.04
Through Trust
630,000.000 Universal Health Services Inc 1.650% 01 Sep 2026 913903AX8 Baa3 83.9207 USD 629,212.50 866.25 529,566.35 0.08
734,000.000 Viatris Inc 4.000% 22 Jun 2050 92556VAF3 Baa3 60.0716 USD 725,532.53 8,074.00 448,999.47 0.07
1,066,000.000 VMware Inc 4.700% 15 May 2030 928563AF2 Baa3 90.0959 USD 1,249,053.52 18,927.42 979,349.64 0.15
610,000.000 Williams Cos Inc/The 4.650% 15 Aug 2032 969457BZ2 Baa2 90.8370 USD 607,773.50 4,175.96 558,281.80 0.09
Total IG Corp Industrial 102,376,391.65 1,026,652.28 87,660,968.23 13.52
IG Corp Utility
1,242,000.000 Vistra Operations Co LLC 4.300% 15 Jul 2029 92840VAE2 Baa3 85.3397 USD 1,260,770.74 11,274.60 1,071,194.27 0.17
Total Corporate Bond 179,090,989.07 1,660,373.44 152,978,835.11 23.59
Federal Bond
US Treasuries
45,931,000.000 United States Treasury Note/Bond 3.125% 31 Aug 2027 91282CFH9 AAA 95.9375 USD 45,629,577.81 122,916.18 44,187,969.31 6.81
44,034,000.000 United States Treasury Note/Bond 2.750% 15 Aug 2032 91282CFF3 AAA 91.4531 USD 43,559,420.63 154,657.46 40,425,126.52 6.23
22,702,000.000 United States Treasury Note/Bond 3.375% 15 Aug 2042 912810TK4 AAA 90.6094 USD 22,345,465.40 97,856.11 20,667,996.42 3.19
4,867,000.000 United States Treasury Note/Bond 2.500% 15 Feb 2045 912810RK6 AAA 76.3281 USD 5,730,729.93 15,540.01 3,730,429.85 0.58
61,265,000.000 United States Treasury Note/Bond 2.875% 15 May 2052 912810TG3 AAA 83.8906 USD 58,381,064.86 665,299.61 52,060,891.02 8.03
Total US Treasuries 175,646,258.63 1,056,269.37 161,072,413.12 24.84
Total Federal Bond 175,646,258.63 1,056,269.37 161,072,413.12 24.84
Municipals
Local Authorities & Municipals
1,525,000.000 Bay Area Toll Authority 6.793% 01 Apr 2030 072024NT5 Aa3 106.6366 USD 1,859,219.00 51,796.63 1,678,004.32 0.26
375,000.000 City of New York NY 0.982% 01 Aug 2025 64966QZX1 Aa2 90.4355 USD 375,000.00 613.75 339,746.73 0.05
Foothill-Eastern Transportation Corridor
506,000.000 4.094% 15 Jan 2049 345105JE1 Baa2 73.6625 USD 506,000.00 4,373.30 377,105.35 0.06
Agency
483,000.000 Golden State Tobacco Securitization Corp 4.214% 01 Jun 2050 38122ND66 Baa1 69.4089 USD 483,000.00 6,784.54 342,029.58 0.05

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Holdings
Accrued % of
Fixed Income
Municipals
Local Authorities & Municipals
Maryland Health & Higher Educational
1,193,000.000 3.197% 01 Jul 2050 57421CAW4 A2 66.8448 USD 1,198,895.81 9,535.05 806,993.04 0.12
Facilities Authority
Mississippi Hospital Equipment & Facilities
566,000.000 3.720% 01 Sep 2026 605360SE7 Baa1 93.2540 USD 586,483.54 1,754.60 529,572.07 0.08
Authority
495,000.000 Ohio Turnpike & Infrastructure Commission 3.216% 15 Feb 2048 67760HNB3 A1 72.8532 USD 495,000.00 2,034.12 362,657.66 0.06
Regents of the University of California
1,255,000.000 3.006% 15 May 2050 913366KB5 Aa3 66.6489 USD 1,264,697.30 14,251.78 850,695.22 0.13
Medical Center Pooled Revenue
415,000.000 State Board of Administration Finance Corp 1.705% 01 Jul 2027 341271AE4 Aa2 85.5940 USD 415,898.91 1,768.94 356,983.92 0.06
510,000.000 State of Louisiana 1.543% 01 Sep 2028 54651RCT4 A1 82.6582 USD 510,000.00 655.78 422,212.35 0.07
Total Local Authorities & Municipals 7,694,194.56 93,568.49 6,066,000.24 0.94
Total Municipals 7,694,194.56 93,568.49 6,066,000.24 0.94
TBA
Agency MBS
(11,743,000.000) Fannie Mae or Freddie Mac 4.000% 01F0406A0 AAA 92.7500 USD (11,049,414.38) 0.00 (10,891,633.09) (1.68)
14,045,000.000 Fannie Mae or Freddie Mac 4.000% 01F0406A0 AAA 92.7500 USD 13,632,428.13 0.00 13,026,738.20 2.01
(12,345,000.000) Fannie Mae or Freddie Mac 4.500% 01F0426A6 AAA 95.2031 USD (11,904,720.64) 0.00 (11,752,825.78) (1.81)
Total Agency MBS 16,012,364.59 0.00 15,090,084.80 2.33
Total TBA 16,012,364.59 0.00 15,090,084.80 2.33
Total Fixed Income 721,819,456.59 3,549,820.48 642,081,745.36 99.00
Cash Equivalent
Cash
6,471,433.620 USD Cash 5955598400USD 1.0000 USD 6,471,433.62 0.00 6,471,433.62 1.00
Total Cash Equivalent 6,471,433.62 0.00 6,471,433.62 1.00
Total Portfolio 728,290,890.21 3,549,820.48 648,553,178.98 100.00

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Public Employees’ Retirement
System of Mississippi
Core Strategy Review
October 2022
Pacific Investment Management Company LLC,

650 Newport Center Drive,
Newport Beach, CA 92660
949.720.6000
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Disclosures
PIMCO is a registered trademark of Allianz Asset Management of America L.P. and Pacific Investment Management Company LLC, in the United States
and throughout the world.
Greenwich Associates accolade is based on interviews conducted by Greenwich Associates, between July and October 2018, with 1,128 senior
professionals at 924 of the largest tax-exempt funds in the United States, including corporate and union funds, public funds, endowments and
foundations, insurance general accounts, and healthcare organizations with either pension or investment pool assets greater than $150 million. Study
participants were asked to provide quantitative and qualitative evaluations of their asset management and investment consulting providers, including
qualitative assessments of those firms soliciting their business and detailed information on important market trends. The Greenwich Quality LeaderSM is
determined entirely by the results of the interviews described above and do not represent opinions or endorsements by Greenwich Associates or its staff.
Such designations are a product of numerical scores in Greenwich Associates’ proprietary studies that are generated from the study interviews and are
based on a statistical significance confidence level of at least 80%. © 2020 Greenwich Associates, LLC. All rights reserved.
For professional use only. Client-specific update – not for public distribution.
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Biographical information
Eric Bachman, CFA

Mr. Bachman is a senior vice president and account manager in the New York office, focusing on institutional client servicing. Prior to rejoining PIMCO in
2022, he was a vice president at Man Group, responsible for business development for insurance companies and other institutional investors. Previously,
he worked in institutional sales at Goldman Sachs Asset Management, focusing on corporate pensions, and earlier he was a senior account associate at
PIMCO, servicing public pensions. He has 13 years of investment experience and holds an undergraduate degree from the University of Wisconsin-
Madison. Mr. Bachman is a CFA charterholder.
Chloe Kelley, CFA, CAIA

Ms. Kelley is a senior vice president and account manager in the New York office, focusing on institutional client servicing. She is a founding member of
PIMCO Black and chairs PIMCO’s client management inclusion and diversity council. She also co-leads PIMCO’s emerging broker outreach program.
Prior to joining PIMCO in 2013, she was a credit research analyst at J.P. Morgan and managed core fixed income portfolios for institutional clients at
EARNEST Partners. She has 15 years of investment experience and holds an MBA from the University of Chicago Booth School of Business, where she
was awarded the Toigo Fellowship. She received an undergraduate degree from the University of Georgia.
Vinayak Seshasayee
Mr. Seshasayee is an executive vice president and generalist portfolio manager in the New York office, leading Canadian portfolio management. He is a
member of PIMCO’s Americas portfolio committee. Previously, he was a portfolio manager on the MBS and investment grade credit desks and a member
of PIMCO’s diversified income portfolio management team. Prior to joining PIMCO in 2013, he was a member of the fixed income research group at
Morgan Stanley. He has 13 years of investment experience and holds an MBA from the University of Chicago Booth School of Business. He received an
undergraduate degree from the Indian Institute of Technology, Mumbai.
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Agenda
1. PIMCO Update
2. Executive Summary
3. Market review
4. Core strategy
5. Economic outlook
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PIMCO update
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PIMCO at a glance
PIMCO
$1.82 trillion 50 years in 944 investment 3,252 total 304 Portfolio Managers with an 50+ countries in which
in AUM* industry professionals employees** average of 17 years experience clients are based***
London
Dublin (1998) Zurich
(2020) (2009)
Chicago Montreal (2020) Luxembourg Munich
(2019) Toronto (2004) (2010) (2000)
Newport Beach New York (2001) Shanghai
Madrid Milan Tokyo
(1971) (2012) (2020)
Bermuda (2019) (1997)
Solana Beach Austin (2019) Hong Kong Taipei
(2019) (2018) Miami (2006) (2018)
(2018)
Singapore
(1996)
São Paulo Sydney

(2012) (1997)
Americas EMEA Asia Pacific

$1,040 Billion AUM¹ $542 Billion AUM¹,² $240 Billion AUM¹
605 Investment Professionals 237 Investment Professionals 102 Investment Professionals
2,322 Total Employees 597 Total Employees 290 Total Employees
As of 30 June 2022. SOURCE: PIMCO

* Includes $1.45 trillion in third party client assets, including $86.0 billion (as of 31 March 2022) in assets of clients contracted with Allianz Real Estate, affiliate and wholly-owned subsidiary of PIMCO and PIMCO Europe GmbH.
** Includes Allianz Real Estate of America LLC employees; excludes employees of Allianz Real Estate GmbH and its subsidiaries
*** Based on client account tax domicile
1Includes Allianz Real Estate AUM as of 31 March 2022 due to a data lag
2Includes Allianz Real Estate indirect AUM
AUM + ARE from Ryan (Finance). Unknown ARE in EMEA (per Samin Rai) 6
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ARE employees only in US.
Benefits of partnering with PIMCO
Leverage PIMCO’s global perspective and expertise for more than just pursuing alpha, whenever and wherever you need it
EDUCATION ACCESS ANALYTICS NETWORKING INSIGHT
PIMCO Institute PIMCO Pro – Client Portal

Deepen your understanding of global capital Login to our dynamic, self-service digital
markets through interactive sessions with platform to access customized portfolio
peers and PIMCO experts. information, value-add analytical tools, market
data and many other new features.
PIMCO Global Advisory Board Client-Driven Thought

Access economic, political, and market Leadership and Events
insights from a team of renowned experts Receive regular PIMCO content applicable to
(Ben Bernanke, Gordon Brown, Mark Carney, broader market themes and specific client
Ng Kok Song, Joshua Bolton, Michele peer groups, alongside participation in a
Flournoy). multitude of events across formats.
Bespoke Client Analytics ESG Integration & Partnership

Partner to generate objective, actionable insights Review ESG factors in PIMCO’s investment
that can help you attain portfolio outcomes and process, partnership with clients and industry
leverage complementary PIMCO analytics to groups to meet specific objectives
deepen understanding of portfolio risk factors.
As of 31 March 2022; Source: PIMCO

Please note the strategies/funds discussed in this servicing presentation do not pursue a specified ESG-objective however, ESG is integrated across our investment process as detailed herein.
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Assets under management by strategy
PIMCO manages $1.82 trillion in assets*, including $1.45 trillion in third-party client assets
Alternatives Billions ($)
Global macro, long/short credit, commodity absolute return, alternative risk premia, insurance linked securities, and volatility
Absolute return alpha 18.62
relative value
Alternative Credit & Private Strategies # Opportunistic vintage, private lending, semi-liquid evergreen, and specialty mandates 43.19
Asset Allocation
Asset Allocation Strategies Global Core Asset Allocation, All Asset, EM Multi Asset, RealPath, Inflation-Response Multi Asset, DRA 39.81
Equities
Equity Strategies StocksPLUS®, systematic value, and smart beta equities 30.39
Real Return
Real Return Strategies Inflation linked strategies, actively managed commodities, and real-estate linked exposure 66.42
Fixed Income
Total Return1-2 Total Return 75.55
Intermediate2 Core Strategies, Moderate Duration 99.10
Credit Investment Grade Credits, Bank Loans, High Yield 223.02
Long Duration Focus on long-term bonds; asset liability management 143.84
Income Income-oriented, insurance income 293.37
Global International and global multiple currency formats 108.64
Liquidity Management2 Money Market, Short-Term, Low Duration 128.01
Liquid Absolute Return Dynamic Bond strategies, Credit Opportunities Bond, other absolute return strategies 24.15
Emerging Markets Local debt, external debt, currency 35.17
Mortgages Agency MBS, structured credit (non-Agency MBS, CMBS, and ABS) 46.23
Diversified Income Global credit combining corporate and emerging markets debt 25.47
Municipals Tax-efficient total return management 42.71
Other Custom mandates 3.19
Total assets under management 4 $ 1,446.88 B
2
Stable Value Stable income with emphasis on principal stability 24.10
3
Tail-Risk Hedging Pooled and customized portfolios of actively managed tail-risk hedges 35.43
As of 30 June 2022. SOURCE: PIMCO. Past performance is not a guarantee or a reliable indicator of future results.
*Including $86.0 billion in assets of clients contracted with Allianz Real Estate, an affiliate and wholly-owned subsidiary of PIMCO and PIMCO Europe GmbH as of 31 March 2022
# Alt Credit and Private Strategies AUM shows previous quarter data due to data availability limitations.
1 Total Return has been segregated to isolate the assets of PIMCO sponsored U.S. Total Return 1940-act fund and foreign pool fund accounts. All other U.S. Total Return portfolios are included in the Intermediate category.
2 Stable value assets have not been netted from U.S. Total Return, U.S. Moderate Duration and U.S. Low Duration assets.
3 Tail-risk hedging assets reflect total notional value of dedicated mandates and are not counted towards PIMCO total assets under management.
4 Assets reflect those managed on behalf of third-party clients and exclude affiliated assets. Fund of funds assets have been netted from each strategy. Potential differences in asset totals are due to rounding.
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Executive Summary
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PERS of Mississippi
Relationship Summary
Plan Strategy Inception Date Market Value

Defined Benefit Core Bond 31 Jul '83 $ 616,636,040
Defined Benefit Global Core Bond 28 Feb '13 $ 718,307,608
Total $ 1,334,943,648
As of 30 September 2022
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PERS of Mississippi
Core Portfolio Performance Summary
As of September 30, 2022 (Gross of Fees)*
PERS Core Bloomberg U.S. Aggregate Index

Q3 2021 0.07 0.05
Q4 2021 -0.05 0.01
Q1 2022 -5.95 -5.93
Q2 2022 -4.92 -4.69
Q3 2022 -4.68 -4.75
Last 12 Months -14.80 -14.60
Last 2 Years -8.06 -8.00
Last 3 Years -2.89 -3.39
Last 5 Years 0.20 -0.36
Last 10 Years 1.36 0.85
Since Inception (8/1/1983) 6.91 6.31
*Periods greater than one year are annualized
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PERS of Mississippi
Core Portfolio Volatility
Period PERS Core Bloomberg U.S. Aggregate Index

Last 12 Months 6.49 6.61
Last 3 Years 5.48 5.30
Last 5 Years 4.88 4.75
Last 10 Years 4.04 3.92
As of 30 September 2022 SOURCE: PIMCO
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Investment Policy and Strategy Summary
I. What changes took place in the account since last report:

Organization
• PIMCO announced the formation of the MD I&D Advisory Council under the direction of the Executive Committee to govern PIMCO’s I&D strategies.
• In October 2022, PIMCO announced Scott Mather, managing director and CIO of U.S. Core Strategies, will be taking a personal leave of absence.
PIMCO worked closely with Scott on a plan to transition his responsibilities. Given our team-based approach to managing portfolios, the strategies
Scott led are supported by a talented team with deep experience already supporting these strategies. Vinayak Seshasayee, who previously was a key
member on PERS of Mississippi’s core account, has taken over as lead portfolio manager. Vinayak will continue to work closely with the broader Total
Return strategy team which includes co-managers on the Total Return Fund Mohit Mittal and Mark Kiesel. Additionally, we have added Qi Wang,
managing director and CIO of Portfolio Implementation, and Dan Ivascyn, managing director and Group CIO, to the broader Total Return team as
additional resources.
• Joachim Fels, Managing Director and PIMCO's Global Economic Advisor announced his retirement from PIMCO at the end of the year. Rich Clarida,
former Vice Chairman of the Federal Reserve, will be re-joining PIMCO in October as Managing Director and Global Economic Advisor.
• Qi Wang, managing director, was named as Chief Investment Officer for Portfolio Implementation.
• Ravi Mattu, managing director and PIMCO’s Global Head of Analytics, announced his retirement from PIMCO. Sudi Mariappa, managing director, who
has led the firm’s global portfolio risk management, will oversee the Global Analytics team.
• PIMCO hired Sabrin Chowdhury as Executive Vice President, Global Head of Inclusion and Diversity.
• PIMCO hired Ayman Hindy as managing director overseeing Portfolio Management Reengineering and Infrastructure.
Bond market recap (year ending 30 Sep ‘22)

Q4 2021: Developed market yield curves broadly flattened over the quarter. In the U.S., yields on long-dated bonds fell while front-end yields rose
meaningfully as the Fed began tapering the pace of its monthly asset purchases and adjusted its “dot plot” to reflect its expectation for three hikes in
2022.
Q1 2022: Developed market yields broadly rose amid geopolitical uncertainty following the Russian invasion of Ukraine and rising inflationary
pressures. In the U.S., yields rose and the curve inverted along several key tenors as the Fed hiked interest rates by 25 basis points and signaled
potentially larger hikes going forward.
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I. What changes took place in the account since last report:

Bond market recap (year ending 30 Sep ‘22)
Q2 2022: Developed market yields broadly rose as central banks largely pursued tighter monetary policies over the quarter. Yields rose in the U.S.
with the 10-year Treasury peaking near 3.5% as the Fed, in prioritizing addressing inflation, hiked interest rates by a total of 125 basis points and
began tapering its balance sheet.
Q3 2022: Developed market yields broadly rose as central banks continued to pursue tighter monetary policies. In the U.S., front-end yields rose more
meaningfully than those on long-dated bonds as the Fed raised the federal funds rate by a total of 150 basis points and signaled additional rate hikes
before year end.
Portfolio Strategy
• Duration and Yield Curve:
• While still underweight, we actively moderated our underweight to duration given some macro uncertainties and the recent increase in yields
• We have a steepening bias between the belly of the curve (5-7yr) and the long of the yield curve, which could face some pressure as the Fed
begins to unwind its balance sheet
• Sector:
• The carry in the portfolio increased. We have a ~60bps carry advantage over the benchmark based on our diverse portfolio construction. This
should be a tailwind going forward even if nothing changes, with key alpha themes offering price appreciation potential, as well
• With growth showing signs of a slowdown, we are emphasizing selection and relative value over generic beta exposures – focused on rate
sensitivity in the U.S., selection in corporate credit, and more diversified spread exposures (mortgage credit)
Performance (as of 30 Sep ‘22)

• PERS of Mississippi’s Core Portfolio outperformed the Bloomberg U.S. Aggregate by 7 bps gross of fees in Q3 of 2022. It underperformed the
index by 20 bps gross of fees during the one-year period. Since Inception, the portfolio has outperformed the index by 60 bps gross of fees.
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II. Deviation from previously outlined strategy

• No significant deviation
II. Factors affecting investment over next 6 to 12 months

• With yields now higher, we believe bonds offer compelling value in this challenging macro environment
• Specifically, we expect unemployment to rise, inflation to remain stickier, and monetary policy to remain tighter for longer
II. Strategy
• We are underweight headline duration; US duration remains relatively attractive given more reasonable valuations and its potential for capital
appreciation if downside risks materialize
• We have been adding to Agency MBS recently as spreads widened, favoring higher coupons that we think are less likely to be impacted by the Fed’s
balance sheet unwind
• We are opportunistic within generic corporate credit – mindful of the less attractive risk/reward dynamics – though continue to have a bias toward
high quality names while de-emphasizing generic corporate credit exposure. We are actively seeking compelling name- and sector- exposure given
improved valuations more recently
• We also continue to favor senior positions in mortgage credit given inherent fundamental strength and the de-leveraging nature of the asset
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Market review
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Persistent inflation coupled with growth concerns fueled larger drawdowns
across both fixed income and equities
“Stickier” than expected Continued sell-off
Core CPI Rest Headline CPI S&P 500 index (LHS) US 10yr yield (RHS)
10% 5,000 4.4
Q3
4,800 4.0
US Consumer Price Index (YoY%)
8%
4,600 3.6
6%
4,400 3.2
Index level
Yield (%)
4% 4,200 2.8
4,000 2.4
2%
3,800 2.0
0%
3,600 1.6
-2% 3,400 1.2

Dec'19 Jun'20 Dec'20 Jun'21 Dec'21 Jun'22 Dec '21 Mar '22 Jun '22 Sep '22
Despite softening headline inflation – largely due to declining Risk sentiment waned toward the end the quarter while evolving
energy and food prices – Core CPI reaccelerated in August Fed expectations contributed to interest rate volatility
Source: PIMCO, Haver, Bloomberg
3cs_intl_review_01 17
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Financial conditions tightened as central bank expectations shifted rapidly
Breaking through Extending Higher

FOMC (median): Dec '21 meeting
Advanced Economies Policy Rate* FOMC (median): Jun '22 meeting
Last cycle peak FOMC (median): Sep '22 meeting
4.5
5.0
4.0
3.5 4.0
Fed Funds Rate (%)

3.0
Policy Rate (%)
2.5 3.0
2.0
2.0
1.5
1.0
1.0
0.5
0.0
0.0
'05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
2022 2023 2024 2025 Longer Run
Global central banks accelerated the pace of tightening, in terms of In the U.S., the Fed delivered two consecutive 75 bps hikes in Q3
both frequency and magnitude of rate hikes and projected a faster pace of future hikes to a higher terminal rate
Source: PIMCO, Haver, Bloomberg
*The advanced economies policy rate is calculated by Haver Analytics using the policy rates of following countries: United States, Japan, Germany, France, United Kingdom, Italy, Canada, Spain, Netherlands, Australia, Belgium, Sweden, Austria, Denmark,
Norway, Finland, Greece, Portugal, Ireland, New Zealand and Luxembourg. It is weighted by each country's share of total nominal GDP in US$ in the preceding quarter.
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Q3'22: Rising yields constituted a notable headwind to most asset classes
Yields Spreads Q3'22 YTD
Q3'22 YTD
250 300
232 229 269
250
200
200
Change in spread
160
Change in yield
150 150 137

100 60
100 50
82 77 8
4
0
50 -17
17 25 -50 -19
-44
1
0 -100
U.S. 10yr Germany 10yr Japan 10yr EM Local Breakeven U.S. IG U.S. HY EM external
inflation
Current Current
3.83 2.11 0.24 7.31 215 147 552 467
levels (%) levels (bps)
Currencies and commodities Q3'22 YTD Equities

60% Q3'22 YTD
49.8% 0%
40%
-5%
-4.9%
Returns (%)
20% -10%
Returns (%)
12.8%
-9.4% -11.0%
-11.6%
0% -15%
-0.2%
-6.5% -6.2% -4.0% -5.4% -7.3% -16.9%
-20% -13.8% -13.4% -20%
-16.2%
-20.5%
-25% -23.9%
-40%
EUR JPY EM FX Energy Industrial Agriculture -27.1% -27.2%
metals -30%
S&P 500 MSCI EAFE MSCI EM Shanghai*
Current Current
0.98 144.74 327.52 98.85 309.57 146.49 3,586 1,661 876 3,024
levels levels
As of 30 September 2022; SOURCE: PIMCO, Bloomberg. *price levels
Sovereign yields reflect the generic 10yr benchmarks for each country. EM Local is represented by JPMorgan GBI-EM Global Diversified Composite YTM. U.S. TIPS: generic 10yr breakeven rate. U.S. IG: Bloomberg U.S. Agg Credit Avg. OAS; U.S. HY:
Bloomberg U.S. Corporate High Yield Average OAS. EM External: JPMorgan EMBI Global Sovereign Spread. EUR and JPY reflect spot returns against the U.S. dollar. EM FX: JPMorgan Emerging Local Markets ELMI+ Composite Total Return. Energy,
Industrial Metals, and Agriculture reflect total return sub-indices of the Bloomberg Commodity Index. Equity percent changes capture total returns for S&P 500; MSCI EAFE; MSCI EM; Shanghai Composite Index
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Core strategy
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Executive Summary Q3’22
Our expectations
• We expected that global growth momentum would soften and for inflation to creep up moderately
Our Positioning and Outlook
before eventually slowing back toward the central bank’s target
• We anticipated central banks would focus more on fighting inflation over supporting growth
• We believed that solid fundamentals in housing would be supportive of mortgage-related assets Underweight overall duration
U.S. rate exposure, with a steepening
Market themes bias between the belly of the curve and
the long of the yield curve.
• The fundamental backdrop showed signs of a slowdown amid weakening economic data releases,
while inflation remained elevated
• Central banks continued to adopt hawkish stances in response to persistent inflation. The Federal Overweight to Agency MBS
Reserve hiked its policy rate aggressively (net 150 bps over the quarter) and shifted their projected
Increased our exposure as valuations
terminal rate higher. In turn, the dollar strengthened prompting global currency market volatility, with
improved, favoring higher coupons
several countries implementing fiscal or monetary easing, including the UK and Japan
• Performance was challenged for both “safe-haven” and risk assets as global yields rose
meaningfully and risk sentiment waned. Equities broadly ended lower, while credit and EM external Selective credit holdings
spreads widened.
Opportunistic within generic corporate
credit with bias toward high quality.
Portfolio performance Prefer senior mortgage credit
The PERS of Mississippi Core portfolio returned -4.68% in Q3 (before fees). Its benchmark returned
-4.75% in Q3.
Contributors Detractors
• An underweight to U.S. duration • Overweight exposure to Agency MBS
• Positions in investment-grade corporate • No other significant detractors
credit
2cs_TR_review_01_MOD 21
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Performance review
PERS of Mississippi Core
PERS of Mississippi
Market value as of Sep '22 $ 616,636,040
Performance
Portfolio (before fees) Benchmark
15
10
5
Returns (%)
-5
-10
-15
-20
'03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 21 YTD
'22
S.I. YTD
31 Jul '83 10 yrs. 5 yrs. 3 yrs. 1 yr. 6 mos. 3 mos. 30 Sep '22
Before fees (%) 6.9 1.4 0.2 -2.9 -14.8 -9.4 -4.7 -14.8
After fees (%) 6.8 1.2 0.1 -3.0 -14.9 -9.4 -4.7 -14.9
Benchmark (%) 6.3 0.9 -0.4 -3.4 -14.6 -9.2 -4.8 -14.6
All periods longer than one year are annualized
Benchmark: Bloomberg U.S. Aggregate Index
163_perf_sep 22
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Portfolio positioning
PERS of Mississippi 31 Mar '22 30 Jun '22 30 Sep '22
Portfolio 6.4 6.3 6.1
Effective duration (yrs.)
Index 6.6 6.5 6.2
Total Carry (bps) 364 435 507
REGIONAL EXPOSURE SECTOR EXPOSURE
31 Mar '22 30 Jun '22 30 Sep '22

31 Mar '22 30 Jun '22 30 Sep '22 Benchmark
Duration contribution (yrs)
Inflation-linked Benchmark
8
contribution (yrs)**
3
6
Duration
2
4
1
2
0
HY
EM
Agency
EM
IG
0
Gov't
Non-
Gov't
Mortgage
Muni
Agency*
Local
External
Related
United Eurozone - Eurozone - Other EM - Local
States Core Periphery Developed
U.S. KEY RATE DURATION EXPOSURE

U.S. key rate duration (yrs)
31 Mar '22 30 Jun '22 30 Sep '22 Benchmark

4
0
≤ 5yrs 7-10yrs 12-15yrs ≥ 20yrs
Key rate
Benchmark interest rate and spread durations calculated using PIMCO proprietary analytics and risk models
*Non-agency may include non-agency mortgage backed securities, asset backed securities, and commercial mortgage backed securities
**For spread sectors, the relevant spread duration contribution is used
cs_TR_attrib_02_700 23
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PIMCO Core performance attribution — Q3’22
Key Strategies (bullets reflect Q3’22 attribution) Impact
Interest Rate Strategies
Q3’22 Positive
Interest rate strategies contributed to performance
• Contributions from tactical U.S. duration positioning added to performance
YTD’22 Positive
Spread Sector Strategies
Spread sector strategies contributed to performance Q3’22 Positive

• Positions in investment-grade corporate credit contributed to performance
• Positions in Agency MBS detracted from performance over the quarter
YTD’22 Negative
cs_TR_attrib_01_700 24
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Strategic outlook
Select investment themes in Core
Position Rationale
• We are underweight headline duration

Underweight
Duration • US duration remains relatively attractive given more reasonable valuations and its potential for capital
overall duration
appreciation if downside risks materialize
• We have been adding to Agency MBS recently as spreads widened, favoring higher coupons that we
Overweight to think are less likely to be impacted by the Fed’s balance sheet unwind
Securitized
Agency MBS • Agency MBS are AAA-rated assets that offer relatively attractive spread, high levels of resiliency and
good liquidity
• We are opportunistic within generic corporate credit – mindful of the less attractive risk/reward
Focus on dynamics – though continue to have a bias toward high quality names while de-emphasizing generic
selection and corporate credit exposure. We are actively seeking compelling name- and sector- exposure given
Credit selection favor improved valuations more recently
other types of
spread exposure • We also continue to favor senior positions in mortgage credit given inherent fundamental strength and
the de-leveraging nature of the asset
SOURCE: PIMCO
cs_TR_strat_01 25
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Economic outlook
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Cyclical Outlook: Prevailing Under Pressure
With yields now higher, we believe bonds offer compelling value in this challenging macro environment
Misery Index – Developed Markets

25
We believe:
Shallow but
20 longer recession
15
Inflation is sticky
10
Monetary policy:
tighter for longer
5
0
1970 1974 1978 1982 1986 1990 1994 1998 2002 2006 2010 2014 2018 2022
Source: Haver, Arthur Okun, PIMCO calculations as of September 2022. The misery index displays the sum of inflation and unemployment rates. Developed market data encompasses the U.S., U.K., Japan, Canada, and Euro area.
3cs_intl_outlook_01 27
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Recession: More likely than not, unemployment poised to rise
U.S.: Tightening financial conditions tend to precede increases in unemployment
Fed Funds Rate Unemployment Rate
16
14
12
10
0
1983 1986 1989 1992 1995 1998 2001 2004 2007 2010 2013 2016 2019 2022
Source: Federal Reserve Bank of St. Louis
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Inflation: Appears stickier across developed market economies
Sticky Core Price Inflation rates

U.S. Euro area U.K.
7%
6%
5%
4%
3%
2%
1%
0%
2001 2004 2007 2010 2013 2016 2019 2022
Source: Haver, PIMCO calculations as of September 2022. “Sticky” price baskets are constructed using the least volatile categories across each country/region from 2012 to 2019. Methodology is based on research by Michael F. Bryan and Brent Meyer,
"Are some prices in the CPI more forward looking than others? We think so," (Federal Reserve Bank of Cleveland, 2010).
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Financial Conditions: Less accommodative conditions are likely to continue
PIMCO Financial Conditions Index

104
Less Accommodative
103
102
101
Index level
100
99
98
97
96
More Accommodative
95
2001 2004 2007 2010 2013 2016 2019 2022
As of 30 September 2022. Source: PIMCO

PIMCO Financial Conditions Index (PFCI) is a proprietary index that summarizes information about the future state of the economy contained in a wide range of financial variables. It includes variables such as the fed funds rate, bond yields, credit spreads,
equity markets, oil prices, and the broad trade-weighted USD, all of which impact the economy. The weights of these variables are determined by simulations using the Federal Reserve’s FRB/US model. An increase (decline) in the FCI implies a tightening
(easing) of financial conditions.
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Appendix
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Statement of Yields and Assets
12 Months Ending 06/30/2021 12 Months Ending 06/30/2022 12 Months Ending 09/30/2021 12 Months Ending 09/30/2022
Capital Under Supervision Column1 Column5 Column6 Column7
Beginning Portfolio Value $ 515,254,794 $ 620,685,540 $ 560,504,397 $ 724,848,406
Total Contributions/Withdrawals $ 104,190,690 $ 104,254,236 $ 169,151,091 $ (756,105)
Total Income Received & Reinvested $ 2,052,437 $ (76,791,805) $ (3,955,100) $ (106,444,866)
Less: Expense (Management Fees) $ (812,382) $ (1,001,054) $ (851,982) $ (1,011,395)
Total Portfolio Value $ 620,685,540 $ 647,146,917 $ 724,848,406 $ 616,636,040
Cost Basis of Assets Column1 Column2 Column3 Column4

Short-Term $ 237,320,407 $ 280,494,610 $ 326,622,001 $ 310,757,702
Long-Term $ 514,756,416 $ 680,058,548 $ 584,046,778 $ 657,382,783
Net Open Trades $ (151,117,935) $ (263,907,100) $ (201,870,364) $ (277,086,366)
Total Portfolio Cost Basis $ 600,958,888 $ 696,646,058 $ 708,798,414 $ 691,054,119
Maket Value of Assets Column1 Column2 Column3 Column4

Short-Term $ 240,763,127 $ 281,660,745 $ 330,086,628 $ 311,788,618
Long-Term $ 531,040,348 $ 629,393,272 $ 596,632,142 $ 581,933,788
Net Open Trades $ (151,117,935) $ (263,907,100) $ (201,870,364) $ (277,086,366)
Total Portfolio $ 620,685,540 $ 647,146,917 $ 724,848,406 $ 616,636,040
Estimated Annual Income Column1 Column2 Column3 Column4

Total Portfolio $ 12,528,468 $ 16,692,435 $ 13,622,095 $ 19,821,972
Yield to Maturity (cost basis) Column1 Column2 Column3 Column4

Total Portfolio 1.50% 4.41% 1.57% 5.42%
Current Yield Column1 Column2 Column3 Column4

Total Portfolio 2.01% 2.58% 1.88% 3.21%
32
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Investment Team Structure
Our People Portfolio Management Structure

Asset Allocation
300+
Portfolio managers with 17 years
Active
Equities
John Devir
1 PM
Marc Seidner/Erin Browne/
Geraldine Sundstrom/
Emmanuel Sharef
5 PMs
Bank
Loan
David Forgash
8 PMs
Emerging
Markets
Pramol Dhawan
28 PMs
average investment experience
Global Global Mortgage

Enhanced Equities High Yield
82 Jing Yang/Bryan Tsu Andrew Balls Credit

Jon Horne/Andrew Jessop
14 PMs Dan Ivascyn
9 PMs 17 PMs
48 PMs
Analysts2 on our industry-leading
credit research team
Investment
Investment Committee* Long Duration/
Americas Portfolio Committee
Grade Credit LDI
European Portfolio Committee
150+
Alternatives Portfolio Managers3
Mark Kiesel
22 PMs Asia-Pacific Portfolio Committee
Emerging Markets Portfolio Committee
Mike Cudzil/Mohit Mittal
10 PMs
Real Return
Liquid Products Municipals Steve Rodosky/
Short-Term
Steve Rodosky Dave Hammer Lorenzo Pagani Jerome Schneider
14
13 PMs 7 PMs 9 PMs 13 PMs
Sector specialty desks covering the Credit Portfolio Quantitative Risk

global fixed income spectrum Research Analytics1 Portfolios Management
Christian Stracke Sudi Mariappa Nick Granger Josh Davis
82 analysts2 52 analysts 15 PMs 14 portfolio risk managers
As of 30 June 2022. Source: PIMCO.

*Investment Committee Chair rotates between the Group CIO and CIOs
1 Effective 31 October 2017, PIMCO began reporting the Client Solutions and Analytics teams separately. Previously, these professionals were members of the PM Analytics team.
Please note that certain PMs contribute to multiple strategies and may be included in more than one strategy team PM headcount.
2 The Credit Analyst Team includes Distressed Credit team members whose function serves a dual role as Credit Analyst and Portfolio Manager
3 Certain PIMCO personnel who will provide investment advice to the private funds are separated by an information barrier that has been established between the private side of the Alternatives platform (the “Special Alternatives Group”) and PIMCO’s
public-side trading floor. As a result, communications between the Special Alternatives Group and PIMCO’s public side investment professionals are subject to certain restrictions as set forth in PIMCO’s policies and procedures pertaining to MNPI and
information barriers.
Orga_25 33
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Key Decision Makers
Vinayak Seshasayee
Mr. Seshasayee is an executive vice president and generalist portfolio manager in the New York office, leading Canadian
portfolio management. He is a member of PIMCO’s Americas portfolio committee. Previously, he was a portfolio manager on
the MBS and investment grade credit desks and a member of PIMCO’s diversified income portfolio management team. Prior
to joining PIMCO in 2013, he was a member of the fixed income research group at Morgan Stanley. He has 13 years of
investment experience and holds an MBA from the University of Chicago Booth School of Business. He received an
undergraduate degree from the Indian Institute of Technology, Mumbai.
Mohit Mittal
Mr. Mittal is a managing director and portfolio manager in the Newport Beach office. He manages multi-sector portfolios
and is a senior member of LDI, Total Return, Dynamic Bond, and Credit portfolio management teams. He also serves as
executive sponsor and steering committee member for PIMCO Multicultural. Morningstar named him winner of the 2020
U.S. Morningstar Award for Investing Excellence in the Rising Talent category. He is a member of the Treasury Borrowing
Advisory Committee (TBAC), which is an advisory committee governed by federal statute that meets quarterly with the
Treasury Department. Mr. Mittal also serves on the board of Orangewood Foundation. He joined PIMCO in 2007 and holds
an MBA from the Wharton School of the University of Pennsylvania and an undergraduate degree in computer science
from Indian Institute of Technology (IIT) in Delhi, India.
Total_Return_phil_02b 34
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Portfolio Holdings
Cusip Description Security Type Currency Quantity Price Market Value Maturity Date Coupon Quality Duration
912810QZ4 U S TREASURY BOND US Government Related USD 8,800,000.00 86.04 7,571,781.27 02/15/2043 3.13 AA+ 14.69
912810RB6 U S TREASURY BOND US Government Related USD 3,200,000.00 82.51 2,640,249.98 05/15/2043 2.88 AA+ 15.05
912810RG5 U S TREASURY BOND US Government Related USD 1,400,000.00 89.30 1,250,210.93 05/15/2044 3.38 AA+ 15.04
912810RH3 U S TREASURY BOND US Government Related USD 6,900,000.00 85.55 5,903,003.89 08/15/2044 3.13 AA+ 15.39
912810RY6 U S TREASURY BOND US Government Related USD 7,400,000.00 79.99 5,919,132.79 08/15/2047 2.75 AA+ 17.04
912810SH2 U S TREASURY BOND US Government Related USD 1,200,000.00 83.42 1,001,085.94 05/15/2049 2.88 AA+ 17.51
912810ST6 U S TREASURY BOND US Government Related USD 5,100,000.00 64.71 3,299,958.97 11/15/2040 1.38 AA+ 15.39
912810SW9 U S TREASURY BOND US Government Related USD 9,400,000.00 70.88 6,663,168.00 02/15/2041 1.88 AA+ 14.90
912810TA6 U S TREASURY BOND US Government Related USD 9,500,000.00 68.44 6,501,376.97 08/15/2041 1.75 AA+ 15.38
912810TG3 U S TREASURY BOND US Government Related USD 700,000.00 83.89 587,234.38 05/15/2052 2.88 AA+ 18.22
912810TH1 U S TREASURY BOND US Government Related USD 10,000,000.00 88.78 8,878,125.00 05/15/2042 3.25 AA+ 14.23
9128284N7 U S TREASURY NOTE US Government Related USD 2,900,000.00 94.01 2,726,339.85 05/15/2028 2.88 AA+ 5.09
91282CAJ0 U S TREASURY NOTE US Government Related USD 5,000,000.00 89.10 4,454,882.80 08/31/2025 0.25 AA+ 2.85
91282CBT7 U S TREASURY NOTE US Government Related USD 7,000,000.00 88.82 6,217,148.42 03/31/2026 0.75 AA+ 3.38
91282CCW9 U S TREASURY NOTE US Government Related USD 10,000,000.00 87.72 8,772,265.60 08/31/2026 0.75 AA+ 3.77
91282CEC1 U S TREASURY NOTE US Government Related USD 1,200,000.00 91.09 1,093,125.00 02/28/2027 1.88 AA+ 4.15
91282CER8 U S TREASURY NOTE US Government Related USD 17,300,000.00 97.12 16,801,611.39 05/31/2024 2.50 AA+ 1.60
91282CET4 U S TREASURY NOTE US Government Related USD 7,200,000.00 93.89 6,760,406.23 05/31/2027 2.63 AA+ 4.31
91282CFB2 U S TREASURY NOTE US Government Related USD 8,600,000.00 94.18 8,099,453.17 07/31/2027 2.75 AA+ 4.44
91282CFC0 U S TREASURY NOTE US Government Related USD 10,500,000.00 91.91 9,650,976.51 07/31/2029 2.63 AA+ 6.12
3130ALGL2 FED HOME LN BK GLBL BD (500MM) US Government Related USD 17,400,000.00 87.05 15,145,959.63 02/26/2027 1.12 AA+ 4.17
3130ALHH0 FED HOME LN BK GLBL BD (866.5MM) US Government Related USD 17,300,000.00 88.99 15,395,109.98 03/05/2026 0.96 AA+ 3.29
880591EX6 TENN VALLEY AUTHORITY US Government Related USD 1,700,000.00 79.94 1,358,962.52 09/15/2031 1.50 AA+ 8.15
31359UPD1 FNW 1998-W2-A8 WAM 25 WAC 8.02 Mortgage USD 1,167.66 100.97 1,179.03 06/25/2028 6.50 AA+ 3.50
3136AUH53 FNR 2016-100 WF 1MLIB+50BP Mortgage USD 367,602.08 98.35 361,526.54 01/25/2047 2.67 AA+ 1.49
3136AUKR1 FNR 2016-84 DF 1MLIB+42BP Mortgage USD 254,803.05 98.49 250,951.70 11/25/2046 2.79 AA+ 1.20
31385HFW7 FN ARM 544781 H15T5Y+219.4 12.356 Mortgage USD 16,262.32 99.55 16,189.45 02/01/2030 4.78 AA+ 1.18
31392JAA7 FNW 2003-W2 1A1 VA WM29 WC7.1616 Mortgage USD 384,376.06 102.33 393,316.26 07/25/2042 6.50 AA+ 3.00
31392JWJ4 FNR 2003-18 A1 VA WM29 WC7.66 Mortgage USD 451,108.71 102.71 463,323.38 12/25/2042 6.50 AA+ 2.31
31393TB54 FNW 2003-W15 1A VA WM30 WC6.785 Mortgage USD 495,527.51 103.03 510,530.79 07/25/2043 6.50 AA+ 2.66
31394ALL8 FNW 2004-W8 2A VA WM26 WC7.11 Mortgage USD 148,501.51 102.82 152,692.73 06/25/2044 6.50 AA+ 2.52
31405U6G9 FN ARM 800171 US0012M+138.1 9.967 Mortgage USD 32,327.17 100.10 32,359.32 12/01/2034 1.63 AA+ 1.73
31406NSE5 FN ARM 815117 US0012M+136.5 9.541 Mortgage USD 25,420.08 98.96 25,154.50 05/01/2035 2.48 AA+ 1.80
3140H8YT6 FNMA PASS THRU 30YR #BJ7021 Mortgage USD 5,408,052.56 91.50 4,948,166.43 08/01/2048 3.50 AA+ 6.91
31410FSB2 FNMA P-T DUS #888014 Mortgage USD 592,990.09 99.79 591,743.41 11/01/2034 5.19 AA+ 2.26
3132L8NJ2 FHLMC GOLD 30YR #V8-3093 Mortgage USD 6,361,297.40 91.67 5,831,390.58 04/01/2047 3.50 AA+ 6.22
3132L95Y7 FHLMC GOLD 30YR #V8-4463 Mortgage USD 949,295.34 91.55 869,075.68 07/01/2048 3.50 AA+ 6.91
3132L9XR1 FHLMC GOLD 30YR #V8-4288 Mortgage USD 3,436,612.80 91.52 3,145,167.66 05/01/2048 3.50 AA+ 6.91
3132L9ZQ1 FHLMC GOLD 30YR #V8-4351 Mortgage USD 2,349,086.30 91.73 2,154,725.06 06/01/2048 3.50 AA+ 6.91
35
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Portfolio Holdings (continued)
3132XXDB2 FHLMC GOLD 30YR #Q5-4597 Mortgage USD 291,827.36 91.22 266,213.56 03/01/2048 3.50 AA+ 6.91
31335BED4 FHLMC GOLD 30YR GNT #G6-1032 Mortgage USD 6,591,207.92 91.75 6,047,607.08 06/01/2047 3.50 AA+ 6.22
3133TH4W4 FHR 2105-PE PAC WM 28 WC 6.712 Mortgage USD 109,572.63 102.43 112,232.97 12/15/2028 6.00 AA+ 2.05
31348UF87 FH ARM 865591 H15T3Y+226.5 12.643 Mortgage USD 3,658.76 97.95 3,583.65 03/01/2029 2.74 AA+ 1.46
31351DDT5 FHS 330 F4 1MLIB+35BP Mortgage USD 303,501.58 100.00 303,512.55 10/15/2037 2.72 AA+ 1.20
3137FG6Q3 FHMS W5FX AFX Mortgage USD 3,000,000.00 93.48 2,804,397.90 04/25/2028 3.34 AA+ 4.91
31392MGY2 FSPC T-42 A4 VA WM28 WC7.6797 Mortgage USD 85,760.28 100.48 86,172.65 02/25/2042 6.50 AA+ 3.00
31394JD87 FSPC T-57 1A1 VA SEQ WM29 WC6.86 Mortgage USD 894,426.43 104.40 933,822.16 07/25/2043 6.50 AA+ 4.19
31395GPB2 FHR 2867 MZ SEQ WM34 WC5.45 Mortgage USD 170,968.96 100.13 171,189.48 10/15/2034 5.00 AA+ 3.29
31396JT21 FHRR R006 ZA Z SEQ WM35 WC6.4347 Mortgage USD 51,958.98 104.35 54,221.02 04/15/2036 6.00 AA+ 3.05
31396RDY0 FHR 3149 CZ SEQ WM35 WC6.3867 Mortgage USD 431,014.36 103.39 445,607.51 05/15/2036 6.00 AA+ 3.22
31396UBX7 FHR 3185 GT SEQ WM26 WC6.43 Mortgage USD 192,336.38 101.51 195,241.54 07/15/2026 6.00 AA+ 1.29
36178GTD6 GNMA PASS THRU SGL 30YR #AA8648X Mortgage USD 229,984.78 85.89 197,540.96 03/15/2043 2.50 AA+ 6.53
36178VJL6 GNMA PASS THRU SGL 30YR #AB8367X Mortgage USD 152,695.33 85.89 131,147.87 02/15/2043 2.50 AA+ 6.53
36178WGU7 GNMA PASS THRU SGL 30YR #AB9211X Mortgage USD 697,519.20 93.16 649,812.36 11/15/2042 3.50 AA+ 6.13
36180CYJ2 GNMA PASS THRU SGL 30YR #AD1613X Mortgage USD 348,356.76 85.89 299,220.64 01/15/2043 2.50 AA+ 6.53
38375UWU0 GNR 2016-H11 FJ 1MLIB+85BP Mortgage USD 425,346.79 99.02 421,191.88 04/20/2066 3.21 AA+ 1.18
01F0306A1 FNMA TBA 3.0% OCT 30YR Mortgage USD 0.00 87.07 0.00 10/13/2052 3.00 AA+ 7.11
01F0306B9 FNMA TBA 3.0% NOV 30YR Mortgage USD 81,400,000.00 87.05 70,855,654.83 11/14/2052 3.00 AA+ 7.11
01F0426A6 FNMA TBA 4.5% OCT 30YR Mortgage USD 5,600,000.00 95.29 5,336,187.53 10/13/2052 4.50 AA+ 6.08
07384MAA0 BSARM 2000-2-A1 WM28 WC7.87 Mortgage USD 24,413.63 95.31 23,268.12 11/25/2030 2.78 BAA 0.20
07384MSH6 BSARM 2002-11 1A1 WM31 WC6.2 Mortgage USD 529.61 97.57 516.76 02/25/2033 2.55 A 1.60
36168FAE8 GCAT 2022-INV2 A5 144A Mortgage USD 1,648,233.87 82.97 1,367,535.03 07/25/2043 3.00 AAA 6.98
36228FNB8 GSR 2003-2F 3A1 WM31 WC7.1 Mortgage USD 236.34 93.06 219.93 03/25/2032 6.00 A 5.39
36228FT55 GSAA 2004-CW1 2A1 WM33 WC6.74 Mortgage USD 103,192.21 94.92 97,947.80 04/01/2034 6.00 AA 4.54
36267BAB3 GSMBS 2022-GR2 A2 WM52 WC3.5663 144A Mortgage USD 3,452,865.92 82.53 2,849,693.40 08/26/2052 3.00 AAA 7.10
44555PAN1 HAWT 2021-INV2 A11 144A SOFR Mortgage USD 1,611,432.26 93.38 1,504,830.38 10/25/2051 3.13 AAA 3.31
465973AC9 JPMMT 2022-INV1 A3 144A Mortgage USD 1,683,565.05 82.97 1,396,849.21 03/25/2052 3.00 AAA 6.85
46651YAH3 JPMMT 2019-9 A5 WM49 WC3.9881 144A Mortgage USD 1,017,850.74 87.86 894,243.96 05/25/2050 3.50 AAA 6.29
46653QBD6 JPMMT 2021-14 A11 144A SOFR Mortgage USD 1,643,649.66 93.72 1,540,427.15 05/25/2052 3.23 AAA 3.89
52474HAB6 LMAT 2020-RPL1 A2 WM50 WC4.2242 144A Mortgage USD 1,940,000.00 88.33 1,713,690.27 09/25/2059 3.25 AAA 4.08
67114KAC1 OBX 2021-INV2 A3 WM51 WC3.3418 144A Mortgage USD 1,632,833.73 79.90 1,304,566.06 10/25/2051 2.50 AAA 7.26
76111XRB1 RFMSI 2004-S9 1A23 SEQ WM34 WC5 Mortgage USD 37,175.12 88.33 32,836.54 12/25/2034 5.50 BA 5.54
863579VM7 SARM 2005-17 3A1 ARM WM35 WC5.7921 Mortgage USD 23,255.18 89.10 20,719.69 08/25/2035 3.59 CAA 2.30
86358HNX3 SAMI 2002-AR3-A1 1MOLIB+33 Mortgage USD 44,053.71 96.48 42,505.13 09/19/2032 3.65 BA -0.04
36
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89173UAA5 TPMT 2017-4 A1 Mortgage USD 735,214.07 96.22 707,415.63 06/25/2057 2.75 AAA 1.09
89178BAA2 TPMT 2019-4 A1 144A Mortgage USD 1,426,818.52 94.61 1,349,938.97 10/25/2059 2.90 AAA 1.72
89180DAA4 TPHT 2021-HE1 A1 144A Mortgage USD 531,152.26 94.38 501,325.03 02/26/2063 0.92 AAA 1.40
90354TAJ8 UWM 2021-INV2 A9 SOFR30A+100BP 144A Mortgage USD 1,640,795.80 94.01 1,542,524.44 09/25/2051 3.28 AAA 3.57
90355RAC6 UWM 2021-INV3 A3 144A Mortgage USD 2,328,537.65 79.52 1,851,590.27 11/25/2051 2.50 AAA 7.24
90355RAM4 UWM 2021-INV3 A9 144A SOFR30A+95BP Mortgage USD 1,676,547.11 93.73 1,571,398.43 11/25/2051 3.23 AAA 3.55
918307AM1 UWM 2021-INV4 A9 144A SOFR Mortgage USD 1,680,812.87 93.72 1,575,323.04 12/25/2051 3.23 AAA 3.54
22541NAD1 HEAT 2002-1-A4 1MOLIB+30 FSA Mortgage USD 26,172.79 90.63 23,721.25 11/25/2032 3.68 A+ 4.21
46629NAC7 JPMAC 2006-RM1 A2 STEP 1MLIB+8 Mortgage USD 20,678.61 46.15 9,542.91 08/25/2036 3.24 C 2.94
576449AA0 MABS 2006-HE4 A1 1MLIB+5 Mortgage USD 4,872.30 36.75 1,790.61 11/25/2036 3.18 CA 3.36
06050HKR8 BOAMS 2002-G 1A3 Mortgage USD 118.34 96.17 113.80 07/20/2032 5.75 BAA 4.21
07384M3D2 BSARM 2004-9 22A1 ARM WM34 WC5.02 Mortgage USD 3,743.11 95.22 3,564.01 11/25/2034 3.75 AA 2.23
07384MR87 BSARM 2004-3 1A2 AS 12MLIBOR Mortgage USD 119,610.35 91.58 109,539.42 07/25/2034 3.87 A+ 2.85
07384MTJ1 BSARM 2003-1 2A1 WM31 WC6.2 Mortgage USD 12,386.71 98.39 12,186.77 04/25/2033 2.88 AA 1.78
07384MTK8 BSARM 2003-1 3A1 WM31 WC6.268 Mortgage USD 25,332.95 99.96 25,322.64 04/25/2033 2.63 AA 1.47
07384MTN2 BSARM 2003-1-6A1 WM31 WC6.2 Mortgage USD 1,871.47 100.39 1,878.74 04/25/2033 2.51 BAA 0.55
07384MW65 BSARM 2004-6 2A1 AS WM30 WC5.46 Mortgage USD 22,178.67 94.33 20,921.36 09/25/2034 3.58 B- 6.43
07384MWN8 BSARM 2003-5 2A1 ARM WM33 WC5.24 Mortgage USD 57,622.86 96.34 55,513.11 08/25/2033 3.36 AA 3.55
07384MZV7 BSARM 2003-8 4A1 NON AGENCY ARM Mortgage USD 29,287.71 97.79 28,641.19 01/25/2034 3.00 A+ 2.68
07386HCE9 BALTA 2003-3-1A AS WM32 WC5.12 Mortgage USD 9,833.38 95.63 9,403.50 10/25/2033 3.04 BA 1.38
07386HKZ3 BALTA 2004-9 2A1 AS WM34 WC5.83 Mortgage USD 154,636.49 94.74 146,500.69 09/25/2034 3.82 BAA 1.98
073881AA2 BSARM 2007-3 1A1 WM37 WC5.90 ***DEF*** Mortgage USD 57,069.68 91.78 52,379.27 05/25/2047 3.23 BA 4.44
12669FN66 CWHL 2004-12 11A2 PT WM34 WC4.64 Mortgage USD 17,930.30 99.86 17,905.65 08/25/2034 3.68 CAA 0.53
161630BD9 CHASE 2007-A1 11M1 WM36 WC5.9404 ARM**DE Mortgage USD 15,786.51 94.69 14,948.86 03/25/2037 3.38 BA 2.57
172987AD1 CMLTI 2006-AR7 1A3A WM36 WC6.***DEF*** Mortgage USD 12,414.24 91.64 11,375.80 07/25/2046 3.63 BA 2.03
466247E74 JPMMT 2006-A1 2A2 ARM WM35 WC5.6 **DEF** Mortgage USD 133,203.16 80.50 107,229.57 02/25/2036 2.95 BA 2.91
55028BAA5 LUM 2006-7 1A1 1MLIB+18**DEF** Mortgage USD 28,101.09 91.58 25,735.62 12/25/2036 3.44 B 1.38
61749LAP6 MSM 2006-8AR 5A4 WM36 WC5.6674 ARM Mortgage USD 36,221.51 96.55 34,972.78 06/25/2036 3.19 BAA- 2.32
76111XYD9 RFMSI 2005-SA4 1A21 WM35 WC5.513 **DEF** Mortgage USD 255,591.81 68.69 175,565.43 09/25/2035 3.96 B 3.55
86359BWG2 SARM 2004-8 3A AS ARM Mortgage USD 338,559.18 96.85 327,903.20 07/25/2034 3.72 BAA 1.54
92925GAA1 WAMU 2006-AR16 1A1 WM36 WC6.234 ARM*DEF Mortgage USD 150,447.28 89.87 135,200.91 12/25/2036 2.74 BA 3.58
933637AA8 WAMU 2006-AR18 1A1 WM37 WC6.217 **DEF* Mortgage USD 242,315.67 89.46 216,776.96 01/25/2037 2.57 BA 4.24
93363EAA3 WAMU 2006-AR10 1A1 AS ARM ***DEF*** Mortgage USD 168,881.67 92.85 156,801.02 09/25/2036 3.72 BA 3.45
939336PB3 WAMU 2003-AR1 A5 ARM WM33 WC5.22 Mortgage USD 11,340.42 96.12 10,900.74 03/25/2033 2.33 B- 1.93
02146YAC0 CWALT 2006-OA9 2A1A 1MLIB+21 **DEF** Mortgage USD 92,737.82 76.21 70,671.24 07/20/2046 3.20 CA -0.41
02147DAB7 CWALT 2006-OA11 A1B 1MLIB+19 ***DEF*** Mortgage USD 141,665.34 94.12 133,330.33 09/25/2046 3.46 CAA- 1.66
12668ATT2 CWALT 2005-62 2A1 1YMTA+100 Mortgage USD 51,375.25 84.82 43,574.69 12/25/2035 2.10 CA 1.24
576433G42 MARM 2006-OA1 1A1 1MLIB+21 Mortgage USD 253,402.14 88.47 224,188.83 04/25/2046 3.29 CAA 0.76
86358HRX9 SAMI 2003-AR1-A3 1MOLIB+42 Mortgage USD 85,448.69 93.09 79,548.13 10/19/2033 3.83 A+ 0.01
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929227QB5 WAMU 2002-AR6 A 12MTA+140 Mortgage USD 1,585.28 91.92 1,457.23 06/25/2042 2.50 AA 2.90
05526WAC7 BAMLL 2015-HAUL A2 144A Mortgage USD 2,762,000.00 90.61 2,502,546.83 07/07/2043 4.03 AAA 3.99
05551JAA8 BAMLL 2020-BOC A WM27 WC3.2033 144A Mortgage USD 2,000,000.00 86.42 1,728,405.80 01/15/2032 2.63 AAA 3.93
05552FBA4 BBCMS 2022-C15 A5 WM31 WC3.8503 Mortgage USD 3,400,000.00 88.78 3,018,490.42 04/15/2055 3.66 AAA 7.65
08163NBK0 BMARK 2022-B32 ASB WM30 WC3.5378 Mortgage USD 2,000,000.00 86.94 1,738,859.00 01/15/2055 2.96 AAA 5.96
12592FAA3 COMM 2014-277P A WM24 WC3.624000 144A Mortgage USD 1,600,000.00 95.10 1,521,660.00 08/10/2049 3.73 AAA 1.63
20048JAA8 COMM 2018-HOME A 144A Mortgage USD 1,300,000.00 91.54 1,190,082.92 04/10/2033 3.94 AAA 4.65
23305JAA0 DBUBS 2017-BRBK A 144A Mortgage USD 2,100,000.00 94.44 1,983,242.52 10/10/2034 3.45 AAA 1.88
23312LAQ1 DBJPM 2016-C1 ASB Mortgage USD 426,328.96 96.23 410,273.33 05/10/2049 3.04 AAA 1.63
29429CAE5 CGCMT 2016-P3 AAB WM25 WC4.85644 Mortgage USD 1,325,954.28 96.82 1,283,743.06 04/15/2049 3.13 AAA 1.41
45378YAA2 IPT 2018-INDP A 144A Mortgage USD 1,500,000.00 94.16 1,412,378.85 07/10/2035 3.76 AAA 2.40
46645LAX5 JPMBB 2016-C1 A4 Mortgage USD 2,400,000.00 95.07 2,281,710.00 03/15/2049 3.31 AAA 2.74
55282MAA2 MAD 2017-330M A Mortgage USD 3,000,000.00 94.21 2,826,274.50 08/15/2034 3.29 AAA 2.11
55354JAA2 MSDB 2017-712F A 144A Mortgage USD 2,400,000.00 88.25 2,117,918.88 07/11/2039 3.43 AAA 5.76
90117PAA3 AOTA 2015-1211 A1A1 WM25 WC4.1492 144A Mortgage USD 1,200,000.00 94.35 1,132,250.76 08/10/2035 3.90 AAA 2.44
83162CPS6 SBAP 2005-20H 1 PASS THRU Mortgage USD 125,574.19 99.19 124,554.49 08/01/2025 5.11 AA+ 1.38
83162CPV9 SBAP 2005-20J 1 Mortgage USD 18,794.66 98.06 18,429.52 10/01/2025 5.09 AA+ 1.24
83162CQG1 SBAP 2006-20E 1 PASS THRU Mortgage USD 88,080.41 99.30 87,465.14 05/01/2026 5.87 AA+ 1.45
83162CQK2 SBAP 2006-20G 1 PASS THROUGH Mortgage USD 153,883.05 98.66 151,821.12 07/01/2026 6.07 AA+ 1.61
83162CRE5 SBAP 2007-20H 1 PASS THRU Mortgage USD 72,705.48 99.11 72,061.18 08/01/2027 5.78 AA+ 2.04
42806MBA6 HERTZ 2022-4A A 144A Mortgage USD 1,700,000.00 95.97 1,631,531.65 09/25/2026 3.73 AAA 2.56
42806MBJ7 HERTZ 2022-4A A 144A Mortgage USD 1,700,000.00 92.85 1,578,458.84 09/25/2028 3.89 AAA 4.21
78449GAB5 SMB 2016-B A2A 144A Mortgage USD 492,001.48 96.47 474,634.76 02/17/2032 2.43 AAA 1.93
12669F7L1 CWHL 2004-R1 2A VA WM30 WC6.74 144A*DEF* Mortgage USD 71,154.91 91.96 65,434.38 11/25/2034 6.50 CAA+ 1.50
00108WAH3 AEP TEXAS INC SR UNSEC Invest. Grade Credit USD 1,400,000.00 92.47 1,294,569.95 06/01/2028 3.95 BAA 4.87
010392FU7 ALABAMA POWER CO SR UNSEC Invest. Grade Credit USD 1,100,000.00 76.68 843,532.09 09/15/2030 1.45 A- 7.07
02361DAV2 AMEREN ILLINOIS CO Invest. Grade Credit USD 1,400,000.00 76.71 1,073,946.22 11/15/2030 1.55 A 7.01
040555CZ5 ARIZONA PUBLIC SERVICE SR UNSEC Invest. Grade Credit USD 1,300,000.00 82.53 1,072,874.27 08/15/2029 2.60 BAA+ 5.98
040555DC5 ARIZONA PUBLIC SERVICE SR UNSEC Invest. Grade Credit USD 2,100,000.00 57.36 1,204,517.18 09/15/2050 2.65 BAA+ 14.51
040555DD3 ARIZONA PUBLIC SERVICE SR UNSEC Invest. Grade Credit USD 1,500,000.00 74.94 1,124,129.57 12/15/2031 2.20 BAA+ 7.76
048303CJ8 ATLANTIC CITY ELECTRIC 1ST LIEN Invest. Grade Credit USD 1,700,000.00 81.20 1,380,461.76 03/15/2031 2.30 A 7.07
049560AT2 ATMOS ENERGY CORP SR UNSEC Invest. Grade Credit USD 1,700,000.00 75.32 1,280,456.17 01/15/2031 1.50 A- 7.37
05351WAB9 AVANGRID INC SR UNSEC Invest. Grade Credit USD 1,400,000.00 88.98 1,245,757.48 06/01/2029 3.80 BAA 5.61
092113AM1 BLACK HILLS CORP SR UNSEC Invest. Grade Credit USD 500,000.00 91.71 458,538.49 01/15/2027 3.15 BAA 3.82
100743AK9 BOSTON GAS COMPANY SR UNSEC 144A Invest. Grade Credit USD 700,000.00 89.21 624,469.87 08/01/2027 3.15 BAA+ 4.29
23338VAN6 DTE ELECTRIC CO GENL REF MORT SEC Invest. Grade Credit USD 1,800,000.00 85.20 1,533,515.72 04/01/2028 1.90 A 4.99
247109BS9 DELMARVA PWR & LIGHT CO SEC Invest. Grade Credit USD 100,000.00 98.46 98,461.59 11/15/2023 3.50 A 1.11
26444HAC5 DUKE ENERGY FLORIDA LLC SR SEC Invest. Grade Credit USD 1,200,000.00 93.91 1,126,873.96 01/15/2027 3.20 A 3.83
26444HAE1 DUKE ENERGY FLORIDA LLC SEC Invest. Grade Credit USD 1,500,000.00 93.62 1,404,336.26 07/15/2028 3.80 A 4.92
38
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29364WBH0 ENTERGY LOUISIANA LLC 1ST MTGE Invest. Grade Credit USD 1,500,000.00 77.63 1,164,406.71 06/15/2032 2.35 A 7.78
373334KP5 GEORGIA POWER CO SR UNSEC Invest. Grade Credit USD 1,300,000.00 66.20 860,631.17 03/15/2051 3.25 BAA+ 13.63
402479CF4 GULF POWER CO SR UNSEC Invest. Grade Credit USD 900,000.00 92.86 835,771.65 05/30/2027 3.30 A 4.15
591894BY5 METROPOLITAN EDISON SR UNSEC 144A Invest. Grade Credit USD 700,000.00 99.12 693,825.02 03/15/2023 3.50 BAA 0.46
595620AT2 MIDAMERICAN ENERGY CO SEC Invest. Grade Credit USD 1,600,000.00 92.35 1,477,548.66 04/15/2029 3.65 A+ 5.52
595620AW5 MIDAMERICAN ENERGY CO SEC Invest. Grade Credit USD 3,200,000.00 63.08 2,018,546.85 08/01/2052 2.70 A+ 14.89
637432NW1 NATIONAL RURAL UTIL COOP SEC Invest. Grade Credit USD 1,700,000.00 73.33 1,246,643.01 03/15/2031 1.35 A- 7.24
649840CT0 NY STATE ELECTRIC & GAS SR UNSEC 144A Invest. Grade Credit USD 2,000,000.00 77.63 1,552,590.62 10/01/2031 2.15 BAA+ 7.61
65364UAL0 NIAGARA MOHAWK POWER SR UNSEC 144A Invest. Grade Credit USD 2,000,000.00 91.78 1,835,550.18 12/15/2028 4.28 BAA+ 5.17
665772CR8 NORTHERN STATES PWR-MINN SEC Invest. Grade Credit USD 1,400,000.00 67.08 939,178.87 03/01/2050 2.90 A 14.08
665772CT4 NORTHERN STATES PWR-MINN Invest. Grade Credit USD 3,300,000.00 81.82 2,699,991.88 04/01/2031 2.25 A 7.21
744448CT6 PUBLIC SERVICE COLORADO SEC Invest. Grade Credit USD 1,200,000.00 79.39 952,660.32 01/15/2031 1.90 A 7.06
771367CE7 ROCHESTER GAS & ELECTRIC SEC 144A Invest. Grade Credit USD 1,400,000.00 75.78 1,060,952.84 12/01/2030 1.85 A 6.84
797440BZ6 SAN DIEGO G & E SEC Invest. Grade Credit USD 1,400,000.00 77.18 1,080,574.60 10/01/2030 1.70 A 6.85
822582CH3 SHELL INTERNATIONAL FIN SR UNSEC Invest. Grade Credit USD 600,000.00 70.55 423,290.94 04/06/2050 3.25 A+ 13.94
842434CU4 SOUTHERN CALIF GAS CO SEC Invest. Grade Credit USD 2,100,000.00 84.22 1,768,669.29 02/01/2030 2.55 A+ 6.28
842587DE4 SOUTHERN CO SR UNSEC Invest. Grade Credit USD 1,500,000.00 88.12 1,321,800.32 04/30/2030 3.70 BAA 6.26
845437BP6 SOUTHWESTERN ELEC POWER SR UNSEC Invest. Grade Credit USD 900,000.00 90.68 816,160.87 10/01/2026 2.75 BAA 3.66
845437BR2 SOUTHWESTERN ELEC POWER SR UNSEC Invest. Grade Credit USD 1,300,000.00 92.44 1,201,663.36 09/15/2028 4.10 BAA 5.06
845743BU6 SOUTHWESTERN PUBLIC SERV SEC Invest. Grade Credit USD 1,800,000.00 68.49 1,232,862.84 05/01/2050 3.15 A- 12.66
LW9385011 SGSP AUSTRALIA ASSETS SR UNSEC Invest. Grade Credit USD 200,000.00 92.55 185,094.21 07/29/2026 3.25 A- 3.50
00206RKJ0 AT&T INC SR UNSEC Invest. Grade Credit USD 1,664,000.00 66.80 1,111,500.22 09/15/2053 3.50 BAA 12.72
00206RMM1 AT&T INC SR UNSEC Invest. Grade Credit USD 1,207,000.00 74.13 894,758.94 12/01/2033 2.55 BAA 8.58
00507VAQ2 ACTIVISION BLIZZARD SR UNSEC Invest. Grade Credit USD 2,500,000.00 60.66 1,516,395.63 09/15/2050 2.50 BAA+ 15.56
053015AG8 AUTOMATIC DATA PROCESSNG SR UNSEC Invest. Grade Credit USD 2,500,000.00 85.69 2,142,203.78 05/15/2028 1.70 AA- 5.18
11135FBL4 BROADCOM INC SR UNSEC 144A Invest. Grade Credit USD 632,000.00 75.21 475,314.80 04/15/2034 3.47 BAA- 8.38
11135FBP5 BROADCOM INC SR UNSEC 144A Invest. Grade Credit USD 1,868,000.00 70.28 1,312,830.59 11/15/2035 3.14 BAA- 9.22
22822RBH2 CROWN CASTLE TOWERS LLC SEC 144A Invest. Grade Credit USD 1,800,000.00 91.49 1,646,851.32 07/15/2048 4.24 A 4.50
285512AE9 ELECTRONIC ARTS INC SR UNSEC Invest. Grade Credit USD 1,500,000.00 77.22 1,158,239.79 02/15/2031 1.85 BAA+ 7.39
67066GAG9 NVIDIA CORP SR UNSEC Invest. Grade Credit USD 2,700,000.00 77.94 2,104,350.46 04/01/2040 3.50 A 11.64
68389XBM6 ORACLE CORP SR UNSEC Invest. Grade Credit USD 1,300,000.00 90.09 1,171,189.73 07/15/2026 2.65 BAA 3.46
68389XBU8 ORACLE CORP SR UNSEC Invest. Grade Credit USD 1,300,000.00 88.40 1,149,170.41 04/01/2027 2.80 BAA 4.05
68389XBX2 ORACLE CORP SR UNSEC Invest. Grade Credit USD 600,000.00 62.76 376,570.61 04/01/2050 3.60 BAA 11.88
68389XBY0 ORACLE CORP SR UNSEC Invest. Grade Credit USD 1,100,000.00 60.69 667,628.54 04/01/2060 3.85 BAA 11.61
92343VGL2 VERIZON COMMUNICATIONS SR UNSEC Invest. Grade Credit USD 1,700,000.00 66.96 1,138,249.18 09/03/2041 2.85 BAA+ 11.45
00131LAK1 AIA GROUP LTD SUB 144A Invest. Grade Credit USD 1,300,000.00 74.91 973,773.39 09/16/2040 3.20 A 12.17
05583JAF9 BPCE SA SR UNSEC 144A Invest. Grade Credit USD 1,100,000.00 98.84 1,087,215.80 09/12/2023 4.00 BAA+ 0.95
05946KAJ0 BANCO BILBAO VIZCAYA ARG Invest. Grade Credit USD 1,300,000.00 88.13 1,145,654.16 09/18/2025 1.13 A- 2.83
05970FAC5 BANCO SANTANDER CHILE SR UNSEC 144A Invest. Grade Credit USD 1,800,000.00 93.50 1,683,000.00 01/10/2025 2.70 A- 2.22
39
351/521
06051GHY8 BANK OF AMERICA CORP SR UNSEC Invest. Grade Credit USD 2,100,000.00 91.74 1,926,468.37 02/13/2026 2.02 A- 2.31
06051GJG5 BANK OF AMERICA CORP SR UNSEC SOFR Invest. Grade Credit USD 1,600,000.00 91.05 1,456,828.86 09/25/2025 0.98 A- 1.98
06051GJK6 BANK OF AMERICA CORP SR UNSEC SOFR Invest. Grade Credit USD 2,000,000.00 87.33 1,746,626.56 10/24/2026 1.20 A- 2.91
06051GKE8 BANK OF AMERICA CORP SR UNSEC SOFR Invest. Grade Credit USD 1,800,000.00 91.55 1,647,822.71 12/06/2025 1.53 A- 2.16
06418BAE8 BANK OF NOVA SCOTIA SR UNSEC Invest. Grade Credit USD 2,200,000.00 90.64 1,994,180.96 03/11/2027 2.95 A- 4.02
06738EAE5 BARCLAYS PLC SR UNSEC Invest. Grade Credit USD 300,000.00 94.67 284,014.55 03/16/2025 3.65 BAA 2.34
093662AH7 BLOCK FINANCIAL LLC SR UNSEC Invest. Grade Credit USD 800,000.00 85.54 684,293.82 08/15/2030 3.88 BAA- 6.37
09659W2G8 BNP PARIBAS SR UNSEC 144A Invest. Grade Credit USD 400,000.00 98.50 394,005.99 01/10/2025 4.71 BAA+ 1.27
12572QAJ4 CME GROUP INC SR UNSEC SMR Invest. Grade Credit USD 1,300,000.00 94.50 1,228,557.33 06/15/2028 3.75 AA- 4.95
13607HR61 CANADIAN IMPERIAL BANK SR UNSEC Invest. Grade Credit USD 2,400,000.00 92.08 2,209,944.26 04/07/2027 3.45 A- 4.04
23329PAF7 DNB BANK ASA SR NON-PREFERRED 144A Invest. Grade Credit USD 1,600,000.00 87.38 1,398,018.05 09/16/2026 1.13 A- 2.81
251526BM0 DEUTSCHE BANK NY SR UNSEC Invest. Grade Credit USD 1,400,000.00 99.93 1,399,009.82 11/16/2022 4.11 BAA- 0.13
251526CM9 DEUTSCHE BANK NY SR PREFERRED Invest. Grade Credit USD 1,800,000.00 95.20 1,713,571.90 11/08/2023 0.96 A- 1.11
25466AAJ0 DISCOVER BANK SR UNSEC Invest. Grade Credit USD 600,000.00 91.16 546,943.06 07/27/2026 3.45 BAA 3.41
303901BB7 FAIRFAX FINL HLDGS LTD SR UNSEC Invest. Grade Credit USD 500,000.00 94.13 470,671.05 04/17/2028 4.85 BAA- 4.60
354613AL5 FRANKLIN RESOURCES INC SR UNSEC Invest. Grade Credit USD 3,000,000.00 74.87 2,245,970.97 10/30/2030 1.60 A 7.06
38141GVX9 GOLDMAN SACHS GROUP INC SR UNSEC Invest. Grade Credit USD 1,300,000.00 99.51 1,293,598.19 10/28/2027 4.54 BAA+ 0.06
38148LAC0 GOLDMAN SACHS GROUP INC SR UNSEC Invest. Grade Credit USD 1,000,000.00 96.20 961,968.41 01/23/2025 3.50 BAA+ 2.20
404280CL1 HSBC HOLDINGS PLC GLBL SR UNSEC SOFR Invest. Grade Credit USD 4,500,000.00 80.07 3,603,126.51 09/22/2028 2.01 A- 4.52
404280DA4 HSBC HOLDINGS PLC SR UNSEC SOFR Invest. Grade Credit USD 1,700,000.00 92.52 1,572,830.31 03/10/2026 3.00 A- 2.35
46625HMN7 JPMORGAN CHASE & CO UNSEC Invest. Grade Credit USD 800,000.00 96.78 774,240.60 07/15/2025 3.90 A- 2.55
46647PBL9 JPMORGAN CHASE & CO SR UNSEC SOFR Invest. Grade Credit USD 2,400,000.00 79.18 1,900,314.00 04/22/2031 2.52 A- 6.44
56501RAK2 MANULIFE FINANCIAL CORP SR UNSEC Invest. Grade Credit USD 2,000,000.00 89.29 1,785,775.70 05/19/2027 2.48 A- 4.21
606822BD5 MITSUBISHI UFJ FIN GRP SR UNSEC Invest. Grade Credit USD 700,000.00 97.73 684,131.91 03/07/2024 3.41 A- 1.42
606822BX1 MITSUBISHI UFJ FIN GRP SR UNSEC Invest. Grade Credit USD 2,200,000.00 75.07 1,651,602.55 07/20/2032 2.31 A- 7.32
60683MAE9 MITSUI FUDOSAN CO LTD Invest. Grade Credit USD 1,800,000.00 82.94 1,492,992.00 01/21/2032 2.57 A- 7.77
60687YBH1 MIZUHO FINANCIAL GROUP SR UNSEC SOFR Invest. Grade Credit USD 1,300,000.00 75.76 984,898.06 07/10/2031 2.20 A- 6.60
60687YBL2 MIZUHO FINANCIAL GROUP SR UNSEC SOFR Invest. Grade Credit USD 2,400,000.00 73.98 1,775,554.97 09/08/2031 1.98 A- 6.77
63906YAG3 NATWEST MARKETS PLC SR UNSEC 144A Invest. Grade Credit USD 2,500,000.00 94.93 2,373,142.98 03/22/2025 3.48 A- 2.36
656029AH8 NORINCHUKIN BANK SR UNSEC 144A Invest. Grade Credit USD 1,800,000.00 76.52 1,377,385.72 09/22/2031 2.08 A 7.60
743315AY9 PROGRESSIVE CORP SR UNSEC Invest. Grade Credit USD 1,630,000.00 90.44 1,474,175.52 03/15/2027 2.50 A 4.07
74368CAP9 PROTECTIVE LIFE GLOBAL SEC 144A Invest. Grade Credit USD 1,200,000.00 96.78 1,161,360.82 04/15/2024 3.10 A+ 1.53
780097BH3 NATWEST GROUP PLC SR UNSEC Invest. Grade Credit USD 735,000.00 99.81 733,606.40 06/25/2024 5.19 BAA 0.25
78448TAD4 SMBC AVIATION CAPITAL FI SR UNSEC 144A Invest. Grade Credit USD 1,100,000.00 98.86 1,087,479.54 07/15/2023 4.13 A- 0.79
80282KAE6 SANTANDER HOLDINGS USA SR UNSEC Invest. Grade Credit USD 700,000.00 95.74 670,187.32 07/17/2025 4.50 BAA- 2.53
808513BT1 CHARLES SCHWAB CORP SR UNSEC Invest. Grade Credit USD 1,700,000.00 76.32 1,297,376.59 12/01/2031 1.95 A 7.80
86562MBT6 SUMITOMO MITSUI FINL GRP SR UNSEC Invest. Grade Credit USD 1,500,000.00 94.59 1,418,896.13 09/27/2024 2.45 A- 1.97
86562MCG3 SUMITOMO MITSUI FINL GRP SR UNSEC Invest. Grade Credit USD 1,700,000.00 80.58 1,369,921.57 09/17/2028 1.90 A- 5.34
86562MCN8 SUMITOMO MITSUI FINL GRP SR UNSEC Invest. Grade Credit USD 1,800,000.00 82.15 1,478,699.03 01/14/2029 2.47 A- 5.50
40
352/521
86563VBA6 SUMITOMO MITSUI TR BK LT SR UNSEC 144A Invest. Grade Credit USD 2,200,000.00 90.00 1,979,950.74 03/10/2027 2.80 A 4.03
866677AF4 SUN COMMUNITIES OPER LP SR UNSEC Invest. Grade Credit USD 1,800,000.00 80.37 1,446,740.66 11/01/2028 2.30 BAA- 5.30
87165BAP8 SYNCHRONY FINANCIAL SR UNSEC Invest. Grade Credit USD 1,100,000.00 90.99 1,000,855.44 03/19/2029 5.15 BAA- 5.11
90351DAF4 UBS GROUP FUNDING SR UNSEC 144A Invest. Grade Credit USD 2,200,000.00 94.67 2,082,734.19 04/15/2026 4.13 A- 3.19
AS1961935 LLOYDS BANK PLC SR UNSEC Invest. Grade Credit USD 1,400,000.00 61.12 855,711.65 04/02/2032 0.00 A+ 8.85
023135CC8 AMAZON.COM INC SR UNSEC Invest. Grade Credit USD 3,800,000.00 67.50 2,564,980.92 05/12/2061 3.25 A+ 17.45
126650CX6 CVS HEALTH CORP SR UNSEC SMR Invest. Grade Credit USD 209,000.00 94.49 197,487.99 03/25/2028 4.30 BAA 4.71
654744AC5 NISSAN MOTOR CO SR UNSEC 144A Invest. Grade Credit USD 1,300,000.00 86.33 1,122,316.75 09/17/2027 4.35 BAA- 4.26
654744AD3 NISSAN MOTOR CO SR UNSEC 144A Invest. Grade Credit USD 1,600,000.00 81.15 1,298,383.07 09/17/2030 4.81 BAA- 6.04
817826AE0 7-ELEVEN INC SR UNSEC 144A SMR Invest. Grade Credit USD 1,400,000.00 74.44 1,042,229.90 02/10/2031 1.80 BAA 7.28
928668AR3 VOLKSWAGEN GROUP AMERICA SR UNSEC 144A Invest. Grade Credit USD 1,400,000.00 99.01 1,386,129.42 11/13/2023 4.25 BAA+ 1.12
928668AT9 VOLKSWAGEN GROUP AMERICA SR UNSEC 144A Invest. Grade Credit USD 1,100,000.00 97.87 1,076,527.40 11/13/2025 4.63 BAA+ 2.85
00287YBF5 ABBVIE INC SR UNSEC Invest. Grade Credit USD 1,200,000.00 94.01 1,128,154.04 11/14/2028 4.25 BAA 5.19
125523AH3 CIGNA CORP SR UNSEC SMR Invest. Grade Credit USD 1,400,000.00 94.53 1,323,358.82 10/15/2028 4.38 BAA+ 5.13
58933YBD6 MERCK & CO INC SR UNSEC Invest. Grade Credit USD 1,800,000.00 83.97 1,511,453.34 12/10/2028 1.90 A+ 5.66
628530BK2 MYLAN INC SR UNSEC Invest. Grade Credit USD 600,000.00 88.49 530,949.47 04/15/2028 4.55 BAA- 4.69
62854AAN4 MYLAN NV SR UNSEC Invest. Grade Credit USD 1,700,000.00 91.29 1,551,873.20 06/15/2026 3.95 BAA- 3.32
07274NAL7 BAYER US FINANCE II LLC SR UNSEC 144A Invest. Grade Credit USD 1,200,000.00 91.60 1,099,177.68 12/15/2028 4.38 BAA 5.14
92940PAB0 WRKCO INC SR UNSEC Invest. Grade Credit USD 1,100,000.00 97.93 1,077,182.27 03/15/2026 4.65 BAA 3.06
00817YAQ1 AETNA INC SR UNSEC Invest. Grade Credit USD 700,000.00 97.26 680,848.15 11/15/2024 3.50 BAA 2.02
015271AT6 ALEXANDRIA REAL ESTATE E SR UNSEC Invest. Grade Credit USD 1,300,000.00 82.87 1,077,288.13 12/15/2029 2.75 BAA+ 6.10
023771R91 AMER AIRLINE 16-3 AA PTT SEC Invest. Grade Credit USD 672,108.77 86.55 581,694.21 04/15/2030 3.00 BAA+ 4.10
02666TAB3 AMERICAN HOMES 4 RENT SR UNSEC Invest. Grade Credit USD 1,600,000.00 93.88 1,502,112.93 02/15/2029 4.90 BAA- 5.16
06684QAB8 BAPTIST HEALTHCARE UNSEC Invest. Grade Credit USD 1,400,000.00 73.27 1,025,723.48 08/15/2050 3.54 A+ 14.86
11120VAA1 BRIXMOR OPERATING PART SR UNSEC Invest. Grade Credit USD 1,000,000.00 96.19 961,946.54 02/01/2025 3.85 BAA- 2.21
25389JAU0 DIGITAL REALTY TRUST LP SR UNSEC Invest. Grade Credit USD 1,400,000.00 87.81 1,229,334.99 07/01/2029 3.60 BAA 5.62
26884TAP7 ERAC USA FINANCE LLC SR UNSEC 144A Invest. Grade Credit USD 1,500,000.00 94.71 1,420,722.62 11/01/2025 3.80 BAA+ 2.83
26884UAF6 EPR PROPERTIES SR UNSEC Invest. Grade Credit USD 1,200,000.00 77.37 928,390.13 08/15/2029 3.75 BAA- 5.41
29717PAW7 ESSEX PORTFOLIO LP SR UNSEC Invest. Grade Credit USD 1,300,000.00 73.07 949,880.76 01/15/2031 1.65 BAA+ 7.10
313747BA4 FEDERAL REALTY INVESTMEN SR UNSEC Invest. Grade Credit USD 1,500,000.00 85.27 1,278,984.77 06/01/2030 3.50 BAA+ 6.24
313747BB2 FEDERAL REALTY INVESTMEN SR UNSEC Invest. Grade Credit USD 1,400,000.00 88.11 1,233,541.08 02/15/2026 1.25 BAA+ 3.19
431282AS1 HIGHWOODS REALTY LP SR UNSEC Invest. Grade Credit USD 800,000.00 81.21 649,685.80 02/15/2030 3.05 BAA 6.26
49427RAK8 KILROY REALTY LP SR UNSEC Invest. Grade Credit USD 1,200,000.00 88.50 1,061,996.08 08/15/2029 4.25 BAA 5.68
49427RAR3 KILROY REALTY LP SR UNSEC Invest. Grade Credit USD 1,700,000.00 70.30 1,195,072.17 11/15/2033 2.65 BAA 8.81
571903BC6 MARRIOTT INTERNATIONAL SR UNSEC Invest. Grade Credit USD 1,500,000.00 100.00 1,500,000.00 10/03/2022 2.13 BAA- 0.01
65480CAD7 NISSAN MOTOR ACC CO SR UNSEC 144A Invest. Grade Credit USD 1,800,000.00 75.43 1,357,800.57 09/15/2028 2.45 BAA- 5.05
667274AA2 NORTHWELL HEALTHCARE INC SR SEC Invest. Grade Credit USD 1,000,000.00 78.20 781,989.80 11/01/2046 3.98 A- 12.58
68327LAC0 CADILLAC FAIRVIEW PRP TR SR UNSEC 144A Invest. Grade Credit USD 1,700,000.00 92.61 1,574,303.97 02/01/2029 4.13 A+ 5.37
71951QAB8 PHYSICIANS REALTY LP SR UNSEC Invest. Grade Credit USD 1,500,000.00 90.40 1,356,000.54 01/15/2028 3.95 BAA 4.52
41
353/521
720198AE0 PIEDMONT OPERATING PARTN SR UNSEC Invest. Grade Credit USD 1,400,000.00 77.75 1,088,435.99 08/15/2030 3.15 BAA 6.54
756109BE3 REALTY INCOME CORP Invest. Grade Credit USD 800,000.00 98.56 788,453.11 11/01/2025 4.63 A- 2.76
82620KAZ6 SIEMENS FINANCIERINGSMAT SR UNSEC 144A Invest. Grade Credit USD 1,700,000.00 87.31 1,484,296.61 03/11/2026 1.20 A+ 3.25
84861TAG3 SPIRIT REALTY LP SR UNSEC Invest. Grade Credit USD 1,400,000.00 78.06 1,092,891.87 02/15/2031 3.20 BAA 6.62
862121AD2 STORE CAPITAL CORP Invest. Grade Credit USD 1,800,000.00 86.77 1,561,786.92 12/01/2031 2.70 BAA 7.68
89837LAD7 PRINCETON UNIVERSITY UNSEC Invest. Grade Credit USD 1,000,000.00 92.94 929,360.26 07/01/2026 2.61 AAA 3.48
90265EAS9 UDR INC SR UNSEC Invest. Grade Credit USD 1,300,000.00 76.04 988,530.76 11/01/2034 3.10 BAA+ 8.89
90931EAA2 UNITED AIR 2019-1 A PTT Invest. Grade Credit USD 1,857,864.05 82.69 1,536,321.10 02/25/2033 4.55 BAA 5.09
90932DAA3 UNITED AIR 2016-2 A PTT Invest. Grade Credit USD 990,757.57 77.41 766,934.24 04/07/2030 3.10 BAA- 4.04
90932EAA1 UNITED AIR 2016-2 AA PTT Invest. Grade Credit USD 990,757.57 86.67 858,645.70 04/07/2030 2.88 A- 4.21
92942HAA8 WK KELLOGG FOUNDATION TR UNSEC 144A Invest. Grade Credit USD 1,400,000.00 62.23 871,188.25 10/01/2050 2.44 AAA 16.55
26885BAB6 EQM MIDSTREAM PARTNERS LP SR UNSEC High Yield Credit USD 1,200,000.00 84.94 1,019,256.00 12/01/2026 4.13 BA- 3.54
023771S25 AMER AIRLINE 16-3 A PTT SEC High Yield Credit USD 224,049.83 77.96 174,661.05 04/15/2030 3.25 BA+ 3.95
345397ZQ9 FORD MOTOR CREDIT CO LLC SR UNSEC High Yield Credit USD 1,400,000.00 98.18 1,374,457.00 03/18/2024 5.58 BA 1.41
168863DP0 REPUBLIC OF CHILE Municipal/Other USD 1,400,000.00 80.24 1,123,390.42 01/31/2031 2.45 A- 7.04
168863DV7 REPUBLIC OF CHILE Municipal/Other USD 1,800,000.00 81.78 1,471,988.39 01/31/2034 3.50 A- 8.53
168863DX3 CHILE GOVT Municipal/Other USD 1,800,000.00 90.24 1,624,392.43 01/31/2027 2.75 A- 3.95
13032UD88 CA ST HLTH FACS AUTH Municipal/Other USD 1,700,000.00 87.39 1,485,603.48 06/01/2037 4.19 AA- 9.28
13032UXS2 CA HLTH FACS FING Municipal/Other USD 1,000,000.00 80.50 804,961.50 06/01/2030 1.98 AA- 6.75
13032UXT0 CA HLTH FACS FING Municipal/Other USD 1,000,000.00 78.99 789,887.50 06/01/2031 2.13 AA- 7.45
2350366M7 DALLAS-FORT WORTH-C Municipal/Other USD 1,000,000.00 89.90 899,013.40 11/01/2025 1.33 A+ 2.94
23503CAN7 DALLAS-FORT WORTH-A Municipal/Other USD 2,000,000.00 87.49 1,749,887.60 11/01/2051 4.51 A+ 11.53
341271AE4 FLORIDA ST BRD OF ADM Municipal/Other USD 1,300,000.00 85.59 1,112,721.61 07/01/2027 1.71 AA- 4.40
54627RAM2 LA LOCAL GOVT ENVRN-A Municipal/Other USD 1,700,000.00 95.02 1,615,263.33 02/01/2033 4.15 AAA 5.46
54627RAN0 LA LOCAL GOVT ENVRN-A Municipal/Other USD 1,700,000.00 93.12 1,582,963.33 02/01/2036 4.28 AAA 7.65
649902T45 NY DORM-QSCB Municipal/Other USD 350,000.00 101.28 354,486.79 09/15/2027 5.05 AA+ 4.31
650036AY2 NEW YORK ST URBAN DEV Municipal/Other USD 1,500,000.00 80.09 1,201,279.50 03/15/2030 1.88 AA+ 6.60
677632G88 OHIO ST UNIV-TXBL-A Municipal/Other USD 400,000.00 83.19 332,743.28 12/01/2046 3.80 AA 13.81
79467BDH5 SALES TAX SECURITIZTN Municipal/Other USD 1,400,000.00 78.98 1,105,697.04 01/01/2034 3.06 AA- 8.75
998003446 COLLECTIVE US GOVT STIF 7 BPS Net Other Short Duration Instruments USD 518,799.25 100.00 518,799.25 12/01/2030 2.86 A1+ 0.00
04002PAA2 AREIT 2021-CRE5 A 1MLIB+108BP 144A Net Other Short Duration Instruments USD 8,585,582.94 95.92 8,235,560.74 11/17/2038 4.07 AAA -0.03
05493LAA4 BAMLL 2021-JACX A 1MLIB+105BP 144A Net Other Short Duration Instruments USD 1,900,000.00 95.56 1,815,546.90 09/15/2038 3.87 AAA -0.04
05609CAA5 BX 2021-21M A 1MLIB+73BP 144A Net Other Short Duration Instruments USD 1,800,000.00 95.66 1,721,919.42 10/15/2036 3.55 AAA -0.04
12657VAA0 CSWF 2021-SOP2 A 1MLIB+96.688BP 144A Net Other Short Duration Instruments USD 1,078,993.21 96.65 1,042,899.59 06/15/2034 3.78 AAA -0.03
12666UAA1 CWL 2006-15 A1 SEQ 1MLIB+10 Net Other Short Duration Instruments USD 0.00 100.00 0.00 10/25/2046 0.36 AA 0.00
17291GAA4 CGCMT 2021-KEYS A 1MLIB+118BP 144A Net Other Short Duration Instruments USD 1,700,000.00 96.36 1,638,074.78 10/15/2036 4.00 AAA -0.03
17307GXR4 CMLTI 2005-6 A3 1YCMT+180 Net Other Short Duration Instruments USD 1,314.78 95.47 1,255.19 09/25/2035 3.44 AA+ 0.47
200474AZ7 COMM 2015-LC19 ASB Net Other Short Duration Instruments USD 2,186,997.15 97.67 2,136,041.43 02/10/2048 3.04 AAA 1.05
22877LAA5 CRSNT 2021-MOON A 1MLIB+82BP 144A Net Other Short Duration Instruments USD 1,500,000.00 95.66 1,434,857.40 04/15/2036 3.64 AAA -0.04
42
354/521
30227FAA8 ESA 2021-ESH A 1MLIB+108BP 144A Net Other Short Duration Instruments USD 1,590,213.02 97.02 1,542,854.89 07/15/2038 3.90 AAA -0.03
3133TCE95 FSPC E3-A COFI+140 WAM22 WAC7.40 Net Other Short Duration Instruments USD 17,865.00 96.87 17,305.78 08/15/2032 3.77 AA+ 0.42
3133TQFM4 FHR 2266-F 1MOLIB+45 Net Other Short Duration Instruments USD 48.24 99.61 48.05 11/15/2030 3.27 AA+ 0.00
3136ACGJ4 FNA 2013-M3 A2 WM 31 WC4.605958 Net Other Short Duration Instruments USD 482,836.30 99.71 481,432.74 11/25/2022 2.51 AA+ 0.07
3137FUKP8 FHR 4989 FA 1MLIB+35BP Net Other Short Duration Instruments USD 426,625.54 97.89 417,609.15 08/15/2040 2.59 AA+ 0.00
3137FUKQ6 FHR 4989 FB 1MLIB+35BP Net Other Short Duration Instruments USD 368,897.21 98.52 363,426.83 10/15/2040 2.72 AA+ 0.21
31385SE53 FN ARM 551056 H15T1Y+198.3 13.483 Net Other Short Duration Instruments USD 8,622.00 99.18 8,551.04 08/01/2030 3.98 AA+ 0.97
31390JX89 FN ARM 647903 US0006M+151.5 11.265 Net Other Short Duration Instruments USD 10,528.70 100.10 10,539.45 04/01/2027 4.19 AA+ 0.46
31390JX97 FN ARM 647904 US0001M+134.2 11.265 Net Other Short Duration Instruments USD 16,643.73 100.06 16,653.48 04/01/2032 3.77 AA+ 0.20
31392CQ31 FNR 2002-34-FE 1MOLIB+40 Net Other Short Duration Instruments USD 18,247.16 99.88 18,225.23 05/18/2032 3.39 AA+ 0.00
31396L4T4 FNR 2006-118 A2 SEQ 1MLIB+6 Net Other Short Duration Instruments USD 5,825.04 98.90 5,760.92 12/25/2036 2.50 AA+ 0.73
31396VCB2 FNR 2007-25 FB 1MLIB+33BP Net Other Short Duration Instruments USD 27,586.85 98.61 27,204.59 04/25/2037 3.41 AA+ 1.03
31396VCL0 FNR 2007-27 FA 1MLIB+31BP Net Other Short Duration Instruments USD 12,142.68 98.51 11,962.01 04/25/2037 3.39 AA+ 0.84
31396WRQ1 FNR 2007-70 FA 1MLIB+35BP Net Other Short Duration Instruments USD 65,113.43 98.81 64,337.08 07/25/2037 3.43 AA+ 0.60
31397H6P8 FHR 3311 FN 1MLIB+30BP Net Other Short Duration Instruments USD 57,472.95 98.56 56,644.08 05/15/2037 3.12 AA+ 0.51
36167RAA1 GCT 2021-GCT A 1MLIB+80BP 144A Net Other Short Duration Instruments USD 1,500,000.00 96.60 1,448,944.65 02/15/2023 3.62 AAA 0.00
36202KK95 GN II ARM 8420M 07/23 10 Net Other Short Duration Instruments USD 6,911.00 99.88 6,902.58 05/20/2024 2.88 AA+ 0.73
36264BAA8 GPMT 2021-FL3 A 1MLIB+125BP 144A Net Other Short Duration Instruments USD 1,122,118.21 98.82 1,108,840.13 07/16/2035 4.24 AAA 0.01
38375B4Y5 GNR 2013-H16 FA 1MLIB+54BP Net Other Short Duration Instruments USD 407,337.12 99.40 404,883.20 07/20/2063 2.90 AA+ 0.00
38375UUZ1 GNR 2015-H08 FB 1MLIB+63BP Net Other Short Duration Instruments USD 2,286,656.40 98.60 2,254,714.78 03/20/2065 2.99 AA+ 1.00
38375UXM7 GNR 2016-H11 F 1MLIB+80BP Net Other Short Duration Instruments USD 666,621.82 99.31 661,992.40 05/20/2066 3.16 AA+ 0.28
38376R6F8 GNR 2017-H15 FE 12MLIB+80BP Net Other Short Duration Instruments USD 2,073,405.96 99.12 2,055,242.72 07/20/2067 3.58 AA+ 0.72
38376RMX1 GNR 2015-H31 FT 1MLIB+65BP Net Other Short Duration Instruments USD 589,969.27 99.59 587,547.98 11/20/2065 3.01 AA+ 0.00
38376RTJ5 GNR 2016-H09 FB 1MLIB+90BP Net Other Short Duration Instruments USD 1,052,310.56 99.40 1,045,954.29 04/20/2066 3.26 AA+ 0.74
38376RY26 GNR 2017-H07 FG 1MLIB+46BP Net Other Short Duration Instruments USD 889,382.99 99.22 882,439.58 02/20/2067 2.82 AA+ 0.00
38376RZN9 GNR 2016-H19 FA 1MLIB+78BP Net Other Short Duration Instruments USD 1,059,211.73 99.51 1,054,040.66 09/20/2066 3.14 AA+ 0.17
38380QGA4 GNR 2020-H14 FH 1MLIB+125BP Net Other Short Duration Instruments USD 1,486,672.93 100.90 1,500,084.65 08/20/2070 3.61 AA+ 0.00
46654EAA9 JPMCC 2021-NYAH A 1MLIB+76BP 144A Net Other Short Duration Instruments USD 1,800,000.00 96.64 1,739,458.62 06/15/2038 3.58 AAA -0.03
53946CAA7 LNCR 2021-CRE4 A (1MSOFR+11)+80BP 144A Net Other Short Duration Instruments USD 592,546.23 98.83 585,620.91 07/15/2035 3.20 AAA 0.01
55066WAA2 LUXE 2021-TRIP A 1MLIB+105BP 144A Net Other Short Duration Instruments USD 1,800,000.00 96.82 1,742,692.50 10/15/2038 3.87 AAA -0.04
55066XAA0 LUXE 2021-MLBH A 1MLIB+98BP 144A Net Other Short Duration Instruments USD 1,800,000.00 96.32 1,733,828.94 11/15/2038 3.80 AAA -0.03
61772WAA5 MSC 2021-230P A 1MLIB+116.92BP 144A Net Other Short Duration Instruments USD 1,800,000.00 97.50 1,755,041.76 12/15/2038 3.99 AAA -0.02
62955HAA5 NYO 2021-1290 A 1MLIB+109.5BP 144A Net Other Short Duration Instruments USD 1,900,000.00 94.02 1,786,402.99 11/15/2038 3.91 AAA -0.10
63874AAA6 NCMS 2021-APPL A 1MLIB+95BP 144A Net Other Short Duration Instruments USD 1,800,000.00 95.50 1,718,926.38 08/15/2038 3.77 AAA -0.04
69357XAA9 PFP 2021-8 A 1MLIB+100BP 144A Net Other Short Duration Instruments USD 1,612,884.58 96.73 1,560,114.87 08/09/2037 3.94 AAA -0.02
75575TAA1 RCMT 2021-FL6 A 1MLIB+95BP 144A Net Other Short Duration Instruments USD 1,599,016.53 96.70 1,546,304.79 07/25/2036 4.03 AAA -0.01
78473JAA0 SREIT 2021-IND A 1MLIB+70BP 144A Net Other Short Duration Instruments USD 1,900,000.00 95.57 1,815,790.86 10/15/2038 3.52 AAA -0.04
78486DAA8 STWD 2021-HTS A 1MLIB+105BP 144A Net Other Short Duration Instruments USD 1,500,000.00 97.21 1,458,131.70 04/15/2034 3.87 AAA -0.03
91835RAA8 VMC 2021-FL4 A 1MLIB+110BP 144A Net Other Short Duration Instruments USD 749,377.91 97.86 733,316.49 06/16/2036 4.09 AAA 0.00
43
355/521
02530BAA8 ACAR 2022-2 A 144A Net Other Short Duration Instruments USD 1,156,347.42 98.91 1,143,755.03 02/13/2026 2.66 AAA 0.35
40441TAA7 HPEFS 2022-2A A1 144A Net Other Short Duration Instruments USD 752,111.99 99.81 750,658.38 05/22/2023 1.91 A1+ 0.12
40441TAB5 HPEFS 2022-2A A2 144A Net Other Short Duration Instruments USD 1,600,000.00 98.86 1,581,795.52 09/20/2029 3.15 AAA 0.62
63939KAC3 NAVSL 2015-BA A3 1MLIB+145BP 144A Net Other Short Duration Instruments USD 1,520,730.65 99.37 1,511,075.23 07/16/2040 4.27 AAA 0.02
63940GAA3 NAVSL 2016-7A A 1MLIB+115BP 144A Net Other Short Duration Instruments USD 1,092,267.16 99.25 1,084,120.38 03/25/2066 4.23 AAA 0.00
69343VAA0 PHEAA 2016-2A A 1MLIB+95BP 144A Net Other Short Duration Instruments USD 389,421.16 99.35 386,892.73 11/25/2065 4.03 AA+ 0.03
78442GPG5 SLMA 2005-4 A3 Net Other Short Duration Instruments USD 286,730.42 99.75 286,002.96 01/25/2027 2.90 AAA 0.00
80285UAC5 SDART 2022-3 A2 Net Other Short Duration Instruments USD 6,463,507.71 99.57 6,435,950.54 03/17/2025 2.76 AAA 0.24
83162CMN0 SBAP 2002-20J 1 PASS THRU Net Other Short Duration Instruments USD 27,087.10 100.00 27,086.70 10/01/2022 4.75 AA+ 0.00
83162CNF6 SBAP 2003-20I 1 PASS THRU Net Other Short Duration Instruments USD 9,842.73 99.19 9,762.52 09/01/2023 5.13 AA+ 0.63
83162CNX7 SBAP 2004-20H 1 PASS THRU Net Other Short Duration Instruments USD 31,260.24 99.11 30,981.97 08/01/2024 5.17 AA+ 0.98
049560AU9 ATMOS ENERGY CORP SR UNSEC Net Other Short Duration Instruments USD 1,100,000.00 98.43 1,082,704.06 03/09/2023 0.63 A- 0.44
06051GHK8 BANK OF AMERICA CORP SR UNSEC Net Other Short Duration Instruments USD 1,100,000.00 100.12 1,101,323.91 07/23/2024 3.74 A- 0.07
06051GJC4 BANK OF AMERICA CORP SR UNSEC SOFR Net Other Short Duration Instruments USD 1,300,000.00 97.57 1,268,382.61 05/19/2024 1.49 A- 0.64
29364NAR9 ENTERGY MISSISSIPPI LLC SEC Net Other Short Duration Instruments USD 810,000.00 98.71 799,579.66 07/01/2023 3.10 A 0.76
29364WAR9 ENTERGY LOUISIANA LLC SEC Net Other Short Duration Instruments USD 2,100,000.00 99.68 2,093,380.93 12/01/2022 3.30 A 0.17
46647PAU0 JPMORGAN CHASE & CO SR UNSEC Net Other Short Duration Instruments USD 1,800,000.00 98.67 1,776,063.60 07/23/2024 3.80 A- 0.82
46647PAW6 JPMORGAN CHASE & CO SR UNSEC Net Other Short Duration Instruments USD 2,000,000.00 100.06 2,001,200.90 07/23/2024 3.67 A- 0.08
46647PBZ8 JPMORGAN CHASE & CO SR UNSEC SOFR Net Other Short Duration Instruments USD 1,400,000.00 97.91 1,370,701.60 03/16/2024 0.70 A- 0.46
606822AS3 MITSUBISHI UFJ FIN GRP SR UNSEC Net Other Short Duration Instruments USD 2,000,000.00 99.96 1,999,285.80 03/02/2023 3.84 A- 0.18
EJ3849779 SPI AUSTRALIA ASSETS PTY SR UNSEC Net Other Short Duration Instruments USD 200,000.00 99.21 198,420.92 04/09/2023 3.30 A- 0.53
13017HAK2 CA ST EARTHQUAKE AUTH Net Other Short Duration Instruments USD 1,300,000.00 97.64 1,269,296.08 07/01/2023 1.48 A- 0.76
CCBCYTUS9 CASH COLLATERAL TBA BCY USD Net Other Short Duration Instruments USD 910,000.00 100.00 910,000.00 12/31/2060 3.08 A1+ 0.00
CCBOSTUS0 CASH COLLATERAL TBA BOS USD Net Other Short Duration Instruments USD 7,340,000.00 100.00 7,340,000.00 12/31/2060 3.08 A1+ 0.00
CCCSNTUS5 CASH COLLATERAL TBA CSN USD Net Other Short Duration Instruments USD 280,000.00 100.00 280,000.00 12/31/2060 3.08 A1+ 0.00
CCMSCTUS6 CASH COLLATERAL TBA MSC USD Net Other Short Duration Instruments USD 3,516,000.00 100.00 3,516,000.00 12/31/2060 3.08 A1+ 0.00
UTRA9Z890 U S TREASURY REPO Net Other Short Duration Instruments USD 105,600,000.00 100.00 105,600,000.00 10/03/2022 2.98 AA+ 0.01
UTRA9ZIM0 U S TREASURY REPO Net Other Short Duration Instruments USD 6,300,000.00 100.00 6,300,000.00 10/04/2022 2.94 AA+ 0.00
UTRA9ZJ15 U S TREASURY REPO Net Other Short Duration Instruments USD 100,200,000.00 100.00 100,200,000.00 10/04/2022 2.99 AA+ 0.00
44
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PUBLIC EMPLOYEES'
RETIREMENT SYSTEM OF
MISSISSIPPI
Loomis Sayles
1 Financial Ctr
Boston, MA 02111
OCTOBER 24, 2022
BOSTON CHICAGO DETROIT SAN FRANCISCO LONDON SINGAPORE UTRECHT

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presented by:
PETER W. PALFREY, CFA
Vice President, Portfolio Manager
ELISE CARNER, CFA

Vice President, Investment Director
MATTHEW BUXTON
Vice President, Senior Relationship Manager
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contents
Firm Overview 4
Investment Process 10
Portfolio Overview 18
Appraisal 48
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loomis sayles at a glance
ASSETS UNDER MANAGEMENT SERVI NG CLI ENTS WITH INTEGRITY

BY CLIENT BASE & A GLOBAL PERSPECTIVE SI NCE
1926
US institutional
$290.9 Non-US institutional
US retail
US BILLION
Firm Overview
Non-US retail
INVESTMENT EXPERTISE
ACROSS ASSET CLASSES
Fixed income: $220.0 B Equity: $70.9 B

Investment Grade Corporates Municipals
ASSET
BREAKDOWN Equities Other
Developed Country Treasurys Bank Loans
BOSTON • CHICAGO •
Mortgage & Structured Finance Convertible Bonds DETROIT • SAN FRANCISCO •
High Yield Corporates Government Related
Emerging Market Debt LONDON • SINGAPORE • UTRECHT
As of 6/30/2022. The Utrecht office opened on November 1, 2020.

Due to rounding, pie chart total may not equal 100%. Other includes cash & equivalents and derivatives.
Total AUM includes the assets of both Loomis, Sayles & Co., LP, and Loomis Sayles Trust Company, LLC. ($34.8 billion for the Loomis Sayles Trust Company).
Loomis Sayles Trust Company is a wholly owned subsidiary of Loomis, Sayles & Company, L.P.
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foundation for alpha
MACRO MORTGAGE & QUANTITATIVE RESEARCH
CREDIT RESEARCH EQUITY
STRATEGIES STRUCTURED FINANCE & RISK ANALYSIS
Alpha generation through Driving alpha through Focused insights for Opportunities outside Bringing together the art and
differentiated insights independent thinking investment team impact traditional asset classes science of investing
Providing insight and Active long-term strategies Tailor-made research and Deploying fundamental Translating market data and
differentiated perspectives built on differentiated data driven assessments of research to uncover hidden investor intuition into
across the credit classes, non-consensus insight global macro investment alpha potential in complex actionable signals
risk spectrum, and conditions, opportunities structured markets
Firm Overview
capital structure and risks
INVESTMENT BUSINESS
TRADING ESG TECHNOLOGY
RISK OVERSIGHT INFRASTRUCTURE
Ensuring investment teams Specialized expertise
Beyond trade execution Integrate and engage Translating data into insight
meet client objectives for critical services
+50 trading professionals Education and tools for A common foundation Tapping the power of our Integrated legal, compliance,
integrated within all investment teams to underlying all strategies: proprietary In2! technology distribution. marketing,
investment processes every incorporate material • Sound philosophy platform, integrating more relationship management &
step of the way ESG factors • Rigorous, repeatable process than 5 billion data client service teams
• Proprietary research
points each day
• Disciplined portfolio construction
• Integrated risk management
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alpha engines
FIXED INCOME
EMERGING MORTGAGE & PRIVATE
ALPHA DISCIPLINED FULL RELATIVE
BANK LOANS MARKET GLOBAL STRUCTURED MUNICIPAL FIXED
STRATEGIES ALPHA DISCRETION RETURN
DEBT FINANCE INCOME‡
Credit Asset Senior Loans Core Corporate Multisector Global Bond Agency MBS Short Investment Short Duration
Grade Private
Emerging Senior Floating Intermediate Local Multisector Global Credit Core Securitized Intermediate Credit Inter. Duration
Market Debt Rate and Fixed Currency Credit
Blended Income Corporate Global Debt IG Securitized Medium Opportunistic Core
Short Core Plus Full Unconstrained Credit (ERISA) Private Credit
World Credit CLOs Long Corporate Duration Discretion Crossover† Core Plus
Asset Global Opportunistic
Long Gov’t Corp Asia Credit High Yield Full Disciplined Securitized IG Corporate
Multi-Asset Long Credit Discretion Alpha** Credit IG Inter. Corp
Income
Global Global High Yield Long Corporate
Firm Overview
Inflation Disciplined
Protected (TIPS) US High Yield Long Credit
Alpha**
Systematic High Yield Long
Investing Conservative Gov’t/Credit
Strategies Strategic Alpha
$10.1 B* $3.9 B $16.7 B $2.9 B $62.1 B $27.3 B $13.3 B* $5.9 B - $88.7 B
EQUITY
GROWTH EQUITY GLOBAL EMERGING GLOBAL EQUITY SPECIALTY GROWTH
SMALL CAP VALUE
STRATEGIES MARKETS EQUITY OPPORTUNITIES STRATEGIES
All Cap Growth Global Emerging Markets Equity Global Allocation Small Cap Growth Small Cap Value
Global Growth Global Emerging Markets Equity Global Equity Opportunities Small/Mid Cap Growth Small/Mid Cap Core
Long/Short
International Growth Mid Cap Growth
Large Cap Growth
Long/Short Growth Equity
$55.5 B $117.1 M*** $7.3 B $5.6 B $2.4 B

As of 6/30/2022.
*Includes accounts that may also be counted as part of other strategies **Co-managed investment strategy ***Assets include seed money from our parent company. †Accounts may be co-managed along with other teams as appropriate.
‡ The Private Fixed Income team joined the firm in January 2022.
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fixed income
RESEARCH COVERAGE SPANS THE GLOBE
INDUSTRY COVERAGE CONDUCTED ON A

GLOBAL BASIS, ACROSS QUALITY
SPECTRUM AND INCLUDES:
2,434 ISSUERS
corporate credits*
of investment grade issuers in the
98% Bloomberg Corporate Index
98 COUNTRIES 336
26 developed markets unique bank loans
& 72 emerging markets** of investment grade issuers in the
88% Bloomberg Global Aggregate
Corporate Index
All major
securitized sectors
(Includes commercial and
residential real estate, asset
594
backed securities and CLOs) high yield issuers*
As of 12/31/2021.
*Includes 144a and other non-index eligible issuers.
**Emerging market countries include any country determined by Loomis Sayles to have an emerging market economy, taking into account a number of factors, which may include whether the country has a low-to-
middle-income economy according to the International Bank for Reconstruction and Development (the World Bank), the country's foreign currency debt rating, its location and neighboring countries, its political and
economic stability and the development of its financial and capital markets. These countries include those located in Latin America, Asia, Africa, the former Soviet Union, the Middle East and the developing
countries of Europe, primarily Eastern Europe. A complete list of emerging market countries, as defined by Loomis Sayles, is available upon request.
Coverage percentages above are based on market value of issuers covered. Covered includes all issuers with Loomis Sayles research coverage.
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sector teams
COLLABORATION OF PORTFOLIO MANAGERS, STRATEGISTS, RESEARCH ANALYSTS
AND TRADERS
Discuss, debate and generate investment ideas and themes to enhance our investment decision making process
• Develop top-down and bottom-up valuation framework and market analysis
• Identify where investment value may lie in various markets and/or what we view as the most attractive
securities in each sector
• Monitor and measure sector performance and trends including secular changes, corporate events, and ESG factors
SECTOR TEAM COLLABORATION SECTOR TEAMS
MACRO-FOCUSED MARKET-FOCUSED
· Global Asset Allocation · Bank Loans
PORTFOLIO
· US Yield Curve · Commodities
RESEARCH MANAGERS &
ANALYSTS STRATEGISTS · Developed Non-US Markets · Convertibles
· Emerging Markets
· Equity
· Global Credit
· High Yield
· Investment Grade Corporate
· Municipals
· Mortgage & Structured Finance
· US Government
TRADERS
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investing in our community: UWIN
UWIN’S MISSION (Undergraduate Women’s Investment Network)
To inspire, develop and recruit undergraduate women for investment management careers through mentorship and
internship opportunities.
Following a review of Credit Research job applicants, Shannon O’Mara, Associate Director of Credit Research, discovered
that female candidates for junior level positions comprised only 18% of the applications received in 2014 and 2015. In
response, Shannon developed the UWIN program - an innovative talent recruitment and development program that is now
a key component of Loomis Sayles’ DEI strategy.
WHY CREATE UWIN BY THE NUMBERS
Women are underrepresented in investment management 2015 – 2022

and at Loomis Sayles, and diversity is critical to the • 200 women from 18 colleges and universities
success of our firm and its employees
• 152 women have now graduated from college
• 42% of graduates in full time roles are working in
Women investment management and another 19% are working in
Investment financial services
Fund Managers Professionals • 9 graduates hired into full time positions at Loomis Sayles
Industry 10% 18% (with 7 still employed at Loomis Sayles) and 1 more
starting in summer 2023
Loomis Sayles 28% 25%
• 27 Loomis Sayles departments have participated
• 85 current employees have served as UWIN mentors
Data as of 31 December 2021.
2022 – 2023
Loomis Sayles welcomed 28 students from 13 colleges and
universities into the 2022-2023 program which kicked-off on
9 September. Eight of these students are also interning
throughout the school year.
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relative return capabilities
EXPERTISE ACROSS STRATEGIES
Assets under management as of June 30, 2022: $88.7 billion
Long Duration
Government/Credit Investment Grade
Short Duration Long Duration Credit Corporate Bond
Core Plus
Intermediate Duration Long Duration Investment Grade
Fixed Income
Core Fixed Income Corporate Bond Intermediate
Corporate Bond
Customized
LDI Solutions
Portfolio Managers Portfolio Managers Portfolio Managers Portfolio Managers

Chris Harms Peter Palfrey, CFA Neil Burke Carol Embree, CFA
Cliff Rowe, CFA Rick Raczkowski John Hyll Rick Raczkowski
Dan Conklin, CFA Pramila Agrawal, CFA, PhD*
Investment Directors Investment Directors Investment Directors Investment Directors

EJ Tateosian, CFA EJ Tateosian, CFA EJ Tateosian, CFA EJ Tateosian, CFA
Elise Carner, CFA Elise Carner, CFA Elise Carner, CFA Elise Carner, CFA
Kristy Keenan Kristy Keenan Kristy Keenan Kristy Keenan
Stephanie Abelard Stephanie Abelard Stephanie Abelard Stephanie Abelard
$34.4 B $26.3 B $13.2 B $14.8 B
*Portfolio Manager on Buy & Maintain portfolios.

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product overview
PRODUCT SPECIFICATIONS
Objective: Seeks high total investment return through a combination of current income and capital appreciation
Style: Benchmark aware; macro top-down positioning and sector rotation/bottom-up security selection
Potential sources of alpha:

Core Plus Fixed Income
• Core • Plus
– Sector allocation – Allocation of 0% - 20% to high yield securities
– Security selection – Allocation of 0% - 10% in non-US dollar-
– Yield curve positioning denominated securities
– Duration management – Other non-Benchmark sectors and securities
Risk management:
• Continuously monitor relative and absolute risk
• Focus on portfolio liquidity and price transparency
• Duration typically +/– 1 ½ years of benchmark duration
Strategy may utilize one or more commingled funds or sub accounts managed by different portfolio teams
for exposure to certain sectors if approved by the client.
Numbers are approximate. Descriptions assume normal market conditions.There is no guarantee that the investment objective will be realized or that the strategy will generate positive or excess return.
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investment philosophy
POTENTIAL ADVANTAGE &

CAPITAL APPRECIATION
ADDITIONAL BENCHMARK
• High Yield Credit
SOURCES OF INCOME
• Non-US Dollar
• Emerging Markets
CAPITAL PRESERVATION, • US and Yankee Investment
• Bank Loans
RISK MANAGEMENT & Grade Corporate
• TIPS
Liquidity • Sovereign Credit
RETURN POTENTIAL
• Other Securitized Assets

• Securitized Assets
• US Government Securities*
― ABS
― Treasurys
― Agency Debentures ― CMBS
— Agency Mortgage Pass-
throughs
Benchmark Aware Plus Sectors
RISK
*Typically have a minimum of 20% allocation in government securities and pass-throughs. This is an internal portfolio management risk control guideline. Descriptions assume normal market conditions.
Views and opinions expressed reflect the current opinions of the Relative Return team, and are subject to change at any time without notice. Other industry analysts and investment personnel may have different views and opinions.
There is no guarantee that the strategy will achieve its objective or generate positive or excess return.
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investment process
HIGHLY EXPERIENCED TEAM SUPPORTED BY DEEP FIRM RESOURCES
PRODUCT TEAM (Years of Industry Experience/Years with the firm)
Peter Palfrey, CFA Rick Raczkowski

Portfolio Manager Portfolio Manager
39 / 21 33 / 21
KEY SUPPORT
Product Management Senior Strategist Agency MBS Portfolio Managers Portfolio Specialist
EJ Tateosian, CFA Kristy Keenan Ian Anderson

Michael Gladchun Dan Plofsky, CFA
Elise Carner, CFA Stephanie Abelard Barath Sankaran, CFA
Director of Credit, Bank Loans, &

Investment Strategist Credit Strategists Investment Analyst CLO Strategist Quantitative Risk
Derivatives Trading
Jeff Bieniek, CFA Michael Crowell

Devon McKenna Colin Prior, CFA Michael Herald Bill Wright, CFA
Matt Kelly, CFA Bharadwaj Kavuluru
SECTOR TEAMS
• US Yield Curve
• Mortgage & Structured Finance • US Government • Emerging Markets
• Global Asset Allocation
• Investment Grade / Global Credit • High Yield/Bank Loans • Convertibles
• Developed Non-US Markets
FIRM RESOURCES
Mortgage & Investment Risk and Quant. Research &

Macro Strategies .1
Credit Research Fixed Income Trading
Structured Finance Strategy Management Risk Analysis
• 2 Directors • Director • Head • 27 Traders/TAs • Chief Inv. Risk Officer • Director
• Associate Director • 2 Associate Directors • 4 Portfolio Managers • Director, Portfolio • Deputy Chief Inv. Risk • 2 Associate Directors
• Chief US Economist • Head of Municipal • 3 Strategists Implementation Officer/Model Risk • 8 Quantitative Analysts
• 5 Senior Sovereign Analysts Research • 3 Senior Analysts • 18 Portfolio Specialists Officer
• 2 Sovereign Analysts • Head of Convertibles • 2 Research Analysts • Director, Operational • Risk Engineer
• Senior Commodities Analyst Research • 2 Senior Research Trading Risk Mgt. • Investment Risk Manager ESG
• Senior Research Analyst • 39 Senior Analysts Associate • Risk Analyst • 3 Senior Inv. Risk
• Research Analyst • 14 Analysts • Director, MSF Trading Analysts • Head
• 2 Senior Research Associates • 6 Research Senior • 4 MSF Traders/Tas • 2 Inv. Risk Analysts • Senior Analyst
Associates • Inv. Risk Associate • Marketing Manager
• 7 Research Associates • Project Associate
As of 6/30/2022.
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investment process
TOP-DOWN
MACRO TEAMS
TOP-
DOWN
• Top-down evaluation of
economic & investment
environment
RISK AWARENESS
PORTFOLIO
CONSTRUCTION
• Client objectives
• Product strategy
• Portfolio risk assessment
BOTTOM-UP
SECTOR TEAMS
• Seek to assess value of
each sector & identify
our best opportunities
within sectors BOTTOM-
UP
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investment process – top down
TOP-DOWN ECONOMIC AND SECTOR ANALYSIS
Determine: RETURN MAXIMIZATION
Low Risk Appetite/ High Risk Appetite/

• Risk profile/quality and liquidity emphasis High Liquidity High Liquidity
• Broad sector allocation

• Duration/yield curve strategy
Inputs:
• Macroeconomic analysis
Liquidity
• Credit cycle analysis
• Sector return forecasts
• Yield Curve forecasts
Resources:
• Macro Strategies Group/Yield Curve Team
• GAAT (Global Asset Allocation Team)
Low Risk Appetite/ High Risk Appetite/
• Sector Teams Low Liquidity Low Liquidity
CAPITAL PRESERVATION
Risk Appetite
Product team view shown above. This material is provided for informational purposes only and should not be construed as investment advice. Investment decisions should consider the individual circumstances of the
particular investor. This reflects the current opinions of the sector team and views are subject to change at any time without notice. Other industry analysts and investment personnel may have different views and
opinions.
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managing through the credit cycle
CORE PLUS FIXED INCOME COMPOSITE SECTOR ALLOCATION
Determine Sector Strategies
From 3/31/2006 to 6/30/2022 Composite Benchmark

Sector Min Max 6/30/2022 6/30/2022
Cash & Equivalents - 11 6 -

US Treasurys 7 31 18 40
US Agency - 8 1 1
Securitized Agency 8 38 28 29
Securitized Credit 3 15 6 1
Government Related 1 8 2 3
Municipals - - - 1
Investment Grade
14 40 24 24
Corporate
Bank Loans - 6 3 -
High Yield Corporate 3 22 8 -
Non-US Dollar - 9 4 -
Other - 1 - -
Data Source: Loomis Sayles. As of 6/30/2022 based on quarterly calculations.

Due to active management, sector allocation will evolve over time. Sector values are rounded to the nearest percent, and those with a value of less than 0.5% may appear in the chart though they are rounded to zero in the
legend.
The GIPS Report at the end of this presentation displays performance, including dispersion, for the Loomis Sayles Core Plus Fixed Income Composite.
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managing through the credit cycle
CORE PLUS FIXED INCOME COMPOSITE "PLUS" SECTOR ALLOCATION
Determine Sector Strategies
Brazilian Real
Swedish Krona
New Zealand Dollar
Australian Dollar
Norwegian Krone
Iceland Krona
Swiss Franc
Japanese Yen
Uruguay Peso
Philippine Peso
Mexican Peso
Euro
Canadian Dollar
TIPS
Bank Loans
High Yield Developed Market Debt
High Yield Emerging Market Debt
Core
Data Source: Loomis Sayles. As of 6/30/2022 based on monthly calculations.

Plus sectors refer to non-USD, High Yield, and hard currency emerging market debt.
Due to active management, sector allocation will evolve over time.
The GIPS Report at the end of this presentation displays performance, including dispersion, for the Loomis Sayles Core Plus Fixed Income Composite.
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guideline summary
BENCHMARK
• Bloomberg Aggregate Index
Public Employees' Retirement System of Mississippi
GUIDELINES & LIMITATIONS

• Credit Quality: Maximum investment allowed in HY securities (below Baa3/BBB-/BBB-): 20%; Account may not
hold securities rated below Caa3/CCC-/CCC-
• Split Rated Securities: Highest rating will be used for a security rated by the three major rating agencies
• Unrated Securities: Account may not purchase any issue that is not rated by Moody, S&P or Fitch with the exception
of the Loomis Sayles Senior Loan Fund, LLC
• Minimum Average Rating: A3/A-/A-
• Issuer: Maximum 5% in any one corporate issuer
• Duration: +/- 1.5 years of the benchmark
• Currency: Maximum 10% in non-USD denominated securities
• Loomis Sayles Senior Loan Fund, LLC: Maximum 10%
• Cash reserves should not exceed 5% of the total account market value, net of cash held pending futures settlement
Guideline summary is not a complete restatement of guidelines. The slide is intended to be a summary to aid in the review process.
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performance
TRAILING RETURNS AS OF 9/30/2022 (%)
Public Employees' Retirement System of Mississippi - 5482N6/
Excess Return
(Gross)
PORTFOLIO VALUATION (USD)

Portfolio
Total 1,042,215,552
Benchmarks: BBG Aggregate (9/30/2009 - 9/30/2022).

The current benchmark is Bloomberg U.S. Aggregate Index.
Sources: Loomis, Sayles & Company, L.P. and others For Institutional Investor Use Only. Not for Further Distribution September 30, 2022
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performance
CALENDAR YEAR RETURNS (%)
Excess Return
(Gross)
Benchmarks: BBG Aggregate (9/30/2009 - 9/30/2022).

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bond market environment
S&P 500 AND US 10-YEAR TREASURY
S&P 500 10-Year Yield

4.50
5100
4.00
4600
3.50
4100 3.00
Percent (%)
Index Level
2.50
3600
2.00
3100
1.50
2600
1.00
2100
0.50
1600 0.00
3/31/19
6/30/20
9/30/20
9/30/17
3/31/18
6/30/18
9/30/18
6/30/19
9/30/19
3/31/20
3/31/21
6/30/21
9/30/21
3/31/22
6/30/22
9/30/22
12/31/17
12/31/18
12/31/19
12/31/21
12/31/20
9/30/17
3/31/18
6/30/18
9/30/18
3/31/19
6/30/19
9/30/19
3/31/20
6/30/20
9/30/20
3/31/21
6/30/21
9/30/21
3/31/22
6/30/22
9/30/22
12/31/17
12/31/18
12/31/19
12/31/20
12/31/21
Data source: Bloomberg Daily data through 9/30/2022.

Used with permission from Bloomberg Finance L.P. This material is for informational purposes only and should not be construed as investment advice. Information obtained from outside sources is believed to be
correct, but Loomis Sayles cannot guarantee its accuracy. This material cannot be copied, reproduced or redistributed without authorization.
Indices are unmanaged and do not incur fees. It is not possible to invest directly in an index.
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US TREASURY YIELD CURVE
2 to 10-Year Yield Spread 5 to 30-Year Yield Spread
2.00
2.00
1.50 1.50
1.00 1.00
Percent (%)
Percent (%)
0.50 0.50
0.00 0.00
-0.50 -0.50
-1.00 -1.00
9/30/17
3/31/18
6/30/18
9/30/18
6/30/19
9/30/19
3/31/20
6/30/20
9/30/20
3/31/21
6/30/21
9/30/21
6/30/22
9/30/22
3/31/19
3/31/22
12/31/17
12/31/18
12/31/19
12/31/20
12/31/21
3/31/18
9/30/19
6/30/20
3/31/21
9/30/17
6/30/18
9/30/18
3/31/19
6/30/19
3/31/20
9/30/20
6/30/21
9/30/21
3/31/22
6/30/22
9/30/22
12/31/17
12/31/18
12/31/19
12/31/20
12/31/21

Used with permission from Bloomberg Finance L.P. This material is for informational purposes only and should not be construed as investment advice. Information obtained from outside sources is believed to be correct,
but Loomis Sayles cannot guarantee its accuracy. This material cannot be copied, reproduced or redistributed without authorization. Indices are unmanaged and do not incur fees. It is not possible to invest directly in an index.
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HISTORICAL US TREASURY YIELD CURVES
5.0
9/30/2020 9/30/2021 9/30/2022
4.5
4.0
3.5
3.0
Yield (%)
2.5
2.0
1.5
1.0
0.5
0.0
0 5 10 15 20 25 30
Maturity (years)
3 MONTHS 6 MONTHS 1 YEAR 2 YEAR 5 YEAR 10 YEAR 30 YEAR
9/30/2020 0.09% 0.10% 0.12% 0.13% 0.28% 0.68% 1.46%

9/30/2021 0.03% 0.05% 0.07% 0.28% 0.96% 1.49% 2.04%
9/30/2022 3.25% 3.90% 3.93% 4.28% 4.09% 3.83% 3.78%
Yield Change (bps.) 316 380 382 415 381 314 232
Annualized Total Return (%)
Source: Barclays, Bloomberg. As of 9/30/2022. 0.34 0.21 -0.38 -2.58 -6.98 -11.33 -20.87
9/30/2020 - 9/30/2022
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INFLATION
IMPACT TO INFL ATION
(Core CPI y/y)
CPI CPI x Food & Energy Other Apparel New Vehicles
Used Cars and Trucks Medical Care Goods Alcoholic Beverages
Tobacco and Smoking Medical Care Services Transportation Services
10
7.00
9
Pre-
8 6.00 Covid
7
5.00
6
4.00
YoY %
5
3.00
4
2.00
3
2 1.00
1
0.00
0
-1.00
8/31/17
2/28/18
8/31/18
2/28/19
8/31/19
2/29/20
8/31/20
2/28/21
8/31/21
2/28/22
8/31/22
May-22
Jun-22
Aug-21
Sep-21
Nov-21
Mar-22
Jul-22
Aug-22
Dec-21
Feb-20
Feb-22
Jan-22
Apr-22
Oct-21
Used with permission from Bloomberg Finance L.P. This material is for informational purposes only and should not be construed as investment advice. Information obtained from outside sources is
believed to be correct, but Loomis Sayles cannot guarantee its accuracy. This material cannot be copied, reproduced or redistributed without authorization.
Past performance is no guarantee of future results
XCP006
MALR029642
8444444006
24
380/521
OIL & TIPS
Brent US 30yr TIPS Breakevens

160
4.0 US 10yr TIPS Breakevens
US 5yr TIPS Breakevens
140 3.5
3.0
120
2.5
100
2.0
80 1.5
1.0
60
0.5
40
0.0
20 -0.5
-1.0
0
Sep-07
Sep-08
Sep-09
Sep-10
Sep-11
Sep-12
Sep-13
Sep-14
Sep-15
Sep-16
Sep-17
Sep-18
Sep-19
Sep-20
Sep-21
Sep-22
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022

Commodity, interest and derivative trading involves substantial risk of loss. This is not an offer of, or a solicitation of an offer for, any investment strategy or product. Any investment that has the possibility
for profits also has the possibility of losses, including the loss of principal.
XCP003
MALR029642
8444444003
25
381/521
WAGES & LABOR FORCE
US Avg Hourly Earnings US Labor Force Participation Rate
9.00 64.0
8.00 63.5
7.00
63.0
6.00
62.5
Percent (%)
5.00
YoY %
62.0
4.00
61.5
3.00
2.00 61.0
1.00 60.5
0.00
60.0
9/30/17
3/31/18
9/30/18
3/31/19
9/30/19
3/31/20
3/31/21
3/31/22
9/30/20
9/30/21
9/30/22
Sep-17
Sep-18
Sep-19
Sep-20
Sep-21
Sep-22
Mar-19
Mar-20
Mar-21
Mar-22
Mar-18

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of future results.
XCP012
MALR029642
8444444012
26
382/521
CORPORATE BOND SPREADS
Investment Grade Corporate OAS High Yield Corporate OAS
400 1200
350
1000
300
800
250
BPS
BPS
200 600
150
400
100
200
50
0 0
9/30/17
3/31/18
6/30/18
3/31/19
6/30/19
9/30/19
3/31/20
6/30/20
3/31/21
6/30/21
9/30/21
3/31/22
6/30/22
9/30/18
9/30/20
9/30/22
12/31/18
12/31/20
12/31/17
12/31/19
12/31/21
9/30/17
3/31/18
9/30/18
3/31/19
6/30/19
9/30/19
3/31/20
6/30/20
9/30/20
3/31/21
9/30/21
3/31/22
6/30/22
9/30/22
6/30/18
6/30/21
12/31/17
12/31/18
12/31/19
12/31/20
12/31/21
XCP004
MALR029642
8444444004
27
383/521
MBS / CMBS / ABS BOND SPREADS
MBS OAS CMBS OAS ABS OAS
140 350
120 300
100 250
80 200
BPS
BPS
60 150
40 100
20 50
0 0
9/30/17
3/31/18
6/30/18
9/30/18
3/31/19
6/30/19
9/30/19
3/31/20
6/30/20
9/30/20
3/31/21
6/30/21
9/30/21
3/31/22
6/30/22
9/30/22
3/31/18
6/30/19
9/30/19
3/31/21
6/30/22
9/30/22
9/30/17
6/30/18
9/30/18
3/31/19
3/31/20
6/30/20
9/30/20
6/30/21
9/30/21
3/31/22
12/31/17
12/31/19
12/31/21
12/31/18
12/31/20
12/31/17
12/31/18
12/31/19
12/31/20
12/31/21
XCP007
MALR029642
8444444007
28
384/521
EXCESS RETURN OVER GOVERNMENT BONDS AS OF 9/30/2022
YEAR– TO- D AT E
0.00
-0.11
-0.59
-1.10
-2.00
-3.11
-4.00 -3.57
-6.00
-6.24
-8.00 -7.52
US Agency US MBS US IG Corp US CMBS US ABS US HY Corp Emerging Markets
(USD)
TRAIL ING 12 MONTHS
0.00
-1.00 -0.22
-0.76
-2.00 -1.25
-3.00
-4.00 -3.33
-3.82
-5.00
-6.00 -5.31
-7.00
-8.00
-8.02
-9.00
US Agency US MBS US IG Corp US CMBS US ABS US HY Corp Emerging Markets
Data source: Bloomberg Daily data through 9/30/2022. Sectors sorted by liquidity. (USD)
Used with permission from Bloomberg Finance L.P. This material is for informational purposes only and should not be construed as investment advice. Information obtained from outside sources is believed to be correct, but
Loomis Sayles cannot guarantee its accuracy. This material cannot be copied, reproduced or redistributed without authorization.
The charts shown do not represent an actual portfolio managed by Loomis Sayles or any specific investment recommendation. Indices are unmanaged and do not incur fees. It is not possible to invest directly in an index.
XCP010
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8444444010
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CURRENCIES
DOLLA R I N DEX $ US/EUR O YEN /$ US

115 1.70 150
110 140
1.60
105 130
1.50
100 120
95 1.40 110
90 1.30 100
85
1.20 90
80
75 1.10 80
70 1.00 70
Sep-10
Sep-13
Sep-17
Sep-20
Sep-11
Sep-12
Sep-14
Sep-15
Sep-16
Sep-18
Sep-19
Sep-21
Sep-22
Sep-10
Sep-11
Sep-12
Sep-13
Sep-14
Sep-15
Sep-16
Sep-17
Sep-18
Sep-19
Sep-20
Sep-21
Sep-22
Sep-10
Sep-11
Sep-12
Sep-13
Sep-14
Sep-15
Sep-16
Sep-17
Sep-18
Sep-19
Sep-20
Sep-21
Sep-22
2.20 GB P/$ US R USSI A N R UB LE / $ US
CHI N ESE YUA N / $US
8.00 141
2.00
121
7.50 1.80 101
7.00 1.60 81
61
6.50 1.40
41
6.00 1.20 21
5.50 1.00 1
Sep-10
Sep-11
Sep-12
Sep-13
Sep-14
Sep-15
Sep-16
Sep-17
Sep-18
Sep-19
Sep-20
Sep-21
Sep-22
Sep-10
Sep-11
Sep-12
Sep-13
Sep-14
Sep-15
Sep-16
Sep-17
Sep-18
Sep-19
Sep-20
Sep-21
Sep-22
Sep-10
Sep-11
Sep-12
Sep-13
Sep-14
Sep-15
Sep-16
Sep-17
Sep-18
Sep-19
Sep-20
Sep-21
Sep-22

XCP011
MALR029642
8444444011
30
386/521
CURRENCY MARKETS
USD Mexican Spot Exchange Rate (MXN)
27
US Dollar Index (DXY)
25
116
23
21
111 19
17
15
106
9/30/17
3/31/19
6/30/19
9/30/20
9/30/21
3/31/22
6/30/22
3/31/18
6/30/18
9/30/18
9/30/19
3/31/20
6/30/20
3/31/21
6/30/21
9/30/22
12/31/17
12/31/18
12/31/19
12/31/20
12/31/21
101
Uruguay Peso Spot Exchange Rate (UYU)
50
96
45
40
91
35
30
86
25
6/30/18
9/30/18
3/31/21
6/30/21
9/30/22
9/30/17
3/31/18
3/31/19
6/30/19
9/30/19
3/31/20
6/30/20
9/30/20
9/30/21
3/31/22
6/30/22
12/31/19
12/31/17
12/31/18
12/31/20
12/31/21
3/31/18
9/30/18
9/30/19
6/30/20
3/31/21
6/30/21
3/31/22
9/30/22
9/30/17
6/30/18
3/31/19
6/30/19
3/31/20
9/30/20
9/30/21
6/30/22
12/31/17
12/31/18
12/31/19
12/31/20
12/31/21
Past performance is no guarantee of future results
XCP005
MALR029642
8444444005
31
387/521
performance attribution by sector
9/30/2021 TO 9/30/2022 (%)
TOTAL RETURNS
Total Return
Portfolio Return -14.31

Benchmark Return -14.60
Excess Return 0.29
Attribution run using Loomis Sayles Performance Attribution. Figures on the bar chart may not add up to total excess return as they exclude impact of trading, pricing and currency differences. Excess Return by
sector excludes yield curve impact. Values shown include impact of hedging if utilized. Unless otherwise noted, the performance shown is gross of management fees.
32
388/521
attribution analysis
9/30/2021 TO 9/30/2022 (%)
Portfolio Benchmark
Portfolio Benchmark
Sector Distribution Average Average Total Effect
Final Weight Final Weight
Weight Weight
Cash & Equivalents 5.46 0.00 4.33 0.00 0.04
US Treasurys 25.66 40.77 19.11 39.62 -0.17
US Agency 0.48 1.29 0.55 1.33 -0.03
Securitized Agency 25.64 28.49 25.44 28.55 -0.10
Securitized Credit 4.87 1.44 5.00 1.41 0.02
Government Related 1.89 3.39 3.24 3.45 -0.26
Municipals 0.11 0.63 0.14 0.67 0.01
Investment Grade Corporate 22.23 23.99 24.31 24.97 -0.07
Bank Loans 3.53 0.00 4.92 0.00 -0.01
High Yield Corporate 6.56 0.00 9.48 0.01 -0.24
Non-US Dollar 3.59 0.00 3.40 0.00 0.30
Other 0.00 0.00 0.07 0.00 0.00
Attribution run using Loomis Sayles Performance Attribution. Total Effects are impacted by sector returns and allocation shifts. Returns reflect the entire period. Total Effect excludes yield curve impact. Values
shown include impact of hedging if utilized. Unless otherwise noted, the performance shown is gross of management fees. The securitized agency allocation, may include the use of our Agency MBS NHIT, where
permitted. In such cases, the market value may include securitized cash equivalents held against TBA exposures, which will inflate the overall market value.
33
389/521
9/30/2021 TO 9/30/2022 (%)
Portfolio Benchmark Portfolio Benchmark

Currency Distribution Total Effect
Final Weight Final Weight Initial Weight Initial Weight
Mexican Peso 2.23 0.00 2.08 0.00 0.22

US Dollar 96.41 100.00 96.61 100.00 -0.81
Uruguay Peso 1.36 0.00 1.31 0.00 0.08
Unclassified 0.00 0.00 0.00 0.00 0.00
shown include impact of hedging if utilized. Unless otherwise noted, the performance shown is gross of management fees.
34
390/521
9/30/2021 TO 9/30/2022 (%)
industry excludes yield curve impact. Values shown include impact of hedging if utilized. Unless otherwise noted, the performance shown is gross of management fees.
35
391/521
performance attribution by sector
12/31/2021 TO 9/30/2022 (%)
TOTAL RETURNS
Total Return
Portfolio Return -14.21

Benchmark Return -14.61
Excess Return 0.40
sector excludes yield curve impact. Values shown include impact of hedging if utilized. Unless otherwise noted, the performance shown is gross of management fees.
36
392/521
12/31/2021 TO 9/30/2022 (%)
Portfolio Benchmark
Portfolio Benchmark
Sector Distribution Average Average Total Effect
Final Weight Final Weight
Weight Weight
Cash & Equivalents 5.46 0.00 4.37 0.00 0.05
US Treasurys 25.66 40.77 20.21 39.93 -0.18
US Agency 0.48 1.29 0.53 1.32 -0.04
Securitized Agency 25.64 28.49 25.86 28.65 -0.03
Securitized Credit 4.87 1.44 5.01 1.40 0.01
Government Related 1.89 3.39 2.83 3.41 -0.20
Municipals 0.11 0.63 0.13 0.66 0.00
Investment Grade Corporate 22.23 23.99 24.08 24.61 -0.08
Bank Loans 3.53 0.00 4.76 0.00 -0.04
High Yield Corporate 6.56 0.00 8.69 0.01 -0.32
Non-US Dollar 3.59 0.00 3.44 0.00 0.34
Other 0.00 0.00 0.09 0.00 0.00
shown include impact of hedging if utilized. Unless otherwise noted, the performance shown is gross of management fees. The securitized agency allocation, may include the use of our Agency MBS NHIT, where
permitted. In such cases, the market value may include securitized cash equivalents held against TBA exposures, which will inflate the overall market value.
37
393/521
12/31/2021 TO 9/30/2022 (%)
Portfolio Benchmark Portfolio Benchmark

Currency Distribution Total Effect
Final Weight Final Weight Initial Weight Initial Weight
Mexican Peso 2.23 0.00 2.05 0.00 0.19

US Dollar 96.41 100.00 96.78 100.00 -0.83
Uruguay Peso 1.36 0.00 1.18 0.00 0.16
Unclassified 0.00 0.00 0.00 0.00 0.00
shown include impact of hedging if utilized. Unless otherwise noted, the performance shown is gross of management fees.
38
394/521
12/31/2021 TO 9/30/2022 (%)
industry excludes yield curve impact. Values shown include impact of hedging if utilized. Unless otherwise noted, the performance shown is gross of management fees.
39
395/521
FINANCIAL CONDITIONS AND THE FED
FEDER A L FUN DS T A R GET R A T E A N D GS US FI N A N CI A L CON DI T I ON S

Goldman Sachs US Financial Conditions Index Federal Funds Target Rate Mid Point of Range (%)
Loomis Sayles Federal Funds Rate Forecast
105 6.00
104
5.00
103
102 4.00
101
3.00
100
99 2.00
98
1.00
97
96 0.00
9/30/02
9/30/04
9/30/09
9/30/11
9/30/14
9/30/16
9/30/21
9/30/23
9/30/03
9/30/05
9/30/06
9/30/07
9/30/08
9/30/10
9/30/12
9/30/13
9/30/15
9/30/17
9/30/18
9/30/19
9/30/20
9/30/22
Data source: Bloomberg Monthly data through 9/30/2022.
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of future results.
XCP015
MALR029642
8444444015
40
396/521
macroeconomic environment and outlook
WESTERN ASIA LATIN
YEAR-END FORECAST US DOMESTIC GLOBAL
EUROPE PACIFIC AMERICA
2022 2023 2022 2023 2022 2023 2022 2023 2022 2023
Real GDP Growth 1.6% 0.8% 2.9% 2.5% 2.9% 0.8% 3.4% 4.5% 2.8% 1.5%
Headline CPI Inflation 8.1% 4.5% 7.2% 4.6% 7.7% 4.4% 3.1% 2.9% 17.8% 13.8%
Current Account Balance (% GDP) -4.1% -3.4% - - - - - - - -
Interest Rates (10-year); End Of Year 2022 3.6% - - - - - - - -
OUR VIEW:
SL OWING GROWTH, STUBBORN INFL ATION CONSUMER & CORPORATE FUNDAMENT AL S APPEA R HEAL THY
• We expect growth momentum to remain sluggish this year and into next year • Consumer confidence recovered a bit modestly in August, but remains weak
given tighter policy, financial conditions, and inflationary/supply pressure. Risks relative to recent history. Consumer balance sheets remain strong overall
have risen since the beginning of the year, but we believe the economy can avoid largely due to elevated savings over the past couple years.
a near-term, sharp slowdown given current healthy consumer and corporate • Earnings results from Q2 looked strong overall. Companies have generally
balance sheets. been able to weather the storm so far, but challenges remain ahead.
• Q1 and Q2 growth were both negative, but we do not believe we are in the midst • We anticipate solid S&P 500 earnings growth in the 10% range to be
of a recession, particularly since payroll gains have continued to point towards delivered in 2022, but see flat to slightly negative earnings growth in 2023.
strength in the labor market. Margin outlooks have started to deteriorate, though leverage metrics
• August CPI data surprised to the upside (Core CPI rose from 5.9% to 6.3% y/y continue to look supportive for credit.
and from 0.3% to 0.6% m/m). Despite better data in July, we do not think we are • Default expectations have been rising, though remain low relative to history
out of the woods on inflation yet. given the solid fundamental backdrop. We acknowledge risks if profits start
BUMPY GROWTH EXPECT E D GL OBAL L Y
to materially slow.
• Global manufacturing PMIs (purchasing manager’s index) continued to lose MONETAR Y POL ICY AND INTERE ST RATES
momentum in August, and signal slowing in major economies throughout the
• We see scope for the Fed to hike the Fed Funds rate over 4% given our
world (including Eurozone, UK and China). Forward-looking demand
view of stubborn inflation, but the economy would have to remain
indicators (i.e. orders/inventory) continue to drop. Supply/price indicators have
resilient through 2022 in order for that to come to fruition. We view the
been showing signs of improvement, but remain far from normal levels.
market’s pricing of rate cuts in 2023 as premature.
• The European gas crisis has become a reality with flows from Nord Stream 1
cut-off, posing significant growth risks for Europe (and the globe). While this • QT has been underway and caps are set to rise this month - $60B
may be inflationary in the near-term, we could see further demand destruction. treasury and $35B agency debt and MBS, bringing monthly run-off to
$95B. We do not expect changes to QT policy.
• We believe that Chinese growth has likely bottomed out given stimulus efforts,
but we expect the recovery will likely be gradual due to issues with the property • The ECB hiked 75 bps in September and is expected to continue hiking
sector (mortgage boycotts) and continued “zero-Covid” policies. to fight inflation despite growth risks.
Source: Loomis Sayles Macro Strategies Group, data as of 9/13/2022. This material is provided for informational purposes only and should not be construed as investment advice. The forecasted views and opinions expressed
reflect those of the authors and do not necessarily reflect the views of Loomis, Sayles & Company L.P. All statements are made as of the date of the presentation and are subject to change at any time without notice.
XME001
MALR029133
8999999001
41
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portfolio positioning quarterly views
We have a more defensive bias versus positioning last year, but still have a pro-cyclical stance, reflecting our expectation that US and global
economies should remain resilient, and can perhaps work through this Fed tightening cycle without suffering a more damaging repricing of risk
valuations beyond that which is currently priced. We currently have a yield advantage of approximately 100 bps. Average quality remains high at A2.
SECTOR INVESTM E N T STRATEGI E S – Q2

More recently we have moved to a modest duration overweight to the 20- to 30-year part of the curve and have sharply reduced
YIELD CURVE POSITIONING our underweight to the belly of the curve in response to the recent re-pricing of the yield curve, and in acknowledgement of
heightened geopolitical risk.
We anticipate another 225 bps in rate hikes for the remainder of the year, even as some of the fundamental data show some
moderation over the Summer. We hope to see more evidence of easing inflation pressures this Fall, but importantly, we do not
DURATION currently expect a pause in the tightening cycle anytime soon. Our base case for terminal rates is approximately 3.75% although it
may move closer to about 4% if the economy continues to perform and labor markets are resilient. Nominal duration is approaching
neutral versus the benchmark, while empirical duration is more defensively positioned at 1.2 years shorter than benchmark.
TREASURY/GOVERNMENT Maintaining significant underweight to nominal US Treasurys on both a market weight and contribution to duration basis. Currently
RELATED we do not own TIPS, although we believe they are becoming more interesting as real yields have risen and breakevens have fallen.
We believe long agency debentures can offer additional spread to US Treasurys and currently look attractive as a proxy for long US
AGENCY
Treasurys. We remain underweight the sector on a market value basis, and are neutral on a contribution to duration basis.
We maintain a slight underweight to Agency MBS, although we have added exposure in Q2 as valuations have dramatically
improved. We believe the sector remains a liquid, high quality alternative to Treasurys and we note technical factors are improving
MBS
as prepayments slow and the risk of outright MBS sales next year looks less likely given heightened concerns over an economic
slowdown.
CMBS Marginal overweight to Non Agency CMBS, but do not own Agency CMBS due to very tight valuations.
Maintaining overweight to sector, primarily in the front end of the yield curve for more defensive, non-corporate carry. We
ABS/RMBS
continue to favor consumer related ABS, such as auto loans and credit card receivables.
We believe Corporate fundamentals remain strong even as some are showing strains from tighter credit conditions and greater
IG CREDIT economic uncertainty. We are underweight from a market value and contribution-to-duration perspective, but continue to have a
skew towards BBB and EM which brings us moderately overweight from a credit sensitivity perspective.
Reduced our out-of-benchmark allocation to high yield securities to 8% in the fourth quarter in response to a more aggressive Fed
HIGH YIELD
tightening path, as well as growing signs of economic slowdown from the more robust pace seen in 2021.
Where permitted, we have an out-of-benchmark bank loan allocation target of 4%, down from 5.5% last quarter. We favor higher-
BANK LOANS/CLOS quality secured bank loans as a potential source of front-end yield. Where permitted, we have started to add some investment
grade, higher quality CLOs to add additional floating rate carry to the portfolio.
GLOBAL / CURRENCIES Our non-US dollar allocation is ~3.5%. Two-thirds of the exposure is to Mexico and the remainder to Uruguay.
As of June 30, 2022

This commentary is provided for informational purposes only and should not be construed as investment advice. Any opinions or forecasts contained herein reflect the subjective judgments and assumptions of the authors only and do
not necessarily reflect the views of Loomis, Sayles & Company, L.P. Investment recommendations may be inconsistent with these opinions. There is no assurance that developments will transpire as forecasted and actual results will
be different. Data and analysis does not represent the actual or expected future performance of any investment product. Information, including that obtained from outside sources, is believed to be correct, but Loomis Sayles cannot
guarantee its accuracy. This information is subject to change at any time without notice.
Market conditions are extremely fluid and change frequently.
CPSC1020
MARL029301
1587494577
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portfolio summary
9/30/2021 TO 9/30/2022
PORTFOLIO SUMMARY
9/30/2021 9/30/2022
Portfolio Benchmark Difference Portfolio Benchmark Difference

Yield to Worst (%) 2.41 1.55 0.86 5.42 4.77 0.65
Maturity (years) 7.46 8.48 -1.02 9.63 8.44 1.18
Effective Duration (years) 5.40 6.65 -1.25 6.43 6.16 0.27
Coupon (%) 3.14 2.50 0.63 3.31 2.55 0.76
Average Quality A2 AA2 - A1 AA2 -
OAS (bps) 92 33 58 111 62 49
QUALITY SUMMARY (% OF TOTAL MARKET VALUE)
9/30/2021 9/30/2022
Portfolio Benchmark Difference Portfolio Benchmark Difference

AAA 46.55 71.05 -24.50 59.92 73.48 -13.57
AA 0.99 3.42 -2.42 0.86 3.11 -2.24
A 9.37 11.33 -1.96 6.68 10.83 -4.15
BAA 23.73 14.18 9.56 21.37 12.58 8.79
BA 13.26 0.02 13.23 7.72 0.00 7.72
B & Below 6.10 0.00 6.10 3.45 0.00 3.45
OAS is option adjusted spread.

Client Guideline Quality Methodology presented.
Maturity distribution is calculated using the years to effective maturity, which takes into account the bonds call date.
43
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sector allocation
9/30/2021 TO 9/30/2022 (%)
9/30/2021 9/30/2022 Relative 9/30/2021 9/30/2022 Relative

Portfolio Bench Relative Portfolio Bench Relative Change Portfolio Bench Relative Portfolio Bench Relative Change
Cash & Equivalents 4.69 0.00 4.69 5.46 0.00 5.46 0.77 Non-US Dollar 3.39 0.00 3.39 3.59 0.00 3.59 0.20
US Treasurys 14.43 38.26 -23.84 25.66 40.77 -15.11 8.73 Non-US Dollar Government
1.09 0.00 1.09 0.00 0.00 0.00 -1.09
Related
US Agency 0.58 1.40 -0.82 0.48 1.29 -0.81 0.01 Non-US Dollar Investment Grade
0.08 0.00 0.08 0.09 0.00 0.09 0.01
Securitized Agency 23.92 28.31 -4.38 25.64 28.49 -2.86 1.53 Corporate
Agency CMBS 0.00 0.92 -0.92 0.60 0.89 -0.29 0.63 Non-US Dollar Treasuries 2.21 0.00 2.21 3.49 0.00 3.49 1.28
CMO 1.30 0.00 1.30 0.34 0.00 0.34 -0.96
MBS Passthrough 22.62 27.39 -4.77 24.69 27.61 -2.91 1.86
Securitized Credit 4.85 1.46 3.39 4.87 1.44 3.43 0.04
ABS 3.22 0.30 2.93 3.01 0.39 2.61 -0.31
Non Agency CMBS 1.62 1.16 0.46 1.86 1.04 0.82 0.35
Utility 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Government Related 4.59 3.59 1.00 1.89 3.39 -1.50 -2.51
Agencies 2.17 0.85 1.32 1.22 0.80 0.42 -0.89
Local Authorities 0.00 0.29 -0.29 0.00 0.27 -0.27 0.02
Sovereign 2.42 1.04 1.38 0.66 0.94 -0.28 -1.66
Supranational 0.00 1.41 -1.41 0.00 1.38 -1.38 0.03
Municipals 0.16 0.70 -0.54 0.11 0.63 -0.52 0.03
Taxable Muni 0.16 0.70 -0.54 0.11 0.63 -0.52 0.03
Investment Grade Corporate 25.92 26.26 -0.34 22.23 23.99 -1.77 -1.42
Financial Institutions 10.14 8.11 2.02 9.48 8.03 1.46 -0.57
Industrial 14.21 15.99 -1.78 11.65 13.97 -2.32 -0.54
Utility 1.57 2.16 -0.58 1.10 2.00 -0.90 -0.32
Bank Loans 5.06 0.00 5.06 3.53 0.00 3.53 -1.53
Industrial 4.49 0.00 4.49 3.17 0.00 3.17 -1.32
Utility 0.03 0.00 0.03 0.01 0.00 0.01 -0.01
High Yield Corporate 12.41 0.02 12.39 6.56 0.00 6.56 -5.84
Industrial 9.52 0.02 9.50 4.53 0.00 4.53 -4.97
Utility 1.08 0.00 1.08 0.90 0.00 0.90 -0.17
The securitized agency allocation, may include the use of our Agency MBS NHIT, where permitted. In such cases, the market value may include securitized cash equivalents held against TBA exposures, which will
inflate the overall market value.
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beta history
AS OF 9/30/2022
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beta history
AS OF 9/30/2022
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maturity & duration break-down
AS OF 9/30/2022
Maturity distribution is calculated using the years to effective maturity, which takes into account the bonds call date.
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Alphabetic Appraisal
Date Run: 10/06/2022
Public Employees' Retirement System of Mississippi As Of: 09/30/2022
5482N6-PXRFIM Administrative Currency: USD
Shares Security Description Security ID Total Cost Price Market Value Yield % Of Unrealized
Unit Cost Accrued Total Gain/Loss
Fixed Income Holdings

-----Cash and Equivalents-----
18,602,492.600 STIF MONEY MARKET USD 18,602,492.60 1.000 18,602,492.60 0.37 1.78 0.00
0.3742 10/03/2022 1.000
5482N6 5,815,458.070 1.000 5,815,458.07 5,815,458.07 0.56 0.00
5482N6MBS 12,517,038.190 1.000 12,517,038.19 12,517,038.19 1.20 0.00
5482N6TRE 269,996.340 1.000 269,996.34 269,996.34 0.03 0.00
1,905,000.000 U S TREASURY BILLS 912796M89 1,904,630.11 99.980 1,904,610.66 1.49 0.18 -19.45
5482N6TRE 0.0000 10/06/2022 99.981
10,930,000.000 U S TREASURY BILLS 912796V55 10,922,928.13 99.928 10,922,098.48 2.20 1.05 -829.65
5482N6TRE 0.0000 10/13/2022 99.935
21,310,000.000 U S TREASURY BILLS 912796YD5 21,298,502.84 99.946 21,298,397.98 1.99 2.04 -104.86
5482N6TRE 0.0000 10/11/2022 99.946
-----One Year Maturities-----
2,115,000.000 AERCAP IRELAND CAP/GLOBA 00774MAD7 2,054,933.55 99.440 2,103,156.00 5.12 0.20 48,222.45
5482N6 3.3000 01/23/2023 97.160 13,183.50
Call 12/23/2022 @ 100.000
3,885,000.000 ALLY FINANCIAL INC 02005NBK5 3,891,310.15 98.944 3,843,981.94 4.64 0.37 -47,328.21
5482N6 3.0500 06/05/2023 100.162 38,180.92
Call 05/05/2023 @ 100.000
379,571.140 BOMFT 2017-RT5 A 144A 07333AAA8 388,271.81 96.648 366,848.67 7.30 0.04 -21,423.14
5482N6 3.5000 05/28/2069 Orig Face: 1,970,000 102.292 110.71
Avg Life 09/13/2023 @ 100.000
955,000.000 CNH INDUSTRIAL CAP LLC 12592BAK0 956,898.70 97.877 934,725.35 4.85 0.09 -22,173.35
5482N6 1.9500 07/02/2023 100.199 4,603.90
944,038.620 DFLF2 2021-2 A2 144A 257812AD9 943,923.27 96.583 911,782.43 4.64 0.09 -32,140.84
5482N6 0.5600 12/11/2034 Orig Face: 1,465,000 99.988 308.39
Avg Life 08/14/2023 @ 100.000
255,155.570 EART 2021-2A B 30165XAD7 255,149.22 99.139 252,957.94 3.97 0.02 -2,191.28
5482N6 0.5700 09/15/2025 Orig Face: 310,000 99.998 64.64
Avg Life 01/02/2023 @ 100.000
Call 07/15/2025 @ 100.000
445,000.000 EART 2021-2A C 30165XAE5 444,906.02 96.322 428,634.59 4.88 0.04 -16,271.43
5482N6 0.9800 06/15/2026 Orig Face: 445,000 99.979 193.82
Avg Life 09/23/2023 @ 100.000
Call 07/15/2025 @ 100.000
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Date Run: 10/06/2022
Fixed Income Holdings (cont.)
-----One Year Maturities (cont.)-----
115,000.000 EQUIFAX INC 294429AJ4 114,754.80 99.962 114,956.46 4.34 0.01 201.66
5482N6 3.3000 12/15/2022 99.787 1,117.42
Call 10/14/2022 @ 100.000
1,776.310 FHLMC GOLD POOL C00335 31292GLQ7 2,058.94 101.269 1,798.85 6.83 0.00 -260.09
5482N6MBS 7.5000 05/01/2024 Orig Face: 6,995,000 115.911 11.10
Avg Life 06/16/2023 @ 100.000
23.960 FNMA POOL 124560 31365DJD8 27.28 99.917 23.94 4.06 0.00 -3.34
5482N6MBS 8.0000 11/01/2022 Orig Face: 7,440,000 113.856 0.16
Avg Life 11/25/2022 @ 100.000
1,780,000.000 KINDER MORGAN INC/DELAWA 144A W/O 49456BAB7 1,804,475.00 100.037 1,780,659.63 5.58 0.17 -23,815.37
5482N6 5.6250 11/15/2023 101.375 37,825.00
Call 08/15/2023 @ 100.000
1,090,000.000 MICROCHIP TECHNOLOGY INC 595017AP9 1,093,052.10 99.515 1,084,714.36 5.07 0.11 -8,337.74
5482N6 4.3330 06/01/2023 100.280 15,743.23
Call 05/01/2023 @ 100.000
1,725,000.000 MICROCHIP TECHNOLOGY INC 595017AZ7 1,751,229.30 97.454 1,681,081.50 5.55 0.16 -70,147.80
5482N6 2.6700 09/01/2023 101.521 3,838.13
2,405,000.000 MORGAN STANLEY 61772BAA1 2,405,000.00 97.586 2,346,944.53 4.27 0.23 -58,055.47
5482N6 0.7310 04/05/2024 100.000 8,594.94
Call 04/05/2023 @ 100.000
500,000.000 MSBAM 2013-C11 A4 61762TAE6 523,804.69 98.737 493,683.65 5.83 0.05 -30,121.04
5482N6 4.2951 08/15/2046 Orig Face: 500,000 104.761 1,789.61
Avg Life 06/30/2023 @ 100.000
2,110,000.000 NATIONAL RURAL UTIL COOP 637432MT9 2,119,600.00 90.986 1,919,801.88 7.47 0.19 -199,798.12
5482N6 4.7500 04/30/2043 100.455 42,038.82
Call 04/30/2023 @ 100.000
895,000.000 NISSAN MOTOR CO 144A W/O RTS 654744AA9 895,000.00 97.216 870,083.20 6.08 0.08 -24,916.80
5482N6 3.0430 09/15/2023 100.000 1,210.44
174,052.160 OBX 2018-EXP1 1A3 144A 67097VAC8 173,632.13 91.982 160,095.91 15.48 0.02 -13,536.22
5482N6 4.0000 04/25/2048 Orig Face: 1,650,000 99.759 580.17
Avg Life 07/05/2023 @ 100.000
Call 09/25/2042 @ 100.000
655,000.000 QTEL INT USD FIN 144A W/O RTS 74735K2A9 678,835.00 99.289 650,342.95 5.11 0.06 -28,492.05
5482N6 3.2500 02/21/2023 103.639 2,365.28
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Date Run: 10/06/2022
-----One Year Maturities (cont.)-----
965,000.000 SDART 2021-1 C 80286NAF3 964,828.52 98.375 949,321.93 4.27 0.09 -15,506.59
5482N6 0.7500 02/17/2026 Orig Face: 965,000 99.982 321.67
Avg Life 03/22/2023 @ 100.000
1,045,000.000 SDART 2021-2 C 80286XAE4 1,044,756.93 97.431 1,018,154.47 4.52 0.10 -26,602.46
5482N6 0.9000 06/15/2026 Orig Face: 1,045,000 99.977 418.00
Avg Life 06/24/2023 @ 100.000
Call 05/15/2025 @ 100.000
1,185,000.000 SDART 2021-3 C 80287EAE5 1,184,843.22 96.597 1,144,678.24 4.64 0.11 -40,164.98
5482N6 0.9500 09/15/2027 Orig Face: 1,185,000 99.987 500.33
Avg Life 09/14/2023 @ 100.000
Call 06/15/2025 @ 100.000
18,635.850 SEMT 2017-CH1 A1 144A 81746HAA9 19,121.37 94.998 17,703.69 12.72 0.00 -1,417.68
5482N6 4.0000 08/25/2047 Orig Face: 555,000 102.605 62.12
Avg Life 05/05/2023 @ 100.000
Call 12/25/2039 @ 100.000
81,620.500 SEMT 2018-CH1 A1 144A 81747DAA7 82,946.68 93.210 76,078.53 12.50 0.01 -6,868.15
5482N6 4.0000 03/25/2048 Orig Face: 1,170,000 101.625 272.07
Avg Life 08/10/2023 @ 100.000
Call 01/25/2035 @ 100.000
74,526.910 SEMT 2018-CH3 A2 144A 81746WAB4 74,925.56 98.349 73,296.58 10.04 0.01 -1,628.98
5482N6 4.0000 08/25/2048 Orig Face: 3,650,000 100.535 248.42
Avg Life 12/27/2022 @ 100.000
Call 08/25/2035 @ 100.000
705,000.000 SOUTHERN NATURAL GAS 144A W/O RTS 84346LAC4 704,887.20 97.257 685,662.88 5.54 0.07 -19,224.32
5482N6 0.6250 04/28/2023 99.984 1,872.66
Call 10/31/2022 @ 100.000
2,270,000.000 TRANSELEC SA 144A W/O RTS 89366LAA2 2,273,229.60 98.625 2,238,787.50 6.36 0.22 -34,442.10
5482N6 4.6250 07/26/2023 100.142 18,956.08
-----Short Term Bonds-----
450,000.000 AES CORP/THE 144A W/O RTS 00130HCB9 449,874.00 92.213 414,958.50 6.39 0.04 -34,915.50
5482N6 3.3000 07/15/2025 99.972 3,135.00
Call 06/15/2025 @ 100.000
355,000.000 AESOP 2018-2A A 144A 05377RDC5 377,450.98 98.249 348,783.67 5.50 0.03 -28,667.31
5482N6 4.0000 03/20/2025 Orig Face: 355,000 106.324 433.89
Avg Life 01/03/2024 @ 100.000
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Date Run: 10/06/2022
-----Short Term Bonds (cont.)-----
2,225,000.000 AESOP 2020-1A A 144A 05377RDU5 2,313,304.69 91.993 2,046,839.58 5.62 0.20 -266,465.11
5482N6 2.3300 08/20/2026 Orig Face: 2,225,000 103.969 1,584.08
Avg Life 06/03/2025 @ 100.000
745,000.000 AESOP 2022-1A A 144A 05377REZ3 744,920.21 94.624 704,948.80 5.18 0.07 -39,971.41
5482N6 3.8300 08/21/2028 Orig Face: 745,000 99.989 871.86
Avg Life 06/03/2027 @ 100.000
2,910,000.000 AIR LEASE CORP 00914AAB8 2,915,282.45 91.411 2,660,057.02 6.41 0.26 -255,225.43
5482N6 3.7500 06/01/2026 100.182 36,375.00
Call 04/01/2026 @ 100.000
395,000.000 AKER BP ASA 144A W/O RTS 00973RAE3 393,799.20 93.670 369,998.36 6.00 0.04 -23,800.84
5482N6 3.0000 01/15/2025 99.696 2,501.67
Call 12/15/2024 @ 100.000
1,550,000.000 ALBERTSONS COS/SAFEWAY 144A W/O RTS 013092AF8 1,549,679.90 87.834 1,361,422.35 7.30 0.13 -188,257.55
5482N6 3.2500 03/15/2026 99.979 2,238.89
Call 09/15/2023 @ 101.750
795,000.000 AMERICAN AIRLINES/AADVAN 144A W/O 00253XAA9 795,000.00 93.917 746,640.15 8.73 0.07 -48,359.85
5482N6 5.5000 04/20/2026 Orig Face: 795,000 100.000 8,623.53
Avg Life 11/18/2024 @ 100.000
1,110,000.000 AMERICAN EXPRESS CO 025816CG2 1,106,425.80 95.776 1,063,115.63 4.94 0.10 -43,310.17
5482N6 2.5000 07/30/2024 99.678 4,702.08
Call 06/30/2024 @ 100.000
880,000.000 ANTARES HOLDINGS 144A W/O RTS 03666HAC5 889,235.25 85.500 752,403.12 8.50 0.07 -136,832.13
5482N6 3.9500 07/15/2026 101.049 7,338.22
Call 06/15/2026 @ 100.000
3,725,000.000 ARES CAPITAL CORP 04010LBA0 3,710,494.00 83.807 3,121,822.11 7.10 0.30 -588,671.89
5482N6 2.1500 07/15/2026 99.611 16,907.36
Call 06/15/2026 @ 100.000
3,020,000.000 AT&T INC 00206RML3 3,019,138.75 88.929 2,685,653.05 5.22 0.26 -333,485.70
5482N6 1.7000 03/25/2026 99.971 855.67
Call 03/25/2023 @ 100.000
665,000.000 BAIDU INC 056752AQ1 663,623.45 94.569 628,883.85 5.41 0.06 -34,739.60
5482N6 3.0750 04/07/2025 99.793 9,883.56
Call 03/07/2025 @ 100.000
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Date Run: 10/06/2022
1,400,000.000 BANCO SANTANDER CHILE 144A W/O RTS 05970FAC5 1,400,000.00 93.373 1,307,222.00 5.85 0.13 -92,778.00
5482N6 2.7000 01/10/2025 100.000 8,505.00
Call 12/10/2024 @ 100.000
1,800,000.000 BANCO SANTANDER SA 05964HAL9 1,799,574.00 86.348 1,554,262.94 6.27 0.15 -245,311.06
5482N6 1.8490 03/25/2026 99.976 554.70
4,275,000.000 BANGKOK BANK/HK USD 144A W/O RTS 059895AR3 4,268,758.50 98.767 4,222,289.34 4.93 0.41 -46,469.16
5482N6 4.0500 03/19/2024 99.854 5,771.25
5,670,000.000 BANK OF AMERICA CORP 06051GHT9 5,983,644.10 92.318 5,234,403.55 5.75 0.51 -749,240.55
5482N6 3.5590 04/23/2027 105.532 88,565.72
Call 04/23/2026 @ 100.000
5,105,000.000 BAT CAPITAL CORP 05526DBG9 5,148,562.60 95.069 4,853,281.18 5.52 0.47 -295,281.42
5482N6 2.7890 09/06/2024 100.853 9,887.39
Call 08/06/2024 @ 100.000
1,025,000.000 BBVA BANCOMER SA USD 144A W/O RTS 05533UAH1 1,023,607.00 89.574 918,134.86 5.75 0.09 -105,472.14
5482N6 1.8750 09/18/2025 99.864 694.01
2,285,000.000 BHARTI AIRTEL LTD 144A W/O RTS 08860HAA2 2,319,993.20 96.439 2,203,635.72 5.82 0.21 -116,357.48
5482N6 4.3750 06/10/2025 101.531 30,823.70
4,080,000.000 BNP PARIBAS 144A W/O RTS 09659W2J2 4,092,750.00 93.203 3,802,687.13 5.84 0.37 -290,062.87
5482N6 2.8190 11/19/2025 100.313 42,172.24
Call 11/19/2024 @ 100.000
2,170,000.000 BNP PARIBAS 144A W/O RTS 09659W2N3 2,166,048.40 85.227 1,849,433.95 5.84 0.18 -316,614.45
5482N6 1.3230 01/13/2027 99.818 6,220.31
Call 01/13/2026 @ 100.000
2,615,000.000 BOC AVIATION USA CORP 144A W/O RTS 66980P2A6 2,617,389.05 94.413 2,468,902.90 5.36 0.24 -148,486.15
5482N6 1.6250 04/29/2024 100.091 17,941.81
Call 03/29/2024 @ 100.000
2,955,000.000 BOEING CO 097023DE2 2,955,857.35 94.996 2,807,123.85 5.35 0.27 -148,733.50
5482N6 1.4330 02/04/2024 100.029 6,704.65
Call 10/11/2022 @ 100.000
1,030,000.000 BPR 2021-NRD A 144A 05592CAA4 1,027,436.33 95.708 985,792.40 5.84 0.09 -41,643.93
5482N6 4.4470 12/15/2023 Orig Face: 1,030,000 99.751 2,035.74
Avg Life 12/09/2026 @ 100.000
463,830.970 CAFL 2019-3 A 144A 21872NAA8 463,819.00 94.299 437,388.99 5.21 0.04 -26,430.01
5482N6 2.7050 10/15/2052 Orig Face: 800,000 99.997 1,045.55
Avg Life 03/25/2025 @ 100.000
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Date Run: 10/06/2022
1,220,000.000 CELANESE US HOLDINGS LLC 15089QAL8 1,218,279.80 97.685 1,191,752.30 7.09 0.11 -26,527.50
5482N6 6.0500 03/15/2025 99.859 3,280.44
1,240,000.000 CENTERPOINT ENERGY INC 15189TAZ0 1,240,000.00 98.612 1,222,793.81 4.54 0.12 -17,206.19
5482N6 3.3122 05/13/2024 100.000 5,598.71
Call 10/19/2022 @ 100.000
1,260,000.000 CITIGROUP INC 172967MX6 1,260,478.40 92.654 1,167,442.19 5.04 0.11 -93,036.21
5482N6 0.9810 05/01/2025 100.038 5,150.25
Call 05/01/2024 @ 100.000
1,146,047.510 CLIF 2021-1A A 144A 12565KAA5 1,146,025.95 85.610 981,126.69 5.93 0.09 -164,899.26
5482N6 1.6400 02/18/2046 Orig Face: 1,365,000 99.998 678.71
Avg Life 09/24/2026 @ 100.000
715,644.380 COMM 2013-GAM A2 144A 12624UAC8 744,605.61 98.653 706,005.37 4.13 0.07 -38,600.24
5482N6 3.3670 02/10/2028 Orig Face: 885,000 104.047 2,007.98
Avg Life 05/14/2024 @ 100.000
1,760,000.000 COMM 2014-UBS4 A5 12591QAR3 1,820,500.00 97.023 1,707,613.42 5.50 0.16 -112,886.58
5482N6 3.6940 08/10/2047 Orig Face: 1,760,000 103.438 5,417.87
Avg Life 06/24/2024 @ 100.000
1,083,396.370 CONTL AIRLINES 2012-2 A 210795QB9 1,083,396.37 93.815 1,016,388.30 7.64 0.10 -67,008.07
5482N6 4.0000 10/29/2024 Orig Face: 1,880,000 100.000 18,297.36
Avg Life 08/10/2024 @ 100.000
245,605.570 CSMC 2014-USA A1 144A W/O RTS 12649AAA7 259,795.05 91.160 223,893.55 6.64 0.02 -35,901.50
5482N6 3.3039 09/15/2037 Orig Face: 275,000 105.777 676.21
Avg Life 09/13/2025 @ 100.000
1,625,000.000 CSMC 2014-USA A2 144A 12649AAC3 1,594,253.71 90.771 1,475,025.18 7.49 0.14 -119,228.53
5482N6 3.9530 09/15/2037 Orig Face: 1,625,000 98.108 5,353.02
Avg Life 09/13/2025 @ 100.000
2,280,000.000 DELTA AIR LINES/SKYMILES 144A W/O RTS 830867AB3 2,353,882.70 93.136 2,123,490.88 6.52 0.21 -230,391.82
5482N6 4.7500 10/20/2028 Orig Face: 2,280,000 103.240 21,359.17
Avg Life 06/03/2027 @ 100.000
1,790,000.000 DEUTSCHE BANK AG 251526CE7 1,800,916.05 84.908 1,519,854.44 6.97 0.15 -281,061.61
5482N6 2.1290 11/24/2026 100.610 13,444.04
Call 11/24/2025 @ 100.000
1,430,000.000 DEUTSCHE BANK NY 25160PAF4 1,432,670.00 87.029 1,244,518.46 5.88 0.12 -188,151.54
5482N6 1.6860 03/19/2026 100.187 803.66
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Date Run: 10/06/2022
1,230,000.000 DEUTSCHE BANK NY 251526CJ6 1,230,000.00 92.364 1,136,072.72 5.79 0.11 -93,927.28
5482N6 0.8980 05/28/2024 100.000 3,773.85
125,000.000 EDISON INTERNATIONAL 281020AR8 124,711.25 97.972 122,464.47 5.82 0.01 -2,246.78
5482N6 4.9500 04/15/2025 99.769 2,853.13
Call 03/15/2025 @ 100.000
555,000.000 EL PASO PIPELINE PART OP 28370TAG4 570,240.30 98.623 547,357.11 5.21 0.05 -22,883.19
5482N6 4.3000 05/01/2024 102.746 9,943.75
Call 02/01/2024 @ 100.000
3,450,000.000 EL PUERTO LIVERP USD 144A W/O RTS 283837AB8 3,482,962.40 94.700 3,267,150.00 5.36 0.32 -215,812.40
5482N6 3.8750 10/06/2026 100.955 64,986.99
2,185,000.000 EMBRAER NETHERLANDS BV 29082HAA0 2,204,129.50 95.125 2,078,481.25 7.06 0.20 -125,648.25
5482N6 5.0500 06/15/2025 100.875 32,489.74
420,000.000 ENEL GENERACION CHILE SA 29246RAA1 415,716.00 96.750 406,350.00 6.50 0.04 -9,366.00
5482N6 4.2500 04/15/2024 98.980 8,230.83
Call 01/15/2024 @ 100.000
1,275,000.000 ENERGEAN ISRAEL FINANCE 144A W/O BO3321805 1,275,000.00 93.750 1,195,312.50 9.06 0.11 -79,687.50
5482N6 4.5000 03/30/2024 100.000 159.38
Call 12/30/2023 @ 100.000
460,000.000 ENERSIS AMERICAS SA 29274FAF1 452,474.40 94.350 434,010.00 5.57 0.04 -18,464.40
5482N6 4.0000 10/25/2026 98.364 7,973.33
Call 07/25/2026 @ 100.000
335,000.000 EQM MIDSTREAM PARTNERS L 144A W/O 26885BAH3 339,357.65 92.409 309,569.62 8.47 0.03 -29,788.03
5482N6 6.5000 07/01/2027 101.301 5,443.76
Call 01/01/2027 @ 100.000
165,000.000 EQT CORP 144A W/O RTS 26884LAM1 165,000.00 91.071 150,267.34 5.90 0.01 -14,732.66
5482N6 3.1250 05/15/2026 100.000 1,947.92
Call 05/15/2023 @ 101.563
425,000.000 EQUIFAX INC 294429AR6 424,524.00 91.448 388,653.37 5.55 0.04 -35,870.63
5482N6 2.6000 12/15/2025 99.888 3,253.61
Call 11/25/2025 @ 100.000
805,045.340 ESA 2021-ESH A 144A 30227FAA8 805,045.34 96.858 779,749.69 5.16 0.07 -25,295.65
5482N6 3.8980 07/15/2038 Orig Face: 810,000 100.000 1,394.70
Avg Life 07/08/2026 @ 100.000
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Date Run: 10/06/2022
178,898.960 ESA 2021-ESH D 144A 30227FAJ9 178,898.96 95.740 171,278.22 6.72 0.02 -7,620.74
5482N6 5.0680 07/15/2038 Orig Face: 180,000 100.000 402.96
Avg Life 07/08/2026 @ 100.000
244,000.000 EXPEDIA GROUP INC 144A W/O RTS 30212PAS4 244,000.00 100.652 245,592.05 5.95 0.02 1,592.05
5482N6 6.2500 05/01/2025 100.000 6,354.17
Call 02/01/2025 @ 100.000
219,321.250 FHLMC 2864 NC 31395G2E1 248,253.20 101.827 223,327.22 4.85 0.02 -24,925.98
5482N6MBS 5.5000 09/15/2034 Orig Face: 610,000 113.192 1,005.22
Avg Life 02/22/2026 @ 100.000
15,629.430 FHLMC GOLD POOL C00760 31292GZZ2 17,520.74 103.166 16,124.28 4.66 0.00 -1,396.46
5482N6MBS 6.5000 05/01/2029 Orig Face: 9,323,212 112.101 84.66
Avg Life 02/06/2025 @ 100.000
20,278.750 FHLMC GOLD POOL C37436 31294EHM4 24,371.36 105.441 21,382.13 5.34 0.00 -2,989.23
5482N6MBS 8.0000 01/01/2030 Orig Face: 3,935,000 120.182 135.19
Avg Life 05/22/2025 @ 100.000
120,598.940 FHLMC GOLD POOL G01715 31283H3Y9 145,366.44 106.498 128,435.32 5.99 0.01 -16,931.12
5482N6MBS 8.0000 02/01/2034 Orig Face: 6,750,000 120.537 803.99
Avg Life 06/22/2025 @ 100.000
68,139.600 FHLMC GOLD POOL U64896 3132MQKH8 68,203.48 88.162 60,073.39 6.17 0.01 -8,130.09
5482N6MBS 3.0000 05/01/2046 Orig Face: 1,027,025 100.094 170.35
Avg Life 07/04/2027 @ 100.000
59,580.630 FNMA 2004-25 UC 31393XSN8 65,101.15 101.625 60,548.66 4.97 0.01 -4,552.49
5482N6MBS 5.5000 04/25/2034 Orig Face: 154,000 109.266 273.08
Avg Life 09/22/2026 @ 100.000
11,334.430 FNMA POOL 253824 31371J4H4 13,088.12 101.025 11,450.65 5.77 0.00 -1,637.47
5482N6MBS 7.0000 03/01/2031 Orig Face: 3,345,000 115.472 66.12
Avg Life 12/30/2023 @ 100.000
22,270.730 FNMA POOL 408267 31378TQU2 24,975.88 101.750 22,660.40 4.60 0.00 -2,315.48
5482N6MBS 6.0000 03/01/2028 Orig Face: 5,390,000 112.147 111.35
Avg Life 12/13/2024 @ 100.000
32,197.410 FNMA POOL 636812 31389VN52 36,725.01 103.249 33,243.43 4.74 0.00 -3,481.58
5482N6MBS 7.0000 04/01/2032 Orig Face: 2,235,000 114.062 187.82
Avg Life 02/06/2026 @ 100.000
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Date Run: 10/06/2022
10,695.770 FNMA POOL 653819 31390RK85 12,266.06 102.844 10,999.91 5.75 0.00 -1,266.15
5482N6MBS 7.5000 02/01/2033 Orig Face: 1,500,000 114.681 66.85
Avg Life 10/15/2024 @ 100.000
106,145.730 FNMA POOL 688066 31400HMP5 118,028.76 102.359 108,649.61 4.85 0.01 -9,379.15
5482N6MBS 5.5000 03/01/2033 Orig Face: 4,750,000 111.195 486.50
Avg Life 05/14/2026 @ 100.000
44,524.460 FNMA POOL 708631 31401HHG0 49,839.69 102.879 45,806.38 4.66 0.00 -4,033.31
5482N6MBS 6.0000 06/01/2033 Orig Face: 1,331,564 111.938 222.62
Avg Life 06/05/2026 @ 100.000
64,931.260 FNMA POOL 933537 31412SS22 70,445.19 101.661 66,009.52 4.86 0.01 -4,435.67
5482N6MBS 6.0000 02/01/2038 Orig Face: 21,342,820 108.492 324.66
Avg Life 07/27/2027 @ 100.000
824,273.010 FNMA POOL MA4815 31418EK58 843,334.33 100.345 827,113.41 5.86 0.08 -16,220.92
5482N6MBS 6.0000 09/01/2052 Orig Face: 825,000 102.313 4,121.37
Avg Life 10/07/2026 @ 100.000
650,000.000 FORESTAR GROUP INC 144A W/O RTS 346232AF8 652,546.10 82.251 534,632.14 9.78 0.05 -117,913.96
5482N6 3.8500 05/15/2026 100.392 9,453.89
Call 05/15/2023 @ 101.925
2,705,000.000 FS KKR CAPITAL CORP 302635AG2 2,699,396.55 88.233 2,386,708.93 7.50 0.23 -312,687.62
5482N6 3.4000 01/15/2026 99.793 19,415.89
Call 12/15/2025 @ 100.000
445,000.000 GENERAL MOTORS FINL CO 37045XCV6 444,439.30 93.431 415,766.89 5.87 0.04 -28,672.41
5482N6 2.9000 02/26/2025 99.874 1,254.65
Call 01/26/2025 @ 100.000
230,833.370 GNMA 2015-H12 CL FL 38376RBW5 228,741.45 98.918 228,335.48 3.93 0.02 -405.97
5482N6MBS 2.5873 05/20/2065 Orig Face: 813,859 99.094 182.49
Avg Life 06/21/2025 @ 100.000
254,433.090 GNMA 2010-H20 AF 38375BGF3 249,781.92 99.045 252,004.48 3.91 0.02 2,222.56
5482N6MBS 2.6873 10/20/2060 Orig Face: 800,000 98.172 208.92
Avg Life 09/20/2025 @ 100.000
100,065.380 GNMA 2012-H26 BA 38375BYN6 99,290.27 99.040 99,104.61 3.95 0.01 -185.66
5482N6MBS 2.7073 10/20/2062 Orig Face: 500,000 99.225 82.78
Avg Life 08/02/2025 @ 100.000
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Date Run: 10/06/2022
33,266.720 GNMA 2013-H11 JA 38375BY89 33,555.34 95.878 31,895.53 4.27 0.00 -1,659.81
5482N6MBS 3.5000 04/20/2063 Orig Face: 6,935,000 100.868 97.03
Avg Life 02/08/2026 @ 100.000
Call 02/20/2030 @ 100.000
88,673.280 GNMA 2013-H12 A 38375B2B7 89,154.13 96.417 85,496.35 4.34 0.01 -3,657.78
5482N6MBS 3.5000 01/20/2063 Orig Face: 11,000,000 100.542 258.63
Avg Life 08/15/2025 @ 100.000
Call 05/20/2025 @ 100.000
368,505.190 GNMA 2014-H15 CL FA 38378U8D2 368,246.33 98.958 364,666.66 3.92 0.04 -3,579.67
5482N6MBS 2.8573 07/20/2064 Orig Face: 905,000 99.930 321.73
Avg Life 01/03/2027 @ 100.000
477,989.760 GNMA 2019-H01 FL 38380LPU1 477,691.01 99.049 473,444.75 3.94 0.05 -4,246.26
5482N6MBS 2.8073 12/20/2068 Orig Face: 1,000,000 99.937 410.01
Avg Life 02/23/2026 @ 100.000
Call 12/20/2061 @ 100.000
44,968.130 GNMA II POOL 2713 36202DAN1 51,360.37 104.011 46,771.89 4.75 0.00 -4,588.48
5482N6MBS 6.0000 02/20/2029 Orig Face: 12,475,000 114.215 224.84
Avg Life 01/10/2025 @ 100.000
8,743.300 GNMA II POOL 710074 36297E2F1 9,408.96 95.448 8,345.31 5.25 0.00 -1,063.65
5482N6MBS 4.7200 04/20/2061 Orig Face: 2,000,000 107.613 34.39
Avg Life 04/17/2026 @ 100.000
1,130.730 GNMA II POOL 766566 36176HMP6 1,212.76 92.383 1,044.60 5.73 0.00 -168.16
5482N6MBS 4.7000 01/20/2063 Orig Face: 230,000 107.255 4.43
Avg Life 07/26/2027 @ 100.000
3,158.750 GNMA II POOL 791930 36177LEC4 3,457.85 92.597 2,924.91 6.62 0.00 -532.94
5482N6MBS 4.7000 02/20/2063 Orig Face: 1,560,000 109.469 12.37
Avg Life 07/13/2025 @ 100.000
14,381.430 GNMA II POOL 795535 36177QEH2 15,671.25 98.682 14,191.90 4.49 0.00 -1,479.35
5482N6MBS 4.2400 05/20/2063 Orig Face: 2,515,445 108.969 50.85
Avg Life 07/10/2024 @ 100.000
3,674.520 GNMA II POOL AA7508 36178FKV7 4,014.95 98.101 3,604.73 4.69 0.00 -410.22
5482N6MBS 4.6570 05/20/2063 Orig Face: 755,000 109.265 14.26
Avg Life 03/01/2025 @ 100.000
390,187.220 GNMA II POOL AC1019 36179ADY9 415,678.05 99.383 387,781.68 4.37 0.04 -27,896.37
5482N6MBS 4.5270 01/20/2064 Orig Face: 1,240,000 106.533 1,473.37
Avg Life 03/07/2024 @ 100.000
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Date Run: 10/06/2022
652,010.210 GNMA II POOL AI6910 36198TVB5 716,981.78 99.267 647,232.34 4.27 0.06 -69,749.44
5482N6MBS 4.5550 06/20/2064 Orig Face: 2,140,000 109.965 2,474.92
Avg Life 05/29/2024 @ 100.000
13,102.340 GNMA POOL 2643 36202C5C3 14,562.16 104.017 13,628.69 4.75 0.00 -933.47
5482N6MBS 6.0000 09/20/2028 Orig Face: 3,630,000 111.142 65.51
Avg Life 01/10/2025 @ 100.000
17,099.000 GNMA POOL 2671 36202C6G3 18,995.03 104.010 17,784.66 4.75 0.00 -1,210.37
5482N6MBS 6.0000 11/20/2028 Orig Face: 4,786,834 111.089 85.50
Avg Life 01/10/2025 @ 100.000
10,814.380 GNMA POOL 781029 36225BEA2 12,140.06 103.337 11,175.30 5.03 0.00 -964.76
5482N6MBS 6.5000 05/15/2029 Orig Face: 4,155,000 112.258 58.58
Avg Life 01/25/2025 @ 100.000
77,976.200 GNMA POOL 781276 36225BMZ8 89,286.57 103.928 81,038.74 5.14 0.01 -8,247.83
5482N6MBS 6.5000 04/15/2031 Orig Face: 23,703,277 114.505 422.37
Avg Life 04/20/2025 @ 100.000
910,000.000 GOLDMAN SACHS GROUP INC 38141GVM3 1,008,452.90 98.529 896,612.22 5.08 0.09 -111,840.68
5482N6 4.0000 03/03/2024 110.819 2,831.11
560,000.000 GOLDMAN SACHS GROUP INC 38141GWL4 620,933.60 90.422 506,365.73 5.95 0.05 -114,567.87
5482N6 3.6910 06/05/2028 110.881 6,660.20
Call 06/05/2027 @ 100.000
190,000.000 GRAY OAK PIPELINE LLC 144A W/O RTS 38937LAC5 189,726.40 89.643 170,322.19 6.40 0.02 -19,404.21
5482N6 2.6000 10/15/2025 99.856 2,277.89
Call 09/15/2025 @ 100.000
820,000.000 GSMS 2011-GC5 C 144A 36191YAJ7 900,366.41 82.774 678,745.49 15.59 0.07 -221,620.92
5482N6 5.3024 08/10/2044 Orig Face: 820,000 109.801 3,623.28
Avg Life 08/07/2024 @ 100.000
125,000.000 HANESBRANDS INC 144A W/O RTS 410345AJ1 121,250.00 95.350 119,187.50 7.72 0.01 -2,062.50
5482N6 4.6250 05/15/2024 97.000 2,184.03
Call 02/15/2024 @ 100.000
400,000.000 HANESBRANDS INC 144A W/O RTS 410345AL6 423,111.00 89.895 359,580.00 8.15 0.04 -63,531.00
5482N6 4.8750 05/15/2026 105.778 7,366.67
Call 02/15/2026 @ 100.000
1,235,000.000 HBCT 2015-HB7 A7 144A 44422PAU6 1,272,697.85 88.686 1,095,266.91 9.40 0.11 -177,430.94
5482N6 3.9141 08/05/2034 Orig Face: 1,235,000 103.052 4,028.26
Avg Life 08/28/2024 @ 100.000
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Date Run: 10/06/2022
2,165,000.000 HCL AMERICA INC 144A W/O RTS 40480HAA5 2,152,693.50 87.799 1,900,848.35 5.30 0.18 -251,845.15
5482N6 1.3750 03/10/2026 99.432 1,736.51
Call 02/10/2026 @ 100.000
1,135,000.000 HP ENTERPRISE CO 42824CBG3 1,134,500.60 99.565 1,130,061.76 4.90 0.11 -4,438.84
5482N6 4.4500 10/02/2023 99.956 25,113.45
Call 09/02/2023 @ 100.000
1,875,000.000 HSBC HOLDINGS PLC 404280CS6 1,874,976.60 91.875 1,722,660.24 5.29 0.17 -152,316.36
5482N6 0.9760 05/24/2025 99.999 6,455.83
Call 05/24/2024 @ 100.000
1,130,000.000 HYUNDAI CAPITAL AMERICA 144A W/O 44891ABF3 1,127,898.20 93.183 1,052,972.59 5.78 0.10 -74,925.61
5482N6 2.6500 02/10/2025 99.814 4,242.21
Call 01/10/2025 @ 100.000
1,505,000.000 HYUNDAI CAPITAL AMERICA 144A W/O 44891ABG1 1,517,972.85 88.803 1,336,488.08 5.95 0.13 -181,484.77
5482N6 3.0000 02/10/2027 100.862 6,396.25
Call 12/10/2026 @ 100.000
2,405,000.000 ISTAR INC 45031UCG4 2,409,748.00 97.005 2,332,964.48 5.40 0.23 -76,783.52
5482N6 4.2500 08/01/2025 100.197 17,035.42
Call 05/01/2025 @ 100.000
1,232,550.000 JACK 2022-1A A2I 144A 466365AD5 1,232,550.00 86.623 1,067,676.72 7.24 0.10 -164,873.28
5482N6 3.4450 02/26/2052 Orig Face: 1,245,000 100.000 4,246.13
Avg Life 12/13/2026 @ 100.000
Call 02/25/2027 @ 100.000
2,750,000.000 KINDER MORGAN ENER PART 494550BS4 2,859,930.50 98.638 2,712,531.99 5.22 0.26 -147,398.51
5482N6 4.1500 02/01/2024 103.997 19,020.83
Call 11/01/2023 @ 100.000
735,000.000 KOPPERS INC 144A W/O RTS 500605AH3 746,512.50 89.500 657,825.00 11.15 0.06 -88,687.50
5482N6 6.0000 02/15/2025 101.566 5,635.00
Call 10/31/2022 @ 101.500
35,000.000 LENNAR CORP 526057BZ6 34,212.50 98.142 34,349.56 5.74 0.00 137.06
5482N6 4.5000 04/30/2024 97.750 660.63
Call 01/31/2024 @ 100.000
1,070,000.000 LEVIATHAN BOND LTD 144A W/O RTS REG BK6709004 1,070,000.00 94.315 1,009,170.50 8.48 0.10 -60,829.50
5482N6 6.1250 06/30/2025 100.000 16,566.42
Call 03/30/2025 @ 100.000
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Date Run: 10/06/2022
2,340,000.000 MACQUARIE BANK LTD 144A W/O RTS 55608PBJ2 2,340,000.00 95.332 2,230,779.66 5.27 0.21 -109,220.34
5482N6 3.2310 03/21/2025 100.000 2,106.00
2,655,000.000 MAGALLANES INC 144A W/RTS 55903VAB9 2,655,000.00 96.515 2,562,473.25 6.06 0.25 -92,526.75
5482N6 3.5280 03/15/2024 100.000 4,163.04
Call 03/15/2023 @ 100.000
1,240,000.000 MED 2021-MDLN A 144A 58403YAD8 1,240,000.00 95.992 1,190,296.96 5.20 0.11 -49,703.04
5482N6 3.7680 11/15/2038 Orig Face: 1,240,000 100.000 2,076.59
Avg Life 11/09/2026 @ 100.000
1,533,000.000 MEXICAN BONOS M MXN QJ1649335 7,282,738.56 4.364 6,690,154.57 10.01 0.64 -592,583.99
5482N6 5.7500 03/05/2026 4.751 28,007.71
640,000.000 MOLEX ELECTRONICS TECH 144A W/O RTS 60856BAC8 638,995.20 94.729 606,267.03 6.17 0.06 -32,728.17
5482N6 3.9000 04/15/2025 99.843 11,509.33
Call 01/15/2025 @ 100.000
3,865,000.000 MORGAN STANLEY 61761JVL0 3,916,408.75 97.465 3,767,039.91 5.01 0.37 -149,368.84
5482N6 3.7000 10/23/2024 101.330 62,763.31
920,000.000 MORGAN STANLEY 61744YAK4 1,014,410.45 89.959 827,622.80 5.88 0.08 -186,787.65
5482N6 3.5910 07/22/2028 110.262 6,332.13
Call 07/22/2027 @ 100.000
2,120,000.000 NAVIENT CORP 78442FET1 2,127,037.50 97.375 2,064,350.00 8.04 0.20 -62,687.50
5482N6 6.1250 03/25/2024 100.332 2,164.17
430,000.000 NAVIENT CORP 63938CAK4 431,523.75 81.791 351,702.09 10.18 0.03 -79,821.66
5482N6 5.0000 03/15/2027 100.354 955.56
Call 09/15/2026 @ 100.000
67,947.160 NAVSL 2020-HA A 144A 63935BAA1 68,761.99 90.837 61,720.92 4.41 0.01 -7,041.07
5482N6 1.3100 01/15/2069 Orig Face: 165,000 101.199 39.56
Avg Life 06/24/2025 @ 100.000
Call 01/15/2028 @ 100.000
1,265,538.860 NAVSL 2021-CA A 144A 63942JAA5 1,265,248.67 85.625 1,083,613.85 6.23 0.10 -181,634.82
5482N6 1.0600 10/15/2069 Orig Face: 1,875,000 99.977 596.21
Avg Life 02/12/2026 @ 100.000
2,165,000.000 NBN CO LTD 144A W/O RTS 62878U2A9 2,160,215.35 87.251 1,888,978.98 5.40 0.18 -271,236.37
5482N6 1.4500 05/05/2026 99.779 12,730.20
Call 04/05/2026 @ 100.000
2,580,000.000 OFFICE CHERIFIEN DES PHO 144A W/O 67091TAA3 2,596,385.00 99.358 2,563,441.56 6.06 0.25 -32,943.44
5482N6 5.6250 04/25/2024 100.635 62,887.50
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Date Run: 10/06/2022
1,540,000.000 OMFIT 2021-1A A2 144A 68269MAB0 1,540,000.00 92.866 1,430,128.70 5.66 0.14 -109,871.30
5482N6 3.0450 06/16/2036 Orig Face: 1,540,000 100.000 2,214.41
Avg Life 12/12/2026 @ 100.000
420,000.000 ONEMAIN FINANCE CORP 682691AB6 345,318.75 77.897 327,168.45 9.95 0.03 -18,150.30
5482N6 3.5000 01/15/2027 82.219 3,103.33
Call 01/15/2024 @ 101.750
2,050,000.000 OWL ROCK CAPITAL CORP 69121KAE4 2,041,499.05 85.800 1,758,903.38 7.80 0.17 -282,595.67
5482N6 3.4000 07/15/2026 99.585 14,714.44
Call 06/15/2026 @ 100.000
680,000.000 OWL ROCK CAPITAL CORP 69121KAF1 675,959.10 80.799 549,430.13 8.00 0.05 -126,528.97
5482N6 2.6250 01/15/2027 99.406 3,768.33
Call 12/15/2026 @ 100.000
1,615,000.000 OWL ROCK TECHNOLOGY FINA 144A W/O 691205AE8 1,620,556.80 86.523 1,397,344.27 8.02 0.14 -223,212.53
5482N6 3.7500 06/17/2026 100.344 17,495.83
Call 05/17/2026 @ 100.000
1,220,000.000 PAN AMERICAN USD 144A W/O RTS 69784DAB4 1,245,890.00 110.074 1,342,902.80 5.95 0.13 97,012.80
5482N6 9.1250 04/30/2027 Orig Face: 1,220,000 102.122 46,694.65
Avg Life 04/29/2026 @ 100.000
731,325.000 PLNT 2022-1A A2I 144A 72703PAD5 731,325.00 87.615 640,751.13 6.80 0.06 -90,573.87
5482N6 3.2510 12/05/2051 Orig Face: 735,000 100.000 1,717.11
Avg Life 11/02/2026 @ 100.000
650,000.000 QORVO INC 144A W/RTS 74739DAA2 648,791.00 92.181 599,178.13 5.56 0.06 -49,612.87
5482N6 1.7500 12/15/2024 99.814 3,349.31
Call 12/15/2022 @ 100.000
945,000.000 RATTLER MIDSTREAM LP 144A W/O RTS 75419TAA1 956,098.00 101.250 956,812.50 4.88 0.09 714.50
5482N6 5.6250 07/15/2025 101.174 11,221.88
Call 10/17/2022 @ 102.813
1,490,000.000 RYDER SYSTEM INC 78355HKN8 1,488,793.10 95.445 1,422,128.53 5.02 0.14 -66,664.57
5482N6 2.5000 09/01/2024 99.919 3,104.17
Call 08/01/2024 @ 100.000
840,000.000 SA GLOBAL SUKUK LTD 144A W/O RTS 78397PAA9 840,000.00 93.270 783,468.00 5.10 0.08 -56,532.00
5482N6 0.9460 06/17/2024 100.000 2,295.63
Call 05/17/2024 @ 100.000
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Date Run: 10/06/2022
500,000.000 SABRE GLBL INC 144A W/O RTS 78573NAF9 525,314.00 89.563 447,815.41 11.69 0.04 -77,498.59
5482N6 7.3750 09/01/2025 105.063 3,072.92
Call 10/31/2022 @ 103.688
1,630,000.000 SANTANDER HOLDINGS USA 80282KBC9 1,630,000.00 83.392 1,359,290.30 6.56 0.13 -270,709.70
5482N6 2.4900 01/06/2028 100.000 9,583.04
Call 01/06/2027 @ 100.000
3,925,000.000 SDART 2022-2 B 80286MAD0 3,924,040.34 97.554 3,828,982.73 5.20 0.37 -95,057.61
5482N6 3.4400 09/15/2027 Orig Face: 3,925,000 99.976 6,000.89
Avg Life 03/29/2024 @ 100.000
Call 03/15/2026 @ 100.000
479,979.460 SMB 2021-A APT2 144A 78448YAJ0 479,946.92 85.131 408,611.65 6.47 0.04 -71,335.27
5482N6 1.0700 01/15/2053 Orig Face: 740,000 99.993 228.26
Avg Life 01/18/2026 @ 100.000
4,065,000.000 SOCIETE GENERALE 144A W/O RTS 83368RAV4 4,075,028.00 92.538 3,761,656.73 6.14 0.36 -313,371.27
5482N6 2.6250 01/22/2025 100.247 20,446.95
432,202.770 SOFI 2020-A A2FX 144A 83406TAB8 431,993.02 93.237 402,971.30 5.63 0.04 -29,021.72
5482N6 2.5400 05/15/2046 Orig Face: 590,000 99.951 487.91
Avg Life 04/19/2025 @ 100.000
1,760,000.000 SOUTHWEST AIRLINES CO 844741BK3 1,901,121.20 97.902 1,723,067.70 5.64 0.17 -178,053.50
5482N6 5.1250 06/15/2027 108.018 26,558.90
Call 04/15/2027 @ 100.000
3,450,000.000 STANDARD CHARTERED PLC 144A W/O 85325WAA6 3,468,011.50 91.936 3,171,800.38 6.14 0.31 -296,211.12
5482N6 2.8190 01/30/2026 100.522 16,479.40
Call 01/30/2025 @ 100.000
2,300,000.000 SUMITOMO MITSUI FINL GRP 86562MBM1 2,300,000.00 95.559 2,197,864.52 5.32 0.21 -102,135.48
5482N6 2.6960 07/16/2024 100.000 12,918.33
1,735,000.000 SUMITOMO MITSUI FINL GRP 86562MCA6 1,735,000.00 89.966 1,560,907.69 5.42 0.15 -174,092.31
5482N6 1.4740 07/08/2025 100.000 5,896.20
25,000.000 TARGA RESOURCES PARTNERS 87612BBL5 27,281.25 98.834 24,708.45 6.79 0.00 -2,572.80
5482N6 6.5000 07/15/2027 109.125 343.06
Call 10/31/2022 @ 104.875
1,725,000.000 TEVA PHARMACEUTICALS NE 88167AAE1 1,563,437.90 82.050 1,415,362.50 8.54 0.14 -148,075.40
5482N6 3.1500 10/01/2026 90.634 27,168.75
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Date Run: 10/06/2022
1,115,000.000 TEVA PHARMACEUTICALS NE 88167AAN1 1,115,000.00 97.341 1,085,346.58 8.40 0.11 -29,653.42
5482N6 7.1250 01/31/2025 100.000 13,461.30
Call 10/31/2024 @ 100.000
1,475,394.670 TMCL 2020-2A A 144A 88315LAG3 1,499,600.39 88.756 1,309,493.92 5.66 0.13 -190,106.47
5482N6 2.1000 09/20/2045 Orig Face: 1,825,000 101.641 946.71
Avg Life 06/05/2026 @ 100.000
Call 10/20/2022 @ 100.000
435,000.000 TPMT 2015-1 A5 144A 89171DAE7 450,496.88 96.465 419,620.62 6.10 0.04 -30,876.26
5482N6 3.4073 10/25/2053 Orig Face: 435,000 103.563 1,235.14
Avg Life 10/29/2025 @ 100.000
Call 07/25/2028 @ 100.000
655,000.000 TPMT 2015-4 M2 144A 89171UAG4 656,023.44 98.520 645,302.86 4.77 0.06 -10,720.58
5482N6 3.7500 04/25/2055 Orig Face: 655,000 100.156 2,046.88
Avg Life 01/21/2024 @ 100.000
Call 05/25/2034 @ 100.000
615,000.000 TPMT 2016-2 M2 144A 89172PAD1 563,782.03 91.554 563,058.76 5.33 0.05 -723.27
5482N6 3.0000 08/25/2055 Orig Face: 615,000 91.672 1,537.50
Avg Life 10/16/2026 @ 100.000
Call 04/25/2036 @ 100.000
911,203.150 TPMT 2018-3 A1 144A 89175MAA1 911,534.47 95.929 874,110.80 5.99 0.08 -37,423.67
5482N6 3.7500 05/25/2058 Orig Face: 2,410,000 100.036 2,847.51
Avg Life 08/23/2024 @ 100.000
31,135,000.000 U S TREASURY NOTES 91282CFB2 30,579,279.59 94.164 29,317,980.70 4.09 2.83 -1,261,298.89
5482N6 2.7500 07/31/2027 98.215 144,253.19
1,870,000.000 U S TREASURY NOTES 91282CFE6 1,856,781.64 96.930 1,812,585.17 4.27 0.17 -44,196.47
5482N6 3.1250 08/15/2025 99.293 7,463.50
415,000.000 U S TREASURY NOTES 91282CFH9 399,988.67 95.922 398,075.78 4.05 0.04 -1,912.89
3.1250 08/31/2027 96.383 1,110.58
5482N6 415,000.000 96.383 399,988.67 398,075.78 0.04 -802.31
1,110.58
2,505,000.000 UNICREDIT SPA 144A W/O RTS 904678AW9 2,504,904.00 81.612 2,044,382.55 7.31 0.20 -460,521.45
5482N6 1.9820 06/03/2027 99.996 16,273.87
Call 06/03/2026 @ 100.000
449,740.000 UNITED AIR 2020-1 B PTT 90932VAA3 449,740.00 92.028 413,886.73 9.30 0.04 -35,853.27
5482N6 4.8750 01/15/2026 Orig Face: 565,000 100.000 4,628.57
Avg Life 11/03/2024 @ 100.000
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Date Run: 10/06/2022
215,000.000 UNITED AIRLINES INC 144A W/O RTS 90932LAG2 215,000.00 89.250 191,887.50 7.92 0.02 -23,112.50
5482N6 4.3750 04/15/2026 100.000 4,337.33
Call 10/15/2025 @ 100.000
615,000.000 WFRBS 2011-C4 D 144A 92936CAW9 660,692.58 88.579 544,759.80 11.53 0.05 -115,932.78
5482N6 4.9872 06/15/2044 Orig Face: 615,000 107.430 2,555.96
Avg Life 09/08/2024 @ 100.000
645,000.000 WFRBS 2014-C20 AS 92890FBB1 696,600.00 96.688 623,640.12 6.41 0.06 -72,959.88
5482N6 4.1760 05/15/2047 Orig Face: 645,000 108.000 2,244.60
Avg Life 04/14/2024 @ 100.000
1,155,000.000 WLAKE 2022-2A C 144A 96042VAF6 1,154,861.28 97.784 1,129,401.74 5.71 0.11 -25,459.54
5482N6 4.8500 09/15/2027 Orig Face: 1,155,000 99.988 2,489.67
Avg Life 10/12/2025 @ 100.000
Call 09/15/2026 @ 100.000
-----Medium Term Bonds-----
2,380,000.000 ABC SUPPLY CO INC 144A W/O RTS 024747AG2 2,377,438.60 78.548 1,869,442.40 7.86 0.18 -507,996.20
5482N6 3.8750 11/15/2029 99.892 34,840.56
Call 11/15/2024 @ 101.938
3,687,610.000 ACWA POWER MGMT USD 144A W/O RTS 005117AA4 3,840,100.41 89.394 3,296,516.83 7.90 0.32 -543,583.58
5482N6 5.9500 12/15/2039 Orig Face: 3,695,000 104.135 64,604.88
Avg Life 05/11/2030 @ 100.000
920,000.000 AERCAP IRELAND CAP/GLOBA 00774MAW5 918,325.60 80.197 737,808.41 7.06 0.07 -180,517.19
5482N6 3.0000 10/29/2028 99.818 11,653.33
Call 08/29/2028 @ 100.000
520,000.000 AES CORP/THE 144A W/O RTS 00130HCC7 545,394.30 85.630 445,276.00 6.31 0.04 -100,118.30
5482N6 3.9500 07/15/2030 104.884 4,336.22
Call 04/15/2030 @ 100.000
2,890,000.000 AIRCASTLE LTD 144A W/O RTS 00928QAU5 2,857,402.40 77.631 2,243,537.89 8.11 0.22 -613,864.51
5482N6 2.8500 01/26/2028 98.872 14,871.46
Call 11/26/2027 @ 100.000
205,000.000 ALPEK SA DE CV USD 144A W/O RTS 020564AE0 204,479.30 73.919 151,534.11 7.49 0.01 -52,945.19
5482N6 3.2500 02/25/2031 99.746 666.25
Call 11/25/2030 @ 100.000
1,685,000.000 AMC NETWORKS INC 00164VAF0 1,684,174.75 73.936 1,245,822.36 9.85 0.12 -438,352.39
5482N6 4.2500 02/15/2029 99.951 9,150.49
Call 02/15/2024 @ 102.125
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Date Run: 10/06/2022
-----Medium Term Bonds (cont.)-----
750,000.000 AMERICA MOVIL SA USD 02364WBJ3 748,897.50 83.982 629,864.82 5.48 0.06 -119,032.68
5482N6 2.8750 05/07/2030 99.853 8,625.00
Call 02/07/2030 @ 100.000
2,315,000.000 AMERICA MOVIL SA USD 144A W/O RTS 03217KAB4 2,316,690.50 86.176 1,994,974.40 7.43 0.20 -321,716.10
5482N6 5.3750 04/04/2032 100.073 61,178.70
Call 01/04/2032 @ 100.000
980,000.000 AMERICAN AIRLINES/AADVAN 144A W/O 00253XAB7 1,008,186.20 87.250 855,050.00 8.96 0.08 -153,136.20
5482N6 5.7500 04/20/2029 Orig Face: 980,000 102.876 11,113.47
Avg Life 12/02/2027 @ 100.000
1,020,000.000 ANGLO AMERICAN CAPITAL 144A W/O RTS 034863AW0 1,014,226.80 94.610 965,017.69 6.55 0.10 -49,209.11
5482N6 5.6250 04/01/2030 99.434 28,687.50
Call 01/01/2030 @ 100.000
700,000.000 ANGLO AMERICAN CAPITAL 144A W/O RTS 034863AX8 696,955.00 76.974 538,815.59 6.36 0.05 -158,139.41
5482N6 2.6250 09/10/2030 99.565 1,071.88
Call 06/10/2030 @ 100.000
205,000.000 ANGLO AMERICAN CAPITAL 144A W/O RTS 034863AZ3 203,827.40 82.134 168,373.77 6.15 0.02 -35,453.63
5482N6 2.2500 03/17/2028 99.428 179.38
Call 01/17/2028 @ 100.000
390,000.000 ANGLO AMERICAN CAPITAL 144A W/O RTS 034863BB5 387,472.80 85.931 335,132.66 6.58 0.03 -52,340.14
5482N6 3.8750 03/16/2029 99.352 629.69
Call 01/16/2029 @ 100.000
2,310,000.000 ARAB REP EGYPT USD 144A W/O RTS 03846JX54 2,128,678.75 60.169 1,389,908.52 15.79 0.14 -738,770.23
5482N6 7.6250 05/29/2032 92.151 59,691.04
30,000.000 ASBURY AUTOMOTIVE GROUP 043436AV6 31,079.70 78.098 23,429.47 8.84 0.00 -7,650.23
5482N6 4.7500 03/01/2030 103.599 118.75
Call 03/01/2025 @ 102.375
320,000.000 ASCOT GROUP LTD 144A W/O RTS 04365XAA6 320,000.00 83.340 266,688.31 6.95 0.03 -53,311.69
5482N6 4.2500 12/15/2030 100.000 4,004.44
Call 12/15/2025 @ 100.000
1,345,000.000 ASHLAND LLC 144A W/O RTS 04433LAA0 1,350,943.60 77.292 1,039,570.68 6.81 0.10 -311,372.92
5482N6 3.3750 09/01/2031 100.442 3,782.81
Call 06/01/2031 @ 100.000
2,580,000.000 AVOLON HOLDINGS FNDG LTD 144A W/O 05401AAP6 2,554,194.75 78.525 2,025,956.46 7.69 0.20 -528,238.29
5482N6 2.7500 02/21/2028 99.000 7,883.33
Call 12/21/2027 @ 100.000
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Date Run: 10/06/2022
345,000.000 BAIDU INC 056752AT5 345,000.00 78.966 272,432.70 5.68 0.03 -72,567.30
5482N6 2.3750 10/09/2030 100.000 3,914.79
Call 07/09/2030 @ 100.000
600,000.000 BANCO SANTANDER SA 05964HAM7 607,758.00 75.830 454,982.05 6.75 0.04 -152,775.95
5482N6 2.9580 03/25/2031 101.293 295.80
2,030,000.000 BANK 2019-BN22 A4 06540XBG5 2,090,879.70 86.291 1,751,708.52 5.36 0.17 -339,171.18
5482N6 2.9780 11/15/2062 Orig Face: 2,030,000 102.999 5,037.78
Avg Life 10/10/2029 @ 100.000
2,175,000.000 BANK 2019-BN24 A3 06540VBB0 2,305,686.61 85.951 1,869,444.91 5.36 0.18 -436,241.70
5482N6 2.9600 11/15/2062 Orig Face: 2,175,000 106.009 5,365.00
Avg Life 11/28/2029 @ 100.000
2,785,000.000 BANK OF AMERICA CORP 06051GKY4 2,785,000.00 92.765 2,583,512.10 5.94 0.25 -201,487.90
5482N6 5.0150 07/22/2033 100.000 26,769.65
Call 07/22/2032 @ 100.000
350,000.000 BOSTON GAS COMPANY 144A W/O RTS 100743AL7 350,000.00 84.046 294,161.96 5.87 0.03 -55,838.04
5482N6 3.0010 08/01/2029 100.000 1,750.58
Call 05/01/2029 @ 100.000
2,210,000.000 BRIGHTHOUSE FINANCIAL IN 10922NAG8 2,319,287.80 93.733 2,071,504.03 6.69 0.20 -247,783.77
5482N6 5.6250 05/15/2030 104.945 46,962.50
Call 02/15/2030 @ 100.000
1,570,000.000 CALPINE CORP 144A W/O RTS 131347CQ7 1,570,000.00 79.456 1,247,454.69 8.49 0.12 -322,545.31
5482N6 5.0000 02/01/2031 100.000 13,083.33
Call 02/01/2026 @ 102.500
1,345,000.000 CALPINE CORP 144A W/O RTS 131347CR5 1,318,126.00 78.250 1,052,462.50 7.25 0.10 -265,663.50
5482N6 3.7500 03/01/2031 98.002 4,203.13
Call 03/01/2026 @ 101.875
495,000.000 CELANESE US HOLDINGS LLC 15089QAN4 495,000.00 93.203 461,352.44 7.63 0.04 -33,647.56
5482N6 6.3300 07/15/2029 100.000 6,701.89
Call 05/15/2029 @ 100.000
1,060,000.000 CELANESE US HOLDINGS LLC 15089QAP9 1,061,984.75 92.927 985,026.20 7.41 0.10 -76,958.55
5482N6 6.3790 07/15/2032 100.187 14,462.61
Call 04/15/2032 @ 100.000
1,485,000.000 CEMEX SAB USD 144A W/O RTS 151290BZ5 1,484,985.00 78.798 1,170,148.01 7.17 0.11 -314,836.99
5482N6 3.8750 07/11/2031 99.999 12,787.50
Call 07/11/2026 @ 101.938
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Date Run: 10/06/2022
995,000.000 CENTENE CORP 15135BAV3 997,707.65 81.750 813,412.50 6.53 0.08 -184,295.15
5482N6 3.3750 02/15/2030 100.272 4,290.94
Call 02/15/2025 @ 101.688
420,000.000 CENTENE CORP 15135BAX9 419,927.85 75.378 316,588.29 6.32 0.03 -103,339.56
5482N6 2.5000 03/01/2031 99.983 875.00
Call 12/01/2030 @ 100.000
650,000.000 CENTENE CORP 15135BAZ4 650,000.00 75.367 489,887.65 6.30 0.05 -160,112.35
5482N6 2.6250 08/01/2031 100.000 2,843.75
Call 05/01/2031 @ 100.000
2,275,000.000 CGCMT 2019-C7 A4 17328CAD4 2,343,165.14 86.803 1,974,761.43 5.36 0.19 -368,403.71
5482N6 3.1020 12/15/2072 Orig Face: 2,275,000 102.996 5,880.88
Avg Life 11/28/2029 @ 100.000
2,505,000.000 CGCMT 2019-GC43 A4 17328HBD2 2,580,058.32 86.765 2,173,465.50 5.37 0.21 -406,592.82
5482N6 3.0380 11/10/2052 Orig Face: 2,505,000 102.996 6,341.83
Avg Life 09/02/2029 @ 100.000
2,140,000.000 CLEARWAY ENERGY OP LLC 144A W/O RTS 18539UAD7 2,131,331.75 79.428 1,699,753.85 7.04 0.16 -431,577.90
5482N6 3.7500 02/15/2031 99.595 10,254.17
Call 02/15/2026 @ 101.875
3,504,000.000 COMETA ENERGIA USD 144A W/O RTS 20039FAA7 3,579,552.82 90.194 3,160,404.31 8.18 0.31 -419,148.51
5482N6 6.3750 04/24/2035 Orig Face: 4,000,000 102.156 97,418.50
Avg Life 08/26/2030 @ 100.000
Call 01/24/2035 @ 100.000
415,000.000 DANA INC 235825AH9 427,234.95 73.245 303,967.34 9.06 0.03 -123,267.61
5482N6 4.2500 09/01/2030 102.948 1,469.79
Call 05/01/2026 @ 102.125
1,065,000.000 DEUTSCHE BANK NY 251526CF4 1,065,278.00 67.345 717,221.51 9.18 0.07 -348,056.49
5482N6 3.7290 01/14/2032 100.026 8,494.35
Call 01/14/2031 @ 100.000
1,570,000.000 DEUTSCHE BANK NY 25160PAG2 1,570,000.00 64.822 1,017,711.37 9.21 0.10 -552,288.63
5482N6 3.7420 01/07/2033 100.000 13,708.19
Call 10/07/2031 @ 100.000
1,326,000.000 DEVON ENERGY CORPORATION 25179MBF9 1,411,924.80 91.021 1,206,938.86 6.04 0.12 -204,985.94
5482N6 4.5000 01/15/2030 106.480 12,597.00
Call 01/15/2025 @ 102.250
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Date Run: 10/06/2022
2,074,325.000 DNKN 2021-1A A2II 144A 233046AQ4 2,074,325.00 81.790 1,696,580.05 6.24 0.16 -377,744.95
5482N6 2.4930 11/20/2051 Orig Face: 2,090,000 100.000 5,889.53
Avg Life 09/09/2028 @ 100.000
2,065,000.000 DOMINICAN REPUBL USD 144A W/O RTS 25714PEF1 2,130,455.25 75.181 1,552,490.33 8.64 0.15 -577,964.92
5482N6 4.8750 09/23/2032 103.170 2,237.08
691,250.000 DPABS 2021-1A A2I 144A 25755TAN0 691,250.00 82.348 569,233.31 6.34 0.05 -122,016.69
5482N6 2.6620 04/25/2051 Orig Face: 700,000 100.000 3,373.53
Avg Life 08/14/2028 @ 100.000
Call 10/25/2025 @ 100.000
315,000.000 DPL INC 233293AQ2 347,287.50 83.500 263,025.00 7.60 0.03 -84,262.50
5482N6 4.3500 04/15/2029 110.250 6,318.38
Call 01/15/2029 @ 100.000
690,000.000 ENTEL CHILE SA 144A W/O RTS 29245VAE5 689,875.80 73.500 507,150.00 6.92 0.05 -182,725.80
5482N6 3.0500 09/14/2032 Orig Face: 690,000 99.982 993.79
Avg Life 01/13/2032 @ 100.000
Call 06/14/2032 @ 100.000
710,000.000 ENTERGY CORP 29364GAL7 704,440.70 81.002 575,113.95 5.90 0.06 -129,326.75
5482N6 2.8000 06/15/2030 99.217 5,853.56
Call 03/15/2030 @ 100.000
535,000.000 EPR PROPERTIES 26884UAG4 530,580.90 71.446 382,235.68 8.08 0.04 -148,345.22
5482N6 3.6000 11/15/2031 99.174 7,276.00
Call 08/15/2031 @ 100.000
875,000.000 EQT CORP 26884LAF6 913,316.25 91.000 796,247.60 6.01 0.08 -117,068.65
5482N6 3.9000 10/01/2027 104.379 17,062.50
Call 07/01/2027 @ 100.000
25,000.000 EQT CORP 26884LAL3 25,000.00 93.304 23,325.91 6.30 0.00 -1,674.09
5482N6 5.0000 01/15/2029 100.000 263.89
Call 07/15/2028 @ 100.000
1,495,000.000 FALABELLA SA 144A W/O RTS 30607FAA8 1,481,784.20 74.666 1,116,256.70 7.15 0.11 -365,527.50
5482N6 3.3750 01/15/2032 99.116 10,651.88
Call 10/15/2031 @ 100.000
330,000.000 FEDERAL HM LN MTG NTS 3134A4KX1 485,810.76 116.358 383,980.48 4.19 0.04 -101,830.28
5482N6 6.2500 07/15/2032 147.215 4,354.17
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Date Run: 10/06/2022
213,052.630 FHLMC GOLD POOL A93723 312942D44 229,930.40 96.678 205,974.96 4.95 0.02 -23,955.44
5482N6MBS 4.5000 09/01/2040 Orig Face: 2,400,000 107.922 798.95
Avg Life 03/27/2028 @ 100.000
40,928.760 FHLMC GOLD POOL G08847 3128MJ5H9 43,704.26 94.564 38,703.85 4.98 0.00 -5,000.41
5482N6MBS 4.0000 11/01/2048 Orig Face: 400,000 106.781 136.43
Avg Life 07/06/2030 @ 100.000
6,746.060 FHLMC GOLD POOL Q29209 3132M93S1 7,284.71 96.734 6,525.75 4.97 0.00 -758.96
5482N6MBS 4.5000 10/01/2044 Orig Face: 35,000 107.985 25.30
Avg Life 12/22/2028 @ 100.000
22,573.620 FHLMC GOLD POOL Q51638 3132XTZC5 24,037.40 96.019 21,675.02 5.06 0.00 -2,362.38
5482N6MBS 4.5000 10/01/2047 Orig Face: 200,000 106.484 84.65
Avg Life 09/16/2029 @ 100.000
175,224.780 FHLMC GOLD POOL Q53198 3132XVRU9 187,264.62 96.635 169,329.22 5.06 0.02 -17,935.40
5482N6MBS 4.5000 12/01/2047 Orig Face: 534,000 106.871 657.09
Avg Life 09/16/2029 @ 100.000
21,094.930 FHLMC GOLD POOL Q53405 3132XVYB3 22,515.54 95.846 20,218.58 5.06 0.00 -2,296.96
5482N6MBS 4.5000 12/01/2047 Orig Face: 510,682 106.734 79.11
Avg Life 09/16/2029 @ 100.000
214,878.160 FHLMC GOLD POOL Q56773 3132Y0Q37 224,648.41 97.647 209,822.69 5.25 0.02 -14,825.72
5482N6MBS 5.0000 06/01/2048 Orig Face: 2,005,600 104.547 895.33
Avg Life 02/18/2029 @ 100.000
274,508.340 FHLMC GOLD POOL Q57581 3132Y1M70 303,632.04 97.634 268,013.77 5.25 0.03 -35,618.27
5482N6MBS 5.0000 07/01/2048 Orig Face: 1,000,407 110.609 1,143.78
Avg Life 02/18/2029 @ 100.000
1,685,000.000 FMG RESOURCES AUG 2006 144A W/O RTS 30251GBC0 1,702,619.40 76.766 1,293,503.78 8.23 0.13 -409,115.62
5482N6 4.3750 04/01/2031 101.046 36,859.05
Call 01/01/2031 @ 100.000
1,405,898.000 FNMA 2009-100 ML 31398GDD8 1,680,597.29 97.833 1,375,425.58 5.35 0.13 -305,171.71
5482N6MBS 5.0000 12/25/2039 Orig Face: 1,405,898 119.539 5,857.91
Avg Life 08/27/2030 @ 100.000
79,688.680 FNMA POOL AS7580 3138WHM66 83,599.76 89.023 70,941.54 4.91 0.01 -12,658.22
5482N6MBS 3.0000 07/01/2046 Orig Face: 375,000 104.908 199.22
Avg Life 09/10/2030 @ 100.000
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Date Run: 10/06/2022
242,698.690 FNMA POOL AS7675 3138WHQ54 255,022.37 88.638 215,123.40 4.91 0.02 -39,898.97
5482N6MBS 3.0000 08/01/2046 Orig Face: 705,000 105.078 606.75
Avg Life 09/10/2030 @ 100.000
609,799.810 FNMA POOL AS8276 3138WJFS2 625,918.50 88.843 541,766.65 4.91 0.05 -84,151.85
5482N6MBS 3.0000 11/01/2046 Orig Face: 2,520,000 102.643 1,524.50
Avg Life 09/10/2030 @ 100.000
142,339.310 FNMA POOL AU4359 3138X3ZZ8 155,594.68 96.720 137,671.19 4.92 0.01 -17,923.49
5482N6MBS 4.5000 09/01/2043 Orig Face: 250,830 109.313 533.77
Avg Life 11/26/2028 @ 100.000
4,870.290 FNMA POOL AW4986 3138XURG9 5,374.06 96.564 4,702.97 4.96 0.00 -671.09
5482N6MBS 4.5000 05/01/2044 Orig Face: 55,000 110.344 18.26
Avg Life 01/08/2029 @ 100.000
40,268.120 FNMA POOL BC7573 3140F3MX3 39,171.77 88.882 35,790.92 4.91 0.00 -3,380.85
5482N6MBS 3.0000 05/01/2046 Orig Face: 250,000 97.277 100.67
Avg Life 09/10/2030 @ 100.000
101,370.820 FNMA POOL BC8145 3140F4BP0 98,052.49 88.646 89,861.36 4.91 0.01 -8,191.13
5482N6MBS 3.0000 10/01/2046 Orig Face: 390,000 96.727 253.43
Avg Life 09/10/2030 @ 100.000
125,494.710 FNMA POOL BC8664 3140F4TW6 131,661.99 89.058 111,762.89 4.91 0.01 -19,899.10
5482N6MBS 3.0000 05/01/2046 Orig Face: 600,000 104.914 313.74
Avg Life 09/10/2030 @ 100.000
54,082.450 FNMA POOL BD5480 3140FDCS3 56,017.59 90.996 49,212.94 4.99 0.00 -6,804.65
5482N6MBS 3.5000 07/01/2046 Orig Face: 190,000 103.578 157.74
Avg Life 04/04/2030 @ 100.000
135,889.380 FNMA POOL BE1968 3140FMFJ0 131,833.92 88.884 120,783.96 4.91 0.01 -11,049.96
5482N6MBS 3.0000 12/01/2046 Orig Face: 661,645 97.016 339.72
Avg Life 09/10/2030 @ 100.000
37,646.580 FNMA POOL BE2107 3140FMKV7 40,102.42 95.893 36,100.30 5.05 0.00 -4,002.12
5482N6MBS 4.5000 12/01/2046 Orig Face: 315,000 106.523 141.17
Avg Life 06/07/2029 @ 100.000
37,759.990 FNMA POOL BE2748 3140FNBS2 40,391.39 95.646 36,115.93 5.06 0.00 -4,275.46
5482N6MBS 4.5000 10/01/2047 Orig Face: 321,079 106.969 141.60
Avg Life 08/04/2029 @ 100.000
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Date Run: 10/06/2022
382,862.270 FNMA POOL BE4153 3140FPTK5 402,041.52 88.840 340,133.45 4.91 0.03 -61,908.07
5482N6MBS 3.0000 11/01/2046 Orig Face: 1,471,784 105.009 957.16
Avg Life 09/10/2030 @ 100.000
34,583.340 FNMA POOL BE4203 3140FPU56 37,414.86 97.967 33,880.40 4.96 0.00 -3,534.46
5482N6MBS 4.5000 01/01/2045 Orig Face: 105,000 108.188 129.69
Avg Life 01/08/2029 @ 100.000
61,641.870 FNMA POOL BE4310 3140FPYG8 59,633.69 88.567 54,594.36 4.91 0.01 -5,039.33
5482N6MBS 3.0000 01/01/2047 Orig Face: 240,000 96.742 154.10
Avg Life 09/10/2030 @ 100.000
69,924.620 FNMA POOL BE4321 3140FPYT0 70,225.08 88.690 62,015.98 4.91 0.01 -8,209.10
5482N6MBS 3.0000 01/01/2047 Orig Face: 305,000 100.430 174.81
Avg Life 09/10/2030 @ 100.000
51,037.280 FNMA POOL BE4437 3140FP4X4 52,863.46 90.931 46,408.96 4.99 0.00 -6,454.50
5482N6MBS 3.5000 10/01/2046 Orig Face: 255,000 103.578 148.86
Avg Life 04/04/2030 @ 100.000
222,739.990 FNMA POOL BE5595 3140FRGD1 224,306.13 88.752 197,685.86 4.91 0.02 -26,620.27
5482N6MBS 3.0000 01/01/2047 Orig Face: 414,819 100.703 556.85
Avg Life 09/10/2030 @ 100.000
34,339.460 FNMA POOL BH5628 3140GUHE0 35,476.94 91.676 31,481.15 4.92 0.00 -3,995.79
5482N6MBS 3.5000 07/01/2047 Orig Face: 345,000 103.312 100.16
Avg Life 10/02/2030 @ 100.000
367,992.520 FNMA POOL BH7372 3140GWFN8 398,873.05 95.547 351,605.35 5.01 0.03 -47,267.70
5482N6MBS 4.0000 08/01/2047 Orig Face: 765,000 108.392 1,226.64
Avg Life 03/25/2030 @ 100.000
187,057.650 FNMA POOL BJ1024 3140H2D62 199,859.41 96.754 180,985.08 5.06 0.02 -18,874.33
5482N6MBS 4.5000 10/01/2047 Orig Face: 595,000 106.844 701.47
Avg Life 08/04/2029 @ 100.000
21,378.300 FNMA POOL BJ2239 3140H3PZ3 20,683.50 88.623 18,946.18 4.85 0.00 -1,737.32
5482N6MBS 3.0000 11/01/2047 Orig Face: 125,000 96.750 53.45
Avg Life 12/28/2030 @ 100.000
50,786.870 FNMA POOL BJ2944 3140H4HW7 54,449.06 96.446 48,982.12 5.06 0.00 -5,466.94
5482N6MBS 4.5000 11/01/2047 Orig Face: 255,000 107.211 190.45
Avg Life 08/04/2029 @ 100.000
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Date Run: 10/06/2022
80,804.250 FNMA POOL BJ6850 3140H8TG0 81,991.07 94.472 76,337.35 4.98 0.01 -5,653.72
5482N6MBS 4.0000 05/01/2048 Orig Face: 260,000 101.469 269.35
Avg Life 07/05/2030 @ 100.000
321,952.560 FNMA POOL BJ7195 3140H87H2 351,663.29 96.740 311,456.46 5.12 0.03 -40,206.83
5482N6MBS 4.5000 08/01/2048 Orig Face: 790,000 109.228 1,207.32
Avg Life 09/11/2029 @ 100.000
401,250.020 FNMA POOL BJ9256 3140HBJA7 428,961.34 94.057 377,404.28 4.98 0.04 -51,557.06
5482N6MBS 4.0000 06/01/2048 Orig Face: 3,110,000 106.906 1,337.50
Avg Life 07/05/2030 @ 100.000
236,339.530 FNMA POOL BK0916 3140HEAS1 261,363.56 98.702 233,271.30 5.25 0.02 -28,092.26
5482N6MBS 5.0000 07/01/2048 Orig Face: 1,710,000 110.588 984.75
Avg Life 12/06/2028 @ 100.000
1,041,670.800 FNMA POOL BK2818 3140HGDY0 1,096,521.28 84.546 880,695.39 4.75 0.08 -215,825.89
5482N6MBS 2.5000 07/01/2050 Orig Face: 1,380,000 105.266 2,170.15
Avg Life 02/10/2032 @ 100.000
100,171.290 FNMA POOL BK6109 3140HKYF9 108,986.99 95.613 95,777.22 5.12 0.01 -13,209.77
5482N6MBS 4.5000 06/01/2048 Orig Face: 1,000,000 108.801 375.64
Avg Life 09/11/2029 @ 100.000
144,956.180 FNMA POOL BK7608 3140HMN26 156,122.33 94.225 136,585.12 4.98 0.01 -19,537.21
5482N6MBS 4.0000 09/01/2048 Orig Face: 1,120,000 107.703 483.19
Avg Life 07/05/2030 @ 100.000
451,991.580 FNMA POOL BM5152 3140J9WN7 506,513.06 99.623 450,289.30 5.28 0.04 -56,223.76
5482N6MBS 5.5000 01/01/2049 Orig Face: 3,405,000 112.062 2,071.63
Avg Life 07/24/2028 @ 100.000
280,053.680 FNMA POOL BM5804 3140JANW4 310,684.54 98.684 276,367.04 5.25 0.03 -34,317.50
5482N6MBS 5.0000 01/01/2049 Orig Face: 1,975,000 110.937 1,166.89
Avg Life 12/06/2028 @ 100.000
384,626.550 FNMA POOL BN0474 3140JGQ40 432,387.33 98.710 379,664.95 5.25 0.04 -52,722.38
5482N6MBS 5.0000 10/01/2048 Orig Face: 1,400,000 112.417 1,602.61
Avg Life 12/06/2028 @ 100.000
190,355.730 FNMA POOL BN0661 3140JGWX9 207,034.09 95.725 182,218.29 5.12 0.02 -24,815.80
5482N6MBS 4.5000 09/01/2048 Orig Face: 1,043,625 108.762 713.83
Avg Life 09/11/2029 @ 100.000
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Date Run: 10/06/2022
19,291.800 FNMA POOL BN0750 3140JGZQ1 21,322.87 97.535 18,816.33 5.25 0.00 -2,506.54
5482N6MBS 5.0000 10/01/2048 Orig Face: 460,000 110.528 80.38
Avg Life 12/06/2028 @ 100.000
11,143.960 FNMA POOL BN4180 3140JLUE2 11,946.66 94.194 10,496.97 4.98 0.00 -1,449.69
5482N6MBS 4.0000 12/01/2048 Orig Face: 65,000 107.203 37.15
Avg Life 07/05/2030 @ 100.000
652,416.010 FNMA POOL BN5403 3140JNAD2 702,009.83 96.475 629,419.19 5.15 0.06 -72,590.64
5482N6MBS 4.5000 04/01/2049 Orig Face: 3,585,000 107.602 2,446.56
Avg Life 08/23/2029 @ 100.000
18,986.660 FNMA POOL BP1638 3140K8ZC8 20,458.13 93.378 17,729.42 5.04 0.00 -2,728.71
5482N6MBS 4.0000 02/01/2050 Orig Face: 120,000 107.750 63.29
Avg Life 05/15/2030 @ 100.000
586,552.750 FNMA POOL BP6997 3140KEX37 617,438.42 84.564 496,015.24 4.75 0.05 -121,423.18
5482N6MBS 2.5000 07/01/2050 Orig Face: 860,000 105.266 1,221.98
Avg Life 02/10/2032 @ 100.000
306,695.550 FNMA POOL BQ5771 3140KRMV8 317,549.69 81.451 249,807.72 4.66 0.02 -67,741.97
5482N6MBS 2.0000 11/01/2050 Orig Face: 415,000 103.539 511.16
Avg Life 04/25/2032 @ 100.000
1,369,779.710 FNMA POOL BQ6356 3140KSB22 1,420,290.32 81.449 1,115,676.88 4.66 0.11 -304,613.44
5482N6MBS 2.0000 11/01/2050 Orig Face: 1,490,000 103.687 2,282.97
Avg Life 04/25/2032 @ 100.000
861,268.130 FNMA POOL BQ7646 3140KTP82 893,296.53 81.009 697,708.14 4.66 0.07 -195,588.39
5482N6MBS 2.0000 12/01/2050 Orig Face: 985,000 103.719 1,435.45
Avg Life 04/25/2032 @ 100.000
1,479,490.070 FNMA POOL BQ8428 3140KULJ9 1,534,277.45 81.450 1,205,046.61 4.66 0.12 -329,230.84
5482N6MBS 2.0000 12/01/2050 Orig Face: 1,740,000 103.703 2,465.82
Avg Life 04/25/2032 @ 100.000
585,431.600 FNMA POOL BQ8457 3140KUMF6 607,888.39 81.009 474,254.63 4.66 0.05 -133,633.76
5482N6MBS 2.0000 12/01/2050 Orig Face: 695,000 103.836 975.72
Avg Life 04/25/2032 @ 100.000
1,549,765.010 FNMA POOL BQ8474 3140KUMY5 1,610,060.54 81.450 1,262,283.90 4.66 0.12 -347,776.64
5482N6MBS 2.0000 12/01/2050 Orig Face: 1,930,000 103.891 2,582.94
Avg Life 04/25/2032 @ 100.000
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Date Run: 10/06/2022
709,901.170 FNMA POOL BQ8497 3140KUNP3 737,187.99 81.450 578,212.84 4.66 0.06 -158,975.15
5482N6MBS 2.0000 12/01/2050 Orig Face: 875,000 103.844 1,183.17
Avg Life 04/25/2032 @ 100.000
6,034,866.470 FNMA POOL BR0748 3140KXZN9 6,274,846.66 81.433 4,914,396.59 4.66 0.47 -1,360,450.07
5482N6MBS 2.0000 01/01/2051 Orig Face: 6,895,000 103.977 10,058.11
Avg Life 04/25/2032 @ 100.000
3,898,036.430 FNMA POOL BR3255 3140L1TM7 4,038,731.21 81.418 3,173,718.11 4.63 0.31 -865,013.10
5482N6MBS 2.0000 02/01/2051 Orig Face: 4,430,000 103.609 6,496.73
Avg Life 08/29/2032 @ 100.000
841,725.880 FNMA POOL BR6544 3140L5HW9 839,884.60 81.340 684,661.70 4.63 0.07 -155,222.90
5482N6MBS 2.0000 04/01/2051 Orig Face: 885,000 99.781 1,402.88
Avg Life 08/29/2032 @ 100.000
721,162.490 FNMA POOL BR7719 3140L6SH8 719,415.92 81.371 586,820.50 4.63 0.06 -132,595.42
5482N6MBS 2.0000 04/01/2051 Orig Face: 825,000 99.758 1,201.94
Avg Life 08/29/2032 @ 100.000
793,183.560 FNMA POOL BR7743 3140L6S96 791,262.57 81.340 645,173.50 4.63 0.06 -146,089.07
5482N6MBS 2.0000 04/01/2051 Orig Face: 890,000 99.758 1,321.97
Avg Life 08/29/2032 @ 100.000
243,597.570 FNMA POOL BT8676 3140LXUA1 223,653.02 84.268 205,275.58 4.72 0.02 -18,377.44
5482N6MBS 2.5000 09/01/2051 Orig Face: 280,000 91.813 507.49
Avg Life 07/26/2032 @ 100.000
2,126,321.880 FNMA POOL BT9828 3140LY4N0 1,982,961.27 84.267 1,791,787.11 4.72 0.17 -191,174.16
5482N6MBS 2.5000 09/01/2051 Orig Face: 2,290,000 93.258 4,429.84
Avg Life 07/26/2032 @ 100.000
1,937,019.030 FNMA POOL BU2591 3140M32Z2 1,937,624.35 81.263 1,574,076.91 4.63 0.15 -363,547.44
5482N6MBS 2.0000 12/01/2051 Orig Face: 1,975,000 100.031 3,228.37
Avg Life 08/29/2032 @ 100.000
4,575,802.470 FNMA POOL BU7817 3140M9VK0 4,562,218.05 81.214 3,716,208.60 4.63 0.36 -846,009.45
5482N6MBS 2.0000 12/01/2051 Orig Face: 4,760,000 99.703 7,626.34
Avg Life 08/29/2032 @ 100.000
687,925.830 FNMA POOL BU8818 3140MAYQ1 673,199.93 90.195 620,475.48 4.91 0.06 -52,724.45
5482N6MBS 3.5000 05/01/2052 Orig Face: 695,000 97.859 2,006.45
Avg Life 07/12/2032 @ 100.000
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Date Run: 10/06/2022
968,091.200 FNMA POOL BU9711 3140MBYH9 912,274.68 87.228 844,443.14 4.85 0.08 -67,831.54
5482N6MBS 3.0000 12/01/2051 Orig Face: 1,005,000 94.234 2,420.23
Avg Life 04/17/2032 @ 100.000
565,833.270 FNMA POOL BV5392 3140MJ7E9 550,714.92 90.096 509,791.40 4.91 0.05 -40,923.52
5482N6MBS 3.5000 04/01/2052 Orig Face: 570,000 97.328 1,650.35
Avg Life 07/12/2032 @ 100.000
1,009,552.640 FNMA POOL BV8553 3140MNQF6 1,008,132.96 92.973 938,609.46 5.07 0.09 -69,523.50
5482N6MBS 4.0000 05/01/2052 Orig Face: 1,015,000 99.859 3,365.18
Avg Life 10/05/2031 @ 100.000
3,203,316.050 FNMA POOL BW3893 3140MVKF4 3,236,475.38 95.534 3,060,260.12 5.27 0.29 -176,215.26
5482N6MBS 4.5000 08/01/2052 Orig Face: 3,265,000 101.035 12,012.44
Avg Life 07/30/2030 @ 100.000
3,685,000.000 FNMA POOL BW9845 3140N25F4 3,727,607.81 97.518 3,593,547.51 5.43 0.35 -134,060.30
5482N6MBS 5.0000 09/01/2052 Orig Face: 3,685,000 101.156 15,354.17
Avg Life 03/15/2029 @ 100.000
795,680.390 FNMA POOL CA0679 3140Q7XH5 834,469.81 88.302 702,599.38 4.85 0.07 -131,870.43
5482N6MBS 3.0000 11/01/2047 Orig Face: 3,040,000 104.875 1,989.20
Avg Life 12/28/2030 @ 100.000
43,958.510 FNMA POOL CA2194 3140Q9NL3 46,973.79 94.444 41,516.15 4.98 0.00 -5,457.64
5482N6MBS 4.0000 08/01/2048 Orig Face: 335,000 106.859 146.53
Avg Life 07/05/2030 @ 100.000
88,783.470 FNMA POOL CA2304 3140Q9R21 94,783.29 94.490 83,891.44 4.98 0.01 -10,891.85
5482N6MBS 4.0000 09/01/2048 Orig Face: 855,000 106.758 295.94
Avg Life 07/05/2030 @ 100.000
160,771.030 FNMA POOL CA4427 3140QB4M7 168,543.28 87.835 141,212.91 4.87 0.01 -27,330.37
5482N6MBS 3.0000 10/01/2049 Orig Face: 595,000 104.834 401.93
Avg Life 08/20/2031 @ 100.000
471,381.830 FNMA POOL CA4613 3140QCDT0 487,341.64 89.611 422,409.22 4.99 0.04 -64,932.42
5482N6MBS 3.5000 11/01/2049 Orig Face: 5,620,000 103.386 1,374.86
Avg Life 06/18/2032 @ 100.000
393,936.050 FNMA POOL CA4736 3140QCHN9 413,123.37 87.826 345,979.57 4.87 0.03 -67,143.80
5482N6MBS 3.0000 11/01/2049 Orig Face: 1,140,000 104.871 984.84
Avg Life 08/20/2031 @ 100.000
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Date Run: 10/06/2022
14,822,076.950 FNMA POOL CB0153 3140QKE38 14,881,712.67 81.373 12,061,144.66 4.63 1.16 -2,820,568.01
5482N6MBS 2.0000 04/01/2051 Orig Face: 15,790,000 100.402 24,703.46
Avg Life 08/29/2032 @ 100.000
1,527,902.350 FNMA POOL CB2751 3140QNBV3 1,513,816.98 84.149 1,285,712.90 4.72 0.12 -228,104.08
5482N6MBS 2.5000 02/01/2052 Orig Face: 1,600,000 99.078 3,183.13
Avg Life 07/26/2032 @ 100.000
1,816,718.700 FNMA POOL CB3609 3140QPAK3 1,776,623.14 90.184 1,638,396.42 4.91 0.16 -138,226.72
5482N6MBS 3.5000 05/01/2052 Orig Face: 1,850,000 97.793 5,298.76
Avg Life 07/12/2032 @ 100.000
10,919,738.790 FNMA POOL CB3771 3140QPFM4 10,624,564.60 90.184 9,847,821.30 4.91 0.95 -776,743.30
5482N6MBS 3.5000 06/01/2052 Orig Face: 11,115,000 97.297 31,849.24
Avg Life 07/12/2032 @ 100.000
1,775,294.750 FNMA POOL CB3903 3140QPKR7 1,729,664.13 90.205 1,601,398.40 4.91 0.15 -128,265.73
5482N6MBS 3.5000 06/01/2052 Orig Face: 1,805,000 97.430 5,177.94
Avg Life 07/12/2032 @ 100.000
8,889,735.390 FNMA POOL CB4563 3140QQB95 9,053,987.14 97.518 8,669,105.85 5.43 0.84 -384,881.29
5482N6MBS 5.0000 09/01/2052 Orig Face: 8,940,000 101.848 37,040.56
Avg Life 03/15/2029 @ 100.000
188,631.190 FNMA POOL FM1741 3140X45B8 201,570.12 94.540 178,332.46 4.98 0.02 -23,237.66
5482N6MBS 4.0000 04/01/2049 Orig Face: 1,180,000 106.859 628.77
Avg Life 07/05/2030 @ 100.000
6,153,849.050 FNMA POOL FM3664 3140X7CA5 6,589,720.34 94.523 5,816,819.78 4.98 0.56 -772,900.56
5482N6MBS 4.0000 03/01/2049 Orig Face: 28,225,000 107.083 20,512.83
Avg Life 07/05/2030 @ 100.000
663,362.760 FNMA POOL FM3893 3140X7KF5 708,865.30 94.450 626,549.17 4.98 0.06 -82,316.13
5482N6MBS 4.0000 12/01/2048 Orig Face: 2,580,000 106.859 2,211.21
Avg Life 07/05/2030 @ 100.000
14,588.730 FNMA POOL FM3904 3140X7KS7 15,553.88 94.528 13,790.48 4.98 0.00 -1,763.40
5482N6MBS 4.0000 03/01/2049 Orig Face: 60,000 106.616 48.63
Avg Life 07/05/2030 @ 100.000
392,911.620 FNMA POOL FM5679 3140X9JZ9 438,096.45 99.673 391,626.80 5.28 0.04 -46,469.65
5482N6MBS 5.5000 04/01/2050 Orig Face: 1,015,000 111.500 1,800.84
Avg Life 07/24/2028 @ 100.000
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Date Run: 10/06/2022
4,691,075.150 FNMA POOL FM5977 3140X9UB9 4,535,683.28 76.827 3,603,993.64 4.82 0.35 -931,689.64
5482N6MBS 1.5000 02/01/2051 Orig Face: 4,960,000 96.687 5,863.84
Avg Life 06/11/2032 @ 100.000
44,427.860 FNMA POOL FM6075 3140X9XD2 48,412.48 96.177 42,729.38 5.12 0.00 -5,683.10
5482N6MBS 4.5000 10/01/2049 Orig Face: 105,000 108.969 166.60
Avg Life 09/11/2029 @ 100.000
2,640,519.630 FNMA POOL FM6558 3140XAJC7 2,641,757.36 81.387 2,149,045.44 4.63 0.21 -492,711.92
5482N6MBS 2.0000 03/01/2051 Orig Face: 2,940,000 100.047 4,400.87
Avg Life 08/29/2032 @ 100.000
1,751,530.590 FNMA POOL FM7527 3140XBLH1 1,812,560.47 84.392 1,478,158.51 4.72 0.14 -334,401.96
5482N6MBS 2.5000 05/01/2051 Orig Face: 2,165,000 103.484 3,649.02
Avg Life 07/26/2032 @ 100.000
2,110,119.100 FNMA POOL FM8361 3140XCJF6 2,171,444.43 84.321 1,779,278.78 4.72 0.17 -392,165.65
5482N6MBS 2.5000 08/01/2051 Orig Face: 2,413,172 102.906 4,396.08
Avg Life 07/26/2032 @ 100.000
539,153.670 FNMA POOL FM8980 3140XC6S2 495,010.46 84.205 453,992.20 4.72 0.04 -41,018.26
5482N6MBS 2.5000 09/01/2051 Orig Face: 550,000 91.812 1,123.24
Avg Life 07/26/2032 @ 100.000
7,998,373.140 FNMA POOL FM9481 3140XDRB4 7,640,008.53 84.333 6,745,250.18 4.72 0.65 -894,758.35
5482N6MBS 2.5000 11/01/2051 Orig Face: 8,290,000 95.520 16,663.28
Avg Life 07/26/2032 @ 100.000
54,128.460 FNMA POOL FM9765 3140XDZ74 51,345.93 87.436 47,327.86 4.85 0.00 -4,018.07
5482N6MBS 3.0000 11/01/2051 Orig Face: 55,000 94.859 135.32
Avg Life 04/17/2032 @ 100.000
6,193,384.780 FNMA POOL FS2619 3140XH4D6 6,300,075.51 97.642 6,047,323.52 5.43 0.58 -252,751.99
5482N6MBS 5.0000 08/01/2052 Orig Face: 6,225,000 101.723 25,805.77
Avg Life 03/15/2029 @ 100.000
78,523.350 FNMA POOL MA2705 31418CAF1 82,370.63 89.066 69,937.79 4.91 0.01 -12,432.84
5482N6MBS 3.0000 08/01/2046 Orig Face: 345,000 104.900 196.31
Avg Life 09/10/2030 @ 100.000
180,822.640 FNMA POOL MA2737 31418CBF0 189,645.09 88.993 160,920.10 4.91 0.02 -28,724.99
5482N6MBS 3.0000 09/01/2046 Orig Face: 775,000 104.879 452.06
Avg Life 09/10/2030 @ 100.000
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Date Run: 10/06/2022
20,227.140 FNMA POOL MA3351 31418CWM2 19,516.03 86.514 17,499.26 5.10 0.00 -2,016.77
5482N6MBS 3.0000 04/01/2048 Orig Face: 170,000 96.484 50.57
Avg Life 07/04/2031 @ 100.000
49,663.840 FNMA POOL MA3448 31418CZN7 54,824.16 98.763 49,049.48 5.25 0.00 -5,774.68
5482N6MBS 5.0000 08/01/2048 Orig Face: 385,000 110.390 206.93
Avg Life 12/06/2028 @ 100.000
49,156.450 FNMA POOL MA3521 31418C4F8 52,520.17 94.394 46,400.54 4.98 0.00 -6,119.63
5482N6MBS 4.0000 11/01/2048 Orig Face: 445,000 106.843 163.85
Avg Life 07/05/2030 @ 100.000
2,602,108.940 FNMA POOL MA3536 31418C4W1 2,765,149.52 94.305 2,453,913.27 4.98 0.24 -311,236.25
5482N6MBS 4.0000 12/01/2048 Orig Face: 23,640,000 106.266 8,673.70
Avg Life 07/05/2030 @ 100.000
8,792,000.860 FNMA POOL MA4602 31418EDG2 8,278,276.45 88.212 7,755,587.31 4.50 0.75 -522,689.14
5482N6MBS 2.0000 05/01/2037 Orig Face: 9,155,000 94.157 14,653.33
Avg Life 06/27/2028 @ 100.000
1,469,216.180 FNMA POOL QB1198 3133A7KK4 1,546,579.62 84.505 1,241,557.36 4.75 0.12 -305,022.26
5482N6MBS 2.5000 06/01/2050 Orig Face: 1,790,000 105.266 3,060.87
Avg Life 02/12/2032 @ 100.000
348,128.650 FNMA POOL QB1612 3133A7YH6 366,459.80 84.504 294,182.60 4.75 0.03 -72,277.20
5482N6MBS 2.5000 07/01/2050 Orig Face: 490,000 105.266 725.27
Avg Life 02/12/2032 @ 100.000
13,531,055.400 FNMA POOL QB3537 3133A94W2 14,188,580.12 84.504 11,434,329.47 4.75 1.10 -2,754,250.65
5482N6MBS 2.5000 09/01/2050 Orig Face: 18,500,000 104.859 28,189.70
Avg Life 02/12/2032 @ 100.000
700,311.690 FNMA POOL QB5275 3133AB2G4 726,190.42 81.450 570,402.29 4.66 0.05 -155,788.13
5482N6MBS 2.0000 11/01/2050 Orig Face: 810,000 103.695 1,167.19
Avg Life 05/01/2032 @ 100.000
987,849.260 FNMA POOL QB6086 3133ACXP8 1,024,816.45 81.434 804,440.45 4.66 0.08 -220,376.00
5482N6MBS 2.0000 12/01/2050 Orig Face: 1,270,000 103.742 1,646.42
Avg Life 05/01/2032 @ 100.000
2,061,114.360 FNMA POOL QB6228 3133AC4M7 2,139,372.30 81.434 1,678,437.58 4.66 0.16 -460,934.72
5482N6MBS 2.0000 12/01/2050 Orig Face: 2,465,000 103.797 3,435.19
Avg Life 05/01/2032 @ 100.000
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Date Run: 10/06/2022
766,003.440 FNMA POOL QB6480 3133ADFV3 795,925.44 81.434 623,785.10 4.66 0.06 -172,140.34
5482N6MBS 2.0000 12/01/2050 Orig Face: 965,000 103.906 1,276.67
Avg Life 05/01/2032 @ 100.000
688,768.310 FNMA POOL QB6579 3133ADJY3 714,677.83 81.450 561,000.21 4.66 0.05 -153,677.62
5482N6MBS 2.0000 12/01/2050 Orig Face: 840,000 103.762 1,147.95
Avg Life 05/01/2032 @ 100.000
3,142,441.880 FNMA POOL QB7053 3133ADZS8 3,260,160.68 81.449 2,559,495.25 4.66 0.25 -700,665.43
5482N6MBS 2.0000 12/01/2050 Orig Face: 3,595,000 103.746 5,237.40
Avg Life 05/01/2032 @ 100.000
3,987,533.370 FNMA POOL QB8972 3133AF6H9 4,131,458.40 81.450 3,247,839.11 4.62 0.31 -883,619.29
5482N6MBS 2.0000 02/01/2051 Orig Face: 4,430,000 103.609 6,645.89
Avg Life 09/17/2032 @ 100.000
382,154.170 FNMA POOL QC0203 3133AJGL1 381,228.66 81.403 311,084.95 4.62 0.03 -70,143.71
5482N6MBS 2.0000 03/01/2051 Orig Face: 430,000 99.758 636.92
Avg Life 09/17/2032 @ 100.000
357,144.460 FNMA POOL QC0474 3133AJQ30 356,279.49 81.403 290,726.60 4.62 0.03 -65,552.89
5482N6MBS 2.0000 04/01/2051 Orig Face: 395,000 99.758 595.24
Avg Life 09/17/2032 @ 100.000
732,888.900 FNMA POOL QC0574 3133AJT78 731,113.92 81.371 596,360.33 4.62 0.06 -134,753.59
5482N6MBS 2.0000 04/01/2051 Orig Face: 825,000 99.758 1,221.48
Avg Life 09/17/2032 @ 100.000
1,338,535.420 FNMA POOL QC0619 3133AJVL4 1,335,293.64 81.386 1,089,386.90 4.62 0.10 -245,906.74
5482N6MBS 2.0000 04/01/2051 Orig Face: 1,520,000 99.758 2,230.89
Avg Life 09/17/2032 @ 100.000
2,290,728.830 FNMA POOL QC1270 3133AKMT4 2,298,245.29 81.355 1,863,626.72 4.62 0.18 -434,618.57
5482N6MBS 2.0000 04/01/2051 Orig Face: 2,440,000 100.328 3,817.88
Avg Life 09/17/2032 @ 100.000
1,807,974.310 FNMA POOL QC8871 3133AT2C4 1,659,946.42 84.289 1,523,926.96 4.71 0.15 -136,019.46
5482N6MBS 2.5000 10/01/2051 Orig Face: 1,935,000 91.813 3,766.61
Avg Life 08/04/2032 @ 100.000
1,144,309.420 FNMA POOL QD0280 3133AWJZ8 1,146,097.38 81.215 929,347.79 4.62 0.09 -216,749.59
5482N6MBS 2.0000 11/01/2051 Orig Face: 1,270,459 100.156 1,907.18
Avg Life 09/17/2032 @ 100.000
Page: 32 of 50
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Date Run: 10/06/2022
2,295,814.400 FNMA POOL QD2377 3133AYUA6 2,346,035.33 84.185 1,932,723.32 4.71 0.19 -413,312.01
5482N6MBS 2.5000 12/01/2051 Orig Face: 2,395,000 102.187 4,782.95
Avg Life 08/04/2032 @ 100.000
3,641,277.130 FNMA POOL QD2433 3133AYV23 3,635,303.16 81.230 2,957,811.45 4.62 0.28 -677,491.71
5482N6MBS 2.0000 12/01/2051 Orig Face: 3,715,000 99.836 6,068.80
Avg Life 09/17/2032 @ 100.000
2,936,559.560 FNMA POOL QD3473 3133B02E2 2,930,594.67 81.199 2,384,447.04 4.62 0.23 -546,147.63
5482N6MBS 2.0000 12/01/2051 Orig Face: 3,040,000 99.797 4,894.27
Avg Life 09/17/2032 @ 100.000
5,761,221.520 FNMA POOL QD3619 3133B1AU5 5,224,707.76 84.205 4,851,240.27 4.71 0.47 -373,467.49
5482N6MBS 2.5000 12/01/2051 Orig Face: 5,965,000 90.687 12,002.54
Avg Life 08/04/2032 @ 100.000
9,552,799.160 FNMA POOL QD5201 3133B2X61 8,763,200.60 84.171 8,040,666.23 4.71 0.77 -722,534.37
5482N6MBS 2.5000 01/01/2052 Orig Face: 9,780,000 91.734 19,901.66
Avg Life 08/04/2032 @ 100.000
884,155.290 FNMA POOL QE1079 3133BAFU0 877,178.74 90.143 797,006.87 4.91 0.08 -80,171.87
5482N6MBS 3.5000 04/01/2052 Orig Face: 910,000 99.211 2,578.79
Avg Life 07/04/2032 @ 100.000
1,680,377.120 FNMA POOL QE6381 3133BGCS5 1,659,700.61 92.847 1,560,173.41 5.07 0.15 -99,527.20
5482N6MBS 4.0000 07/01/2052 Orig Face: 1,685,000 98.770 5,601.26
Avg Life 10/13/2031 @ 100.000
2,255,037.700 FNMA POOL QE6417 3133BGDW5 2,227,290.17 92.889 2,094,678.99 5.07 0.20 -132,611.18
5482N6MBS 4.0000 07/01/2052 Orig Face: 2,290,000 98.770 7,516.79
Avg Life 10/13/2031 @ 100.000
7,853,788.150 FNMA POOL QE7028 3133BGYZ5 7,935,087.13 95.534 7,503,048.18 5.26 0.72 -432,038.95
5482N6MBS 4.5000 08/01/2052 Orig Face: 7,950,000 101.035 29,451.71
Avg Life 09/11/2030 @ 100.000
503,338.240 FNMA POOL QE7134 3133BG4T2 508,057.04 95.534 480,859.81 5.26 0.05 -27,197.23
5482N6MBS 4.5000 08/01/2052 Orig Face: 525,000 100.938 1,887.52
Avg Life 09/11/2030 @ 100.000
2,386,892.710 FNMA POOL QE7915 3133BHYL4 2,412,066.96 95.534 2,280,297.18 5.26 0.22 -131,769.78
5482N6MBS 4.5000 08/01/2052 Orig Face: 2,405,000 101.055 8,950.85
Avg Life 09/11/2030 @ 100.000
Page: 33 of 50
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Date Run: 10/06/2022
669,244.530 FNMA POOL QE8515 3133BJN81 665,061.75 95.534 639,356.94 5.26 0.06 -25,704.81
5482N6MBS 4.5000 08/01/2052 Orig Face: 670,000 99.375 2,509.67
Avg Life 09/11/2030 @ 100.000
3,775,000.000 FNMA POOL QF0467 3133BMQU2 3,816,878.91 97.518 3,681,315.83 5.40 0.35 -135,563.08
5482N6MBS 5.0000 09/01/2052 Orig Face: 3,775,000 101.109 15,729.17
Avg Life 05/14/2029 @ 100.000
1,590,000.000 FNMA POOL QF0482 3133BMRB3 1,547,020.31 92.883 1,476,843.82 5.07 0.14 -70,176.49
5482N6MBS 4.0000 09/01/2052 Orig Face: 1,590,000 97.297 5,300.00
Avg Life 10/13/2031 @ 100.000
29,599,271.990 FNMA POOL RA6614 3133KNK36 30,034,011.30 84.149 24,907,417.09 4.71 2.40 -5,126,594.21
5482N6MBS 2.5000 01/01/2052 Orig Face: 30,555,000 101.469 61,665.15
Avg Life 08/04/2032 @ 100.000
491,488.330 FNMA POOL SD0136 3132DMEH4 518,808.21 87.761 431,333.47 4.87 0.04 -87,474.74
5482N6MBS 3.0000 10/01/2049 Orig Face: 1,960,000 105.559 1,228.72
Avg Life 08/12/2031 @ 100.000
2,229,544.770 FNMA POOL ZA5757 31329PME0 2,399,547.57 94.458 2,105,984.85 4.99 0.20 -293,562.72
5482N6MBS 4.0000 10/01/2048 Orig Face: 10,995,000 107.625 7,431.82
Avg Life 06/10/2030 @ 100.000
117,119.750 FNMA POOL ZM8305 3131Y3GN0 128,593.83 98.697 115,594.00 5.24 0.01 -12,999.83
5482N6MBS 5.0000 09/01/2048 Orig Face: 805,000 109.797 488.00
Avg Life 03/11/2029 @ 100.000
661,301.000 FNMA POOL ZN2092 3131Y8KD6 726,087.83 99.044 654,980.75 5.24 0.06 -71,107.08
5482N6MBS 5.0000 12/01/2048 Orig Face: 4,390,000 109.797 2,755.42
Avg Life 03/11/2029 @ 100.000
188,380.450 FNMA POOL ZT0714 3132ACYK0 208,212.49 98.788 186,097.55 5.24 0.02 -22,114.94
5482N6MBS 5.0000 10/01/2048 Orig Face: 1,420,000 110.528 784.92
Avg Life 03/11/2029 @ 100.000
1,310,000.000 FREEPORT INDONES USD 144A W/O RTS 69377FAB2 1,310,000.00 82.489 1,080,605.90 7.97 0.11 -229,394.10
5482N6 5.3150 04/14/2032 100.000 32,298.96
Call 01/01/2032 @ 100.000
2,480,000.000 GHANA REP OF USD 144A W/O RTS 37443GAL5 2,422,182.50 37.750 936,200.00 33.29 0.10 -1,485,982.50
5482N6 7.7500 04/07/2029 Orig Face: 2,480,000 97.669 92,896.67
Avg Life 04/04/2028 @ 100.000
Page: 34 of 50
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Date Run: 10/06/2022
4,410,000.000 GLENCORE FUNDING LLC 144A W/O RTS 378272AY4 4,378,116.70 76.518 3,374,443.80 6.31 0.32 -1,003,672.90
5482N6 2.5000 09/01/2030 99.277 9,187.50
Call 06/01/2030 @ 100.000
6.900 GNMA 2012-H15 FA 38375BUB6 6.90 95.797 6.61 4.35 0.00 -0.29
5482N6MBS 2.8073 05/20/2062 Orig Face: 805,000 100.000 0.01
Avg Life 08/22/2028 @ 100.000
29,757.460 GNMA II POOL BR2330 3617LYST8 29,534.29 84.030 25,005.21 4.91 0.00 -4,529.08
5482N6MBS 2.5000 11/20/2049 Orig Face: 265,000 99.250 61.99
Avg Life 07/24/2030 @ 100.000
66,286.740 GNMA II POOL BR2380 3617LYUD0 65,789.59 83.845 55,578.13 4.91 0.01 -10,211.46
5482N6MBS 2.5000 12/20/2049 Orig Face: 310,000 99.250 138.10
Avg Life 07/24/2030 @ 100.000
68,087.990 GNMA II POOL BR2384 3617LYUH1 67,577.33 84.032 57,215.37 4.91 0.01 -10,361.96
5482N6MBS 2.5000 12/20/2049 Orig Face: 395,000 99.250 141.85
Avg Life 07/24/2030 @ 100.000
90,000.000 GRAY OAK PIPELINE LLC 144A W/O RTS 38937LAB7 89,997.30 88.421 79,578.90 6.16 0.01 -10,418.40
5482N6 3.4500 10/15/2027 99.997 1,431.75
Call 08/15/2027 @ 100.000
1,035,000.000 GSMS 2020-GC45 A5 36258YBG2 1,066,045.86 85.711 887,108.85 5.35 0.09 -178,937.01
5482N6 2.9106 02/13/2053 Orig Face: 1,035,000 103.000 2,510.39
Avg Life 12/06/2029 @ 100.000
955,000.000 HILTON DOMESTIC OPERATIN 144A W/O 432833AN1 947,334.90 76.590 731,433.28 7.08 0.07 -215,901.62
5482N6 3.6250 02/15/2032 99.197 4,423.51
Call 08/15/2026 @ 101.813
330,000.000 HSBC HOLDINGS PLC 404280CF4 329,587.50 91.880 303,202.46 6.33 0.03 -26,385.04
5482N6 4.9500 03/31/2030 99.875 45.38
605,000.000 HYUNDAI CAPITAL AMERICA 144A W/O 44891ABP1 618,098.25 83.482 505,068.77 6.25 0.05 -113,029.48
5482N6 2.3750 10/15/2027 102.165 6,625.59
Call 08/15/2027 @ 100.000
705,000.000 ICAHN ENTERPRISES/FIN 451102CC9 704,483.65 80.488 567,440.40 8.41 0.05 -137,043.25
5482N6 4.3750 02/01/2029 99.927 5,140.62
Call 08/01/2028 @ 100.000
715,000.000 INTESA SANPAOLO SPA 144A W/O RTS 46115HBQ9 724,314.80 67.621 483,490.15 9.57 0.05 -240,824.65
5482N6 4.1980 06/01/2032 101.303 10,005.23
Call 06/01/2031 @ 100.000
Page: 35 of 50
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Date Run: 10/06/2022
2,025,000.000 IRON MOUNTAIN INC 144A W/O RTS 46284VAN1 2,046,088.50 77.318 1,565,689.50 8.31 0.15 -480,399.00
5482N6 4.5000 02/15/2031 101.041 11,643.75
Call 02/15/2026 @ 102.250
755,000.000 JABIL INC 466313AK9 758,785.40 78.897 595,672.92 6.31 0.06 -163,112.48
5482N6 3.0000 01/15/2031 100.501 4,781.67
Call 10/15/2030 @ 100.000
2,074,050.000 JACK 2022-1A A2II 144A 466365AE3 2,074,050.00 81.116 1,682,382.25 7.23 0.16 -391,667.75
5482N6 4.1360 02/26/2052 Orig Face: 2,095,000 100.000 8,578.27
Avg Life 04/03/2031 @ 100.000
Call 02/25/2032 @ 100.000
4,180,000.000 JPMORGAN CHASE & CO 46647PBE5 4,244,058.00 81.309 3,398,716.12 5.87 0.33 -845,341.88
5482N6 2.7390 10/15/2030 101.532 52,792.70
Call 10/15/2029 @ 100.000
1,980,000.000 JPMORGAN CHASE & CO 46647PBP0 2,023,920.75 79.210 1,568,350.26 6.36 0.15 -455,570.49
5482N6 2.9560 05/13/2031 102.218 22,436.04
Call 05/13/2030 @ 100.000
1,680,000.000 JPMORGAN CHASE & CO 46647PDH6 1,680,000.00 92.216 1,549,221.24 5.91 0.15 -130,778.76
5482N6 4.9120 07/25/2033 100.000 15,128.96
Call 07/25/2032 @ 100.000
985,000.000 KENBOURNE INVEST SA 144A W/O RTS 48855KAC4 988,932.25 76.575 754,263.75 10.58 0.07 -234,668.50
5482N6 4.7000 01/22/2028 100.399 8,873.21
Call 01/22/2024 @ 102.350
270,000.000 KIMBERLY-CLA MEX USD 144A W/O RTS 494386AD7 270,000.00 79.884 215,686.80 5.68 0.02 -54,313.20
5482N6 2.4310 07/01/2031 Orig Face: 270,000 100.000 1,640.93
Avg Life 06/28/2030 @ 100.000
Call 04/01/2031 @ 100.000
895,000.000 LITHIA MOTORS INC 144A W/O RTS 536797AF0 909,658.00 81.878 732,808.10 7.33 0.07 -176,849.90
5482N6 4.3750 01/15/2031 101.638 8,266.33
Call 10/15/2025 @ 102.188
660,000.000 MERCADOLIBRE INC 58733RAF9 657,500.00 72.500 478,500.00 7.67 0.05 -179,000.00
5482N6 3.1250 01/14/2031 99.621 4,411.46
Call 10/14/2030 @ 100.000
3,226,529.000 MEXICAN BONOS M 20 MXN EH6834517 17,622,100.32 4.694 15,144,106.80 9.65 1.49 -2,477,993.52
5482N6 8.5000 05/31/2029 5.462 431,915.48
Page: 36 of 50
83
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Date Run: 10/06/2022
793,000.000 MILLICOM INTL CELLULAR 144A W/O RTS 600814AR8 817,631.25 71.294 565,361.42 9.46 0.06 -252,269.83
5482N6 4.5000 04/27/2031 103.106 15,265.25
Call 04/27/2026 @ 102.250
1,910,000.000 MINERVA LUXEMBOURG SA 144A W/O RTS 603374AF6 1,859,598.10 75.750 1,446,825.00 8.44 0.14 -412,773.10
5482N6 4.3750 03/18/2031 97.361 3,017.53
Call 03/18/2026 @ 102.188
2,180,000.000 MOHAWK INDUSTRIES INC 608190AL8 2,223,693.10 83.297 1,815,874.60 6.43 0.18 -407,818.50
5482N6 3.6250 05/15/2030 102.004 29,853.89
Call 02/15/2030 @ 100.000
795,000.000 MORGAN STANLEY 61747YEU5 795,000.00 92.656 736,617.28 5.83 0.07 -58,382.72
5482N6 4.8890 07/20/2033 100.000 7,665.54
Call 07/20/2032 @ 100.000
1,170,000.000 NATURA &CO LUX HLD SARL 144A W/O 63884WAA6 1,161,774.90 82.413 964,232.10 9.69 0.10 -197,542.80
5482N6 6.0000 04/19/2029 99.297 31,590.00
Call 02/19/2029 @ 100.000
1,605,000.000 NATURA SA USD 144A W/O RTS 63883KAB1 1,616,064.60 79.000 1,267,950.00 8.99 0.12 -348,114.60
5482N6 4.1250 05/03/2028 100.689 27,218.13
Call 03/03/2028 @ 100.000
610,000.000 NRG ENERGY INC 144A W/O RTS 629377CS9 604,662.50 78.005 475,827.45 7.13 0.05 -128,835.05
5482N6 3.8750 02/15/2032 99.125 3,020.35
Call 02/15/2027 @ 101.938
1,395,000.000 NVR INC 62944TAF2 1,404,668.45 81.642 1,138,905.97 6.04 0.11 -265,762.48
5482N6 3.0000 05/15/2030 100.693 15,810.00
Call 11/15/2029 @ 100.000
1,410,000.000 OFFICE CHERIFIEN DES PHO 144A W/O 67091TAD7 1,408,674.50 75.742 1,067,956.56 7.60 0.10 -340,717.94
5482N6 3.7500 06/23/2031 99.906 14,393.75
Call 03/23/2031 @ 100.000
1,645,000.000 ONEMAIN FINANCE CORP 682691AC4 1,646,052.50 73.626 1,211,147.70 9.83 0.12 -434,904.80
5482N6 3.8750 09/15/2028 100.064 2,833.06
Call 09/15/2024 @ 101.938
830,000.000 OUTFRONT MEDIA CAP LLC/C 144A W/O 69007TAE4 824,564.55 78.550 651,965.00 8.76 0.06 -172,599.55
5482N6 4.2500 01/15/2029 99.345 7,446.94
Call 01/15/2024 @ 102.125
Page: 37 of 50
84
440/521
Date Run: 10/06/2022
925,000.000 PATTERN ENERGY OP LP/PAT 144A W/O 70339PAA7 944,333.90 86.695 801,928.75 7.33 0.08 -142,405.15
5482N6 4.5000 08/15/2028 102.090 5,318.75
Call 08/15/2023 @ 103.375
505,000.000 PG&E CORP 69331CAH1 537,802.00 85.996 434,277.99 8.09 0.04 -103,524.01
5482N6 5.0000 07/01/2028 106.495 6,312.50
Call 07/01/2023 @ 102.500
1,791,000.000 PLNT 2022-1A A2II 144A 72703PAE3 1,791,000.00 80.656 1,444,552.54 7.07 0.14 -346,447.46
5482N6 4.0080 12/05/2051 Orig Face: 1,800,000 100.000 5,184.35
Avg Life 07/02/2031 @ 100.000
1,865,000.000 POST HOLDINGS INC 144A W/O RTS 737446AQ7 1,869,557.00 82.125 1,531,631.25 7.81 0.15 -337,925.75
5482N6 4.6250 04/15/2030 100.244 39,773.73
Call 04/15/2025 @ 102.313
2,075,000.000 POST HOLDINGS INC 144A W/O RTS 737446AR5 2,075,145.55 80.500 1,670,375.00 7.53 0.16 -404,770.55
5482N6 4.5000 09/15/2031 100.007 4,150.00
Call 09/15/2026 @ 102.250
2,050,000.000 PROSUS NV 144A W/O RTS 74365PAA6 2,124,225.50 74.926 1,535,985.38 8.33 0.15 -588,240.12
5482N6 3.6800 01/21/2030 103.621 14,668.89
Call 10/22/2029 @ 100.000
1,010,000.000 QUICKEN LOANS LLC/QUICKN 144A W/O 74841CAB7 1,016,418.00 72.485 732,102.49 8.52 0.07 -284,315.51
5482N6 3.8750 03/01/2031 100.635 3,261.46
Call 03/01/2026 @ 101.938
2,125,000.000 SBA COMMUNICATIONS CORP 78410GAG9 2,107,364.36 80.427 1,709,073.75 7.00 0.17 -398,290.61
5482N6 3.1250 02/01/2029 99.170 11,067.71
Call 02/01/2024 @ 101.563
2,170,000.000 SEMPRA INFRASTRUCTURE PA 144A W/O 81685VAA1 2,145,915.15 79.593 1,727,174.37 6.17 0.17 -418,740.78
5482N6 3.2500 01/15/2032 98.890 14,888.61
Call 10/15/2031 @ 100.000
700,000.000 SENSATA TECHNOLOGIES INC 144A W/O 81728UAB0 702,497.90 78.771 551,393.50 7.16 0.05 -151,104.40
5482N6 3.7500 02/15/2031 100.357 3,354.17
Call 02/15/2026 @ 101.875
185,000.000 SMITHFIELD FOODS INC 144A W/O RTS 832248BC1 182,850.30 77.214 142,845.98 6.71 0.01 -40,004.32
5482N6 3.0000 10/15/2030 98.838 2,559.17
Call 07/15/2030 @ 100.000
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Date Run: 10/06/2022
3,400,000.000 STANDARD CHARTERED PLC 144A W/O 853254CH1 3,400,000.00 74.702 2,539,868.00 7.30 0.25 -860,132.00
5482N6 3.6030 01/12/2033 100.000 26,882.38
Call 01/12/2032 @ 100.000
2,035,000.000 SUMITOMO MITSUI FINL GRP 86562MBP4 2,081,938.50 83.959 1,708,567.69 5.94 0.17 -373,370.81
5482N6 3.0400 07/16/2029 102.307 12,888.33
505,000.000 SUNCOKE ENERGY INC 144A W/O RTS 86722AAD5 506,565.00 77.101 389,360.05 9.55 0.04 -117,204.95
5482N6 4.8750 06/30/2029 100.310 6,223.07
Call 06/30/2024 @ 102.438
205,000.000 TEXTRON INC 883203CB5 217,688.05 82.337 168,791.72 5.90 0.02 -48,896.33
5482N6 3.0000 06/01/2030 106.189 2,050.00
Call 03/01/2030 @ 100.000
2,516,233.340 TMCL 2021-3A A 144A 88315LAS7 2,515,799.33 82.802 2,083,481.47 5.77 0.20 -432,317.86
5482N6 1.9400 08/20/2046 Orig Face: 2,755,000 99.983 1,446.28
Avg Life 05/02/2028 @ 100.000
Call 08/20/2023 @ 100.000
16,140,000.000 U S TREASURY NOTES 91282CEE7 16,012,202.99 90.547 14,614,265.63 4.04 1.40 -1,397,937.36
5482N6 2.3750 03/31/2029 99.208 1,053.09
1,275,000.000 U S TREASURY NOTES 91282CEP2 1,273,725.19 92.453 1,178,777.34 3.82 0.11 -94,947.85
5482N6 2.8750 05/15/2032 99.900 13,845.71
1,070,000.000 U S TREASURY NOTES 91282CES6 1,048,683.59 92.605 990,878.52 4.03 0.10 -57,805.07
5482N6 2.7500 05/31/2029 98.008 9,888.74
29,940,000.000 U S TREASURY NOTES 91282CFF3 27,913,990.05 91.438 27,376,387.50 3.80 2.64 -537,602.55
2.7500 08/15/2032 93.233 103,509.11
5482N6 27,200,000.000 93.233 25,359,261.14 24,871,000.00 2.40 -392,728.56
95,532.58
5482N6TRE 2,740,000.000 93.238 2,554,728.91 2,505,387.50 0.24 -41,364.88
7,976.53
59,310,000.000 U S TREASURY NOTES 91282CFJ5 58,186,285.18 94.906 56,288,896.88 3.97 5.42 -1,897,388.30
3.1250 08/31/2029 98.105 158,719.81
5482N6 59,310,000.000 98.105 58,186,285.18 56,288,896.88 5.42 -1,738,668.49
158,719.81
14,380,000.000 U S TREASURY NOTES 91282CFM8 14,313,872.70 100.328 14,427,184.38 4.05 1.38 113,311.68
5482N6TRE 4.1250 09/30/2027 99.540 608.55
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Date Run: 10/06/2022
695,000.000 UNITED AIRLINES INC 144A W/O RTS 90932LAH0 715,179.55 82.744 575,070.80 8.07 0.06 -140,108.75
5482N6 4.6250 04/15/2029 102.904 14,821.83
Call 10/15/2028 @ 100.000
525,000.000 UNIVAR SOLUTIONS USA INC 144A W/O 91337CAA4 525,000.00 89.000 467,250.00 7.75 0.05 -57,750.00
5482N6 5.1250 12/01/2027 100.000 8,968.75
Call 12/01/2022 @ 102.563
607,780,000.000 URUGUAY UYU 917288BM3 13,807,194.06 1.979 12,029,781.95 11.51 1.20 -1,777,412.11
5482N6 8.2500 05/21/2031 2.272 434,841.00
69,000,000.000 URUGUAY UYU 144A W/O RTS 760942BC5 2,156,075.54 2.122 1,464,112.39 11.42 0.14 -691,963.15
5482N6 8.5000 03/15/2028 3.125 6,260.01
8,925,000.000 URUGUAY UYU REG S P80557BV5 212,700.60 2.122 189,379.76 11.42 0.02 -23,320.84
5482N6 8.5000 03/15/2028 2.383 809.72
725,000.000 VALVOLINE INC 144A W/O RTS 92047WAG6 721,623.50 73.649 533,954.69 7.86 0.05 -187,668.81
5482N6 3.6250 06/15/2031 99.534 5,548.26
Call 06/15/2026 @ 101.813
1,860,000.000 WILLIAMS COMPANIES INC 969457BX7 1,913,128.00 84.898 1,579,110.18 5.86 0.15 -334,017.82
5482N6 3.5000 11/15/2030 102.856 24,593.33
Call 08/15/2030 @ 100.000
2,191,000.000 ZIFF DAVIS INC 144A W/O RTS 48123VAF9 2,236,835.60 82.000 1,796,620.00 7.67 0.18 -440,215.60
5482N6 4.6250 10/15/2030 102.092 46,726.12
Call 10/15/2025 @ 102.213
-----Long Term Bonds-----
315,000.000 ALIBABA GROUP HOLDING 01609WBA9 300,014.70 56.399 177,656.05 6.26 0.02 -122,358.65
5482N6 3.2500 02/09/2061 95.243 1,478.75
Call 08/09/2060 @ 100.000
225,000.000 AMERICAN HOMES 4 RENT 02666TAD9 220,414.50 61.577 138,547.97 6.28 0.01 -81,866.53
5482N6 3.3750 07/15/2051 97.962 1,603.13
Call 01/15/2051 @ 100.000
405,000.000 ANGLO AMERICAN CAPITAL 144A W/O RTS 034863AY6 399,180.15 68.069 275,678.21 6.42 0.03 -123,501.94
5482N6 3.9500 09/10/2050 98.563 933.19
Call 03/10/2050 @ 100.000
975,000.000 ANHEUSER BUSCH CO INBEV 03522AAJ9 1,188,809.25 86.908 847,353.00 5.94 0.08 -341,456.25
5482N6 4.9000 02/01/2046 121.929 7,962.50
Call 08/01/2045 @ 100.000
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Date Run: 10/06/2022
-----Long Term Bonds (cont.)-----
1,245,000.000 ANHEUSER-BUSCH INBEV WOR 035240AU4 1,438,255.45 78.832 981,460.02 6.03 0.10 -456,795.43
5482N6 4.6000 06/01/2060 115.523 19,090.00
Call 12/01/2059 @ 100.000
2,210,000.000 ANHEUSER-BUSCH INBEV WOR 035240AS9 2,269,677.85 84.695 1,871,761.07 5.74 0.18 -397,916.78
5482N6 4.3500 06/01/2040 102.700 32,045.00
Call 12/01/2039 @ 100.000
1,350,000.000 AT&T INC 00206RKJ0 1,353,078.00 66.634 899,559.94 5.84 0.09 -453,518.06
5482N6 3.5000 09/15/2053 100.228 2,100.00
Call 03/15/2053 @ 100.000
869,000.000 AT&T INC 00206RMN9 899,384.82 67.554 587,048.25 6.03 0.06 -312,336.57
5482N6 3.8000 12/01/2057 103.497 11,007.33
Call 06/01/2057 @ 100.000
348,000.000 AT&T INC 00206RLJ9 347,429.28 65.684 228,578.92 5.93 0.02 -118,850.36
5482N6 3.5500 09/15/2055 99.836 549.07
Call 03/15/2055 @ 100.000
2,503,000.000 AT&T INC 00206RLV2 2,506,672.18 64.790 1,621,694.80 6.04 0.16 -884,977.38
5482N6 3.6500 09/15/2059 100.147 4,060.42
Call 03/15/2059 @ 100.000
3,215,000.000 BARCLAYS PLC 06738EBS3 3,235,536.10 62.399 2,006,141.71 7.59 0.19 -1,229,394.39
5482N6 3.8110 03/10/2042 100.639 7,147.21
Call 03/10/2041 @ 100.000
2,550,000.000 BOEING CO 097023CV5 2,627,475.00 87.346 2,227,329.58 6.96 0.22 -400,145.42
5482N6 5.7050 05/01/2040 103.038 60,615.63
Call 11/01/2039 @ 100.000
3,135,000.000 BOEING CO 097023CW3 3,451,224.95 86.899 2,724,289.36 6.87 0.27 -726,935.59
5482N6 5.8050 05/01/2050 110.087 75,827.81
Call 11/01/2049 @ 100.000
3,640,000.000 BRASKEM FINANCE LTD 144A W/O RTS 10554CAA0 3,765,941.05 87.372 3,180,326.53 8.48 0.31 -585,614.52
5482N6 7.1250 07/22/2041 103.460 49,708.75
Call 01/22/2041 @ 100.000
2,135,000.000 BRF SA USD 144A W/O RTS 10552TAH0 2,118,645.70 68.964 1,472,381.40 8.73 0.14 -646,264.30
5482N6 5.7500 09/21/2050 99.234 3,410.07
Call 03/21/2050 @ 100.000
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Date Run: 10/06/2022
604,000.000 BROADCOM INC 144A W/RTS 11135FBP5 602,101.05 70.070 423,222.37 6.58 0.04 -178,878.68
5482N6 3.1370 11/15/2035 99.686 7,157.94
Call 08/15/2035 @ 100.000
2,815,000.000 CCO HLDGS LLC/CAP CORP 144A W RTS 1248EPCP6 2,818,318.00 71.578 2,014,920.70 8.15 0.20 -803,397.30
5482N6 4.2500 01/15/2034 100.118 25,256.81
Call 01/15/2028 @ 102.125
3,565,000.000 CHARTER COMM OPT LLC/CAP 161175CL6 3,538,440.75 75.551 2,693,385.91 7.41 0.27 -845,054.84
5482N6 5.5000 04/01/2063 99.255 106,751.94
Call 10/01/2062 @ 100.000
1,815,000.000 CORNING INC 219350BQ7 2,017,921.20 81.769 1,484,111.02 6.70 0.15 -533,810.18
5482N6 5.4500 11/15/2079 111.180 37,368.83
Call 05/19/2079 @ 100.000
145,000.000 CROWN CASTLE INTL CORP 22822VAQ4 143,405.00 74.137 107,498.65 6.09 0.01 -35,906.35
5482N6 4.1500 07/01/2050 98.900 1,504.38
Call 01/01/2050 @ 100.000
1,740,000.000 DICK'S SPORTING GOODS 253393AG7 1,735,824.00 61.797 1,075,268.62 7.27 0.10 -660,555.38
5482N6 4.1000 01/15/2052 99.760 15,060.67
Call 07/15/2051 @ 100.000
1,560,000.000 DOMINICAN REPUBL USD 144A W/O RTS 25714PEG9 1,566,978.00 67.569 1,054,072.23 8.93 0.10 -512,905.77
5482N6 5.3000 01/21/2041 100.447 16,076.67
460,000.000 EMPRESA DE LOS FERROCARR 144A W/O 292487AA3 460,000.00 56.143 258,257.93 6.49 0.02 -201,742.07
5482N6 3.0680 08/18/2050 100.000 1,685.70
Call 02/18/2050 @ 100.000
2,575,000.000 ENERGY TRANSFER LP 29273RAP4 2,779,608.25 89.257 2,298,374.70 7.10 0.23 -481,233.55
5482N6 6.0500 06/01/2041 107.946 51,929.17
Call 12/01/2040 @ 100.000
200,000.000 ENERGY TRANSFER LP 86765BAV1 245,584.00 80.968 161,935.10 7.03 0.02 -83,648.90
5482N6 5.4000 10/01/2047 122.792 5,400.00
Call 04/01/2047 @ 100.000
680,000.000 EQUIFAX INC 294429AG0 798,302.00 105.218 715,480.26 6.45 0.07 -82,821.74
5482N6 7.0000 07/01/2037 117.397 11,900.00
438,000.000 FNMA 2013-96 JY 3136AGBD3 485,067.89 87.143 381,685.84 5.20 0.04 -103,382.05
5482N6MBS 4.0000 11/25/2052 Orig Face: 438,000 110.746 1,460.00
Avg Life 03/22/2039 @ 100.000
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Date Run: 10/06/2022
306,660.760 FNMA POOL BK8385 3140HNJ78 306,660.76 74.137 227,349.55 4.76 0.02 -79,311.21
5482N6MBS 1.5000 01/01/2051 Orig Face: 320,000 100.000 383.33
Avg Life 02/17/2034 @ 100.000
2,879,164.630 FNMA POOL BM6359 3140JBB54 3,060,012.14 89.921 2,588,983.93 4.88 0.25 -471,028.21
5482N6MBS 3.5000 02/01/2050 Orig Face: 5,250,000 106.281 8,397.56
Avg Life 04/09/2033 @ 100.000
1,194,736.260 FNMA POOL BQ3395 3140KNXZ6 1,235,431.97 78.676 939,965.89 4.67 0.09 -295,466.08
5482N6MBS 2.0000 09/01/2050 Orig Face: 1,250,026 103.406 1,991.23
Avg Life 02/25/2034 @ 100.000
1,303,345.560 FNMA POOL BQ3399 3140KNX52 1,347,740.73 78.658 1,025,185.22 4.68 0.10 -322,555.51
5482N6MBS 2.0000 09/01/2050 Orig Face: 1,365,200 103.406 2,172.24
Avg Life 02/11/2034 @ 100.000
520,786.070 FNMA POOL BQ4040 3140KPP23 538,037.11 78.627 409,480.91 4.70 0.04 -128,556.20
5482N6MBS 2.0000 11/01/2050 Orig Face: 550,000 103.313 867.98
Avg Life 01/15/2034 @ 100.000
307,740.860 FNMA POOL BQ4041 3140KPP31 322,406.62 82.537 253,998.57 4.77 0.02 -68,408.05
5482N6MBS 2.5000 11/01/2050 Orig Face: 385,000 104.766 641.13
Avg Life 09/17/2033 @ 100.000
193,430.240 FNMA POOL BQ5061 3140KQTT8 200,351.43 78.524 151,889.90 4.74 0.01 -48,461.53
5482N6MBS 2.0000 10/01/2050 Orig Face: 230,000 103.578 322.38
Avg Life 11/25/2033 @ 100.000
205,387.600 FNMA POOL BQ5644 3140KRHW2 216,186.48 82.514 169,474.07 4.69 0.02 -46,712.41
5482N6MBS 2.5000 10/01/2050 Orig Face: 235,000 105.258 427.89
Avg Life 03/07/2034 @ 100.000
295,513.330 FNMA POOL BQ5870 3140KRQY8 305,902.48 78.546 232,114.29 4.79 0.02 -73,788.19
5482N6MBS 2.0000 10/01/2050 Orig Face: 310,000 103.516 492.52
Avg Life 08/25/2033 @ 100.000
451,441.330 FNMA POOL BQ9125 3140KVD72 468,088.23 78.494 354,353.68 4.69 0.03 -113,734.55
5482N6MBS 2.0000 12/01/2050 Orig Face: 470,000 103.688 752.40
Avg Life 03/08/2034 @ 100.000
134,156.540 FNMA POOL BR0232 3140KXHJ8 140,728.13 84.500 113,362.28 4.38 0.01 -27,365.85
5482N6MBS 2.5000 11/01/2050 Orig Face: 140,000 104.898 279.49
Avg Life 04/08/2034 @ 100.000
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Date Run: 10/06/2022
4,535,000.000 FNMA POOL BS5591 3140LGF98 4,279,020.51 90.779 4,116,810.51 4.79 0.40 -162,210.00
5482N6MBS 3.8500 09/01/2037 Orig Face: 4,535,000 94.355 14,549.79
Avg Life 09/21/2037 @ 100.000
755,000.000 FNMA POOL BS6059 3140LGWV0 788,503.13 94.206 711,253.72 4.81 0.07 -77,249.41
5482N6MBS 4.0900 07/01/2034 Orig Face: 755,000 104.438 2,573.29
Avg Life 07/23/2034 @ 100.000
476,639.200 FNMA POOL BV2256 3140MFQJ5 449,157.98 87.305 416,127.65 4.79 0.04 -33,030.33
5482N6MBS 3.0000 02/01/2052 Orig Face: 500,000 94.234 1,191.60
Avg Life 10/28/2032 @ 100.000
804,141.000 FNMA POOL BV4539 3140MJBH7 762,803.12 87.383 702,683.29 4.79 0.07 -60,119.83
5482N6MBS 3.0000 03/01/2052 Orig Face: 890,000 94.859 2,010.35
Avg Life 10/28/2032 @ 100.000
1,603,151.080 FNMA POOL CB3572 3140QN6J6 1,449,849.77 84.109 1,348,389.68 4.65 0.13 -101,460.09
5482N6MBS 2.5000 05/01/2052 Orig Face: 1,625,000 90.438 3,339.90
Avg Life 01/03/2033 @ 100.000
1,642,469.590 FNMA POOL FS1294 3140XGNL9 1,545,461.23 87.318 1,434,173.30 4.79 0.14 -111,287.93
5482N6MBS 3.0000 03/01/2052 Orig Face: 1,660,000 94.094 4,106.17
Avg Life 10/28/2032 @ 100.000
1,357,164.800 FNMA POOL MA4319 31418DYR7 1,164,617.04 78.596 1,066,677.64 4.92 0.10 -97,939.40
5482N6MBS 2.0000 04/01/2051 Orig Face: 1,520,000 85.812 2,261.94
Avg Life 03/17/2033 @ 100.000
7,846,497.200 FNMA POOL MA4562 31418EB82 7,006,063.79 81.207 6,371,898.39 4.55 0.61 -634,165.40
5482N6MBS 2.0000 03/01/2052 Orig Face: 8,075,000 89.289 13,077.50
Avg Life 01/31/2033 @ 100.000
2,613,865.050 FNMA POOL MA4591 31418EC57 2,360,646.87 78.612 2,054,803.39 4.79 0.20 -305,843.48
5482N6MBS 2.0000 02/01/2052 Orig Face: 2,650,000 90.312 4,356.44
Avg Life 09/15/2033 @ 100.000
803,027.220 FNMA POOL QD6118 3133B3YP6 756,727.68 87.305 701,082.02 4.78 0.07 -55,645.66
5482N6MBS 3.0000 02/01/2052 Orig Face: 830,000 94.234 2,007.57
Avg Life 11/05/2032 @ 100.000
1,640,283.000 FNMA POOL QD6204 3133B33M7 1,545,710.43 87.305 1,432,048.37 4.78 0.14 -113,662.06
5482N6MBS 3.0000 02/01/2052 Orig Face: 1,660,000 94.234 4,100.71
Avg Life 11/05/2032 @ 100.000
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Date Run: 10/06/2022
142,784.980 FNMA POOL QD6253 3133B35N3 134,552.53 87.412 124,811.86 4.78 0.01 -9,740.67
5482N6MBS 3.0000 02/01/2052 Orig Face: 145,000 94.234 356.96
Avg Life 11/05/2032 @ 100.000
565,998.580 FNMA POOL QE0398 3133B9NP5 537,079.59 87.528 495,407.73 4.78 0.05 -41,671.86
5482N6MBS 3.0000 04/01/2052 Orig Face: 575,000 94.891 1,415.00
Avg Life 11/05/2032 @ 100.000
5,933,008.900 FNMA POOL QE2327 3133BBSQ3 5,631,723.30 87.290 5,178,924.54 4.78 0.50 -452,798.76
5482N6MBS 3.0000 05/01/2052 Orig Face: 5,985,000 94.922 14,832.52
Avg Life 11/05/2032 @ 100.000
124,440.210 FNMA POOL QU7615 3133JLN88 125,412.40 74.059 92,159.10 4.77 0.01 -33,253.30
5482N6MBS 1.5000 11/01/2050 Orig Face: 130,000 100.781 155.55
Avg Life 02/27/2034 @ 100.000
201,908.860 FNMA POOL QU7616 3133JLN96 211,278.70 82.278 166,127.05 4.70 0.02 -45,151.65
5482N6MBS 2.5000 11/01/2050 Orig Face: 245,000 104.641 420.64
Avg Life 04/17/2034 @ 100.000
359,232.510 FNMA POOL QU7620 3133JLPD5 362,544.20 74.060 266,046.31 4.94 0.03 -96,497.89
5482N6MBS 1.5000 11/01/2050 Orig Face: 375,000 100.922 449.04
Avg Life 09/11/2033 @ 100.000
260,050.030 FNMA POOL QU7709 3133JLR68 260,050.03 74.061 192,595.33 4.82 0.02 -67,454.70
5482N6MBS 1.5000 01/01/2051 Orig Face: 285,000 100.000 325.06
Avg Life 12/06/2033 @ 100.000
1,076,375.180 FNMA POOL RE6080 3133N3XH2 877,582.13 74.081 797,392.58 5.15 0.08 -80,189.55
5482N6MBS 1.5000 11/01/2050 Orig Face: 1,265,000 81.531 1,345.47
Avg Life 12/19/2032 @ 100.000
2,373,762.910 FNMA POOL RE6093 3133N3XW9 2,270,188.97 74.086 1,758,623.21 5.11 0.17 -511,565.76
5482N6MBS 1.5000 04/01/2051 Orig Face: 2,635,000 95.637 2,967.20
Avg Life 01/30/2033 @ 100.000
2,792,446.610 FNMA POOL RE6123 3133N3YU2 2,433,355.43 78.476 2,191,404.39 4.79 0.21 -241,951.04
5482N6MBS 2.0000 03/01/2052 Orig Face: 2,890,000 87.141 4,654.08
Avg Life 10/17/2033 @ 100.000
3,971,709.750 FNMA POOL SD1534 3132DNV34 3,423,117.34 87.144 3,461,095.31 4.78 0.33 37,977.97
5482N6MBS 3.0000 03/01/2052 Orig Face: 4,010,000 86.187 3,971.71
Avg Life 11/05/2032 @ 100.000
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Date Run: 10/06/2022
1,061,537.450 FNMA POOL SE9010 3133SKAK7 1,128,215.26 89.879 954,095.53 4.82 0.09 -174,119.73
5482N6MBS 3.5000 04/01/2050 Orig Face: 2,625,000 106.281 3,096.15
Avg Life 08/08/2033 @ 100.000
553,541.350 FNMA POOL WA2224 3132WVVS0 530,015.84 88.873 491,946.37 4.73 0.05 -38,069.47
5482N6MBS 3.4500 05/01/2037 Orig Face: 555,000 95.750 1,591.43
Avg Life 03/16/2035 @ 100.000
184,568.180 FNMA POOL WA2225 3132WVVT8 180,761.46 91.024 168,000.67 4.74 0.02 -12,760.79
5482N6MBS 3.7000 05/01/2037 Orig Face: 185,000 97.937 569.09
Avg Life 05/14/2035 @ 100.000
265,000.000 FNMA POOL WN0098 3132XEDC2 241,853.91 83.251 220,615.14 4.81 0.02 -21,238.77
5482N6MBS 3.1000 06/01/2037 Orig Face: 265,000 91.266 684.58
Avg Life 11/10/2036 @ 100.000
345,000.000 FNMA POOL WN0099 3132XEDD0 314,866.41 83.251 287,215.94 4.81 0.03 -27,650.47
5482N6MBS 3.1000 06/01/2037 Orig Face: 345,000 91.266 891.25
Avg Life 11/10/2036 @ 100.000
285,000.000 FNMA POOL WN0100 3132XEDE8 260,107.03 83.251 237,265.34 4.81 0.02 -22,841.69
5482N6MBS 3.1000 06/01/2037 Orig Face: 285,000 91.266 736.25
Avg Life 11/10/2036 @ 100.000
2,305,000.000 FRESNILLO PLC 144A W/O RTS 358070AB6 2,296,309.50 68.833 1,586,600.65 6.74 0.16 -709,708.85
5482N6 4.2500 10/02/2050 99.623 48,709.13
Call 04/02/2050 @ 100.000
15.420 G2 POOL 791976 36177LFS8 16.75 90.337 13.93 5.15 0.00 -2.82
5482N6MBS 4.6300 06/20/2063 Orig Face: 2,730,000 108.625 0.06
Avg Life 06/01/2033 @ 100.000
3,135,000.000 GENERAL MOTORS CO 37045VAH3 3,253,789.25 82.035 2,571,796.12 7.20 0.25 -681,993.13
5482N6 5.0000 04/01/2035 103.789 78,375.00
605,000.000 GEORGETOWN UNIVERSITY 37310PAB7 605,000.00 84.485 511,134.25 6.18 0.05 -93,865.75
5482N6 5.2150 10/01/2118 100.000 15,775.38
Call 04/01/2118 @ 100.000
2,080,000.000 GOLDMAN SACHS GROUP INC 38141GFD1 2,209,654.95 99.668 2,073,101.70 6.79 0.21 -136,553.25
5482N6 6.7500 10/01/2037 106.233 70,200.00
1,830,000.000 GOODYEAR TIRE & RUBBER 382550BK6 1,857,612.85 80.125 1,466,287.50 8.51 0.14 -391,325.35
5482N6 5.6250 04/30/2033 101.509 43,176.56
Call 01/30/2033 @ 100.000
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30,000,000.000 GRUPO TELEVISA MXN EJ6696847 2,485,557.63 3.049 914,792.99 12.49 0.09 -1,570,764.64
5482N6 7.2500 05/14/2043 8.285 42,065.56
1,970,000.000 HCA INC 144A W/RTS 404119CG2 1,968,069.40 75.110 1,479,672.56 6.54 0.14 -488,396.84
5482N6 4.6250 03/15/2052 99.902 4,049.44
Call 09/15/2051 @ 100.000
2,505,000.000 HP ENTERPRISE CO 42824CAX7 2,712,509.10 97.827 2,450,564.42 6.45 0.24 -261,944.68
5482N6 6.2000 10/15/2035 108.284 71,615.17
Call 04/15/2035 @ 100.000
1,880,000.000 KLABIN AUSTRIA GMBH 144A W/O RTS 49836AAB0 1,952,418.00 84.213 1,583,207.24 8.51 0.16 -369,210.76
5482N6 7.0000 04/03/2049 103.852 65,068.89
Call 10/03/2048 @ 100.000
2,335,000.000 LEAR CORP 521865AZ8 2,564,224.90 79.195 1,849,211.47 6.98 0.18 -715,013.43
5482N6 5.2500 05/15/2049 109.817 46,310.83
Call 11/15/2048 @ 100.000
1,075,000.000 LIBERTY MUTUAL GROUP INC 144A W/O 53079EBK9 1,093,137.85 63.163 679,006.40 6.62 0.07 -414,131.45
5482N6 3.9500 05/15/2060 101.687 16,041.39
Call 11/15/2059 @ 100.000
3,280,000.000 MAGALLANES INC 144A W/RTS 55903VAS2 3,280,000.00 72.488 2,377,606.40 7.60 0.23 -902,393.60
5482N6 5.3910 03/15/2062 100.000 7,858.88
Call 09/15/2061 @ 100.000
1,940,000.000 MEXICHEM SAB USD 144A W/O RTS 59284BAD0 1,940,000.00 89.112 1,728,776.35 7.84 0.17 -211,223.65
5482N6 6.7500 09/19/2042 100.000 4,365.00
1,085,000.000 MEXICHEM SAB USD 144A W/O RTS 59284BAE8 1,214,482.00 77.770 843,804.50 8.05 0.08 -370,677.50
5482N6 5.8750 09/17/2044 111.934 2,478.92
285,000.000 ONEAMERICA FINL PARTNERS 144A W/O 682441AB6 283,027.80 72.604 206,921.40 6.36 0.02 -76,106.40
5482N6 4.2500 10/15/2050 99.308 5,585.21
Call 04/15/2050 @ 100.000
2,390,000.000 ORACLE CORP 68389XCB9 2,412,172.75 62.957 1,504,671.65 6.84 0.14 -907,501.10
5482N6 4.1000 03/25/2061 100.928 1,633.17
Call 09/25/2060 @ 100.000
2,160,000.000 PROSUS NV 144A W/O RTS 74365PAE8 2,138,323.20 55.492 1,198,631.67 7.72 0.12 -939,691.53
5482N6 3.8320 02/08/2051 98.996 12,185.76
Call 08/08/2050 @ 100.000
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285,000.000 ROCKETMTGE C0-ISSUER INC 144A W/O 77313LAB9 285,000.00 68.751 195,941.44 8.40 0.02 -89,058.56
5482N6 4.0000 10/15/2033 100.000 5,256.66
Call 10/15/2027 @ 102.000
1,335,000.000 SANTANDER UK GROUP HLDGS 144A W/O 80281LAB1 1,482,053.80 78.955 1,054,053.59 7.57 0.10 -428,000.21
5482N6 5.6250 09/15/2045 111.015 3,337.50
1,625,000.000 SAUDI ARAB OIL USD 144A W/O RTS 80414L2M6 1,582,306.50 64.500 1,048,125.00 5.65 0.10 -534,181.50
5482N6 3.5000 11/24/2070 97.373 20,064.24
Call 05/24/2070 @ 100.000
2,215,000.000 SOCIEDAD QUIMICA Y MINER 144A W/O 833636AJ2 2,270,506.50 79.100 1,752,065.00 5.78 0.17 -518,441.50
5482N6 4.2500 01/22/2050 102.506 18,043.02
Call 07/22/2049 @ 100.000
2,300,000.000 SOUTH AFRICA USD 836205BE3 2,266,287.25 75.690 1,740,870.00 9.84 0.17 -525,417.25
5482N6 7.3000 04/20/2052 98.534 75,088.62
2,265,000.000 TENCENT HOLDINGS LTD 144A W/O RTS 88032WAW6 2,253,758.95 56.961 1,290,166.79 6.29 0.13 -963,592.16
5482N6 3.2900 06/03/2060 99.504 24,425.51
Call 12/03/2059 @ 100.000
990,000.000 TENN VALLEY AUTH 880591EH1 1,306,931.67 106.399 1,053,349.69 4.70 0.10 -253,581.98
5482N6 5.2500 09/15/2039 132.013 2,310.00
1,370,000.000 TENN VALLEY AUTH 880591EJ7 1,733,818.90 97.782 1,339,610.04 4.75 0.13 -394,208.86
5482N6 4.6250 09/15/2060 126.556 2,816.11
730,000.000 TENN VALLEY AUTH 880591EB4 906,819.71 99.424 725,793.69 4.91 0.07 -181,026.02
5482N6 4.8750 01/15/2048 124.222 7,512.92
1,640,000.000 TENN VALLEY AUTH 880591ES7 2,190,217.30 89.184 1,462,622.57 4.85 0.14 -727,594.73
5482N6 4.2500 09/15/2065 133.550 3,097.78
3,840,000.000 THAIOIL TRSRY USD 144A W/O RTS 88322YAB7 3,819,724.80 78.305 3,006,912.00 6.87 0.29 -812,812.80
5482N6 4.8750 01/23/2043 99.472 35,360.00
1,070,000.000 TIME WARNER CABLE INC 88732JAY4 916,321.00 82.321 880,838.91 7.70 0.09 -35,482.09
5482N6 5.8750 11/15/2040 85.637 23,748.06
Call 05/15/2040 @ 100.000
890,000.000 TIME WARNER CABLE INC 88732JBB3 809,210.00 78.492 698,574.39 7.67 0.07 -110,635.61
5482N6 5.5000 09/01/2041 90.922 4,079.17
Call 03/01/2041 @ 100.000
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705,000.000 TIME WARNER CABLE INC 88732JBD9 778,615.40 69.041 486,736.31 7.52 0.05 -291,879.09
5482N6 4.5000 09/15/2042 110.442 1,410.00
Call 03/15/2042 @ 100.000
7,315,000.000 U S TREASURY BOND 912810RM2 6,666,822.26 83.477 6,106,310.51 4.13 0.59 -560,511.75
5482N6 3.0000 05/15/2045 91.139 82,890.07
12,500,000.000 U S TREASURY BOND 912810SQ2 7,848,717.03 61.945 7,743,164.00 4.17 0.74 -105,553.03
5482N6 1.1250 08/15/2040 62.790 17,960.25
21,190,000.000 U S TREASURY BOND 912810TA6 19,230,744.56 68.371 14,487,834.82 4.19 1.39 -4,742,909.74
5482N6 1.7500 08/15/2041 90.754 47,360.79
39,340,000.000 U S TREASURY BOND 912810TC2 39,328,502.32 71.570 28,155,760.74 4.17 2.73 -11,172,741.58
5482N6 2.0000 11/15/2041 99.971 297,188.04
17,495,000.000 U S TREASURY BOND 912810TD0 14,504,245.72 72.656 12,711,210.94 3.80 1.22 -1,793,034.78
5482N6 2.2500 02/15/2052 82.905 50,274.35
21,240,000.000 U S TREASURY BOND 912810TF5 20,287,987.21 76.625 16,275,150.00 4.14 1.57 -4,012,837.21
5482N6 2.3750 02/15/2042 95.518 64,427.04
23,180,000.000 U S TREASURY BOND 912810TG3 19,743,023.44 83.859 19,438,603.13 3.79 1.89 -304,420.31
5482N6 2.8750 05/15/2052 85.173 251,720.34
11,245,000.000 U S TREASURY BOND 912810TH1 10,909,616.22 88.750 9,979,937.50 4.09 0.97 -929,678.72
5482N6 3.2500 05/15/2042 97.017 138,041.57
5,430,000.000 U S TREASURY BOND 912810TJ7 4,860,991.60 86.297 4,685,920.31 3.77 0.45 -175,071.29
5482N6TRE 3.0000 08/15/2052 89.521 20,461.96
1,965,000.000 UNIV OF VIRGINIA VA UNIV REVEN REV 915217XA6 1,965,000.00 60.371 1,186,283.08 5.37 0.11 -778,716.92
5482N6 3.2270 09/01/2119 100.000 5,284.21
Call 03/01/2119 @ 100.000
430,000.000 VIATRIS INC 92556VAF3 466,246.05 59.859 257,394.40 7.44 0.03 -208,851.65
5482N6 4.0000 06/22/2050 108.429 4,730.00
Call 12/22/2049 @ 100.000
-----Bank Loans-----
44,251,132.613 LS SENIOR FLOATING RATE FUND LSSLF 27,799,494.48 1.000 44,251,132.61 5.78 4.25 16,451,638.13
5482N6 5.4660 0.628
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Pending Trades -3,265,251.21 -3,265,251.21 0.37 -0.31 0.00

Total Fixed Income 1,164,576,954.76 1,035,014,112.26 5.38 100.00 -129,562,842.50
Total Equity 0.00 0.00 0.00 0.00
Total Commodities 0.00 0.00 0.00 0.00
Total Principal 1,164,576,954.76 1,035,014,112.26 5.38 100.00 -129,562,842.50
Accrued Income 7,201,439.34
Total Fund 1,042,215,551.60
"Yield" represents yield to effective maturity.
This report is a service provided to customers of Loomis Sayles. It is for informational purposes only. It is not a recommendation to buy or sell securities. Past performance is not a guarantee of future results. Loomis Sayles believes the
information contained herein is reliable but we do not guarantee its accuracy.
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HISTORICAL US TREASURY YIELD CURVES
5.0
9/30/2020 9/30/2021 9/30/2022
4.5
4.0
3.5
3.0
Yield (%)
2.5
2.0
1.5
1.0
0.5
0.0
0 5 10 15 20 25 30
Maturity (years)
3 MONTHS 6 MONTHS 1 YEAR 2 YEAR 5 YEAR 10 YEAR 30 YEAR
9/30/2020 0.09% 0.10% 0.12% 0.13% 0.28% 0.68% 1.46%

9/30/2021 0.03% 0.05% 0.07% 0.28% 0.96% 1.49% 2.04%
9/30/2022 3.25% 3.90% 3.93% 4.28% 4.09% 3.83% 3.78%
Yield Change (bps.) 316 380 382 415 381 314 232
Annualized Total Return (%)
Source: Barclays, Bloomberg. As of 9/30/2022. 0.34 0.21 -0.38 -2.58 -6.98 -11.33 -20.87
9/30/2020 - 9/30/2022
XSC016
MALR028739
8111111016
98
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growth
NET TRADE HIT Q122 GDP, INVENTORIES SET TO HIT Q222
RGDP
RGDPwith
WITHContributions
CONTRIBUTIONS
ATLANTA FED GDPNOW Q2 TRACKING
RGDP (SAAR, % Chg) Goods Services Private Fixed Investment
Private Inventories Govt Net Exports %
10.0 10.0 1.5
1.0 Private Inventories

7.5 7.5
0.5
Net Exports
5.0 5.0 0.0

Govt.
-0.5
2.5 2.5
-1.0 Private Fixed
Investment
-1.5
0.0 0.0
Private Consumption
-2.0
-2.5 -2.5
-2.5 RGDP
-3.0
-5.0 -5.0
Q2 Q3 Q4 Q1 -3.5
21 1
S f /
Source: (left chart) Haver Analytics, Bureau of Economics Analysis, as of 7/7/2022; (right chart) Atlanta Fed, Loomis Sayles, as of 7/7/2022.
This material is for informational purposes only and should not be construed as investment advice. Information obtained from outside sources is believed to be correct, but Loomis Sayles cannot guarantee its
accuracy. This material cannot be copied, reproduced or redistributed without authorization.
MALR029235 99
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PERS of Mississippi
Portfolio Review
PGIM Fixed Income

655 Broad Street
Newark, New Jersey
October 2022
The Global Fixed Income Business of Prudential Financial, Inc.

Prudential Financial, Inc. of the United States is not affiliated in any manner with Prudential plc, incorporated in the United Kingdom or with
Prudential Assurance Company, a subsidiary of M&G plc, incorporated in the United Kingdom.
One-on-One Presentation. Confidential – Not for further distribution.

For Professional Investors Only. All investments involve risk, including possible loss of capital.
Please see Notice Page for important disclosures regarding the information contained herein.
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PGIM FIXED INCOME Table of Contents
1 Organization & Team
2 Performance, Attribution, & Positioning
3 Market Review & Outlook
4 Reference
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1 Organization & Team
458/521 3
PGIM FIXED INCOME Assets Under Management
Assets Under Management

Firm Overview: Active Strategies Across Global Fixed Income Markets
• Scale and breadth of capabilities Third Party
Institutional
• Global experience, stability and continuity $358 Billion
• 363 investment professionals $790
Billion
• 979 institutional clients, 1,080 employees
• Collegial culture with a heritage of honest debate Proprietary
$254
• Attract, develop, retain and promote diverse talent Billion Third Party
Retail
• ESG factors are also integrated into our fundamental analysis, and are reflected in $178 Billion
our proprietary ESG impact ratings framework
Expertise Across a Broad Range of Sectors
Corporates $283 Billion

Governments $144 Billion
Other¹ $2 Billion
Mortgages $24 Billion
Municipals $25 Billion $790
Billion
Money Markets $62 Billion
Securitized High Yield $63 Billion

Products $100 Billion
Bank Loans $36 Billion
Emerging Markets $51 Billion
Assets as of June 30, 2022. Staffing as of June 30, 2022. Please see the Reference section for important disclosures, including risks and ESG. Source: PGIM Fixed Income. Assets under
management (AUM) are based on company estimates and are subject to change. PGIM Fixed Income’s AUM includes the following businesses: (i) the PGIM Fixed income unit within PGIM, Inc.,
located in the USA; (ii) the public fixed income unit within PGIM Limited, located in London; (iii) PGIM Japan Co., Ltd. (“PGIM Japan”), located in Tokyo; (iv) the public fixed income unit within PGIM
(Singapore) Pte. Ltd., located in Singapore (“PGIM Singapore”); (v) the public fixed income unit within PGIM (Hong Kong) Ltd. located in Hong Kong (“PGIM Hong Kong”); and (vi) PGIM Netherlands
B.V., located in Amsterdam (“PGIM Netherlands”). Asset class breakdown based on company estimates and is subject to change. 1Other includes Japanese equities and Japanese real estate equities. 4
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PGIM FIXED INCOME Senior Leadership Team
PGIM Fixed Income

Michael Lillard, CFA, Head of Fixed Income
Quantitative Analysis and

President Co-Chief Investment Officers Credit Emerging Markets and FX
Risk Management
John Vibert Craig Dewling & Gregory Peters Richard Greenwood, CFA Cathy Hepworth, CFA
Stephen Warren
Chief Business Officer Chief Operating Officer Client Advisory Group Head of Japan Head of EMEA
Daniel Malooly Paul Parseghian Brad Blalock, CFA Taisaku Kunisawa Sarah McMullen, CFA
Human Resources Finance Legal Compliance

Yuko Ikeda1 Vasel Vataj1 Yogesh Rai1 Matthew Fitzgerald1
As of June 2022.
1Dedicated functional teams that have a direct, independent reporting relationship to corporate senior management of the company.
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PGIM FIXED INCOME Balanced and Deep Organization, Integrated Process
Number of Average Average

1,080 Employees Based Globally:
Investment Firm Investment
• 363 Investment Professionals Team
Professionals Tenure Experience
• 171 Client Advisory Group Professionals
Portfolio Management1 133 17 Years 24 Years
• 374 Operations, Technology and Data Professionals
Fundamental Research 142 14 Years 24 Years
• 108 Business Management, Finance and Administrative Staff
Risk Management
• 64 Legal and Compliance Professionals 88 18 Years 26 Years
& Quantitative Research
Quantitative Analysis
Fundamental Portfolio
and
Research Management1
Risk Management
Global Rates
Global Macroeconomics
Securitized Products
Investment Grade Corporates Risk Management
Corporates
High Yield Emerging Markets
Leveraged Finance
Bank Loans Quantitative Research
Municipals
Emerging Market Corporates
Long/Short
Municipals Money Markets
Portfolio Analysis
Multi-Sector
Insurance
ESG
Liability Driven Investing
Staff as of June 2022. Years experience as of June 30, 2022. Average years of experience and years at firm calculated at principal level and above. 1Includes senior executives and product managers.
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PGIM FIXED INCOME Gross Investment Performance—As of June 30, 2022
YTD 1 Year 3 Year 5 Year 10 Year SI2
Excess Excess Excess Excess Excess Excess Strategy
Return Return Return Return Info Return Info Return AUM3
Strategy / Composite Inception Index / Objective (bps) (bps) (bps) (bps) Ratio 1 (bps) Ratio 1 (bps) ($ billions)
Core Conservative (1989) Bloomberg U.S. Aggregate +25 -29 -29 +1 +3 0.13 +10 0.44 +24 19.9
Core (1991) Bloomberg U.S. Aggregate +60 -95 -93 +20 +31 0.22 +69 0.61 +56 42.4
Japan Core Bond 4 (2003) Nomura-BPI Overall +45 +3 +23 +40 +33 1.39 +52 2.18 +37 12.4
Global Core (2008) Bloomberg Global Aggregate +100 -158 -147 +35 +74 0.45 +118 0.85 +146 6.5
Core Plus (1996) Bloomberg U.S. Aggregate +150 -224 -177 +10 +65 0.23 +148 0.62 +112 86.5
Multi Sector
Global Total Return5 (2002) Bloomberg Global Aggregate +200 -666 -653 -166 +14 0.09 +190 0.56 +179 22.4
Absolute Return6 (2011) ICE BofA US 3-Month Treasury Bill Index +300 -327 -270 +46 +134 0.24 +245 0.52 +239 1.8
Multi-Asset Credit7 (2016) ICE BofA US 3-Month Treasury Bill Index +400 -739 -665 +36 +136 0.23 - - +190 0.3
Strategic Bond 8(2015) Bloomberg Intermediate U.S. Aggregate Bond Index +375 -502 -400 +26 +167 0.29 - - +331 1.3
Global Dynamic Bond 6 (2016) ICE BofA US 3-Month Treasury Bill Index +500 -1,780 -1,805 -398 -1 0.06 - - +202 0.0
Short Duration Core Plus (2014) Bloomberg U.S. 1-3 Yr Govt/Credit +150 -244 -189 +13 +76 0.25 - - +127 3.2
Short Duration Short Term Corporate (1-5 Year) (1994) Bloomberg U.S. 1-5 Yr Credit +60 -82 -52 +30 +29 0.24 +38 0.43 +35 20.6
U.S. Short Duration Higher Quality High Yield (2012) Bloomberg U.S. HY 1-5 Yr Ba/B 1% Issuer Capped +100 +121 +170 +139 +126 1.81 - - +90 5.0
Long Duration Government/Credit (2009) Bloomberg U.S. Long Govt/Credit +60 -108 -115 +11 +15 0.15 +43 0.44 +59 5.8
Long Duration Long Duration Corporate (2008) Bloomberg U.S. Long Corporate +100 -22 +24 +113 +78 0.89 +82 1.09 +112 36.1
Long Duration LDI (1998) Client-Directed Liability Based Benchmark -91 -47 +81 +60 0.43 +85 0.75 +87 19.5
Securitized Products Securitized Products 9 (2016) ICE BofA US 3-Month Treasury Bill Index +300 -314 -177 +89 +168 0.29 - - +273 1.5
U.S. Investment Grade Corporates (1991) Bloomberg U.S. Credit +60 -123 -102 +52 +46 0.35 +82 0.72 +87 30.9
Investment
European Corporate (USD Hedged)10 (2008) Bloomberg Euro Aggregate Corporate USD Hedged +100 -64 -47 +63 +65 1.24 +84 1.92 +86 0.6
Grade Credit
Global Corporate (Unhedged) (2010) Bloomberg Global Corporate (Unhedged) + 100 -85 -74 +58 +52 0.68 +76 1.13 +76 26.8
U.S. Higher Quality High Yield (1998) Bloomberg US HY Ba/B 1% Issuer Capped +125 +19 +61 +101 +98 0.97 +71 0.74 +132 4.1
U.S. Broad Market High Yield 11 (2002) Bloomberg US High-Yield 1% Issuer Capped Index +125 +78 +131 +107 +122 1.34 +99 1.14 +52 31.3
U.S. Senior Secured Loans (2007) CS Leveraged Loan +100 -199 -196 +35 +30 0.25 +37 0.36 +32 27.3
Leveraged
Finance
European High Yield ∩ (2010) ICE BofAML Euro HY ex Financials 2% Constrained +150 +128 +152 +258 +187 1.92 +158 1.44 +192 5.2
European Senior Secured Debt (Constrained),∩ (2006) CS Western European Leveraged Loan (EUR Hedged) +150 -294 -302 -36 -3 0.06 +79 0.17 +79 10.6
Global High Yield (Euro Hedged) ∩ (2002) Bloomberg Global High Yield (EUR Hedged) +125 -71 -65 +79 +107 0.68 +60 0.47 +42 4.1
Global Sr. Secured Loans (USD Hedged) (2011) CS Blend U.S. & West Euro Lev Loan (USD Hedged) +100 -95 -75 +47 +34 0.27 +70 0.56 +64 0.2
Emerging Markets Debt Hard Currency (1996) JPM EMBI Global Diversified +200 -38 -16 0 +32 0.20 +108 0.49 +208 16.9
Emerging Markets Blend (2007) Blend: JPM EMBI Global Divers/GBI-EM Global Divers +200 +79 +116 +85 +78 0.35 +125 0.60 +122 13.8
Emerging
Markets
Emerging Markets Blend Plus (2014) Blend: JPM EMBI Global Divers/GBI-EM Global Divers +500 +169 +93 +303 +245 0.37 - - +326 0.2
Emerging Markets Local Currency (2011) JPM GBI-EM Global Divers +150 +210 +244 +119 +74 0.40 +88 0.53 +73 2.0
Emerging Markets Corporate Debt Broad (2013) JPM CEMBI Broad Divers +150 -95 -101 +66 +78 0.34 - - +50 0.3
National Municipal Bond 12 (1994) Bloomberg 1-15 Yr. Muni Unhedged Index +85 -144 -133 -7 +14 0.13 +38 0.34 +21 0.9
Municipals
High Income Municipal Bond (1994) Blend: Bloomberg Muni High Income/Muni +85 -186 -179 -28 -13 -0.08 +58 0.48 +39 0.8
U.S. Liquidity Relative Value 13 (2002) Max Return vs. ICE BofA US 3-Month Treasury Bill Index -183 -422 +23 +91 0.41 +339 1.43 +497 0.3
Global Liquidity Relative Value 13 (2014) Max Return vs. ICE BofA US 3-Month Treasury Bill Index -409 -907 -106 +61 0.17 - - +454 1.4
Alternatives
Emerging Market Long/Short13 (2007) Max Return vs. ICE BofA US 3-Month Treasury Bill Index -59 -82 +467 +331 0.37 +556 0.73 +752 0.3
U.S. Liquidity Relative Value (S&P Overlay)(2014) Max Return vs. S&P 500 Total Return -143 -350 -57 +18 0.16 - - +198 <0.1
Past performance is not a guarantee or a reliable indicator of future results. Please see the Reference section for important disclosures including risk, inception dates, net returns and benchmark descriptions. The value of investments can
go down as well as up. Where overseas investments are held the rate of currency exchange may cause the value of investments to fluctuate. If applicable, investments in emerging markets are by their nature higher risk and potentially more
volatile than those inherent in some established markets and non-USD securities are converted to USD using a spot rate conversion. All return periods longer than one year are annualized. Shown in USD unless otherwise noted. ∩Performance shown in
EUR. Excess returns are over the stated composite benchmark. Returns are gross of investment management fees which would reduce an investor’s net return. All Non-USD securities are converted to USD using a spot rate conversion. PGIM Fixed
Income’s Composite Performance Returns available upon request. There can be no guarantee that these objectives will be met. Source of benchmark returns: Bloomberg, JPMorgan Indices, iBoxx, Credit Suisse, ICE Data Indices, LLC, and Bloomberg.
Source of custom Long Duration LDI benchmark returns: PGIM Fixed Income. As of June 30, 2022. 1Source of calculations: PGIM Fixed Income. Information Ratio calculated using quarterly returns since monthly returns were not available until 1/1/2010.
2Since Inception. 3Strategy assets may include additional assets not included in the primary marketing composite. 4Japan Core Bond performance shown in JPY. 5Represents excess returns vs. FTSE World Bond Index, the composite benchmark until March
31, 2011. As of April 1, 2011, composite benchmark was changed to the Bloomberg Global Aggregate Index. 6As of 4/1/2022, the benchmark for this composite is the ICE BofA U.S. 3-Month Treasury Bill Index. Prior to 4/1/2022, the benchmark for this
composite was the ICE BofA 3-Month Deposit Offered Rate Constant Maturity Index. Prior to 1/1/2021, the benchmark for this composite was the ICE BofA 3-Month Libor Average. 7As of 3/1/2022, the benchmark for this composite is the ICE BofA U.S. 3-
Month Treasury Bill Index. Prior to 3/1/2022, the benchmark for this composite was the ICE BofA 3-Month Deposit Offered Rate Constant Maturity Index. Prior to 1/1/2021, the benchmark for this composite was the ICE BofA 3-Month Libor Average.
8Effective March 1, 2019, the strategy benchmark changed from the ICE LIBOR 3-Month Average to the Bloomberg Intermediate U.S. Aggregate Bond Index. 9As of 3/1/2022, the benchmark for this composite is the ICE BofA U.S. 3-Month Treasury Bill
Index. Prior to 3/1/2022, the benchmark for this composite was the ICE BofA 3-Month Deposit Offered Rate Constant Maturity Index.1110Represents excess returns vs. iBoxx Euro Corporate (USD Hedged) Index, the composite benchmark until December 31,
2019. As of January 1, 2020, composite benchmark was changed to the Bloomberg Euro Aggregate Corporate USD Hedged Index. Effective October 1, 2020, the Benchmark changed to the Bloomberg US High-Yield 1% Issuer Capped Index, prior to that
the Benchmark was the Bloomberg US Corporate High Yield Bond Index. 12Effective April 1, 2020, the Benchmark changed to the Bloomberg 1-15 Yr. Muni Unhedged Index, prior to that the Benchmark was the Bloomberg Municipal Bond index. 13Effective
7
April 1, 2020, the Benchmark changed to the ICE BofA U.S. 3-Month Treasury Bill Index, prior to that the Benchmark was462/521 3-Month U.S. Dollar LIBOR.
PGIM FIXED INCOME Multi Sector Team
Experienced and Stable Team

• Team averages 21 years investment experience and 18 years tenure with the firm
• Approach leverages firm’s full resources
• $142.2 billion in multi sector strategy assets
Senior Portfolio Managers

Gregory Peters / Michael Collins, CFA / Richard Piccirillo
Portfolio Construction
Sector Allocation Duration / Yield Curve

Michael Collins, CFA / Gregory Peters / Richard Piccirillo Robert Tipp, CFA
Lindsay Rosner, CFA / Tyler Thorn
Security Selection
Governments / Agencies Agency Mortgages Investment Grade Corp

Michael Meyler Stewart Wong David Del Vecchio (U.S.)
Gary Wu, CFA Sydney Xu Danielle Navarro, CFA (U.S.)
Scott Donnelly, CFA Andrew Harnischfeger, CFA Robert White (European)1
Securitized Products Municipals Emerging Markets / FX Global High Yield / Bank Loans
Peter Freitag, CFA Jason Appleson, CFA, FRM Johnny Mak Rob Fawn (European)1
Thomas Chang, CFA John Dittemer Mariusz Banasiak, CFA (Local Derek Godwin, CPA
Edwin Wilches, CFA Lee Friedman, CFA and FX)
Rodrigo Navarro, CFA
Staff as of June 2022. Assets and years of experience as of June 30, 2022. 1European team members are employees of a PGIM affiliate who have been providing services to PGIM Limited, a UK
subsidiary that is authorized and regulated by the Financial Conduct Authority.
463/521 8
2 Performance, Attribution, & Positioning
464/521 9
PGIM FIXED INCOME Investment Performance
Public Employees Retirement System of Mississippi
Investment Performance
Annualized
Since
YTD 1 Year 3 Year 5 Year 10 Year Inception1
Portfolio (%) -16.36 -15.99 -2.17 0.90 2.44 2.83
Benchmark (%)2 -14.61 -14.60 -3.26 -0.27 0.89 1.12
Increment (bps) -175 -139 +108 +117 +155 +171

Increment may not sum due to rounding.
= Attribution to Follow
MISSPLUS
Source of portfolio returns: PGIM Fixed Income. Performance shown gross of fees and other expenses. Performance reported in USD.
Past performance is not a guarantee or a reliable indicator of future results. Performance over one-year is annualized.
1. Inception Date: February 01, 2012
2. Benchmark: Bloomberg U.S. Aggregate Bond Index. Source of Benchmark: Bloomberg.
Please refer to Reference section for important disclosures regarding the information contained herein. 10
465/521
PGIM FIXED INCOME U.S. Interest Rates
Yield Curve Across Maturities

U.S. Interest Rates • Global and U.S. growth forecasts continue to steadily decline as it becomes apparent that different
regions, countries, and sectors are already experiencing recessionary conditions. While the ongoing
3Q2022 YTD 2022 war in Ukraine and COVID-related lockdowns in China have exacerbated supply side disruptions,
YTD Change Change there are increasing examples of supply side resolutions, even some cases of excess inventories
Maturity 12/31/2020 12/31/2021 9/30/2022 (bps)1 (bps) already emerging. To be sure, there are still signs of economic resilience, particularly in the U.S. labor
market and services sectors, and across parts of Europe.
Fed Funds 0.00%-0.25% 0.00%-0.25% 0.25%-3.25% 150 300
• Higher, longer lasting, and more widespread inflation than expected has caused the Fed and other
central banks to embark on aggressive rate hikes. The recent increase in expectations for rate hikes
3 month 0.07 0.04 3.27 157 323
by the Federal Reserve, ECB, Bank of England, and other central banks have pushed global interest
rates higher, particularly shorter-term rates. The slopes of the U.S. yield curve and many global yield
2 year 0.12 0.73 4.28 135 355 curves have flattened significantly, and some have become inverted.
5 year 0.36 1.26 4.09 109 283 • Following the Fed’s 25 bps hike in March, 50 bps hike in May, consecutive 75 bps hikes in June, July,
and September, the market is pricing a terminal funds rate of just under 4.5% by the end of the first
quarter of 2023, with very few cuts now priced in through the remainder of 2023. The tremendous
10 year 0.92 1.51 3.83 86 232 amount of uncertainty with regard to the global economic and inflationary trajectories has resulted in
extreme levels of global interest rate volatility; the Bank of England recently announced emergency
30 year 1.65 1.90 3.78 66 187 bond purchases to support the UK Gilt market.
• The Fed initiated their program of balance sheet reduction (i.e. Quantitative Tightening) in June with a
combination of $30 billion in U.S. Treasuries and $17.5 billion of Agency MBS per month and
accelerated that pace to a total of $95 billion per month beginning in September. Larger than expected
federal government tax receipts will offset some of the Fed’s withdrawal from the markets.
U.S. Treasury Yield Curve bps Yield Spread: 10y-3m and 10y-2y
4.5%
4.2% 530.0
3.9%
3.6% 430.0
3.3%
3.0% 330.0
2.7%
2.4% 230.0
2.1%
1.8% 130.0
1.5%
1.2% 12/31/2021
0.9% 30.0
0.6% 9/30/2022
0.3% (70.0)
0.0% 3 month vs. 10s 2 year vs. 10s
(170.0)
Please see Reference for important disclosures. Past performance is not a guarantee or a reliable indicator of future results. There is no guarantee these expectations will be achieved.
466/521
Tables and charts as of September 30, 2022. Source: Bloomberg and PGIM Fixed Income. 1As of September 30, 2022. 11
PGIM FIXED INCOME Curve Adjusted Fixed Income Excess Returns
Year-to-Date 2022 Excess Returns

Curve-Adjusted Excess Returns
Excess Returns 2017 2018 2019 2020 2021 3Q222 YTD 2022
Aaa Corporate 336 -199 461 -32 81 -63 -195
Aa Corporate 209 -135 356 37 108 -25 -215
A Corporate 291 -315 544 68 73 -56 -313
Baa Corporate 419 -347 841 47 243 -13 -417
U.S. Corporate IG 346 -315 676 49 161 -33 -357
European Corporate IG 347 -249 515 181 75 36 -382
Sterling Corporate IG 320 -310 638 380 108 -48 -396
U.S. Corporate Short (1-5) 162 -59 273 109 59 22 -114
U.S. Corporate IG INT (1-10) 256 -153 454 117 88 7 -227
U.S. Corporate IG Long (10+) 554 -651 1,160 -133 288 -110 -538
European Corporate IG Long (10+) 535 -707 949 339 -20 115 -615
Build America Bonds 552 -188 402 3 438 -125 -257
Crossover (including Fitch) 618 -382 996 881 709 238 -534
Ba U.S. High Yield 575 -380 1,024 484 624 245 -494
B U.S. High Yield 514 -286 1,004 14 592 205 -692
Ba Euro High Yield 786 -378 1,075 192 355 210 -600
B Euro High Yield 646 -449 1,035 -34 551 229 -706
US Bank Loans1 314 -93 557 170 523 -- -370
AAA CLOs 156 -57 223 146 123 -17 -184
Asset-Backed Securities 92 13 71 106 31 30 -11
Investment Grade CMBS 178 -17 190 15 129 -24 -114
AAA CMBS 143 -41 158 89 67 -30 -84
U.S. MBS: Agency Fixed Rate 52 -59 61 -17 -68 -169 -311
Emerging Markets (Investment Grade) 501 -198 691 -89 173 7 -623
Emerging Markets (High Yield) 788 -587 532 -249 -101 40 -967
Past performance is not a reliable indicator of future results. Please see the Notice for important disclosures regarding the information contained herein.
As of: September 30, 2022. Source: Bloomberg. You cannot invest directly in an index.
1Excess return represents CSFB Leveraged Loan index total return versus the total return for Merrill Lynch 3-month LIBOR. 2As of September 30, 2022.
467/521 12
PGIM FIXED INCOME Performance Attribution Summary

Performance Attribution
Year-to-Date as of September 30, 2022 Performance Impact Bps
Duration -61
Curve +39
FX -1
Sector Allocation -40
Treasury 0
Attribution Commentary Sovereign 0
Agency 0
Duration and Yield Curve Contribution
MBS/CMO +43
• US treasury rates sold off and the curve flattened over the year.
CMBS -15
• Duration positioning detracted from returns, while yield curve positioning was
positive. CLO 0
ABS +1
Sector Allocation Municipals -3
• High Yield, IG Corporates, CLOs, Emerging Markets, Sovereign, CMBS, MBS, Investment Grade Corporate -7
Municipals, ABS, and Bank Loan sectors all had negative excess returns for the High Yield -54
year. Bank Loans 0
• Based on spread duration positioning, overweights in High Yield, CMBS, Emerging Market -5
Investment Grade Corporates, and Emerging Markets were negative. Security Selection -113
• An underweight in MBS/CMO was positive.
Cash -2
Industry/Security Selection Treasury -13
• Selection within Investment Grade Corporates, Emerging Markets, High Yield, Sovereign -1
Treasury, and Non Agency MBS detracted from returns. Interest Rate Swaps 0
• In Investment Grade Corporates, overweight in Banking issuers such as US Agency 0
Bancorp and Bank of America underperformed, and overweight in Health Care & MBS/CMO 0
Pharmaceutical issuers such as Viatris and Mylan detracted from performance. CMBS 0
• Within Emerging Markets, overweight in Ukraine and Petroleos Mexicanos Non-Agency RMBS -7
underperformed. CLO 0
• In High Yield, overweight in Health Care & Pharmaceutical issuers such as ABS -6
Bausch Health Companies and Davita hurt performance, and overweight in
Municipals +5
Consumer Non-Cyclical issuers such as Bellis Holdco and Allied Universal Holdco
Investment Grade Corporate -40
was negative.
• Within Treasuries, positioning in Nominal Bonds and Zeros hurt performance. High Yield -15
• In Non-Agency MBS, overweight in CRT and Home Eq led to underperformance. Bank Loans 0
Emerging Market -33
Trading +1
Total -175
MISSPLUS
Source of portfolio attribution: PGIM Fixed Income. Attribution shown above is based on gross returns. Represents attributi on vs. the Bloomberg U.S. Aggregate Bond Index. Source of Benchmark:
Bloomberg. Totals may not sum due to rounding. Past performance is not a guarantee or a reliable indicator of future results. Please refer to Reference section for important disclosures regarding the
information contained herein. 13
468/521
PGIM FIXED INCOME Performance Attribution—Industry & Issuer

Top Ten Contributors By Industry Top Ten Contributors By Issuer
Year-to-Date as of September 30, 2022 Year-to-Date as of September 30, 2022
Active Active
Contribution Active Market Duration Contribution Active Market Duration
Industry (bps) Val % Contribution Issuers (bps) Val % Contribution
ENERGY - UPSTREAM 4.6 1.2% 0.03 BOMBARDIER INC 2.3 0.5% 0.01
REV - EDUCATION 3.5 0.2% 0.04 UNIVERSITY OF MICHIGAN 2.3 0.1% 0.03
ENERGY - MIDSTREAM 2.9 1.3% 0.11 ENLINK MIDSTREAM PART LP 1.7 0.1% 0.02
AEROSPACE & DEFENSE 1.1 0.4% 0.01 OCCIDENTAL PETRO CORP 1.6 0.1% 0.01
REV - SPECIAL TAX 0.7 0.2% 0.02 VISTRA CORP 1.2 0.5% 0.02
PAPER & PACKAGING 0.6 0.2% 0.00 DEUTSCHE TELEKOM AG 0.9 0.4% 0.01
TOBACCO 0.6 0.1% 0.00 MICHIGAN STATE UNIVERSITY 0.9 0.1% 0.02
OTHER INDUSTRIAL 0.6 0.1% 0.01 AT&T INC 0.9 0.1% 0.03
AIRLINES 0.3 0.3% 0.01 ASCENT RES UTICA HOLDINGS 0.9 0.1% 0.00
REV - WTR/SWR/PWR 0.1 -0.1% -0.01 BRAZIL MINAS SPE 0.8 0.2% 0.01
Bottom Ten Contributors By Industry Bottom Ten Contributors By Issuer

Year-to-Date as of September 30, 2022 Year-to-Date as of September 30, 2022
Active Active
Contribution Active Market Duration Contribution Active Market Duration
Industry (bps) Val % Contribution Issuers (bps) Val % Contribution
FOREIGN NON-CORPORATE -29.1 3.5% 0.11 UKRAINE REPUBLIC OF (GOV) -18.3 0.2% 0.00
HEALTH CARE & PHARMA -20.1 0.6% 0.06 BAUSCH HEALTH COMP INC -12.5 0.2% 0.01
BANKING -9.8 4.6% 0.27 PETROLEOS MEXICANOS -5.1 0.7% 0.03
CONSUMER NON-CYC -6.2 1.0% 0.06 BELLIS HOLDCO LTD -4.6 0.5% 0.02
CABLE & SATELLITE -5.5 0.6% 0.04 VIATRIS INC -4.3 0.2% 0.03
AUTOMOTIVE -5.0 0.5% 0.05 VEON HOLDINGS BV -3.7 0.1% 0.00
TELECOM -3.5 1.1% 0.07 CHARTER COMM INC -2.7 0.5% 0.05
REITS -3.1 0.3% 0.02 BROADCOM INC -2.6 0.4% 0.05
TECHNOLOGY -2.6 -1.6% -0.11 SERBIA (REPUBLIC OF) -2.6 0.2% 0.01
MEDIA & ENTERTAINMENT -2.6 0.1% 0.01 COOPER-STANDARD AUTO INC -2.2 0.1% 0.00
MISSPLUS
Source of portfolio attribution: PGIM Fixed Income. Attribution shown above is based on gross returns. Represents attributi on vs. the Bloomberg U.S. Aggregate Bond Index. Source of Benchmark:
Bloomberg. Totals may not sum due to rounding. Past performance is not a guarantee or a reliable indicator of future results. Please refer to Reference section for important disclosures regarding the
information contained herein. 14
469/521
PGIM FIXED INCOME Portfolio Positioning
As of September 30, 2022 As of December 31, 2021
Characteristics Portfolio Benchmark Portfolio Benchmark
Market Value ($) 1,045,286,013 --- 1,251,080,519 ---

Effective Duration (years) 6.27 6.38 7.38 6.69
Spread Duration (years) 4.47 3.93 4.46 4.12
Effective Yield (%) 6.23 4.71 2.45 1.73
Option Adjusted Spread (bps) 211 59 119 30
Average Quality A1 Aa2 A2 Aa2
Number of Issuers 429 1794 471 1696
Sector Distribution Quality Distribution¹

20.1%
U.S. Govt 21.0%
40.9%
0.2% 50.4%
Agencies 0.2% AAA 39.2%
1.3% 73.9%
14.3%
Mortgages 1.5% 2.5%
27.6% AA 2.7%
4.5% 2.8%
Non-Agency MBS 5.4%
0.0%
24.3% 8.8%
IG Corporates 28.7% A 10.9%
23.3% 10.8%
1.6%
Non-US Govt Related 2.7% 22.3%
2.4% BBB 26.0%
15.9% 12.5%
CMBS 16.6%
1.9% 7.1%
3.4% BB 8.0%
ABS 3.2% 0.0%
0.4%
1.9% 4.2%
Municipals 1.8% B 5.1%
0.9% 0.0%
9.1%
High Yield 10.6% 1.1%
0.0% Portfolio - 9/30/2022 CCC and Below 1.6% Portfolio: - 9/30/2022
4.7% 0.0%
Emerging Markets 5.7% Portfolio - 12/31/2021 Portfolio: - 12/31/2021
1.3% Benchmark - 9/30/2022 3.5%
0.0% Benchmark - 9/30/2022
Cash & Equivalents 2.5%
Not Rated 4.0%
0.0% 0.1%
-10% 0% 10% 20% 30% 40% 50% 0% 10% 20% 30% 40% 50% 60% 70% 80%
MISSPLUS
Source: PGIM Fixed Income. Benchmark: Bloomberg U.S. Aggregate Bond Index. Source of Benchmark: Bloomberg. Benchmark statistics based on PGIM analytics and may differ from published statistics
by official benchmark vendors. Please see the Reference section for important disclosures. 1.Quality ratings are reported as the middle of Moody’s, S&P, and Fitch–excluding cash and cash equivalents.
470/521 15
3 Market Review & Outlook
The comments, opinions, and estimates contained herein are based on and/or derived from publicly available information from sources that PGIM Fixed Income
believes to be reliable. We do not guarantee the accuracy of such sources or information. This outlook, which is for informational purposes only, sets forth our views
as of this date. The underlying assumptions and our views are subject to change. Past performance is not a guarantee or a reliable indicator of future results.
471/521 16
PGIM FIXED INCOME Global Macro Outlook
Bottom Line: We Are No Longer in a ‘Great Moderation’

of Macro Risk
Annual Growth (%)
Pre-COVID
2016 2017 2018 2019 2020 2021-Estimate 2022-Forecast1 2023-Forecast1 10 Year
Average2
PGIM PGIM PGIM
Bloomberg Bloomberg Bloomberg
Actual Actual Actual Actual Actual Fixed Fixed Fixed Actual
Survey Survey Survey
Income Income Income
Global 3.1 3.8 3.7 2.9 -3.0 6.2 6.2 3.0 3.1 2.4 2.3 3.7
United States 1.7 2.3 2.9 2.3 -3.4 5.7 5.7 1.6 1.8 0.7 0.8 2.3
Euro Area 1.9 2.6 1.8 1.6 -6.4 5.2 5.2 3.0 3.2 0.2 -1.4 1.4
Japan 0.7 1.7 0.6 -0.2 -4.5 1.7 1.7 1.6 1.6 1.5 1.8 1.2
United Kingdom 2.3 2.1 1.7 1.7 -9.3 7.2 7.5 3.5 4.3 -0.2 -1.4 2.0
China 7.7 6.9 6.7 6.0 2.2 8.1 8.1 3.3 3.0 5.0 5.7 7.5
Past performance is not a guarantee or a reliable indicator of future results. Please see Reference section for important disclosures. The forecasts presented herein are for informational
purposes. As of October 11, 2022. Source: PGIM Fixed Income and Bloomberg. There can be no assurance that these forecasts wil l be achieved. Survey forecast for global growth based on
average forecast from several broker dealers and PGIM Fixed Income calculations. 1Global growth aggregated with PPP weights. 210 Year Average is 2010 – 2019.
472/521 17
PGIM FIXED INCOME GDP Growth and Inflation
GDP Forecast Revisions Have Been Somewhat Smaller

in the US, While Inflation Has Been Higher and Broader
U.S. and Euro Area Real GDP Growth U.S. and Euro Area Sources of Inflation
PP (Percentage Point Contributions)
%
Pct. Pt.
8 9
U.S. Euro Area Downward U.S. Euro Area
Revisions YTD 8
6
7
4
6
Energy Other
2 5
4
0
3
-2 2
1
-4
0
-6
-1
-8 -2
2019
2019 2019 2020
2020 2020 20212021 2121 202220222022 2019 2020 2021 2022 2019 2020 2021 2022
Source: Haver Analytics, PGIM Fixed Income. Data as of September 2022. The comments, opinions, and estimates contained herei n are based on and/or derived from publicly available information from
sources that PGIM Fixed Income believes to be reliable. We do not guarantee the accuracy of such sources or information. Thi s outlook, which is for informational purposes only, sets forth our views as of
this date. The underlying assumptions and our views are subject to change. Past performance is not a guarantee or a reliable indicator of future results.
473/521 18
PGIM FIXED INCOME Potential Outcome Framing
Geopolitical/Central Bank Matrix—Caught Between

Scylla and Charybdis
Post Peak Hawkishness More Hikes / Hawkish
War Rages On War Rages On
Geopolitical Risk
Risk Appetite Risk Appetite
(Russia / Ukraine)
Post Peak Hawkishness More Hikes / Hawkish
De-escalation De-escalation
Risk Appetite Risk Appetite
Central Bank Hawkishness
Past performance is not a guarantee or a reliable indicator of future results. Please see Notice for important disclosures. The forecasts presented herein are for informational purposes.
There can be no assurance that these forecasts will be achieved. As of September 2022. Source: PGIM Fixed Income.
474/521 19
Supply Chains
Russia/Ukraine Conflict and China’s Zero-Covid

Policy Complicate Supply Chains
• Russia-Ukraine war is disrupting commodities, and not just the energy complex
• China zero-COVID policy is also delaying supply chains normalization
Key Commodities Exported Supplier Delivery Times

by Russia and Ukraine by United States and China
As of 2022 As of September 30, 2022
Nuclear Reactors/Parts
Wheat
Ammonia
Barley
Tungsten Ore Russia
Corn Ukraine
Carbon
Fertilizers
Manufactured Platinum
Precious Metal Ores
Manufactured Nickel
Manufactured Titanium
Energy
Lead Ore
Titanium Ore
Animal Fats/Vegetable Oils
Wood
Manufactured Iron and Steel
0 5 10 15 20 25 30 35
Share of Global Exports (Percent)
Chart on Left: Note: These goods cover approximately 70% of classified Russian + Ukrainian Exports; manufactured metals exclude raw forms.
Source: United Nations, ISM, Haver Analytics. The comments, opinions, and estimates contained above are based on and/or derived from publicly available information from sources that PGIM Fixed
Income believes to be reliable. We do not guarantee the accuracy of such sources or information. This outlook, which is for i nformational purposes only, sets forth our views as of this date. The underlying
assumptions and our views are subject to change. Past performance is not a guarantee or a reliable indicator of future results.
20
475/521
PGIM FIXED INCOME Inflation Outlook
Geopolitical Events May Delay Supply/Demand

Normalization
Principal Components of Manufacturing Stress Indicators
As of September 2022
4 1
Recessions
3 0.9
Demand Principal Component
Supply Principal Component 0.8
2
0.7
1 0.6
Z-Score
Z-Score
0 0.5
-1 0.4
0.3
-2
0.2
-3 0.1
Severe Supply/Demand
Imbalance
-4 0
Sep-01
Sep-02
Sep-03
Sep-04
Sep-05
Sep-06
Sep-07
Sep-08
Sep-09
Sep-10
Sep-11
Sep-12
Sep-13
Sep-14
Sep-15
Sep-16
Sep-17
Sep-18
Sep-19
Sep-20
Sep-21
Sep-22
Mar-01
Mar-04
Mar-15
Mar-18
Mar-21
Mar-02
Mar-03
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-12
Mar-13
Mar-14
Mar-16
Mar-17
Mar-19
Mar-20
Mar-22
6 Inflation Pressure Indicator and Goods Inflation 10.000
5 As of September 2022
8.000
Inflation Pressure Indicator (Demand PC - Supply PC) Core Goods PCE Inflation (RHS)*
4
Difference in Z-Score
3 6.000
6-Month %
4.000
1
2.000
0
-1 0.000
-2
-2.000
-3
-4 -4.000
Sep-01
Sep-02
Sep-03
Sep-04
Sep-05
Sep-06
Sep-07
Sep-08
Sep-09
Sep-10
Sep-11
Sep-12
Sep-13
Sep-14
Sep-15
Sep-16
Sep-17
Sep-18
Sep-19
Sep-20
Sep-21
Sep-22
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-12
Mar-13
Mar-14
Mar-15
Mar-16
Mar-17
Mar-18
Mar-19
Mar-20
Mar-21
Mar-22
Sources: Haver, Bloomberg, PGIM Fixed Income. As of September 2022. *As of August 2022.
For informational purposes only. 476/521 21
PGIM FIXED INCOME Supply Chains
Supply Chain Strains Mean Corporate Margins and

Profits Are at Risk
• With input prices on the rise and final demand easing, corporate margins will come under pressure
Global PMI New Orders & Input Costs Profit Margins & Input Prices
As of September 2022 As of June 2022
50+ = Increasing Z-Score Difference %
80 3 30
Global PMI (New Orders - Input Prices)
2 25
70
1 20
60
0 15
50
-1 10
40
-2 5
New Orders
30 Input Costs -3 0
20 -4 -5
Source: JP Morgan, BEA.

The comments, opinions, and estimates contained above are based on and/or derived from publicly available information from so urces that PGIM Fixed Income believes to be reliable. We do not guarantee
the accuracy of such sources or information. This outlook, which is for informational purposes only, sets forth our views as of this date. The underlying assumptions and our views are subject to change. Past
performance is not a guarantee or a reliable indicator of future results.
477/521 22
PGIM FIXED INCOME U.S. Monetary Policy
The Fed Has Accelerated Rate Hikes and Begun

Quantitative Tightening
Fed Funds Rate Evolution of Fed Balance Sheet
As of September 2022 Total Assets, As of September 2022
Percent Billions USD
5.0 Fed Funds Rate 9000 Forecast

Market Implied 1
4.5 Sept 2022 FOMC Projection 8500
8000
4.0
7500
3.5
7000
3.0 6500
2.5 6000
5500
2.0
5000
1.5
4500
1.0
4000
0.5 3500
0.0 3000
2018 - Jul
2019 - Jul
2020 - Jul
2021 - Jul
2022 - Jul
2023 - Jul
2024 - Jul
2018 - Jan
2019 - Jan
2020 - Jan
2021 - Jan
2022 - Jan
2023 - Jan
2024 - Jan
1As of September 26, 2022. PGIM Fixed Income’s Longer Run Mark et Implied figure uses the model Source: Federal Reserve, Haver, and PGIM FI estimates.
terminal fund rate. Everything prior is mark et implied from Fed Funds Futures values from Bloomberg. The forecasts / projections presented herein are for informational purposes. There can be no
Source: Federal Reserve Board, BEA assurance that these forecasts / projections will be achieved.
478/521 23
PGIM FIXED INCOME U.S. Monetary Policy
Fed Signaling a Policy Overshoot, And Markets

Appear on Board
Median Year-End Fed Funds Rate Projected by Median FOMC Fed Funds Rate Projections
Fed Officials as of Each FOMC Meeting Date vs. Market Pricing
Percent Percent
5.0 5.0
4.6
4.5 4.5 4.4 4.3
3.9
4.0 4.0 4.3
3.5 3.5 3.9

3.6
2.9
3.0 3.0
2.5
2.5 2.5
2.0 2.0
1.5 1.5
1.0 1.0
0.5 0.5
0.1 0.1
0.0 0.0
2021 2022 2023 2024 2025 2021 2022 2023 2024 2025 Long Term
Jun. 2021 Sep. 2021 Dec. 2021

Fed Median Projection
Mar. 2022 Jun. 2022 Sep. 2022 Fed Funds Futures (9/21/2022)
Fed Funds Futures (9/22/2022)
Source: Federal Reserve, Bloomberg. As of September 2022. Projections are not guaranteed, and actual results may vary. 24
479/521
Global Long-Term Rates
Long-Term Interest Rates Have Risen Dramatically
Long-Term Government Bond Yields (10-Year Bonds)

%
6.00 US
Germany
5.00
Japan
UK
4.00
3.00
2.00
1.00
0.00
-1.00
-2.00
Source: Bloomberg and PGIM Fixed Income. Please see Notice for important disclosures regarding the information contained herein.
25
480/521
PGIM FIXED INCOME Central Banks & Market Volatility
As the U.S. Yield Curve Has Flattened, Rate Volatility

Has Spread into Other Asset Markets
Treasury 2 and 10-Year Yield Curve Flattens Drastically Options-Implied Volatility for Treasuries March Higher
As of September 30, 2022 As of September 30, 2022
Implied Volatility for Treasuries (MOVE) (LHS)

170 Implied Volatility for Equities (VIX) (RHS) 40
160
140 2- and 10-year Curve
150
140 35
130
120
90 30
110
100
Basis Points
90
25
40 80
70
60
20
50
-10 40
30 15
20
10
-60 0 10
Source: PGIM Fixed Income, Bloomberg. Source: PGIM Fixed Income, Bloomberg.
481/521 26
PGIM FIXED INCOME U.S. Investment Grade Corporate Bond Fundamentals
Credit Fundamentals are Back to Pre-Pandemic Levels

Leverage Ratios Have Declined Interest Coverage Has Turned Up
Total Debt / EBITDA (Pre-tax Profit plus Net Interest / Net Interest)
As of June 30, 2022 As of June 30, 2022
30% 18x
17x
20% 3.0x 16x
10% 15x
14x
0% 13x
2.0x 12x
-10% 11x
-20% 10x
EBITDA Growth YoY% Total Debt/EBITDA (rhs) 9x Coverage
-30% 1.0x 8x
Source: JPMorgan. Source: Department of Commerce
Profit Margins Continue at Strong Levels Share Buybacks and Dividends Rising
As of June 30, 2022 As of June 30, 2022
$ (000’s)
34% 600,000 Share Buybacks (LTM)

Dividends (LTM)
32% 500,000
30% 400,000
28% 300,000
26% 200,000
24% Profit Margins 100,000
22% 0
Source: JPMorgan. Source: JPMorgan. Share buybacks and dividends based on the companies in their
482/521 Fundamentals analysis 27
PGIM FIXED INCOME U.S. High Yield Fundamentals
Strong Improvement in Credit Fundamentals Will

Likely Moderate
• Credit quality has improved at a rapid rate, but may be peaking
• Upgrades have sharply outnumbered downgrades, bolstering many rising stars
U.S. High Yield Net Leverage (Ex-Energy) 12-Month U.S. High Yield Upgrade/Downgrade Ratio
As of September 30, 2022 As of September 30, 2022
6x 2.50
2.25
2.00
1.75
5x
1.50
1.25
1.00
4x
0.75
0.50
0.25
3x 0.00
Source of left chart: BofA Merrill Lynch Global Research. Source of right chart: ICE Data Indices. ICE Data Indices, LLC, used with permission.
Past performance is not a guarantee or a reliable indicator of future results. 28
483/521
4 Reference
484/521 29
PGIM FIXED INCOME Presenter Biographies
Michael J. Collins, CFA, is a Managing Director and Senior Portfolio Manager for Core, Core Plus, Absolute Return, and other Multi-Sector Fixed Income
strategies. Previously, Mr. Collins was a High Yield Portfolio Manager and Fixed Income Investment Strategist. Earlier he was a credit research analyst, covering
investment grade and high yield corporate credits. Additionally, he developed proprietary quantitative international interest rate and currency valuation models for
our global bond unit. Mr. Collins began his career at the Firm in 1986 as a software applications designer. He received a BS in Mathematics and Computer
Science from Binghamton University and an MBA in Finance from New York University. Mr. Collins holds the Chartered Financial Analyst (CFA) designation and
is a Fellow of the Life Management Institute (FLMI). He currently serves as the Treasurer on the Board of CEA, a non-profit that provides education and
employment for people with disabilities. Mr. Collins was named a 2019 winner of the Pension and Investment Provider Award for Global Multi-Asset Credit. Mr.
Collins is the host of PGIM Fixed Income’s “All The Credit” podcast.
Shannon Walsh, CFA, is a Director, Client Advisory, for PGIM Fixed Income. Ms. Walsh works with our large institutional investors in developing fixed income
solutions to meet their needs. Prior to joining the Client Advisory team, Ms. Walsh was a member of PGIM Fixed Income's Marketing & Communications Team
where she was responsible for management and development of presentations and collateral materials for institutional sales and client relations globally. Ms.
Walsh joined the Firm in 2013. She received a BA in Communications from Villanova University. Ms. Walsh holds the Chartered Financial Analyst (CFA)
designation.
Carlos Prata is a Vice President in Client Management for PGIM Fixed Income. Mr. Prata is responsible for providing ongoing service to PGIM Fixed Income's
institutional clients. This includes development of customized client communication plans, responding to daily inquiries, and coordination of activity with our
clients’ other service providers. Prior to assuming this position, he was a Senior Associate in the Account Management Group of PGIM Fixed Income. Mr. Prata
has been with the Firm since 1996 and has held various roles within the Firm’s asset management businesses. Mr. Prata received a BA from Rutgers University.
For purposes of the biographies, the “Firm” is defined as Prudential Financial, Inc. ("PFI"). All PGIM and Prudential named entities are subsidiaries or affiliates of PFI. PFI. of
the United States is not affiliated in any manner with Prudential plc, incorporated in the United Kingdom or with Prudential Assurance Company, a subsidiary of M&G plc,
incorporated in the United Kingdom.
485/521 30
PGIM FIXED INCOME Portfolio Holdings

Security Maturity Effective Effective Total Market
Cusip Description Coupon Date Duration (yrs) Yield (%) OAS (bps) PAR Price Value
912810RC4 TREASURY BOND 3.63 08/15/2043 14.12 4.12 -5 3,460,000.00 93.17 3,239,765.83
912810RJ9 TREASURY BOND 3.00 11/15/2044 15.08 4.15 24,318,000.00 83.47 20,573,490.57
912810RK6 TREASURY BOND 2.50 02/15/2045 15.90 4.14 25,265,000.00 76.20 19,333,389.03
912810RQ3 TREASURY BOND 2.50 02/15/2046 16.39 4.12 2 8,770,000.00 75.88 6,682,511.28
912810SW9 TREASURY BOND 1.88 02/15/2041 14.60 4.16 8 6,620,000.00 70.83 4,704,674.80
912810SY5 TREASURY BOND 2.25 05/15/2041 14.21 4.14 5 54,040,000.00 75.58 41,301,685.33
912810TC2 TREASURY BOND 2.00 11/15/2041 14.76 4.17 3 3,230,000.00 71.56 2,335,869.29
912810TF5 TREASURY BOND 2.38 02/15/2042 14.58 4.14 -2 6,690,000.00 76.63 5,146,505.20
91282CBT7 TREASURY NOTE 0.75 03/31/2026 3.39 4.23 2 24,450,000.00 88.80 21,711,339.71
91282CDP3 TREASURY NOTE 1.38 12/31/2028 5.85 4.01 -2 26,135,000.00 85.58 22,456,658.54
91282CDW8 TREASURY NOTE 1.75 01/31/2029 5.86 4.04 2 8,505,000.00 87.33 7,452,332.91
91282CDY4 TREASURY NOTE 1.88 02/15/2032 8.40 3.82 4 20,095,000.00 84.78 17,084,913.71
91282CEW7 TREASURY NOTE 3.25 06/30/2027 4.31 4.09 -4 925,000.00 96.39 899,210.60
91282CEY3 TREASURY NOTE 3.00 07/15/2025 2.62 4.28 3 9,250,000.00 96.66 8,999,521.06
91282CFB2 TREASURY NOTE 2.75 07/31/2027 4.44 4.09 -4 12,820,000.00 94.17 12,132,231.39
91282CFJ5 TREASURY NOTE 3.13 08/31/2029 6.12 3.97 -1 5,530,000.00 94.94 5,264,842.61
912834DV7 TREASURY STRIP (INT) 0.00 05/15/2039 16.31 4.10 15 245,000.00 50.95 124,835.16
912834FB9 TREASURY STRIP (INT) 0.00 02/15/2040 17.04 4.11 9 2,275,000.00 49.33 1,122,303.71
912834JB5 TREASURY STRIP (INT) 0.00 08/15/2040 17.52 4.16 10 1,115,000.00 47.88 533,806.25
912834JH2 TREASURY STRIP (INT) 0.00 11/15/2040 17.77 4.18 8 2,710,000.00 47.26 1,280,686.73
912834KP2 TREASURY STRIP (INT) 0.00 08/15/2041 18.49 4.23 6 630,000.00 45.35 285,690.23
912834KV9 TREASURY STRIP (INT) 0.00 11/15/2041 18.74 4.28 7 6,270,000.00 44.49 2,789,415.22
912834LR7 TREASURY STRIP (INT) 0.00 08/15/2042 19.46 4.30 3 215,000.00 42.96 92,357.62
912834NF1 TREASURY STRIP (INT) 0.00 02/15/2044 20.94 4.28 2 5,990,000.00 40.46 2,423,376.16
912834NP9 TREASURY STRIP (INT) 0.00 05/15/2044 21.18 4.28 3 4,270,000.00 40.00 1,707,833.21
912834PH5 TREASURY STRIP (INT) 0.00 02/15/2045 21.92 4.27 6 640,000.00 38.88 248,825.00
Total US Govt 209,928,071.13
880591CS9 TVA 5.88 04/01/2036 9.35 4.72 91 1,966,000.00 111.43 2,248,574.06
Total Agencies 2,248,574.06
3132DV7K5 FHLM C 30YR UM BS SUPER 2.00 10/01/2050 7.48 4.51 47 951,164.43 81.42 776,043.79
3132DWBC6 FHLM C 30YR UM BS SUPER 2.50 03/01/2051 7.18 4.65 59 4,943,729.15 84.39 4,182,423.65
3132DWDE0 FHLM C 30YR UM BS SUPER 3.00 03/01/2052 7.18 4.71 60 10,209,713.05 87.01 8,909,268.41
3132DWDF7 FHLM C 30YR UM BS SUPER 3.50 03/01/2052 6.44 4.91 75 2,422,155.05 90.03 2,187,734.59
3132DWDW0 FHLM C 30YR UM BS SUPER 4.00 04/01/2052 5.97 5.05 80 6,233,052.31 92.75 5,801,764.87
3136A6ZY3 FNR_12-66 4.00 06/25/2042 7.09 4.76 78 2,000,000.00 94.63 1,899,193.07
3136B3EP1 FNR_18-78 3.50 07/25/2043 0.11 3.39 48 10,165.82 99.78 10,173.26
3136B4GZ5 FNR_19-13 4.00 04/25/2049 6.45 4.91 80 1,150,006.03 93.77 1,082,248.17
3137BVG34 FHR_4655 4.00 02/15/2047 6.81 4.92 80 624,886.50 93.47 586,187.87
3137F4CV2 FHR_4773 4.00 09/15/2045 0.18 4.85 150 31,081.39 99.70 31,092.06
3137F5RD3 FHR_4795 3.50 06/15/2048 8.30 4.38 30 1,000,000.00 92.41 927,050.77
3137FHQF3 FHR_4831 3.50 10/15/2044 1.85 4.15 -16 77,451.44 98.63 76,618.28
31418D6B3 FNM A 30YR UM BS 2.00 11/01/2051 7.79 4.46 42 3,170,681.67 81.06 2,575,281.54
31418D7G1 FNM A 30YR UM BS 3.00 12/01/2051 6.71 4.84 74 968,981.02 87.15 846,864.78
31418DVA7 FNMA 30YR UMBS 2.00 12/01/2050 7.45 4.53 49 2,487,515.07 81.41 2,029,184.27
31418DYX4 FNMA 30YR UMBS 2.00 05/01/2051 7.62 4.52 48 5,868,306.71 81.10 4,769,069.21
31418EAQ3 FNM A 30YR UM BS 3.50 01/01/2052 5.99 5.02 88 1,370,927.85 90.21 1,240,769.74
31418EBT6 FNM A 30YR UM BS 3.00 02/01/2052 7.09 4.72 61 1,436,472.98 87.09 1,254,551.07
31418EBU3 FNM A 30YR UM BS 3.50 02/01/2052 6.27 4.93 77 7,221,136.14 90.20 6,534,434.45
31418ECA6 FNM A 30YR UM BS 3.00 03/01/2052 7.16 4.71 60 2,933,031.86 87.01 2,559,292.83
Mortgages 31418EDY3 FNMA 30YR UMBS 4.00 04/01/2052 5.85 5.08 81 4,329,601.84 92.75 4,029,975.40
Base values reported in USD. Market price reported in Currency Issued In. 486/521 31

Mortgages 31418EES5 FNM A 30YR UM BS 4.00 05/01/2052 6.15 5.00 69 1,486,642.86 92.75 1,383,761.00
31418EF21 FNMA 30YR UMBS 4.50 06/01/2052 5.37 5.19 66 5,995,212.53 95.23 5,728,077.79
31418EF47 FNM A 30YR UM BS 5.00 06/01/2052 4.63 5.41 82 2,918,687.74 97.49 2,857,694.33
31418EGT1 FNM A 30YR UM BS 5.00 07/01/2052 4.76 5.39 68 4,456,655.23 97.49 4,363,522.09
31418EHQ6 FNMA 30YR UMBS 5.50 08/01/2052 4.16 5.56 72 979,164.79 99.64 980,082.12
36179W5D6 GNM A2 30YR 3.50 05/20/2052 6.87 4.84 53 4,008,155.87 90.79 3,646,251.95
36179WLQ9 GNM A2 30YR 3.00 08/20/2051 6.18 4.90 71 11,767,457.93 88.86 10,485,595.20
36179WNE4 GNM A2 30YR 2.50 09/20/2051 7.20 4.55 36 10,307,617.25 86.09 8,887,553.26
36179WNF1 GNM A2 30YR 3.00 09/20/2051 6.10 4.94 76 4,099,519.39 88.74 3,644,544.05
B8AAPDYW6 UM BS 30YR TBA(REG A) 3.50 10/13/2022 6.89 4.80 59 500,000.00 89.87 449,939.34
B8AAQKQM 0 UM BS 30YR TBA(REG A) 3.00 10/13/2022 7.39 4.66 52 -1,500,000.00 86.88 -1,304,626.50
B8AARLUU4 UMBS 30YR TBA(REG A) 2.50 10/13/2022 7.67 4.55 46 3,000,000.00 83.90 2,519,608.00
B8AARTXG5 UM BS 30YR TBA(REG A) 4.50 10/13/2022 5.42 5.18 55 -3,500,000.00 95.15 -3,335,657.50
B8AAUBGU8 GNM A2 30YR TBA(REG C) 4.50 10/20/2022 5.48 5.21 60 3,000,000.00 95.58 2,874,618.00
B8AAUGX87 UM BS 30YR TBA(REG A) 3.00 11/14/2022 7.35 4.67 52 5,000,000.00 86.85 4,347,666.67
B8AAUSVC4 UMBS 30YR TBA(REG A) 2.50 11/14/2022 7.64 4.56 46 1,500,000.00 83.88 1,259,627.67
B8AAUY9J1 UM BS 30YR TBA(REG A) 4.50 11/14/2022 5.33 5.20 54 27,500,000.00 95.04 26,181,842.50
B8AAV0558 UM BS 30YR TBA(REG A) 3.50 11/14/2022 6.85 4.82 59 14,500,000.00 89.81 13,040,660.39
B8AAW7V20 UMBS 30YR TBA(REG A) 5.00 11/14/2022 4.76 5.41 61 5,500,000.00 97.27 5,359,791.56
B8AAWFYP8 GNM A2 30YR TBA(REG C) 3.50 11/21/2022 7.04 4.79 46 4,500,000.00 90.66 4,088,450.00
Total Mortgages 149,768,224.00
004375CE9 ACCR_04-4 4.08 01/25/2035 0.08 5.31 199 744,458.28 95.96 714,792.75
004421BE2 ACE_02-HE3 4.10 10/25/2032 0.11 5.44 224 997,155.06 97.99 977,652.80
03072SNR2 AM SI_04-R1 3.68 02/25/2034 0.60 6.36 301 568,170.04 90.26 513,130.71
040104LM 1 ARSI_04-W10 3.86 10/25/2034 0.00 4.72 114 380,449.55 96.34 366,712.76
04542BDD1 ABFC_03-OPT1 3.72 04/25/2033 0.13 5.66 238 778,069.30 95.62 744,424.59
073879FF0 BSABS_04-FR2 4.06 06/25/2034 1.25 5.38 198 1,211,724.06 92.24 1,118,430.46
07876AAB9 BM IR_21-2A 3.78 06/25/2031 0.10 5.76 234 2,095,000.00 96.65 2,025,910.87
07876AAC7 BMIR_21-2A 4.13 06/25/2031 0.01 7.10 361 1,503,858.50 92.54 1,392,583.36
07876LAB5 BM IR_19-4A 5.08 10/25/2029 0.07 5.26 222 32,261.48 99.99 32,279.73
07876UAB5 BM IR_20-4A 6.68 06/25/2030 0.07 7.12 390 187,799.44 99.80 187,599.31
07877BAC4 BM IR_19-2A 4.53 04/25/2029 0.07 4.94 254 12,931.07 99.97 12,935.52
07877GAB5 BMIR_19-3A 4.68 07/25/2029 0.07 4.93 184 260,824.74 99.91 260,752.01
07877TAB7 BM IR_18-3A 4.93 10/25/2028 0.07 5.85 279 88,402.68 99.80 88,286.48
078782AC3 BM IR_20-2A 7.08 08/25/2030 0.07 6.72 361 37,373.30 100.16 37,468.33
12597XAC5 CSMC_20-RPL5 3.02 08/25/2060 3.06 6.98 278 283,792.06 95.81 272,609.19
15479QAA0 CPFTR_21-2 6.11 10/27/2022 0.07 12.81 1022 2,813,827.37 99.50 2,801,191.68
17318WAJ9 CM LTI_11-12 3.34 09/25/2047 4.89 6.26 202 197,825.22 90.62 179,826.06
17330VAA4 CM LTI_22-A 6.17 09/25/2062 1.52 7.02 268 997,201.68 97.96 977,916.43
20753M AF5 CAS_19-R03 5.23 09/25/2031 0.07 5.83 273 196,131.29 99.71 195,714.80
20753WAF3 CAS_19-R07 5.18 10/25/2039 0.07 6.18 307 66,368.92 99.45 66,053.37
20753XAF1 CAS_22-R03 8.53 03/25/2042 -0.04 10.21 660 310,000.00 95.84 297,476.47
20753YAF9 CAS_22-R04 7.53 03/25/2042 -0.29 9.67 609 240,000.00 91.88 220,767.92
20754CAB5 CAS_20-R01 5.13 01/25/2040 0.01 6.20 294 346,380.28 98.54 341,582.20
20754RAB2 CAS_21-R01 3.83 10/25/2041 0.07 6.46 302 240,000.00 94.99 228,102.03
20754RAF3 CAS_21-R01 5.38 10/25/2041 -0.14 8.19 469 880,000.00 90.62 798,157.46
269822AB8 EM IR_19-1 4.88 04/25/2029 0.07 6.19 312 180,469.43 99.38 179,466.66
Non-Agency MBS 269826AA1 EM IR_18-1 4.78 11/25/2028 0.07 5.69 259 172,064.32 99.22 170,830.80

Non-Agency MBS 35564KHE2 STACR_21-DNA5 3.93 01/25/2034 0.13 6.30 292 260,499.25 97.52 254,170.45
35564KJP5 STACR_21-HQA3 4.38 09/25/2041 -0.43 8.26 479 960,000.00 84.00 806,984.38
35564KKK4 STACR_21-HQA3 5.63 09/25/2041 -0.69 8.43 493 510,000.00 85.69 437,440.69
35564KPV5 STACR_22-DNA1 4.13 01/25/2042 -0.15 6.73 328 1,260,000.00 90.75 1,144,171.99
35564KUX5 STACR_22-DNA3 5.18 04/25/2042 -0.00 7.34 384 990,000.00 94.37 935,023.46
35565KAH1 STACR_20-DNA2 4.93 02/25/2050 0.01 6.07 283 492,162.80 98.45 484,885.72
35565LAH9 STACR_20-HQA2 6.18 03/25/2050 0.02 6.45 315 35,241.29 99.95 35,252.88
35565M AH7 STACR_20-HQA3 6.68 07/25/2050 0.07 7.10 415 34,714.83 99.98 34,739.20
35565RAH6 STACR_20-HQA4 6.23 09/25/2050 0.07 5.76 273 8,039.60 100.13 8,056.63
35565RBD4 STACR_20-HQA4 8.33 09/25/2050 0.06 8.88 543 260,000.00 99.38 258,677.77
35565TBD0 STACR_20-HQA5 6.28 11/25/2050 -0.20 8.83 528 720,000.00 91.10 656,529.49
35565WBD3 STACR_20-DNA3 8.18 06/25/2050 0.09 8.11 469 129,130.49 101.00 130,568.66
35565XAH3 STACR_20-DNA4 6.83 08/25/2050 0.07 7.22 431 7,868.14 99.98 7,873.80
35565XBD1 STACR_20-DNA4 9.08 08/25/2050 0.15 8.50 502 1,190,000.00 103.31 1,230,910.02
35566AAH2 STACR_20-DNA5 5.08 10/25/2050 0.15 5.85 249 177,973.53 99.99 178,072.82
35566ABD0 STACR_20-DNA5 7.08 10/25/2050 0.18 7.91 437 545,000.00 100.67 549,164.91
36250FAR8 GSM SC_15-3R 3.22 10/25/2036 0.14 5.19 206 466,857.85 98.56 460,322.01
437084CS3 HEAT_04-4 3.62 10/25/2034 0.32 5.39 205 1,901,681.70 92.96 1,768,781.98
43730VAB4 HMIR_21-2 3.88 01/25/2034 0.13 5.90 254 485,000.00 97.77 474,457.55
43730VAC2 HM IR_21-2 5.08 01/25/2034 0.05 7.81 431 760,000.00 94.10 715,733.61
43731AAA1 HM IR_19-1 4.73 05/25/2029 0.06 5.07 173 151,728.83 99.44 150,976.04
52474PAA0 LM AT_20-GS1 2.88 10/25/2059 0.30 5.08 148 1,529,928.46 99.35 1,520,704.57
52475KAA0 LM AT_20-SL1 2.73 01/25/2060 0.70 6.55 370 304,497.91 97.25 296,256.09
52475M AB4 LM AT_19-PR1 3.86 09/25/2059 0.07 27.01 2443 3,415,531.58 98.42 3,363,793.55
52475PAA9 LM AT_21-SL1 1.99 09/25/2060 0.42 11.06 689 438,667.34 97.33 427,091.54
61746WQK9 MSDWC_02-HE1 3.81 07/25/2032 0.07 5.24 216 368,133.75 99.71 367,268.87
64828FCQ3 NRZT_18-4A 3.83 01/25/2048 0.12 5.41 210 230,868.09 96.78 223,548.88
67401FAA8 OM IR_21-1A 3.93 10/25/2033 0.15 4.79 149 292,090.48 99.81 291,695.87
67401FAC4 OM IR_21-1A 4.33 10/25/2033 0.14 5.77 238 370,000.00 98.66 365,257.82
68400XBS8 OOM LT_03-5 3.72 08/25/2033 2.85 4.47 94 455,164.14 96.92 441,369.44
69354WAC0 PNM SR_18-GT1 5.93 02/25/2023 0.07 7.36 406 400,000.00 99.27 397,402.07
69354WAD8 PNM SR_18-GT2 5.73 08/25/2025 0.05 7.24 391 900,000.00 97.98 882,537.02
69355XAA1 PM TCR_20-2R 6.93 12/25/2022 0.07 21.52 1711 1,909,169.75 96.97 1,853,242.80
750493AA6 RM IR_20-1 4.03 01/25/2030 0.07 5.34 225 151,102.08 99.69 150,713.25
750493AB4 RM IR_20-1 4.53 01/25/2030 0.06 5.59 244 1,000,000.00 98.86 989,194.12
75279YAA9 RMIR_21-1 3.93 12/25/2033 0.14 5.21 190 375,702.07 99.59 374,367.13
863579FU7 SARM _04-18 3.16 12/25/2034 2.30 6.47 217 897,126.52 94.22 847,606.02
87271AAA4 THM SR_19-FT1 5.88 06/25/2024 0.00 8.74 531 3,660,000.00 92.66 3,394,196.97
92925VAK6 WAM U_07-HY1 3.21 02/25/2037 5.91 6.08 194 1,338,284.84 92.30 1,238,820.06
93364AAB8 WAMU_07-OA3 1.87 04/25/2047 0.00 7.88 376 1,641,458.03 84.61 1,391,419.82
Total Non-Agency MBS 44,741,934.68
03066EAG9 AM CAR_20-2 2.13 03/18/2026 1.65 5.95 162 200,000.00 93.83 187,820.37
05377RDY7 AESOP_20-2A 2.02 02/20/2027 3.01 5.84 157 600,000.00 89.12 535,119.37
05377RET7 AESOP_21-2A 2.35 02/20/2028 3.88 7.38 312 1,500,000.00 82.32 1,235,889.98
30166AAF1 EART_21-3A 1.55 06/15/2027 2.44 5.14 85 2,700,000.00 91.58 2,474,603.43
30166NAE6 EART_20-3A 1.32 07/15/2025 0.34 5.04 122 153,115.72 98.73 151,260.06
30166NAF3 EART_20-3A 1.73 07/15/2026 1.10 4.76 52 200,000.00 96.66 193,474.62
ABS 345285AC4 FORDR_21-2 2.11 05/15/2034 3.85 6.26 204 1,600,000.00 85.20 1,364,755.80

ABS 345285AD2 FORDR_21-2 2.60 05/15/2034 3.81 7.16 291 1,000,000.00 84.08 841,993.76
42806M AC3 HERTZ_21-1A 2.05 12/25/2025 1.94 7.47 307 100,000.00 90.04 90,077.54
42806M AE9 HERTZ_21-2A 1.68 12/25/2027 3.80 5.78 157 2,000,000.00 85.52 1,710,940.00
42806M AF6 HERTZ_21-2A 2.12 12/25/2027 3.76 6.30 207 200,000.00 85.42 170,918.11
42806M AL3 HERTZ_22-1A 2.63 06/25/2026 2.39 7.35 300 200,000.00 89.37 178,835.61
42806M AP4 HERTZ_22-2A 2.65 06/25/2028 4.15 6.55 234 400,000.00 85.09 340,520.39
51507KAA4 LFT_20-2A 2.32 04/20/2031 2.88 7.14 283 300,000.00 87.06 261,387.57
52604AAA6 LFT_19-2A 2.78 04/20/2028 0.05 50.00 5000 900,000.00 97.28 876,289.99
52607M AA7 LFT_21-1A 1.90 11/20/2031 3.43 6.98 270 2,000,000.00 84.02 1,681,477.71
52607M AB5 LFT_21-1A 2.47 11/20/2031 3.38 9.46 509 100,000.00 79.05 79,121.26
56847M AA8 M FIT_19-AA 2.96 07/20/2032 0.57 6.22 213 480,209.50 98.17 471,868.18
56848M AA7 MFIT_20-AA 2.19 08/20/2034 1.31 4.87 55 400,000.00 96.53 386,380.35
65120LAA9 NDFT_21-1A 2.99 03/15/2029 0.04 5.30 201 800,000.00 98.61 789,733.00
68267EAA2 ODART_19-1A 3.63 09/14/2027 1.93 6.31 196 3,100,000.00 95.00 2,950,322.29
68267EAB0 ODART_19-1A 3.95 11/14/2028 2.87 6.42 213 800,000.00 93.25 747,492.30
68267EAD6 ODART_19-1A 4.68 04/14/2031 2.90 7.85 351 1,100,000.00 91.38 1,007,625.52
682687AC2 ODART_21-1A 1.42 07/14/2028 2.67 6.66 235 3,100,000.00 86.92 2,696,468.21
682687AD0 ODART_21-1A 1.62 11/14/2030 2.66 7.29 296 400,000.00 85.97 344,190.56
68268VAD7 OM FIT_22-2A 6.55 10/14/2034 3.02 7.75 344 2,410,000.00 96.73 2,340,861.14
682696AA7 OM FIT_20-2A 1.75 09/14/2035 3.31 5.58 134 1,100,000.00 88.04 969,318.01
68269LAA4 OM FIT_20-1A 3.84 05/14/2032 0.47 5.18 117 450,538.25 99.38 448,577.93
68377BAA5 OPTN_21-A 1.21 03/08/2028 0.43 19.01 1449 600,000.00 92.85 557,538.57
68377BAB3 OPTN_21-A 1.76 03/08/2028 0.43 22.16 1737 300,000.00 91.92 276,092.59
68377FAA6 OPTN_19-A 3.08 08/08/2025 0.10 7.04 401 1,114,004.94 99.61 1,111,857.67
80285RAG3 SDART_20-2 2.22 09/15/2026 0.84 4.99 83 300,000.00 97.65 293,231.72
80285WAG2 SDART_20-3 1.64 11/15/2026 1.05 4.74 46 1,200,000.00 96.78 1,162,256.27
80286NAG1 SDART_21-1 1.13 11/15/2026 1.34 4.43 11 2,500,000.00 95.63 2,391,942.81
80286WAG1 SDART_20-4 1.48 01/15/2027 1.23 4.67 35 800,000.00 96.13 769,528.06
98163HAF6 WOSAT_21-A 1.44 11/15/2027 2.36 5.44 119 800,000.00 90.59 725,222.16
Total ABS 32,814,992.91
05492JAV4 BBCM S_19-C5 2.81 11/15/2052 5.92 5.33 130 4,000,000.00 86.02 3,450,174.80
05609TAJ9 BX_22-VAM F 5.55 01/15/2039 -0.03 7.03 428 2,050,000.00 93.74 1,926,759.36
06054M AD5 BACM_16-UB10 2.90 07/15/2049 2.94 5.50 124 344,120.09 92.57 319,384.21
06539LBA7 BANK_18-BN13 3.95 08/15/2061 4.91 5.38 127 3,800,000.00 93.22 3,554,973.59
06540TAC4 BANK_18-BN11 3.78 03/15/2061 4.75 5.40 128 1,850,000.00 92.59 1,718,800.10
06540YAC3 BANK_20-BN28 1.58 03/15/2063 6.85 5.31 137 4,800,000.00 77.24 3,713,946.72
08160KAD6 BM ARK_19-B15 2.67 12/15/2072 6.13 5.37 136 5,000,000.00 84.65 4,243,711.50
08161HAE0 BM ARK_18-B4 3.86 07/15/2051 4.52 5.41 129 1,100,000.00 93.18 1,028,468.76
08162QAE9 BM ARK_20-IG3 2.44 09/15/2048 6.46 5.50 152 2,500,000.00 81.88 2,052,079.63
08162WBA3 BMARK_20-B19 1.79 09/15/2053 3.89 5.47 127 3,000,000.00 86.54 2,600,725.40
125039AE7 CD_17-CD6 3.19 11/13/2050 4.02 5.38 121 3,800,000.00 91.49 3,486,785.89
12515HAY1 CD_17-CD5 3.17 08/15/2050 4.19 5.51 134 2,700,000.00 90.57 2,452,545.54
12532BAC1 CFCRE_16-C7 3.59 12/10/2054 3.69 5.42 122 3,825,707.64 93.43 3,585,909.80
12591QAQ5 COM M _14-UBS4 3.42 08/10/2047 1.50 5.49 111 2,600,000.00 96.89 2,526,433.78
12591YBB0 COM M _14-UBS3 3.55 06/10/2047 1.41 5.32 94 3,341,959.32 97.47 3,267,169.62
12594M BB3 COM M _16-COR1 2.83 10/10/2049 3.19 5.76 150 1,979,056.24 91.02 1,805,943.44
12629NAE5 COM M _15-DC1 3.08 02/10/2048 1.54 5.25 92 1,909,000.00 96.64 1,849,726.13
CMBS 12652UAS8 CSAIL_18-CX11 4.09 04/15/2051 0.98 5.61 140 634,221.87 98.40 626,255.53

CMBS 17291DAC7 CGCM T_18-C5 3.96 06/10/2051 4.64 5.63 150 2,824,972.24 92.60 2,625,314.78
17291EAV3 CGCM T_16-P6 3.46 12/10/2049 3.42 5.42 121 2,749,106.98 93.48 2,577,781.16
17322M BC9 CGCM T_14-GC21 0.60 05/10/2047 0.71 -2.01 -100 60,723,000.00 0.71 458,854.36
17322VAS5 CGCM T_14-GC23 3.36 07/10/2047 1.56 5.47 110 2,433,613.82 96.70 2,360,119.34
17327GAX2 CGCM T_18-C6 4.15 11/10/2051 5.19 5.54 146 4,200,000.00 93.05 3,922,811.62
17328HBC4 CGCM T_19-GC43 2.78 11/10/2052 5.99 5.36 134 6,600,000.00 85.63 5,667,201.76
193051AQ2 COLD_20-ICE5 5.58 11/15/2037 -0.01 7.36 414 1,105,864.34 96.37 1,068,459.00
23312JAE3 DBJPM _17-C6 3.07 06/10/2050 3.63 5.40 121 2,300,000.00 91.81 2,117,556.33
23312VAE6 DBJPM _16-C3 2.63 08/10/2049 3.32 5.43 120 2,430,000.00 91.06 2,218,003.48
26863LAN4 ELP_21-ELP 5.48 11/15/2038 -0.11 8.42 513 3,600,000.00 91.72 3,310,756.02
30293AAJ9 FREM F_15-K47 0.10 06/25/2048 1.16 4.35 11 634,534,976.60 0.21 1,399,614.89
3137B8G50 FHMS_K037 1.07 01/25/2024 0.56 -0.24 -100 24,474,330.83 0.93 249,706.89
3137F9YZ8 FHM S_K124 0.81 12/25/2030 3.53 6.02 189 18,262,526.72 4.53 839,382.26
3137FLYL2 FHM S_K-1511 0.93 03/25/2034 4.27 5.93 195 13,170,850.62 5.87 783,238.78
3137FUZE7 FHM S_K111 1.68 05/25/2030 3.28 5.90 174 19,870,285.39 9.11 1,838,873.59
3137FWG95 FHMS_K115 1.43 06/25/2030 3.34 5.79 164 8,583,118.46 7.83 682,616.92
3137FWHV5 FHM S_K116 1.53 07/25/2030 3.32 5.89 174 13,087,352.79 8.24 1,095,463.45
36250SAD1 GSM S_18-GS10 3.89 07/10/2051 4.81 5.58 146 1,500,000.00 92.21 1,388,007.85
36252AAB2 GSM S_15-GS1 3.47 11/10/2048 2.77 5.37 110 4,799,999.98 94.83 4,565,685.90
36253PAB8 GSM S_17-GS6 3.16 05/10/2050 3.86 5.43 123 2,739,888.15 91.60 2,516,888.83
36254CAU4 GSM S_17-GS7 3.17 08/10/2050 4.14 5.36 119 3,600,000.00 91.31 3,296,824.08
36255NAS4 GSM S_18-GS9 3.73 03/10/2051 4.33 5.21 107 2,500,000.00 93.78 2,352,191.08
36257UAK3 GSM S_19-GC42 2.75 09/01/2052 6.02 5.36 134 5,000,000.00 85.39 4,281,049.33
46590M AQ3 JPM CC_16-JP2 2.56 08/15/2049 3.18 5.62 137 1,245,042.47 90.63 1,131,000.84
46590RAH2 JPM CC_16-JP3 0.92 08/15/2049 1.76 8.86 447 56,309,000.00 2.57 1,489,871.57
46590TAD7 JPM DB_17-C5 3.41 03/15/2050 3.12 5.90 166 1,117,152.01 92.45 1,035,940.76
46591EAS6 JPM CC_19-COR5 3.12 06/13/2052 5.38 5.42 135 9,305,000.00 88.33 8,242,874.57
46641WAU1 JPM BB_14-C19 3.67 04/15/2047 0.04 4.61 197 643,417.71 99.82 644,212.74
46648KAT3 JPM DB_17-C7 3.15 10/15/2050 4.29 5.40 124 2,900,000.00 90.73 2,638,895.17
46649XAL1 JPM CC_18-AON 4.77 07/05/2031 0.73 25.40 1987 5,500,000.00 86.48 4,778,171.06
46654EAN1 JPM CC_21-NYAH 5.46 06/15/2038 -0.07 8.33 505 2,050,000.00 92.90 1,909,348.63
55316VAJ3 M HC_21-M HC 4.92 04/15/2038 -0.06 7.42 417 2,625,000.00 93.74 2,466,387.20
61691NAD7 MSC_17-HR2 3.33 12/15/2050 4.56 5.47 133 4,500,000.00 90.65 4,091,668.65
61691UBD0 M SC_19-L3 2.87 11/15/2052 6.10 5.41 140 1,800,000.00 85.58 1,544,671.44
61762M BV2 M SBAM_13-C10 4.09 07/15/2046 0.48 5.58 164 1,479,095.13 99.10 1,470,813.05
61767EAD6 MSBAM_17-C34 3.28 11/15/2052 4.21 5.40 124 1,200,000.00 91.37 1,099,740.36
78449RAA3 SLG_21-OVA 2.59 07/15/2041 7.59 5.48 163 2,500,000.00 80.13 2,008,634.50
90276CAD3 UBSCM _17-C2 3.23 08/15/2050 4.17 5.53 136 1,564,177.29 90.78 1,424,111.63
90276FAV6 UBSCM _18-C10 4.05 05/15/2051 4.81 5.49 137 2,000,000.00 93.30 1,872,680.73
90276TAF1 UBSCM _17-C5 3.21 11/15/2050 3.61 5.62 143 1,000,000.00 91.56 918,313.27
90276XAU9 UBSCM _18-C11 3.98 06/15/2051 4.20 5.57 142 1,100,000.00 93.51 1,032,211.44
94988XAT3 WFCM _14-LC16 3.55 08/15/2050 1.30 5.22 85 2,260,280.85 97.73 2,215,566.77
94989HAM 2 WFCM_15-NXS1 2.87 05/15/2048 1.74 5.43 109 4,500,000.00 95.55 4,310,314.20
95000FAS5 WFCM _16-C35 2.67 07/15/2048 3.22 5.46 123 3,386,306.70 91.32 3,099,828.99
95000XAE7 WFCM _17-C39 3.16 09/15/2050 4.13 5.31 114 4,000,000.00 91.42 3,667,148.93
95000YAX3 WFCM _17-C40 3.32 10/15/2050 4.22 5.36 119 1,080,000.00 91.69 993,250.58
95001JAW7 WFCM _18-C44 3.95 05/15/2051 4.78 5.50 137 2,200,000.00 92.86 2,050,130.50
CMBS 95001M AE0 WFCM _17-C38 3.19 07/15/2050 3.98 5.40 122 2,921,860.56 91.50 2,681,242.81

CMBS 95001NAX6 WFCM _18-C45 3.92 06/15/2051 4.64 5.63 152 1,393,948.84 92.32 1,291,491.04
95001YAD6 WFCM _19-C54 2.89 12/15/2052 6.13 5.45 144 1,800,000.00 85.37 1,541,059.92
95002RAW8 WFCM _20-C56 2.19 06/15/2053 6.48 5.42 144 10,000,000.00 80.97 8,115,321.33
95003EAC0 WFCM _21-FCM T 4.67 05/15/2031 -0.04 6.88 364 400,000.00 94.65 379,432.58
95003EAE6 WFCM_21-FCMT 5.22 05/15/2031 -0.05 7.76 451 300,000.00 93.82 282,156.62
95003EAG1 WFCM _21-FCM T 6.32 05/15/2031 -0.06 9.05 577 400,000.00 93.52 375,218.47
Total CMBS 166,627,905.84
00817YAG3 AETNA INC 6.75 12/15/2037 9.45 6.56 264 600,000.00 101.83 622,882.41
00817YAJ7 AETNA INC 4.50 05/15/2042 11.92 6.03 186 840,000.00 82.55 707,736.09
03939CAA1 ARCH CAP FIN LLC 4.01 12/15/2026 3.71 5.21 98 2,295,000.00 95.51 2,219,131.97
05578QAD5 BPCE SA 4.50 03/15/2025 2.30 6.76 241 880,000.00 94.96 837,410.65
05578QAE3 BPCE SA 4.88 04/01/2026 3.11 6.62 235 300,000.00 94.62 291,163.17
05583JAF9 BPCE SA 4.00 09/12/2023 0.92 5.57 130 470,000.00 98.57 464,264.50
05964HAH8 BANCO SANTANDER SA 3.54 04/12/2023 0.03 4.90 146 200,000.00 99.98 201,558.82
05964HAL9 BANCO SANTANDER SA 1.85 03/25/2026 3.31 6.18 193 400,000.00 86.59 346,476.27
060505FP4 BANK OF AMER CORP 5.13 12/31/2049 1.29 7.34 238 960,000.00 93.94 915,636.64
060505FQ2 BANK OF AM ER CORP 4.30 12/31/2049 1.01 7.56 299 1,350,000.00 82.56 1,124,684.43
06051GFU8 BANK OF AM ER CORP 4.45 03/03/2026 3.13 5.59 135 3,940,000.00 96.47 3,814,674.99
06051GGR4 BANK OF AMER CORP 3.59 07/21/2028 4.21 5.81 166 955,000.00 90.30 869,020.89
06051GHC6 BANK OF AM ER CORP 3.00 12/20/2023 0.25 4.69 109 1,196,000.00 99.49 1,200,023.35
06051GHF9 BANK OF AM ER CORP 3.55 03/05/2024 0.45 4.79 103 555,000.00 99.23 552,164.02
06051GHM 4 BANK OF AM ER CORP 4.27 07/23/2029 4.86 5.95 186 760,000.00 91.23 699,490.02
06051GHU6 BANK OF AM ER CORP 4.08 04/23/2040 9.79 6.04 199 2,450,000.00 79.29 1,986,429.35
06051GHV4 BANK OF AM ER CORP 3.19 07/23/2030 5.68 5.93 192 775,000.00 84.22 657,401.97
06051GHX0 BANK OF AM ER CORP 2.88 10/22/2030 5.84 5.91 192 1,625,000.00 82.08 1,354,520.08
06051GJP5 BANK OF AMER CORP 2.65 03/11/2032 6.86 5.86 203 2,140,000.00 77.96 1,671,515.52
06051GJT7 BANK OF AM ER CORP 2.69 04/22/2032 6.82 5.88 205 1,225,000.00 77.92 969,103.38
06051GKA6 BANK OF AM ER CORP 2.30 07/21/2032 7.14 5.76 195 1,220,000.00 74.83 918,347.31
06051GKD0 BANK OF AMER CORP 2.57 10/20/2032 7.17 5.81 201 1,495,000.00 76.56 1,161,784.24
064058AF7 BANK OF NY M ELLON CORP 4.63 12/31/2049 3.15 7.21 241 950,000.00 88.52 842,322.26
06738EAW5 BARCLAYS PLC 4.84 05/09/2028 4.60 7.37 315 1,310,000.00 88.54 1,184,822.93
06738EBD6 BARCLAYS PLC 4.97 05/16/2029 4.50 6.97 283 760,000.00 90.21 699,756.05
06738EBH7 BARCLAYS PLC 3.93 05/07/2025 1.51 6.07 183 1,270,000.00 96.15 1,241,126.68
084664CV1 BERKSHIRE HATHAWAY FIN CORP 2.85 10/15/2050 16.39 5.32 140 800,000.00 64.43 525,949.56
09659W2L7 BNP PARIBAS SA 2.22 06/09/2026 2.52 6.04 186 445,000.00 89.93 403,264.83
09659W2M 5 BNP PARIBAS SA 1.90 09/30/2028 4.94 5.69 162 1,080,000.00 80.71 871,767.86
09659W2N3 BNP PARIBAS SA 1.32 01/13/2027 3.09 5.95 182 2,640,000.00 84.93 2,249,688.33
09659W2P8 BNP PARIBAS 2.87 04/19/2032 6.60 6.41 257 1,530,000.00 75.90 1,181,059.88
09659W2Q6 BNP PARIBAS SA 1.68 06/30/2027 3.55 5.57 151 1,160,000.00 84.75 988,015.02
09659W2T0 BNP PARIBAS SA 2.59 01/20/2028 3.86 6.11 201 745,000.00 85.54 641,057.48
172967KA8 CITIGROUP INC 4.45 09/29/2027 4.42 6.15 198 935,000.00 92.77 867,590.32
172967KG5 CITIGROUP INC 3.70 01/12/2026 3.03 5.51 125 600,000.00 94.61 572,547.64
172967KR1 CITIGROUP INC 4.75 05/18/2046 12.64 6.47 236 1,990,000.00 79.33 1,613,506.11
172967LS8 CITIGROUP INC 3.52 10/27/2028 4.38 5.81 168 295,000.00 89.41 268,197.75
172967M Y4 CITIGROUP INC 2.56 05/01/2032 6.86 5.90 208 1,255,000.00 76.81 977,358.73
172967NE7 CITIGROUP INC 2.52 11/03/2032 7.22 5.76 196 485,000.00 75.78 372,572.07
17327CAQ6 CITIGROUP INC 3.06 01/25/2033 7.23 5.93 212 1,735,000.00 78.86 1,377,898.55
IG Corp. – Financial 225401AD0 CREDIT SUISSE GRP AG 3.00 12/14/2023 0.23 5.24 164 1,315,000.00 99.27 1,317,125.78

IG Corp. – Financial 225401AQ1 CREDIT SUISSE GRP AG 2.19 06/05/2026 2.50 6.97 279 975,000.00 87.03 855,451.50
225401AU2 CREDIT SUISSE GRP AG 3.09 05/14/2032 6.17 7.63 375 1,200,000.00 70.31 857,842.69
225433AC5 CREDIT SUISSE GRP FDG GUERNSEY LTD 3.75 03/26/2025 2.34 6.77 244 375,000.00 93.19 349,652.63
23636AAV3 DANSKE BK AS 3.24 12/20/2025 2.09 6.27 198 825,000.00 93.05 775,151.19
25152RXA6 DEUTSCHE BK AG LONDON 3.70 05/30/2024 1.58 5.48 111 185,000.00 97.20 182,112.68
254709AL2 DISCOVER FINL SVCS 3.75 03/04/2025 2.24 5.72 139 1,390,000.00 95.59 1,332,675.34
299808AH8 EVEREST REINSURANCE HLDGS INC 3.50 10/15/2050 14.96 5.97 203 680,000.00 66.54 463,461.77
303901BK7 FAIRFAX FIN HLDGS LTD 5.63 08/16/2032 7.38 6.71 281 2,000,000.00 92.28 1,859,645.62
38141GWV2 GOLDM AN SACHS GRP INC 3.81 04/23/2029 4.67 6.02 193 880,000.00 88.91 797,167.55
38141GWZ3 GOLDM AN SACHS GRP INC 4.22 05/01/2029 4.65 5.99 189 1,180,000.00 91.06 1,095,308.90
38141GYB4 GOLDM AN SACHS GRP INC 2.62 04/22/2032 6.84 5.86 204 4,575,000.00 77.52 3,599,498.84
38141GYJ7 GOLDM AN SACHS GRP INC 2.38 07/21/2032 7.14 5.73 193 1,570,000.00 75.54 1,193,241.86
38141GZM 9 GOLDM AN SACHS GRP INC 3.10 02/24/2033 7.32 5.87 206 1,930,000.00 79.44 1,539,359.48
38148LAC0 GOLDM AN SACHS GRP INC 3.50 01/23/2025 2.14 5.31 97 395,000.00 96.11 382,248.52
404280BX6 HSBC HLDGS PLC 4.29 09/12/2026 2.71 6.12 187 495,000.00 94.35 468,165.77
456837AP8 ING GROEP NV 3.55 04/09/2024 1.44 5.30 92 400,000.00 97.46 396,626.47
46625HHA1 JPM ORGAN CHASE & CO 6.28 12/31/2049 0.00 7.43 235 3,423,000.00 99.55 3,445,783.23
46625HJY7 JPM ORGAN CHASE & CO 3.88 09/10/2024 1.85 5.04 71 3,290,000.00 97.86 3,227,148.65
46625HRY8 JPMORGAN CHASE & CO 3.78 02/01/2028 3.84 5.83 164 1,265,000.00 91.71 1,168,125.92
46647PAL0 JPM ORGAN CHASE & CO 3.96 11/15/2048 11.72 5.88 183 1,010,000.00 74.88 771,404.18
46647PAR7 JPM ORGAN CHASE & CO 4.01 04/23/2029 4.67 5.89 180 7,755,000.00 90.45 7,150,631.21
46647PCR5 JPM ORGAN CHASE & CO 2.55 11/08/2032 7.23 5.75 195 2,725,000.00 76.02 2,099,059.75
46647PCU8 JPM ORGAN CHASE & CO 2.96 01/25/2033 7.29 5.83 203 640,000.00 78.76 507,564.64
46647PCW4 JPM ORGAN CHASE & CO 2.95 02/24/2028 3.96 5.64 155 800,000.00 88.62 711,379.94
46647PDA1 JPM ORGAN CHASE & CO 4.32 04/26/2028 3.93 5.64 154 615,000.00 94.06 589,914.78
472319AM 4 JEFFERIES GRP INC 6.50 01/20/2043 10.90 6.92 275 250,000.00 95.43 241,776.92
47233JGT9 JEFFERIES GRP LLC 2.63 10/15/2031 7.62 6.73 285 1,860,000.00 72.54 1,371,711.10
48128BAF8 JPM ORGAN CHASE & CO 5.00 12/31/2049 1.03 7.13 278 575,000.00 89.90 521,731.04
48128BAG6 JPMORGAN CHASE & CO 4.60 12/31/2049 1.47 7.03 283 775,000.00 86.99 680,105.31
48128BAH4 JPM ORGAN CHASE & CO 4.00 12/31/2049 1.22 6.98 291 1,095,000.00 82.44 924,659.64
53079EBG8 LIBERTY M UTUAL GRP INC 4.57 02/01/2029 5.39 6.11 203 2,014,000.00 91.97 1,867,667.86
53079EBJ2 LIBERTY M UTUAL GRP INC 3.95 10/15/2050 14.07 6.45 248 1,475,000.00 67.78 1,026,679.53
534187BA6 LINCOLN NATL CORP 7.00 06/15/2040 10.16 6.59 256 340,000.00 104.19 361,237.57
570535AP9 M ARKEL CORP 5.00 03/30/2043 12.10 6.18 200 50,000.00 86.39 43,199.94
570535AV6 M ARKEL CORP 4.15 09/17/2050 14.72 5.93 197 385,000.00 75.83 292,549.35
6174467Y9 MORGAN STANLEY 4.35 09/08/2026 3.57 5.72 149 1,725,000.00 95.50 1,652,121.75
6174468U6 M ORGAN STANLEY 1.79 02/13/2032 7.01 5.74 193 1,465,000.00 73.11 1,074,626.08
61744YAP3 M ORGAN STANLEY 3.77 01/24/2029 4.57 5.85 174 1,280,000.00 90.11 1,162,434.55
61746BDZ6 M ORGAN STANLEY 3.88 01/27/2026 3.06 5.41 115 2,800,000.00 95.39 2,690,335.98
61747YED3 MORGAN STANLEY 2.24 07/21/2032 7.18 5.75 195 3,785,000.00 75.19 2,862,606.03
61747YEH4 M ORGAN STANLEY 2.51 10/20/2032 7.20 5.77 196 1,485,000.00 76.54 1,153,349.40
61747YEL5 M ORGAN STANLEY 2.94 01/21/2033 7.30 5.77 197 1,495,000.00 79.04 1,190,165.49
65535HAX7 NOM URA HLDGS INC 2.61 07/14/2031 7.54 6.51 263 465,000.00 74.19 347,568.43
712704AA3 M &T BK CORP 3.65 12/06/2022 0.02 3.56 90 650,000.00 100.00 657,584.29
756109BL7 REALTY INCOM E CORP 2.85 12/15/2032 8.47 5.40 159 2,260,000.00 80.16 1,830,623.04
83368RAZ5 SOCIETE GENERALE 1.49 12/14/2026 2.94 6.51 220 3,200,000.00 84.44 2,716,146.07
84861TAJ7 SPIRIT REALTY SP 2.70 02/15/2032 7.93 6.75 288 2,505,000.00 72.21 1,817,493.03
IG Corp. – Financial 860630AG7 STIFEL FIN CORP 4.00 05/15/2030 6.28 6.34 235 2,300,000.00 85.99 2,012,572.50

IG Corp. – Financial 225401AQ1 CREDIT SUISSE GRP AG 2.19 06/05/2026 2.50 6.97 279 975,000.00 87.03 855,451.50
225401AU2 CREDIT SUISSE GRP AG 3.09 05/14/2032 6.17 7.63 375 1,200,000.00 70.31 857,842.69
225433AC5 CREDIT SUISSE GRP FDG GUERNSEY LTD 3.75 03/26/2025 2.34 6.77 244 375,000.00 93.19 349,652.63
23636AAV3 DANSKE BK AS 3.24 12/20/2025 2.09 6.27 198 825,000.00 93.05 775,151.19
25152RXA6 DEUTSCHE BK AG LONDON 3.70 05/30/2024 1.58 5.48 111 185,000.00 97.20 182,112.68
254709AL2 DISCOVER FINL SVCS 3.75 03/04/2025 2.24 5.72 139 1,390,000.00 95.59 1,332,675.34
299808AH8 EVEREST REINSURANCE HLDGS INC 3.50 10/15/2050 14.96 5.97 203 680,000.00 66.54 463,461.77
303901BK7 FAIRFAX FIN HLDGS LTD 5.63 08/16/2032 7.38 6.71 281 2,000,000.00 92.28 1,859,645.62
38141GWV2 GOLDM AN SACHS GRP INC 3.81 04/23/2029 4.67 6.02 193 880,000.00 88.91 797,167.55
38141GWZ3 GOLDM AN SACHS GRP INC 4.22 05/01/2029 4.65 5.99 189 1,180,000.00 91.06 1,095,308.90
38141GYB4 GOLDM AN SACHS GRP INC 2.62 04/22/2032 6.84 5.86 204 4,575,000.00 77.52 3,599,498.84
38141GYJ7 GOLDM AN SACHS GRP INC 2.38 07/21/2032 7.14 5.73 193 1,570,000.00 75.54 1,193,241.86
38141GZM 9 GOLDM AN SACHS GRP INC 3.10 02/24/2033 7.32 5.87 206 1,930,000.00 79.44 1,539,359.48
38148LAC0 GOLDM AN SACHS GRP INC 3.50 01/23/2025 2.14 5.31 97 395,000.00 96.11 382,248.52
404280BX6 HSBC HLDGS PLC 4.29 09/12/2026 2.71 6.12 187 495,000.00 94.35 468,165.77
456837AP8 ING GROEP NV 3.55 04/09/2024 1.44 5.30 92 400,000.00 97.46 396,626.47
46625HHA1 JPM ORGAN CHASE & CO 6.28 12/31/2049 0.00 7.43 235 3,423,000.00 99.55 3,445,783.23
46625HJY7 JPM ORGAN CHASE & CO 3.88 09/10/2024 1.85 5.04 71 3,290,000.00 97.86 3,227,148.65
46625HRY8 JPMORGAN CHASE & CO 3.78 02/01/2028 3.84 5.83 164 1,265,000.00 91.71 1,168,125.92
46647PAL0 JPM ORGAN CHASE & CO 3.96 11/15/2048 11.72 5.88 183 1,010,000.00 74.88 771,404.18
46647PAR7 JPM ORGAN CHASE & CO 4.01 04/23/2029 4.67 5.89 180 7,755,000.00 90.45 7,150,631.21
46647PCR5 JPM ORGAN CHASE & CO 2.55 11/08/2032 7.23 5.75 195 2,725,000.00 76.02 2,099,059.75
46647PCU8 JPM ORGAN CHASE & CO 2.96 01/25/2033 7.29 5.83 203 640,000.00 78.76 507,564.64
46647PCW4 JPM ORGAN CHASE & CO 2.95 02/24/2028 3.96 5.64 155 800,000.00 88.62 711,379.94
46647PDA1 JPM ORGAN CHASE & CO 4.32 04/26/2028 3.93 5.64 154 615,000.00 94.06 589,914.78
472319AM 4 JEFFERIES GRP INC 6.50 01/20/2043 10.90 6.92 275 250,000.00 95.43 241,776.92
47233JGT9 JEFFERIES GRP LLC 2.63 10/15/2031 7.62 6.73 285 1,860,000.00 72.54 1,371,711.10
48128BAF8 JPM ORGAN CHASE & CO 5.00 12/31/2049 1.03 7.13 278 575,000.00 89.90 521,731.04
48128BAG6 JPMORGAN CHASE & CO 4.60 12/31/2049 1.47 7.03 283 775,000.00 86.99 680,105.31
48128BAH4 JPM ORGAN CHASE & CO 4.00 12/31/2049 1.22 6.98 291 1,095,000.00 82.44 924,659.64
53079EBG8 LIBERTY M UTUAL GRP INC 4.57 02/01/2029 5.39 6.11 203 2,014,000.00 91.97 1,867,667.86
53079EBJ2 LIBERTY M UTUAL GRP INC 3.95 10/15/2050 14.07 6.45 248 1,475,000.00 67.78 1,026,679.53
534187BA6 LINCOLN NATL CORP 7.00 06/15/2040 10.16 6.59 256 340,000.00 104.19 361,237.57
570535AP9 M ARKEL CORP 5.00 03/30/2043 12.10 6.18 200 50,000.00 86.39 43,199.94
570535AV6 M ARKEL CORP 4.15 09/17/2050 14.72 5.93 197 385,000.00 75.83 292,549.35
6174467Y9 MORGAN STANLEY 4.35 09/08/2026 3.57 5.72 149 1,725,000.00 95.50 1,652,121.75
6174468U6 M ORGAN STANLEY 1.79 02/13/2032 7.01 5.74 193 1,465,000.00 73.11 1,074,626.08
61744YAP3 M ORGAN STANLEY 3.77 01/24/2029 4.57 5.85 174 1,280,000.00 90.11 1,162,434.55
61746BDZ6 M ORGAN STANLEY 3.88 01/27/2026 3.06 5.41 115 2,800,000.00 95.39 2,690,335.98
61747YED3 MORGAN STANLEY 2.24 07/21/2032 7.18 5.75 195 3,785,000.00 75.19 2,862,606.03
61747YEH4 M ORGAN STANLEY 2.51 10/20/2032 7.20 5.77 196 1,485,000.00 76.54 1,153,349.40
61747YEL5 M ORGAN STANLEY 2.94 01/21/2033 7.30 5.77 197 1,495,000.00 79.04 1,190,165.49
65535HAX7 NOM URA HLDGS INC 2.61 07/14/2031 7.54 6.51 263 465,000.00 74.19 347,568.43
712704AA3 M &T BK CORP 3.65 12/06/2022 0.02 3.56 90 650,000.00 100.00 657,584.29
756109BL7 REALTY INCOM E CORP 2.85 12/15/2032 8.47 5.40 159 2,260,000.00 80.16 1,830,623.04
83368RAZ5 SOCIETE GENERALE 1.49 12/14/2026 2.94 6.51 220 3,200,000.00 84.44 2,716,146.07
84861TAJ7 SPIRIT REALTY SP 2.70 02/15/2032 7.93 6.75 288 2,505,000.00 72.21 1,817,493.03
IG Corp. – Financial 860630AG7 STIFEL FIN CORP 4.00 05/15/2030 6.28 6.34 235 2,300,000.00 85.99 2,012,572.50

866677AE7 SUN COM M UNITIES OPERATING LP 2.70 07/15/2031 7.50 6.34 246 1,975,000.00 75.74 1,507,175.37
866677AF4 SUN COM MUNITIES OPERATING LP 2.30 11/01/2028 5.48 6.21 211 2,100,000.00 80.43 1,709,202.00
878091BC0 TEACHERS INS & ANNUITY ASSN AM ER 6.85 12/16/2039 10.30 5.96 197 64,000.00 109.50 71,361.26
878091BD8 TEACHERS INS & ANNUITY ASSN AM ER 4.90 09/15/2044 12.78 5.78 163 975,000.00 89.16 871,460.70
878091BF3 TEACHERS INS & ANNUITY ASSN AMER 4.27 05/15/2047 13.75 5.63 155 750,000.00 82.03 627,301.88
89832QAD1 TRUIST FIN CORP 4.80 12/31/2049 1.05 7.58 288 830,000.00 90.13 751,421.90
902973BC9 US BANCORP 3.70 12/31/2049 3.81 11.13 670 2,330,000.00 75.36 1,774,104.48
904678AU3 UNICREDIT SPA 2.57 09/22/2026 2.72 7.67 330 565,000.00 85.64 484,247.39
904678AY5 UNICREDIT SPA 3.13 06/03/2032 6.25 7.55 359 1,075,000.00 71.23 776,713.08
91324PBW1 UNITEDHEALTH GRP INC 4.38 03/15/2042 12.35 5.59 143 170,000.00 85.71 146,044.32
91324PEE8 UNITEDHEALTH GRP INC 3.05 05/15/2041 12.92 5.37 126 760,000.00 72.87 562,577.13
92277GAD9 VENTAS REALTY LP 3.75 05/01/2024 1.46 5.29 89 2,590,000.00 97.72 2,571,488.88
94973VBB2 ANTHEM INC 4.65 01/15/2043 12.28 5.81 164 150,000.00 86.20 130,767.55
94973VBF3 ANTHEM INC 5.10 01/15/2044 12.31 5.87 171 230,000.00 91.24 212,338.88
95000U2M 4 WELLS FARGO & CO 5.01 04/04/2051 11.55 6.04 208 2,200,000.00 85.84 1,942,647.10
Total IG Corp. – Financial 120,237,467.81
00206RGQ9 AT&T INC 4.30 02/15/2030 6.13 5.72 171 250,000.00 91.52 230,174.81
00206RKJ0 AT&T INC 3.50 09/15/2053 16.12 5.84 202 1,734,000.00 66.63 1,158,051.82
00206RLJ9 AT&T INC 3.55 09/15/2055 16.38 5.93 217 790,000.00 65.67 520,022.24
00206RLV2 AT&T INC 3.65 09/15/2059 16.85 6.03 236 2,745,000.00 64.92 1,786,607.80
00206RM N9 AT&T INC 3.80 12/01/2057 16.16 6.02 231 66,000.00 67.66 45,492.67
00287YAR0 ABBVIE INC 4.50 05/14/2035 9.16 5.71 187 2,450,000.00 89.22 2,227,880.18
00287YAS8 ABBVIE INC 4.70 05/14/2045 12.67 5.95 179 575,000.00 84.95 498,772.84
00287YCA5 ABBVIE INC 4.05 11/21/2039 11.45 5.82 181 2,680,000.00 80.98 2,209,589.17
00287YCY3 ABBVIE INC 4.55 03/15/2035 9.21 5.70 186 1,845,000.00 89.85 1,661,392.76
00973RAG8 AKER BP ASA 2.88 01/15/2026 3.07 5.81 154 3,330,000.00 91.32 3,061,287.40
02209SBJ1 ALTRIA GRP INC 3.40 05/06/2030 6.39 6.59 260 530,000.00 81.14 437,281.65
031162CS7 AM GEN INC 3.38 02/21/2050 15.47 5.69 172 620,000.00 68.30 425,795.09
03523TBJ6 ANHEUSER BUSCH INBEV WORLDWIDE INC 8.00 11/15/2039 9.76 6.31 232 870,000.00 117.53 1,048,769.91
03523TBV9 ANHEUSER BUSCH INBEV WORLDWIDE INC 5.55 01/23/2049 13.26 6.00 197 1,525,000.00 94.07 1,450,541.79
053332AZ5 AUTOZONE INC 4.00 04/15/2030 6.21 5.68 168 1,860,000.00 89.83 1,705,153.61
053332BA9 AUTOZONE INC 1.65 01/15/2031 7.49 5.55 167 490,000.00 74.34 365,987.15
05523RAD9 BAE SYSTEMS PLC 3.40 04/15/2030 6.35 5.57 159 285,000.00 86.81 251,869.66
05526DBB0 BAT CAP CORP 3.56 08/15/2027 4.36 6.52 232 1,225,000.00 87.81 1,081,212.59
05526DBR5 BAT CAP CORP 2.26 03/25/2028 5.04 6.76 260 1,210,000.00 79.65 964,202.74
05565QDU9 BP CAP MKTS PLC 4.38 12/31/2049 2.54 7.74 337 1,990,000.00 91.91 1,831,140.99
06849RAK8 BARRICK NA FIN LLC 5.75 05/01/2043 11.44 6.26 209 320,000.00 94.18 309,041.20
08652BAB5 BEST BUY CO INC 1.95 10/01/2030 7.09 5.94 202 220,000.00 74.84 166,799.38
097023CR4 BOEING CO 3.95 08/01/2059 15.42 6.72 299 1,255,000.00 62.42 791,574.60
097023DC6 BOEING CO 3.63 02/01/2031 6.94 6.29 236 1,675,000.00 82.90 1,398,767.15
111021AE1 BRITISH TELECOM PLC 9.63 12/15/2030 5.80 7.09 310 340,000.00 115.57 402,565.77
11135FBK6 BROADCOM INC 3.42 04/15/2033 8.32 6.50 267 1,208,000.00 76.72 945,871.19
11135FBP5 BROADCOM INC 3.14 11/15/2035 9.97 6.57 272 3,791,000.00 70.11 2,702,912.29
11135FBQ3 BROADCOM INC 3.19 11/15/2036 10.44 6.67 278 2,250,000.00 68.47 1,567,728.54
125523CJ7 CIGNA CORP 3.20 03/15/2040 12.36 5.74 172 3,380,000.00 72.18 2,444,522.00
126650CD0 CVS CAREM ARK CORP 5.30 12/05/2043 11.86 6.17 199 90,000.00 89.77 82,327.41
126650CN8 CVS HLTH CORP 5.13 07/20/2045 12.48 6.15 200 480,000.00 87.52 424,951.30
134429BK4 CAM PBELL SOUP CO 3.13 04/24/2050 15.48 5.76 181 1,600,000.00 63.77 1,042,065.97
IG Corp. - Industrial 15135UAF6 CENOVUS ENERGY INC 6.75 11/15/2039 9.93 6.83 282 574,000.00 99.20 584,037.61

IG Corp. - Industrial 50077LAX4 KRAFT HEINZ FOODS CO 4.63 10/01/2039 10.82 6.32 231 585,000.00 82.49 496,100.72
50077LAZ9 KRAFT HEINZ FOODS CO 4.88 10/01/2049 13.38 6.21 220 750,000.00 82.62 637,917.69
50249AAD5 LYB INTL FIN III LLC 4.20 05/01/2050 13.90 6.36 237 1,625,000.00 72.09 1,199,923.16
52532XAH8 LEIDOS INC 2.30 02/15/2031 7.35 6.41 249 340,000.00 73.70 251,572.61
527298BP7 LEVEL 3 FIN INC 3.40 03/01/2027 4.01 7.83 357 2,580,000.00 83.71 2,167,154.08
55336VAJ9 M PLX LP 4.88 06/01/2025 2.36 5.61 125 800,000.00 98.20 798,616.55
55336VAL4 M PLX LP 5.20 03/01/2047 12.59 6.67 256 90,000.00 82.41 74,554.93
55336VAM 2 M PLX LP 4.50 04/15/2038 10.29 6.53 259 1,500,000.00 80.33 1,236,091.13
55336VBQ2 MPLX LP 2.65 08/15/2030 6.86 6.11 216 1,110,000.00 78.61 876,347.17
55903VAN3 M AGALLANES INC 5.05 03/15/2042 11.10 7.53 334 630,000.00 74.85 472,965.53
55903VAQ6 M AGALLANES INC 5.14 03/15/2052 12.94 7.44 347 1,845,000.00 72.67 1,344,899.50
55903VAS2 MAGALLANES INC 5.39 03/15/2062 13.73 7.60 381 290,000.00 72.49 210,911.18
559080AG1 M AGELLAN M IDSTREAM PARTNERS LP 5.15 10/15/2043 11.59 6.57 238 275,000.00 83.91 237,289.37
571676AD7 M ARS INC 3.88 04/01/2039 11.31 5.51 155 370,000.00 82.44 312,184.10
571676AG0 M ARS INC 4.13 04/01/2054 15.72 5.47 166 355,000.00 79.94 291,114.74
571903AS2 MARRIOTT INTL INC 3.13 06/15/2026 3.38 5.53 129 2,185,000.00 92.02 2,030,774.53
594918CC6 M ICROSOFT CORP 2.53 06/01/2050 17.34 4.80 88 72,000.00 65.77 47,961.13
609207AT2 M ONDELEZ INTL INC 2.75 04/13/2030 6.51 5.51 154 471,000.00 83.18 397,811.48
628530BJ5 MYLAN INC 5.20 04/15/2048 11.45 8.09 398 1,520,000.00 68.95 1,084,468.48
62854AAP9 M YLAN NV 5.25 06/15/2046 11.30 8.08 392 435,000.00 70.31 312,561.98
62912XAF1 NGPL PIPECO LLC 4.88 08/15/2027 4.15 6.47 223 175,000.00 93.42 164,566.96
651639AX4 NEWM ONT GOLDCORP CORP 2.80 10/01/2029 6.08 5.83 181 505,000.00 82.98 426,141.52
651639AY2 NEWM ONT CORP 2.25 10/01/2030 7.00 5.83 191 2,020,000.00 77.49 1,588,051.08
67077M AF5 NUTRIEN LTD 5.88 12/01/2036 9.51 5.73 187 450,000.00 99.25 455,442.35
67077M AR9 NUTRIEN LTD 4.90 06/01/2043 11.98 6.08 189 835,000.00 87.01 740,196.82
682680AT0 ONEOK INC 4.95 07/13/2047 12.53 6.90 280 150,000.00 77.20 117,407.10
682680BC6 ONEOK INC 4.50 03/15/2050 13.63 6.72 272 2,255,000.00 72.19 1,632,356.44
68268NAG8 ONEOK PARTNERS LP 6.13 02/01/2041 10.39 7.32 321 1,350,000.00 88.76 1,212,095.87
709629AR0 PENTAIR FIN SA 4.50 07/01/2029 5.61 6.26 218 1,700,000.00 90.12 1,551,207.25
72147KAF5 PILGRIM S PRIDE CORP 4.25 04/15/2031 6.49 7.42 341 1,500,000.00 80.22 1,232,669.16
723787AB3 PIONEER NATURAL RESOURCES CO 7.20 01/15/2028 4.37 6.11 194 637,000.00 104.86 677,667.73
72650RBL5 PLAINS ALL AM ERN PIPELINE LP 4.50 12/15/2026 3.68 5.96 171 1,500,000.00 94.64 1,439,407.86
745867AW1 PULTEGROUP INC 5.50 03/01/2026 3.00 5.94 162 357,000.00 99.03 355,177.48
824348AR7 SHERWIN WILLIAM S CO 3.45 08/01/2025 2.61 5.32 102 350,000.00 95.56 336,471.52
82481LAD1 SHIRE ACQ INVESTM ENTS IRELAND DAC 3.20 09/23/2026 3.64 5.37 114 2,900,000.00 92.31 2,679,067.27
832248BC1 SMITHFIELD FOODS INC 3.00 10/15/2030 6.79 6.62 267 825,000.00 77.70 652,423.78
844741BK3 SOUTHWEST AIRLINES CO 5.13 06/15/2027 4.03 5.63 142 855,000.00 97.94 850,272.24
84756NAD1 SPECTRA ENERGY PARTNERS LP 4.75 03/15/2024 1.31 5.13 68 1,400,000.00 99.48 1,395,611.69
86765BAV1 ENERGY TRANSFER LP 5.40 10/01/2047 12.03 7.01 291 1,100,000.00 81.12 922,060.11
87264AAZ8 T MOBILE USA INC 4.50 04/15/2050 13.98 5.99 201 2,500,000.00 80.43 2,062,583.23
87264ABF1 T M OBILE USA INC 3.88 04/15/2030 6.24 5.76 177 190,000.00 88.62 171,772.17
87264ABL8 T M OBILE USA INC 3.00 02/15/2041 12.75 6.02 191 380,000.00 66.71 254,935.75
87264ABS3 T MOBILE USA INC 2.63 02/15/2029 5.49 5.95 183 800,000.00 82.55 663,083.81
879360AE5 TELEDYNE TECH INC 2.75 04/01/2031 7.21 5.95 206 2,680,000.00 78.89 2,151,227.67
88339WAA4 WILLIAM S COS INC 3.50 10/15/2051 15.24 5.93 203 230,000.00 66.43 156,504.95
892356AA4 TRACTOR SUPPLY CO 1.75 11/01/2030 7.25 5.66 176 1,560,000.00 74.92 1,180,183.57
893574AR4 TRANSCONTINENTAL GAS PIPE LINE CO 3.95 05/15/2050 14.60 5.87 190 330,000.00 73.88 248,727.28
90931LAA6 UNITED AIRLINES INC 3.10 07/07/2028 4.01 7.05 287 357,042.43 85.06 306,292.50
IG Corp. - Industrial 90932PAA6 UNITED AIRLINES INC 4.00 04/11/2026 2.62 7.36 305 523,210.01 91.41 488,156.74

913903AV2 UNIVERSAL HLTH SVCS INC 2.65 10/15/2030 6.88 6.95 299 1,010,000.00 73.86 758,303.41
92343VFT6 VERIZON COM MS INC 2.65 11/20/2040 12.95 5.77 169 3,015,000.00 64.86 1,984,558.70
92343VGK4 VERIZON COM M S INC 3.40 03/22/2041 12.60 5.80 170 1,170,000.00 73.20 857,441.20
92556HAD9 PARAM OUNT GLOBAL 4.20 05/19/2032 7.51 6.92 304 1,890,000.00 81.04 1,560,779.24
92556VAE6 VIATRIS INC 3.85 06/22/2040 11.09 7.83 373 1,255,000.00 62.17 793,513.26
92556VAF3 VIATRIS INC 4.00 06/22/2050 13.20 7.44 343 640,000.00 59.75 389,461.41
92564RAA3 VICI PROPERTIES LP 4.25 12/01/2026 3.55 7.11 280 360,000.00 89.82 328,443.54
92564RAB1 VICI PROPERTIES LP 4.63 12/01/2029 5.41 6.98 280 380,000.00 86.87 335,975.61
96949LAC9 WILLIAMS COS INC 5.10 09/15/2045 12.50 6.38 223 1,250,000.00 84.68 1,061,360.72
96950FAM 6 WILLIAM S COS INC 4.30 03/04/2024 1.31 5.24 83 1,250,000.00 98.72 1,237,988.06
98462YAF7 YAM ANA GOLD INC 2.63 08/15/2031 7.60 6.54 266 3,500,000.00 73.96 2,600,278.78
Total IG Corp. - Industrial 111,159,108.32
03040WAX3 AM ERN WTR CAP CORP 3.45 05/01/2050 15.42 5.47 151 450,000.00 71.95 330,264.97
125896BN9 CM S ENERGY CORP 4.88 03/01/2044 12.38 6.05 186 650,000.00 86.01 561,696.32
125896BU3 CM S ENERGY CORP 4.75 06/01/2050 6.02 7.15 311 775,000.00 86.38 681,731.53
209111FK4 CONSOLIDATED EDISON CO OF NY INC 4.30 12/01/2056 15.72 5.91 216 180,000.00 76.50 140,280.58
25746UCK3 DOM INION RESOURCES INC 2.85 08/15/2026 3.57 5.35 112 295,000.00 91.34 270,532.52
25746UDD8 DOM INION ENERGY INC 4.65 12/31/2049 2.05 10.56 604 2,500,000.00 88.60 2,249,326.72
26441CBP9 DUKE ENERGY CORP 3.25 01/15/2082 3.87 11.16 673 2,110,000.00 73.60 1,567,332.14
26442CAN4 DUKE ENERGY CAROLINAS LLC 4.00 09/30/2042 12.77 5.64 145 300,000.00 80.47 241,446.17
29103DAJ5 EM ERA US FIN LP 3.55 06/15/2026 3.35 5.66 140 625,000.00 93.04 588,007.50
29278GAF5 ENEL FIN INTL NV 3.50 04/06/2028 4.83 6.44 230 1,020,000.00 86.52 899,891.99
33767BAA7 FIRSTENERGY TRANSM ISSION LLC 5.45 07/15/2044 11.90 6.39 222 225,000.00 88.97 202,765.91
491674BL0 KENTUCKY UTILITIES CO 4.38 10/01/2045 13.07 5.70 156 1,350,000.00 83.08 1,151,153.19
629377CN0 NRG ENERGY INC 2.00 12/02/2025 3.00 6.11 183 225,000.00 88.31 200,187.18
629377CP5 NRG ENERGY INC 2.45 12/02/2027 4.70 6.60 243 970,000.00 82.06 803,817.60
65473PAL9 NISOURCE INC 1.70 02/15/2031 7.56 5.66 177 245,000.00 73.90 181,580.78
694308JM 0 PACIFIC GAS & ELEC CO 4.55 07/01/2030 6.22 6.97 295 1,500,000.00 85.69 1,302,360.87
695114CX4 PACIFICORP 3.30 03/15/2051 16.18 5.38 148 280,000.00 69.82 195,900.84
745310AK8 PUGET ENERGY INC 4.10 06/15/2030 6.35 6.05 207 3,050,000.00 88.11 2,724,111.26
816851BM 0 SEM PRA ENERGY 4.13 04/01/2052 3.72 10.16 578 1,850,000.00 79.58 1,510,386.93
845743BR3 SOUTHWESTERN PUB SVC CO 3.70 08/15/2047 14.47 5.63 156 1,095,000.00 74.30 818,744.75
898813AR1 TUCSON ELEC PWR CO 4.00 06/15/2050 14.79 5.71 175 1,100,000.00 76.38 853,105.01
92840VAD4 VISTRA OPERATIONS CO LLC 3.55 07/15/2024 1.70 6.39 201 2,320,000.00 95.25 2,227,301.12
Total IG Corp. - Utility 19,701,925.88
013051EA1 ALBERTA PROVINCE OF 3.30 03/15/2028 4.92 4.49 40 230,000.00 94.29 217,199.42
013051EM 5 ALBERTA PROVINCE OF 1.30 07/22/2030 7.23 4.44 55 370,000.00 79.45 294,868.85
085209AG9 BERM UDA GOVT 2.38 08/20/2030 6.96 5.55 162 435,000.00 79.91 348,787.52
110709EC2 BRITISH COLUM BIA PROVINCE OF 7.25 09/01/2036 9.49 4.22 40 750,000.00 131.62 991,686.43
465410BG2 ITALY REP OF 5.38 06/15/2033 7.95 5.96 213 2,100,000.00 95.41 2,036,907.20
471048CJ5 JAPAN BK FOR INTL COOPERATION 0.63 07/15/2025 2.71 4.66 40 2,000,000.00 89.55 1,793,687.17
471068AN6 JAPAN FIN ORG FOR M UNI 3.38 09/27/2023 0.96 4.56 30 600,000.00 98.87 593,432.02
471068AQ9 JAPAN FIN ORG FOR MUNI 1.75 09/05/2024 1.87 4.53 21 400,000.00 94.91 380,133.44
68327LAC0 ONTARIO TEACHERS CADILLAC FAIRVIEW 4.13 02/01/2029 5.40 5.58 149 1,740,000.00 92.30 1,618,017.70
74815HCJ9 QUEBEC PROVINCE OF 7.30 07/22/2026 2.94 4.81 71 2,771,000.00 108.55 3,046,800.11
889124AL7 TOKYO M ETROPOLITAN OF 3.25 06/01/2023 0.65 4.43 33 1,400,000.00 99.23 1,404,370.69
B8A52M CP1 SYNGENTA FIN NV 4.89 04/24/2025 2.29 6.15 181 1,277,000.00 97.06 1,266,712.98
Total IG Corporates - Non Credit 13,992,603.52

857477855 STATE STREET CORP 5.35 12/31/2049 3.08 7.20 148 25,000.00 24.43 610,750.00
Total IG Corp. – Other 610,750.00
072024ND0 BAY AREA TOLL AUTH CA BABS 6.26 04/01/2049 12.72 5.23 119 250,000.00 113.91 292,615.95
13063A5E0 CA ST BABS 7.50 04/01/2034 7.85 5.39 157 1,110,000.00 117.87 1,350,000.15
13063A5G5 CA ST BABS 7.55 04/01/2039 9.91 5.42 148 45,000.00 123.02 57,055.72
167593AN2 CHICAGO IL OHARE INTL ARPT BABS 6.40 01/01/2040 10.34 5.42 148 540,000.00 110.49 605,287.85
26443CAA1 DUKE UNIV HLTH 3.92 06/01/2047 14.30 5.33 126 400,000.00 80.74 328,205.52
452151LF8 IL ST PENSION OB 5.10 06/01/2033 5.56 6.00 203 325,000.00 95.06 314,463.40
4521522E0 IL ST 5.00 10/01/2022 0.01 4.88 -100 120,000.00 100.00 123,000.00
452152P62 IL ST 5.00 11/01/2022 0.09 3.81 71 2,145,000.00 100.10 2,191,740.65
48305QAF0 KAISER FOUNDATION HOSPS 2.81 06/01/2041 13.17 5.40 128 1,925,000.00 69.77 1,361,079.54
576000KV4 MA ST SCH BLDG AUTH BABS 5.72 08/15/2039 9.25 5.01 116 500,000.00 106.62 536,737.57
594712WY3 M I ST UNIV 4.17 08/15/2122 21.08 5.69 238 1,295,000.00 73.24 955,392.38
646139X83 NJ ST TPK AUTH BABS 7.10 01/01/2041 9.91 5.36 142 1,380,000.00 118.34 1,657,600.28
64971M ZG0 NYC NY TFA BABS 5.77 08/01/2036 6.26 5.48 157 475,000.00 101.77 487,982.09
67777JAL2 OHIOHEALTH CORP 2.30 11/15/2031 7.86 5.18 134 3,545,000.00 79.26 2,840,602.03
709223A27 PA ST TPK COM M N TPK BABS 5.51 12/01/2045 12.12 5.38 127 270,000.00 101.57 279,194.43
73358WJA3 PORT AUTH NY & NJ 4.46 10/01/2062 16.61 5.31 163 375,000.00 86.41 332,394.15
743756AB4 PROVIDENCE ST JOSEPH HLTH OBL 2.75 10/01/2026 3.64 5.07 85 250,000.00 91.68 232,628.82
74529JPX7 PR SALES TAX FING CORP RESTRUCTURE 5.00 07/01/2058 13.74 5.74 117 1,500,000.00 88.75 1,349,929.97
759136QP2 REGIONAL TRANSN DIST CO BABS 5.84 11/01/2050 13.64 5.23 124 420,000.00 108.72 466,860.91
882484AA6 TX HLTH RESOURCES 4.33 11/15/2055 16.12 5.27 150 325,000.00 85.45 283,025.70
882667AZ1 TEXAS PRIV ACT BD SRFC TRANS 3.92 12/31/2049 13.45 5.88 179 400,000.00 75.70 306,761.17
91412GXE0 UNIVERSITY CA 3.93 05/15/2045 8.89 5.38 145 225,000.00 87.51 200,233.81
91412GXY6 UNIVERSITY CA 4.13 05/15/2045 10.73 5.41 144 250,000.00 86.65 220,534.04
914455UJ7 UNIVERSITY MI 4.45 04/01/2122 20.94 5.59 229 2,200,000.00 79.74 1,807,425.43
915217WX7 UNIVERSITY VA UNIV REVS 4.18 09/01/2117 22.54 5.33 208 325,000.00 78.51 256,282.18
98459LAB9 YALE UNIV 1.48 04/15/2030 6.88 4.64 71 1,580,000.00 80.08 1,276,091.92
Total Municipals 20,113,125.62
172967M K4 CITIGROUP INC 4.70 12/31/2049 2.16 14.97 1019 1,475,000.00 80.37 1,197,139.23
172967M V0 CITIGROUP INC 3.88 12/31/2049 2.48 8.09 337 1,240,000.00 82.87 1,033,358.63
38144GAG6 GOLDM AN SACHS GRP INC 3.65 12/31/2049 2.24 8.07 365 585,000.00 77.17 454,461.60
38148BAC2 GOLDM AN SACHS GRP INC 5.30 12/31/2049 3.39 7.28 236 410,000.00 93.06 390,047.04
39807UAB2 GREYSTAR REAL ESTATE PARTNERS LLC 5.75 12/01/2025 2.61 7.97 353 675,000.00 93.88 646,637.92
445587AE8 HUNT CO INC 5.25 04/15/2029 5.17 10.26 602 625,000.00 76.54 493,481.84
46115HBQ9 INTESA SANPAOLO SPA 4.20 06/01/2032 5.37 9.57 552 410,000.00 67.62 282,982.53
63861CAA7 NATIONSTAR M TG HLDGS INC 6.00 01/15/2027 3.64 10.28 589 225,000.00 85.41 195,027.71
63861CAC3 NATIONSTAR M TG HLDGS INC 5.50 08/15/2028 4.82 10.44 614 665,000.00 78.70 528,048.38
682691AC4 ONEM AIN FIN CORP 3.88 09/15/2028 5.14 9.81 556 950,000.00 73.68 701,593.57
70932M AB3 PENNYMAC FIN SVCS INC 4.25 02/15/2029 5.35 10.26 601 875,000.00 72.38 638,056.22
81721M AM 1 SENIOR HSG PROPERTIES TR 4.75 02/15/2028 4.49 15.02 1042 1,100,000.00 63.00 699,709.14
Total High Yield – Financial 7,260,543.82
00165CAP9 AMC ENTERTAINMENT HLDGS INC 10.00 06/15/2026 2.88 23.19 1779 275,330.00 68.26 196,047.05
001877AA7 API GRP DE INC 4.13 07/15/2029 5.58 8.07 393 850,000.00 79.67 684,565.79
00653VAA9 ADAPTHEALTH LLC 6.13 08/01/2028 4.41 8.35 402 700,000.00 89.88 636,299.83
00687YAA3 ADIENT GLOBAL HLDGS LTD 4.88 08/15/2026 3.42 8.72 437 325,000.00 87.56 286,600.35
00737WAA7 ADTALEM GLOBAL EDUCATION INC 5.50 03/01/2028 4.26 7.73 342 431,000.00 90.26 390,988.39
High Yield - Industrial 00810GAC8 AETHON UNITED BR LP 8.25 02/15/2026 2.65 9.42 485 625,000.00 96.67 610,792.64

High Yield - Industrial 00810GAC8 AETHON UNITED BR LP 8.25 02/15/2026 2.65 9.42 485 625,000.00 96.67 610,792.64
019576AC1 ALLIED UNIVERSAL HOLDCO LLC 6.00 06/01/2029 5.03 14.35 988 825,000.00 64.88 551,795.58
019579AA9 ALLIED UNIVERSAL HOLDCO LLC 4.63 06/01/2028 4.75 10.03 575 390,000.00 77.00 306,304.22
02156LAA9 ALTICE FRANCE SA 8.13 02/01/2027 3.45 11.29 681 1,000,000.00 89.35 907,063.64
02406PAU4 AM ERICAN AXLE & M FG INC 6.50 04/01/2027 3.67 10.86 646 1,447,000.00 84.78 1,273,806.30
030981AJ3 AM ERIGAS PARTNERS LP AM ERIGAS FIN 5.88 08/20/2026 3.39 8.62 429 925,000.00 91.07 848,546.06
030981AL8 AM ERIGAS PARTNERS LP AM ERIGAS FIN 5.75 05/20/2027 3.90 8.39 411 725,000.00 90.00 667,699.02
03690AAF3 ANTERO M IDSTREAM LLC 5.75 01/15/2028 4.05 7.79 342 1,100,000.00 91.28 1,017,390.36
04364VAG8 ASCENT RESOURCES UTICA HLDGS LLC 7.00 11/01/2026 2.80 8.03 340 325,000.00 96.47 323,013.49
04364VAK9 ASCENT RESOURCES UTICA HLDGS LLC 9.00 11/01/2027 3.43 3.21 -97 154,000.00 122.00 193,660.87
04364VAR4 ASCENT RESOURCES UTICA HLDGS LLC 8.25 12/31/2028 3.75 8.85 414 525,000.00 97.15 517,251.97
045086AK1 ASHTON WOODS USA FIN 6.63 01/15/2028 4.25 10.57 620 800,000.00 84.29 685,538.46
045086AM 7 ASHTON WOODS USA FIN 4.63 08/01/2029 5.59 10.18 597 275,000.00 73.08 203,089.85
04650YAA8 AM BIENCE M ERGER SUB INC 4.88 07/15/2028 4.79 12.20 780 250,000.00 70.18 178,018.33
049362AA4 ATLAS LUXCO 4 SARL 4.63 06/01/2028 4.74 10.48 617 235,000.00 75.44 180,915.11
05508WAB1 B&G FOODS INC 5.25 09/15/2027 4.24 10.23 589 475,000.00 80.99 385,825.74
071734AD9 BAUSCH HLTH COS INC 7.00 01/15/2028 3.71 31.76 2535 50,000.00 38.37 19,922.09
071734AH0 BAUSCH HLTH COS INC 5.00 01/30/2028 4.08 28.92 2293 385,000.00 36.84 145,080.00
071734AJ6 BAUSCH HLTH COS INC 5.25 01/30/2030 5.05 23.33 1813 375,000.00 37.83 145,199.76
071734AK3 BAUSCH HLTH COS INC 6.25 02/15/2029 4.37 27.68 2189 1,955,000.00 37.37 746,247.61
071734AL1 BAUSCH HLTH COS INC 5.25 02/15/2031 5.56 21.24 1631 675,000.00 38.57 264,857.69
071734AM 9 BAUSCH HLTH COS INC 5.00 02/15/2029 4.72 24.37 1898 250,000.00 38.84 98,698.98
07556QBR5 BEAZER HOM ES USA INC 5.88 10/15/2027 4.10 11.99 757 25,000.00 77.33 20,010.97
07556QBT1 BEAZER HOM ES USA INC 7.25 10/15/2029 5.07 11.66 736 625,000.00 79.21 515,974.85
097751BM 2 BOM BARDIER INC 7.50 03/15/2025 1.89 8.76 415 1,344,000.00 97.26 1,311,609.08
097751BR1 BOM BARDIER INC 7.50 12/01/2024 1.55 7.82 307 1,369,000.00 99.37 1,394,541.84
097751BT7 BOM BARDIER INC 7.88 04/15/2027 3.30 10.11 562 2,625,000.00 92.01 2,510,577.12
103186AC6 BOXER PARENT CO INC 9.13 03/01/2026 2.43 10.52 583 700,000.00 96.07 677,827.31
109641AH3 BRINKER INTL INC 5.00 10/01/2024 1.81 7.16 275 225,000.00 96.04 221,723.82
11283YAD2 BROOKFIELD RESIDENTIAL PROPERTIES 4.88 02/15/2030 5.88 9.89 573 400,000.00 74.17 299,158.18
11283YAG5 BROOKFIELD RESIDENTIAL PROPERTIES 5.00 06/15/2029 5.37 10.38 615 650,000.00 74.45 493,480.40
12467AAF5 C&S GRP ENTERPRISES LLC 5.00 12/15/2028 5.05 10.84 655 1,000,000.00 74.07 755,452.98
1248EPCL5 CCO HLDGS LLC CCO HLDGS CAP CORP 4.50 06/01/2033 7.66 8.17 422 400,000.00 74.17 302,689.84
1248EPCN1 CCO HLDGS LLC CCO HLDGS CAP CORP 4.50 05/01/2032 7.05 8.12 414 825,000.00 76.22 644,280.52
126307AY3 CSC HLDGS LLC 7.50 04/01/2028 4.37 12.17 774 300,000.00 81.64 245,934.13
126307BA4 CSC HLDGS LLC 5.75 01/15/2030 5.58 11.75 749 1,500,000.00 71.11 1,084,888.74
126307BD8 CSC HLDGS LLC 4.63 12/01/2030 6.30 10.57 645 425,000.00 68.00 295,554.53
126307BF3 CSC HLDGS LLC 3.38 02/15/2031 6.94 8.34 435 440,000.00 70.48 312,029.51
12769GAA8 CAESARS ENTERTAINM ENT INC 4.63 10/15/2029 5.64 9.19 504 400,000.00 76.71 315,382.32
153527AP1 CENTRAL GARDEN & PET CO 4.13 04/30/2031 6.60 7.57 358 150,000.00 78.53 120,388.94
156504AL6 CENTURY COM M UNITIES INC 6.75 06/01/2027 3.39 8.29 381 800,000.00 94.12 770,925.12
165167DF1 CHESAPEAKE ENERGY CORP 5.50 02/01/2026 2.73 6.94 249 975,000.00 95.78 942,773.69
165167DG9 CHESAPEAKE ENERGY CORP 5.88 02/01/2029 4.37 7.30 286 325,000.00 92.88 305,057.89
216762AF1 COOPER STANDARD AUTO INC 5.63 11/15/2026 3.25 31.24 2488 875,000.00 42.72 392,405.22
235825AJ5 DANA INC 4.50 02/15/2032 7.15 8.90 491 800,000.00 72.43 584,012.79
23918KAS7 DAVITA HLTHCARE PARTNERS INC 4.63 06/01/2030 6.02 8.73 464 775,000.00 77.12 609,618.88
25277LAC0 DIAM OND SPORTS GRP LLC 6.63 08/15/2027 1.76 50.00 5000 230,000.00 6.83 17,662.26
25277LAF3 DIAM OND SPORTS GRP LLC 5.38 08/15/2026 2.86 50.00 4980 2,225,000.00 19.86 457,147.87
High Yield - Industrial 25470XAY1 DISH DBS CORP 7.75 07/01/2026 3.11 16.28 1150 1,700,000.00 76.69 1,336,659.80

High Yield - Industrial 29163VAC7 EM PIRE COM M CORP 7.00 12/15/2025 2.77 13.52 889 1,150,000.00 83.45 983,372.11
29260FAE0 ENDEAVOR ENERGY RESOURCES LP 5.75 01/30/2028 3.70 6.85 235 700,000.00 95.12 672,675.65
29273VAM 2 ENERGY TRANSFER LP 7.13 12/31/2049 5.55 10.43 626 775,000.00 82.90 663,333.72
29273VAN0 ENERGY TRANSFER LP 6.50 12/31/2049 3.47 10.98 654 1,155,000.00 85.45 1,015,266.81
29336UAD9 ENLINK MIDSTREAM PARTNERS LP 5.05 04/01/2045 11.17 7.87 367 975,000.00 70.48 711,825.43
29336UAG2 ENLINK M IDSTREAM PARTNERS LP 5.45 06/01/2047 11.46 7.90 377 1,025,000.00 73.59 772,967.11
31556TAA7 FERTITTA ENTERTAINM ENT 4.63 01/15/2029 5.15 8.18 399 625,000.00 82.77 523,396.11
345370BR0 FORD M OTOR CO 7.40 11/01/2046 10.43 8.24 410 1,500,000.00 91.30 1,415,686.01
345370CS7 FORD MOTOR CO 5.29 12/08/2046 11.37 8.04 389 485,000.00 70.87 351,797.86
345370DA5 FORD M OTOR CO 3.25 02/12/2032 7.69 7.45 355 350,000.00 72.03 253,639.33
345397B51 FORD M OTOR CR CO LLC 2.90 02/16/2028 4.84 7.81 361 225,000.00 78.75 178,004.58
345397ZU0 FORD MOTOR CR CO LLC 3.35 11/01/2022 0.09 5.20 235 395,000.00 99.84 399,863.28
364760AP3 GAP INC 3.63 10/01/2029 5.74 10.90 667 325,000.00 65.63 219,174.94
364760AQ1 GAP INC 3.88 10/01/2031 6.94 10.03 600 325,000.00 64.08 214,541.11
381013AA9 GOLDEN ENTERTAINM ENT INC 7.63 04/15/2026 2.19 8.07 322 700,000.00 98.66 715,197.51
404030AJ7 H&E EQUIPM ENT SVCS INC 3.88 12/15/2028 5.23 8.17 399 1,100,000.00 79.40 885,921.78
431318AU8 HILCORP ENERGY I HILCORP FIN CO 5.75 02/01/2029 4.81 8.16 389 200,000.00 88.25 178,410.76
431318AV6 HILCORP ENERGY I HILCORP FIN CO 6.00 02/01/2031 5.82 8.11 395 200,000.00 87.40 176,799.54
432833AN1 HILTON DOM ESTIC OPERATING CO INC 3.63 02/15/2032 7.33 7.07 312 1,125,000.00 76.68 867,862.03
449691AA2 ILIAD HLDG SAS 6.50 10/15/2026 3.40 10.40 599 225,000.00 87.40 203,394.30
449691AC8 ILIAD HLDG SAS 7.00 10/15/2028 4.52 10.22 590 225,000.00 85.74 200,172.48
50050NAA1 KONTOOR BRANDS INC 4.13 11/15/2029 5.75 8.03 391 200,000.00 79.11 161,326.75
513272AD6 LAM B WESTON HLDGS INC 4.13 01/31/2030 5.73 6.84 270 450,000.00 84.56 383,657.31
513272AE4 LAM B WESTON HLDGS INC 4.38 01/31/2032 6.87 6.89 288 450,000.00 82.88 376,298.91
53219LAS8 LIFEPOINT HLTH INC 4.38 02/15/2027 3.87 9.13 479 25,000.00 83.16 20,930.47
552704AE8 MEG ENERGY CORP 7.13 02/01/2027 2.20 6.40 151 250,000.00 101.54 256,806.72
552953CH2 M GM RESORTS INTL 4.75 10/15/2028 5.00 8.00 382 550,000.00 84.66 477,662.33
575385AD1 M ASONITE INTL CORP 5.38 02/01/2028 4.23 8.08 376 450,000.00 88.46 402,080.95
57701RAM 4 MATTAMY GRP CORP 4.63 03/01/2030 5.97 9.06 494 1,600,000.00 76.41 1,228,756.33
59001ABA9 M ERITAGE HOM ES CORP 5.13 06/06/2027 3.99 8.03 376 1,800,000.00 88.81 1,628,128.29
62482BAA0 M OZART DEBT M ERGER SUB INC 3.88 04/01/2029 5.37 7.82 367 925,000.00 80.30 760,737.28
62482BAB8 M OZART DEBT M ERGER SUB INC 5.25 10/01/2029 5.43 10.24 603 200,000.00 75.50 156,247.84
651229BB1 NEWELL BRANDS INC 4.88 06/01/2025 2.42 6.19 187 130,000.00 96.79 127,942.44
670001AG1 NOVELIS CORP 3.25 11/15/2026 3.73 7.85 356 775,000.00 84.06 661,006.09
674599DF9 OCCIDENTAL PETROLEUM CORP 6.45 09/15/2036 9.23 6.50 262 675,000.00 99.56 673,993.61
69527AAA4 PACTIV EVERGREEN GRP 4.38 10/15/2028 4.96 8.02 382 1,250,000.00 82.81 1,060,289.90
707569AS8 PENN NATL GAM ING INC 5.63 01/15/2027 3.60 8.84 448 700,000.00 88.72 629,364.97
737446AP9 POST HLDGS INC 5.50 12/15/2029 5.35 7.99 379 300,000.00 86.54 264,482.43
737446AR5 POST HLDGS INC 4.50 09/15/2031 6.72 7.53 351 575,000.00 80.50 464,025.00
74052HAB0 PREMIER ENTERTAINMENT SUB LLC 5.88 09/01/2031 6.43 11.89 773 600,000.00 67.48 407,797.55
79546VAL0 SALLY HLDGS LLC SALLY CAP INC 5.63 12/01/2025 2.54 7.52 306 1,500,000.00 94.73 1,449,136.38
80874YBG4 SCIENTIFIC GAM ES INTL INC 8.63 07/01/2025 1.47 7.06 235 625,000.00 102.53 654,270.34
810186AW6 SCOTTS M IRACLE GRO CO 4.38 02/01/2032 7.14 9.02 503 725,000.00 71.07 520,574.87
81725WAJ2 SENSATA TECHNOLOGIES BV 5.00 10/01/2025 2.69 6.72 241 925,000.00 95.40 905,538.36
852060AT9 SPRINT CAP CORP 8.75 03/15/2032 6.72 6.47 257 825,000.00 115.91 959,434.92
85207UAF2 SPRINT CORP 7.88 09/15/2023 0.92 6.75 245 600,000.00 101.40 610,478.30
85207UAJ4 SPRINT CORP 7.63 02/15/2025 2.02 6.18 178 1,250,000.00 102.84 1,297,626.84
85207UAK1 SPRINT CORP 7.63 03/01/2026 2.82 6.27 193 1,039,000.00 103.76 1,084,616.48
High Yield - Industrial 853496AG2 STANDARD INDS INC 4.38 07/15/2030 6.20 8.58 451 550,000.00 76.46 425,603.45

High Yield – Industrial 87470LAD3 TALLGRASS ENERGY PARTNERS LP 5.50 01/15/2028 4.35 9.00 469 950,000.00 85.51 823,357.80
87470LAH4 TALLGRASS ENERGY PARTNERS LP 7.50 10/01/2025 2.17 7.98 334 375,000.00 98.75 384,369.72
87470LAJ0 TALLGRASS ENERGY PARTNERS LP 6.00 12/31/2030 5.86 8.57 444 375,000.00 84.99 324,396.64
87724RAA0 TAYLOR M ORRISON COM M UNITIES INC 5.88 06/15/2027 3.96 7.64 338 775,000.00 93.11 735,010.28
87724RAJ1 TAYLOR MORRISON COM MUNITIES INC 5.13 08/01/2030 6.16 8.54 448 45,000.00 80.75 36,723.52
88033GDA5 TENET HLTHCARE CORP 5.13 11/01/2027 3.97 7.55 322 800,000.00 89.89 736,193.13
88033GDG2 TENET HLTHCARE CORP 4.63 06/15/2028 4.53 7.31 305 100,000.00 87.65 89,011.75
88033GDJ6 TENET HLTHCARE CORP 6.13 10/01/2028 4.65 8.83 459 900,000.00 88.22 821,550.41
88033GDN7 TENET HLTHCARE CORP 4.38 01/15/2030 5.70 7.35 322 975,000.00 83.40 822,185.65
89055FAC7 TOPBUILD CORP 4.13 02/15/2032 7.26 7.65 370 325,000.00 76.73 251,089.14
89236YAB0 TPC GRP INC 0.00 08/01/2024 0.00 0.00 375,000.00 53.23 199,622.81
89236YAC8 TPC GRP INC 10.88 08/01/2024 1.33 11.64 680 92,408.00 99.02 93,172.80
893830BL2 TRANSOCEAN INC 8.00 02/01/2027 3.48 18.60 1364 175,000.00 69.32 123,651.82
90932LAG2 UNITED AIRLINES INC 4.38 04/15/2026 3.14 7.92 360 730,000.00 89.22 666,057.82
90932LAH0 UNITED AIRLINES INC 4.63 04/15/2029 5.34 8.07 392 180,000.00 83.04 153,310.18
911363AM 1 UNITED RENTALS NA INC 3.88 02/15/2031 6.52 6.84 281 225,000.00 81.41 184,280.31
911365BG8 UNITED RENTALS NA INC 4.88 01/15/2028 4.06 6.75 239 500,000.00 91.75 463,884.58
911365BL7 UNITED RENTALS NA INC 5.25 01/15/2030 5.16 6.93 266 450,000.00 90.49 412,194.19
911365BP8 UNITED RENTALS NA INC 3.75 01/15/2032 7.15 6.92 296 1,275,000.00 78.52 1,011,175.03
91327AAA0 UNITI GRP LP UNITI FIBER HLDGS INC 7.88 02/15/2025 1.92 9.10 448 1,800,000.00 97.43 1,771,790.22
914906AS1 UNIVISION COM M S INC 5.13 02/15/2025 2.12 7.51 306 1,075,000.00 94.89 1,027,091.24
91911XAW4 BAUSCH HEALTH AM ERICAS INC 8.50 01/31/2027 3.15 35.31 2834 275,000.00 42.55 120,965.58
92240M BL1 VECTOR GRP LTD 5.75 02/01/2029 5.01 9.60 535 1,125,000.00 82.02 933,521.74
92328M AA1 VENTURE GLOBAL CALCASIEU PASS LLC 3.88 08/15/2029 5.81 6.43 236 95,000.00 85.96 82,128.26
92328M AB9 VENTURE GLOBAL CALCASIEU PASS LLC 4.13 08/15/2031 7.12 6.72 280 70,000.00 82.87 58,378.77
95081QAN4 WESCO DISTRIBUTION INC 7.13 06/15/2025 1.85 7.11 234 425,000.00 100.00 433,927.22
95081QAP9 WESCO DISTRIBUTION INC 7.25 06/15/2028 3.34 7.59 284 410,000.00 98.42 412,277.84
958254AD6 WESTERN GAS PARTNERS LP 5.45 04/01/2044 11.27 7.03 283 425,000.00 82.62 362,734.22
958254AJ3 WESTERN GAS PARTNERS LP 5.30 03/01/2048 12.66 6.79 271 370,000.00 82.08 305,322.76
978097AG8 WOLVERINE WORLD WIDE INC 4.00 08/15/2029 5.73 8.63 449 250,000.00 76.34 192,134.77
Total High Yield - Industrial 73,086,615.53
131347CM 6 CALPINE CORP 4.50 02/15/2028 4.43 7.34 308 600,000.00 87.56 528,824.38
131347CN4 CALPINE CORP 5.13 03/15/2028 4.49 8.25 399 1,100,000.00 86.47 953,721.17
131347CP9 CALPINE CORP 4.63 02/01/2029 5.19 8.42 422 450,000.00 81.66 370,937.25
131347CQ7 CALPINE CORP 5.00 02/01/2031 6.32 8.39 433 875,000.00 79.95 706,820.30
629377CE0 NRG ENERGY INC 5.75 01/15/2028 3.92 7.43 302 125,000.00 92.73 117,432.31
629377CH3 NRG ENERGY INC 5.25 06/15/2029 5.03 7.55 331 1,525,000.00 88.06 1,366,521.93
629377CQ3 NRG ENERGY INC 3.38 02/15/2029 5.43 7.12 298 100,000.00 81.06 81,490.64
629377CR1 NRG ENERGY INC 3.63 02/15/2031 6.73 7.15 315 275,000.00 78.08 215,986.72
92840M AB8 VISTRA CORP 8.00 12/31/2049 0.41 11.62 638 1,975,000.00 91.93 1,888,513.70
92840M AC6 VISTRA CORP 7.00 12/31/2049 3.09 10.16 503 575,000.00 87.43 514,602.37
92840VAF9 VISTRA OPERATIONS CO LLC 5.00 07/31/2027 3.86 7.43 308 585,000.00 90.29 533,145.84
92840VAH5 VISTRA OPERATIONS CO LLC 4.38 05/01/2029 5.36 7.68 354 475,000.00 83.58 405,666.82
Total High Yield – Utility 7,683,663.43
17302XAK2 CITGO PETROLEUM CORP 7.00 06/15/2025 2.41 8.89 448 600,000.00 95.52 585,497.56
66977WAQ2 NOVA CHEM ICALS CORP 4.88 06/01/2024 1.57 8.79 427 1,000,000.00 94.03 956,595.37
Total High Yield - Non Credit 1,542,092.93
B8A9U3BS9 TPC GRP INC CONTRACTUAL RIGHTS 0.00 08/01/2024 0.00 0.00 262,713.00 0.00 0.26
Total High Yield - Other 0.26

25381VAA5 DIGICEL INTL FIN LTD 8.75 05/25/2024 1.49 14.98 1010 1,225,000.00 91.14 1,156,989.28
25381XAA1 DIGICEL INTL FIN LTD 8.75 05/25/2024 1.49 14.16 934 500,000.00 92.24 477,709.21
25381XAB9 DIGICEL INTL FIN LTD 13.00 12/31/2025 2.51 22.57 1719 535,612.00 78.65 441,778.96
25381XAC7 DIGICEL INTL FIN LTD 8.00 12/31/2026 3.30 22.92 1756 600,000.00 60.73 378,543.24
31503AAA2 FERMACA ENTERPRISES S DE RL DE CV 6.38 03/30/2038 6.09 7.69 369 274,688.83 92.34 253,686.06
335934AL9 FIRST QUANTUM M INERALS LTD 7.50 04/01/2025 1.97 9.21 467 1,100,000.00 96.24 1,099,931.71
36256WAA2 GM R HYDERABAD INTL AIRPORT LTD 4.25 10/27/2027 4.37 8.81 455 445,000.00 81.64 371,395.92
46128M AG6 INVERSIONES CM PC SA 4.75 09/15/2024 1.80 6.15 174 2,200,000.00 97.46 2,148,744.80
80007RAF2 SANDS CHINA LTD 5.63 08/08/2025 2.59 9.73 530 300,000.00 89.96 272,362.79
803865AA2 SASOL FING INTL PLC 4.50 11/14/2022 0.12 8.91 590 1,525,000.00 99.45 1,542,702.66
80386WAA3 SASOL FING USA LLC 5.88 03/27/2024 1.41 8.41 393 300,000.00 96.51 289,730.13
80386WAC9 SASOL FING USA LLC 4.38 09/18/2026 3.58 8.03 373 345,000.00 87.80 303,450.00
B8A2PUV09 LIM A M ETRO LINE 2 FIN LTD 5.88 07/05/2034 5.01 6.91 290 96,012.32 95.13 92,679.37
B8A7ETXA9 VEON HLDGS BV 4.00 04/09/2025 2.27 25.40 1970 1,600,000.00 61.81 1,019,507.71
B8A92K096 ENERGEAN ISRAEL FIN LTD 4.50 03/30/2024 1.44 8.92 439 400,000.00 93.92 375,743.70
B8A92K1V6 ENERGEAN ISRAEL FIN LTD 4.88 03/30/2026 3.16 8.64 429 383,000.00 88.83 340,268.45
B8A92K435 ENERGEAN ISRAEL FIN LTD 5.38 03/30/2028 4.64 8.75 451 750,000.00 85.50 641,387.94
Total Emerging Markets - Industrial 11,206,611.94
195325BK0 COLOM BIA REP OF 7.38 09/18/2037 8.73 8.91 490 355,000.00 87.41 311,243.00
195325CX1 COLOM BIA REP OF 4.50 01/28/2026 3.01 7.33 301 380,000.00 91.75 351,652.24
200447AL4 COM ISION FED DE ELECTRICIDAD 4.69 05/15/2029 5.36 7.92 379 1,125,000.00 83.57 973,283.86
25714PDZ8 DOM INICAN REP OF 6.00 07/19/2028 4.78 7.98 379 500,000.00 90.95 460,757.29
25714PEP9 DOM INICAN REP OF 5.50 02/22/2029 5.24 8.34 417 1,030,000.00 86.14 893,398.64
279158AN9 ECOPETROL SA 6.88 04/29/2030 5.55 9.87 572 387,000.00 84.25 337,262.10
29646AAB2 ESKOM HLDGS SOC LTD 7.13 02/11/2025 2.14 12.79 814 330,000.00 88.72 296,057.87
45434L2H6 INDIAN RAILWAY FIN CORP LTD 3.57 01/21/2032 7.62 6.47 260 460,000.00 79.96 371,001.12
48667QAN5 KAZM UNAYGAS NATL CO 4.75 04/19/2027 3.92 9.33 501 200,000.00 83.33 170,927.93
48667QAR6 KAZM UNAYGAS NATL CO 4.75 04/24/2025 2.34 8.02 364 645,000.00 92.55 610,314.00
59284M AA2 MEXICO CITY ARPT TR 4.25 10/31/2026 3.61 7.52 323 2,000,000.00 88.69 1,809,392.12
59284M AD6 M EXICO CITY ARPT TR 5.50 07/31/2047 10.53 9.49 531 1,050,000.00 62.13 662,155.51
69377FAB2 FREEPORT INDONESIA PT 5.32 04/14/2032 7.01 7.97 403 425,000.00 82.49 361,057.88
706451BR1 PETROLEOS M EXICANOS 6.63 06/15/2038 7.80 12.67 843 475,000.00 59.18 290,361.73
71647NAS8 PETROBRAS GLOBAL FIN BV 7.38 01/17/2027 3.65 6.55 231 118,000.00 103.05 123,382.55
71654QCB6 PETROLEOS M EXICANOS 6.88 08/04/2026 3.31 10.19 578 840,000.00 89.66 762,297.54
71654QCD2 PETROLEOS M EXICANOS 4.63 09/21/2023 0.94 7.59 325 188,000.00 97.26 183,096.81
71654QCG5 PETROLEOS MEXICANOS 6.50 03/13/2027 3.79 11.22 680 3,330,000.00 83.79 2,800,883.21
71654QCK6 PETROLEOS M EXICANOS 5.35 02/12/2028 4.50 11.40 702 154,000.00 76.18 118,436.52
71654QDB5 PETROLEOS M EXICANOS 6.49 01/23/2027 3.65 11.36 691 1,972,000.00 83.72 1,675,080.97
71654QDC3 PETROLEOS M EXICANOS 6.84 01/23/2030 5.41 12.15 786 200,000.00 74.70 151,989.07
73928QAA6 POWER FIN CORP LTD 6.15 12/06/2028 5.03 6.48 237 1,700,000.00 98.31 1,704,595.02
74727PAY7 QATAR REP OF 5.10 04/23/2048 13.74 5.34 132 685,000.00 96.72 677,901.78
74727PBB6 QATAR REP OF 4.82 03/14/2049 14.44 5.35 136 250,000.00 92.50 231,816.02
74730DAE3 QATAR PETROLEUM 3.13 07/12/2041 12.97 5.45 133 535,000.00 72.85 393,396.21
760942BD3 URUGUAY ORIENTAL REP OF 4.98 04/20/2055 14.92 5.73 191 430,000.00 89.07 392,555.02
817477AF9 SERBIA REP OF 2.13 12/01/2030 7.15 7.87 390 265,000.00 65.84 176,346.25
903724AP7 UKRAINE GOVT OF 0.00 09/01/2024 0.00 0.00 700,000.00 27.80 194,586.34
903724BV3 UKRAINE GOVT OF 0.00 11/01/2030 0.00 0.00 400,000.00 21.71 86,855.14
903724BW1 UKRAINE GOVT OF 0.00 02/01/2026 0.00 0.00 200,000.00 20.72 41,438.82
Emerging Markets - Non Credit B8A1A5EL5 BRAZIL M INAS SPE 5.33 02/15/2028 2.54 6.60 235 2,268,000.00 96.81 2,211,109.64

B8A1CNZS6 1M DB GLOBAL INVESTM ENTS LTD 4.40 03/09/2023 0.43 14.77 1060 3,000,000.00 95.68 2,878,608.18
B8A29TV00 ISRAEL ELEC CORP LTD 5.00 11/12/2024 1.96 6.05 171 2,000,000.00 97.93 1,997,229.53
B8A33M W65 UKRAINE GOVT OF 0.00 09/01/2024 0.00 0.00 980,000.00 26.83 262,893.13
B8A4X8PZ5 ISRAEL ELEC CORP LTD 4.25 08/14/2028 5.10 5.80 170 530,000.00 92.35 492,420.67
B8A5R70V7 UKRAINE GOVT OF 0.00 02/01/2026 0.00 0.00 200,000.00 20.74 41,478.49
B8A78PBS9 REC LTD 3.50 12/12/2024 2.07 5.66 134 600,000.00 95.58 579,839.85
B8A8EN6H5 CNAC HK FINBRIDGE CO LTD 2.00 09/22/2025 2.84 5.37 110 2,000,000.00 90.84 1,817,743.00
Total Emerging Markets - Non Credit 27,894,845.06
30575PAN6 FFIT_20-1A 2.51 10/20/2039 1.64 6.49 264 300,000.00 93.71 204,770.20
B04786354 ITALY REP OF 6.00 08/04/2028 4.94 6.55 208 1,295,000.00 97.40 1,421,685.59
B8A1RJSL2 PETROBRAS GLOBAL FIN BV 6.63 01/16/2034 7.35 9.55 496 750,000.00 80.25 711,098.12
B8A2U6SZ3 INDONESIA REP OF 3.38 07/30/2025 2.71 4.11 231 1,900,000.00 98.06 1,836,056.88
B8A31CM E3 ROM ANIA REP OF 3.88 10/29/2035 9.26 7.78 538 282,000.00 68.67 199,582.96
B8A31CM M 5 ROM ANIA REP OF 3.88 10/29/2035 9.26 7.78 538 307,000.00 68.67 217,276.48
B8A3GP8R5 INDONESIA REP OF 3.75 06/14/2028 5.12 4.71 267 1,200,000.00 95.28 1,133,218.10
B8A426CB0 PETROLEOS M EXICANOS 4.88 02/21/2028 4.55 11.72 917 450,000.00 73.67 337,822.51
B8A456HV8 LIBERTY M UTUAL FIN EUR DAC 1.75 03/27/2024 1.46 3.43 173 700,000.00 97.59 675,405.20
B8A51WU39 EGYPT GOVT OF 4.75 04/16/2026 3.19 16.19 1323 320,000.00 70.77 228,706.09
B8A556N63 PETROLEOS M EXICANOS 4.75 02/26/2029 5.24 11.87 927 500,000.00 69.18 352,679.63
B8A5Q51U3 PERUSAHAAN LISTRIK NEGARA PT 2.88 10/25/2025 2.88 4.56 271 1,298,000.00 95.27 1,245,636.56
B8A5UGV15 STRYKER CORP 2.13 11/30/2027 4.77 3.75 177 450,000.00 92.49 415,577.18
B8A67S629 M EDTRONIC GLOBAL HLDGS SCA 2.25 03/07/2039 13.10 4.06 179 300,000.00 78.56 234,643.87
B8A6LYEH8 INDONESIA REP OF 1.45 09/18/2026 3.84 4.53 262 1,070,000.00 89.02 933,714.33
B8A6NUC78 SERBIA REP OF 1.50 06/26/2029 6.28 8.18 588 916,000.00 66.43 599,661.95
B8A6Y79N6 DH EUROPE FIN SA 1.35 09/18/2039 14.54 4.18 189 1,110,000.00 66.05 718,771.04
B8A75S371 PERUSAHAAN LISTRIK NEGARA PT 1.88 11/05/2031 8.03 5.86 364 323,000.00 72.52 234,838.02
B8A7FXA14 UKRAINE GOVT OF 0.00 01/27/2032 0.00 0.00 885,000.00 18.59 161,168.14
B8A7WTTB2 SERBIA REP OF 3.13 05/15/2027 4.25 7.97 579 2,025,000.00 81.84 1,647,180.19
B8A8U6Z58 INDONESIA REP OF 1.10 03/12/2033 9.60 5.13 292 340,000.00 67.99 228,490.25
B8A8YFPZ9 BELLIS ACQ CO PLC 3.25 02/16/2026 3.06 12.40 763 4,100,000.00 75.35 3,523,065.28
B8A8YFTT9 BELLIS FINCO PLC 4.00 02/16/2027 3.75 16.49 1143 1,300,000.00 62.09 930,150.91
B8AAE6034 M ARKET BIDCO FINCO PLC 5.50 11/04/2027 4.17 11.39 673 2,400,000.00 77.66 2,137,172.99
BCC2N7Y57 NDPFT_20-1A 2.19 11/15/2028 0.06 3.72 245 1,335,000.00 99.81 1,489,510.16
BCC2QLVB3 NDFT_21-1A 2.19 03/15/2029 0.06 3.94 273 700,000.00 98.85 773,394.32
BCC2QY128 JUPIT_1A 2.19 07/20/2060 0.18 4.73 388 800,000.00 98.60 885,787.43
BCC324BB7 RARES_21-1A 2.70 09/27/2075 0.00 5.28 546 1,234,573.34 95.70 1,157,812.05
Total Non-USD 24,634,876.46
FX 0.00 1,016,892.52
Total FX 1,016,892.52
CASH 0.00 -984,812.92
Total Cash -984,812.92
Total Market Value 1,045,286,012.83
Local currency represents the currency the security was issued in. Base Currency is USD. Book Value, Cost Data, and unrealiz ed Capital Gains/Losses are provided in this statement for informational purposes only and do not reflect official
accounting values. Please refer to the information contained within your official accounting records. Copyright 2022, S&P Global Market Intelligence. Reproduction of any information, data or material, including ratings (“Content”) in any form is
prohibited except with the prior written permission of the relevant party. Such party, its affiliates and suppliers (“Content Providers”) do not guarantee the accuracy, adequacy, completeness, timeliness or availability of any Content and are not
responsible for any errors or omissions (negligent or otherwise), regardless of the cause, or for the results obtained from t he use of such Content. In no event shall Content Providers be liable for any damages, costs, expenses, legal fees, or losses
(including lost income or lost profit and opportunity costs) in connection with any use of the Content. A reference to a particular investment or security, a rating or any observation concerning an investment that is part of the Content is not a
recommendation to buy, sell or hold such investment or security, does not address the suitability of an investment or securit y and should not be relied on as investment advice. Credit ratings are statements of opinions and are not statements of fact.
PGIM FIXED INCOME Performance Attribution—Industry
YTD Industry Attribution

(Excludes any Industries between +1 and -1 in Security Selection)
Average
Multisector
Active Active Average
Credit Industry
Attribution Duration Active MV%
Bucket
Contribution
ABS Consumer Loans -1.87 0.01 0.82
Rental Car -1.55 0.02 0.40
Sub Prime Auto -1.47 0.04 1.46
Auto Loan -1.02 0.01 0.24
CMBS Conduit A4A 6.17 0.60 12.72
IO 1.49 0.00 0.19
SnglAsset/Borr -7.92 0.06 1.94
CORP HY Independent Energy 3.94 0.02 0.54
Midstream 3.54 0.05 0.77
Aerospace/Defense 2.33 0.01 0.47
Electric 2.09 0.04 0.75
Pharmaceuticals -12.50 0.01 0.23
Supermarkets -4.18 0.03 0.71
Cable and Satellite -3.17 0.02 0.43
Automotive -3.11 0.04 0.55
CORP INVEST Banking -8.86 0.25 4.22
Pharmaceuticals -6.79 0.02 0.00
Electric -3.36 -0.06 -0.07
Technology -3.05 -0.11 -1.68
EMG MKT Brazil 1.86 0.02 0.31
Ukraine -18.33 0.00 0.15
Mexico -6.76 0.03 0.78
Russian Federation -3.62 0.00 0.13
Serbia, Republic of -2.62 0.01 0.23
MBS/CMO UMBS 30 Yr Discount 5.35 0.14 2.13
FNMA 30 Yr Discount 3.56 -0.59 -8.42
FNMA 15 Yr Discount 1.85 -0.07 -1.70
FHLMC UMBS 30 Yr Par 1.26 0.00 -0.10
GNMA 30 Yr Discount -5.96 -0.29 -4.64
FNMA UMBS 30 Yr Discount -3.42 0.05 0.73
UMBS 30 Yr Par -2.10 0.04 0.78
FNMA 30 Yr Par -1.63 -0.06 -1.16
MUNI REV_UNIVERSITY 3.52 0.04 0.24
Foreign Local Government 1.05 0.02 0.88
NON AGENCY MBS CRT -4.28 0.04 1.09
MISSPLUS
Source of portfolio attribution: PGIM Fixed Income.
Represents attribution vs. the Bloomberg U.S. Aggregate Bond Index. Source of Benchmark: Bloomberg . Totals may not sum due to rounding. Past performance is not a guarantee or a reliable indicator of
future results. Please refer to Reference section for important disclosures regarding the information contained herein. 48
503/521
PGIM FIXED INCOME Performance Attribution—Industry
YTD Industry Attribution

(Excludes any Industries between +1 and -1 in Security Selection)
Average
Multisector
Credit Industry
Bucket
Contribution
Home Eq -1.89 0.03 0.68
SOVEREIGN Italy -1.22 0.02 0.30
TSY Nominal Bonds -11.65 0.00 -19.02
Zeros -1.41 0.00 1.15
MISSPLUS
504/521
PGIM FIXED INCOME Performance Attribution—Issuer
YTD Issuer Attribution

(Excludes any Issuers between +1 and -1 in Security Selection)
Average
Multisector
Credit Ultimate Parent Issuer
Bucket
Contribution
ABS LENDMARK FINANCIAL SERVICES LLC -1.12 0.01 0.36
ONEMAIN DIRECT AUTO RECEIVABLE TRUST -1.96 0.02 0.72
CMBS GS MORTGAGE SECURITIES TRUST GSMS_15-GS1 1.09 0.01 0.42
THE ELP COMMERCIAL MORTGAGE TRUST ELP_21-ELP -1.46 0.01 0.30
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_18-
-4.79 0.01 0.47
AON
CORP HY BOMBARDIER INC 2.33 0.01 0.47
ENLINK MIDSTREAM PARTNERS LP 1.67 0.02 0.14
OCCIDENTAL PETROLEUM CORPORATION 1.55 0.01 0.11
DIVERSIFIED HEALTHCARE TRUST -1.58 0.00 0.08
COOPER-STANDARD AUTOMOTIVE INC -2.22 0.00 0.05
BELLIS HOLDCO LTD -4.59 0.02 0.51
BAUSCH HEALTH COMPANIES INC -12.50 0.01 0.23
CORP INVEST WARNER BROS DISCOVERY INC -1.90 0.03 0.14
CHARTER COMMUNICATIONS -2.36 0.04 0.36
BROADCOM INC -2.65 0.05 0.39
VIATRIS INC -4.35 0.03 0.23
EMG MKT SERBIA (REPUBLIC OF) -2.62 0.01 0.23
VEON HOLDINGS BV -3.74 0.00 0.10
PETROLEOS MEXICANOS -5.08 0.03 0.73
UKRAINE REPUBLIC OF (GOVERNMENT) -18.33 0.00 0.15
MBS/CMO UNIFORM MBS 3.42 0.18 2.92
FEDERAL HOME LOAN MORTGAGE CORPORATION 2.77 -0.55 -8.62
FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.70 -0.66 -10.64
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -7.24 -0.33 -5.37
MUNI UNIVERSITY OF MICHIGAN 2.31 0.03 0.12
NON AGENCY MBS BELLEMEADE RE LTD BMIR_21-2A -1.14 0.01 0.31
TH MSR ISSUER TRUST -1.56 0.01 0.32
STRUCTURED AGENCY CREDIT RISK STACR_21-HQA3 -1.69 0.01 0.12
SOVEREIGN ITALY (REPUBLIC OF) -1.22 0.02 0.30
TSY United States -13.06 0.00 -17.87
MISSPLUS
505/521

Sector Positioning
Port Active Port Active

Port Active Port Active
Sprd Dur Sprd Dur OAS Sprd Dur Sprd Dur OAS
MV % MV % MV % MV %
Contrib Contrib Contrib Contrib
Government 20.08 -20.86 0.00 0.00 2 Investment Grade Corp 24.28 0.99 1.76 0.08 221
Agency,SBA, and FHA 0.22 -1.06 0.02 -0.02 91 Banking 8.66 3.03 0.49 0.21 201
Other 0.22 -1.05 0.02 -0.02 91 Cable and Satellite 0.60 0.16 0.06 0.01 287
Mortgages and CMO 14.33 -13.27 0.95 -0.85 61 Construction Machinery 0.00 -0.20 0.00 -0.01 0
CMO 0.44 0.44 0.03 0.03 68 Consumer Products 0.00 -0.22 0.00 -0.02 0
MBS 13.89 -13.71 0.91 -0.88 60 Diversified Manufacturing 0.15 -0.29 0.01 -0.02 218
Asset Backed Securities 3.38 2.98 0.08 0.07 350 Electric 1.69 -0.11 0.11 -0.05 298
Consumer Loans 0.92 0.92 0.02 0.02 812 Finance Companies 0.00 -0.30 0.00 -0.01 0
Rental Car 0.41 0.41 0.02 0.02 219 Food and Beverage 0.99 0.12 0.10 0.02 221
Sub Prime Auto 1.54 1.52 0.03 0.03 144 Independent Energy 0.71 0.49 0.03 0.01 164
CMBS 15.94 14.04 0.66 0.57 208 Integrated Energy 0.23 -0.21 0.01 -0.03 324
AG_IO 0.66 0.66 0.02 0.02 134 Metals 0.47 0.31 0.04 0.02 231
Agency CMBS 0.00 -0.87 0.00 -0.05 0 Midstream 1.33 0.51 0.11 0.05 210
Conduit 0.00 -0.21 0.00 -0.01 0 Other 0.41 0.41 0.01 0.01 218
Conduit A4A 12.76 12.51 0.56 0.55 128 Pharmaceuticals 1.18 0.01 0.11 0.01 210
SnglAsset/Borr 1.77 1.77 0.05 0.05 825 Property & Casualty 0.86 0.41 0.07 0.03 192
RMBS Credit 4.48 4.48 0.12 0.12 582 Railroads 0.09 -0.27 0.01 -0.03 173
CRT 1.07 1.07 0.04 0.04 641 Reits Other 0.31 0.18 0.02 0.01 227
CRT-MI 0.76 0.76 0.02 0.02 276 Restaurants 0.00 -0.13 0.00 -0.01 0
Home Eq 0.67 0.67 0.03 0.03 205 Retail 0.35 0.15 0.03 0.02 223
Prime 0.22 0.22 0.01 0.01 204 Retailers 0.33 -0.51 0.02 -0.05 172
Structured REPO 0.72 0.72 0.01 0.01 692 Technology 0.53 -1.75 0.05 -0.12 270
Non-US Govt Related 1.62 -0.78 0.07 -0.02 139 Wirelines 0.88 0.18 0.10 0.04 240
Foreign Local Government 0.66 0.40 0.02 0.01 51
Sovereign 0.36 0.27 0.03 0.02 206
Supranational 0.00 -1.38 0.00 -0.05 0
Municipals 1.92 1.01 0.21 0.10 139
BAB 0.55 0.27 0.05 0.03 142
Non BAB 1.03 0.39 0.13 0.06 157
Tax Exempt 0.35 0.35 0.02 0.02 82
MISSPLUS
Data shown excludes any positions with an active spread duration contribution rounded between -0.01 and 0.01.
Source of portfolio data: PGIM Fixed Income. 51
506/521

Sector Positioning
Port Active
Port Active
Sprd Dur Sprd Dur OAS
MV % MV %
Contrib Contrib
High Yield and Bank Loan 9.05 9.05 0.41 0.41 538
Aerospace/Defense 0.50 0.50 0.01 0.01 457
Automotive 0.49 0.49 0.03 0.03 619
Banking 0.32 0.32 0.02 0.02 590
Cable and Satellite 0.40 0.40 0.02 0.02 772
Construction Machinery 0.28 0.28 0.02 0.02 313
Electric 0.74 0.74 0.04 0.04 437
Food and Beverage 0.18 0.18 0.01 0.01 375
Gaming 0.31 0.31 0.01 0.01 413
Health Care 0.45 0.45 0.02 0.02 393
Home Construction 0.73 0.73 0.03 0.03 535
Independent Energy 0.46 0.46 0.02 0.02 296
Midstream 0.77 0.77 0.05 0.05 435
Supermarkets 0.70 0.70 0.03 0.03 774
Wireless 0.46 0.46 0.02 0.02 299
Emerging Markets 4.70 3.42 0.18 0.07 499
India 0.29 0.29 0.01 0.01 247
Indonesia 0.57 0.48 0.02 0.01 269
Mexico 0.99 0.72 0.05 0.02 583
Philippines 0.00 -0.13 0.00 -0.01 0
Qatar 0.12 0.12 0.02 0.02 133
The Republic of Serbia 0.23 0.23 0.01 0.01 567
Total Cash -0.10 -0.10 0.00 0.00 0
MISSPLUS
Data shown excludes any positions with an active spread duration contribution rounded between -0.01 and 0.01.
Source of portfolio data: PGIM Fixed Income. 52
507/521
PGIM FIXED INCOME Fixed Income Market Outlook
Investment Grade Corporate Bonds

September 2022
Factors Outlook Comments
We expect a moderation in US GDP from 5.7% in 2021 to 1.8% in 2022 and 0.8% in 2023. For 2022, earnings growth is
expected to decelerate to high single digits as companies grapple with rising costs, continued supply chain disruptions,
Economic conditions/Corporate fundamentals -/+
and now potentially slowing demand. Fortunately, companies continue to show balance sheet discipline with stable debt
levels, improving leverage and improvement in interest coverage.
The pace of M&A has declined amid increasing levels of uncertainty. Share buybacks continue, but we see few signs of
Management Priorities – Industrials 0
management teams sacrificing their ratings to buy back shares.
US money center banks benefitted from strong Net Interest Income and low levels of credit losses, offset by weaker
Investment Banking fees. Banks are now building reserves due to accelerating loan growth and macro uncertainty. After
Management Priorities – Financials +
the Fed's annual stress test and imposition of higher regulatory minimums, banks are generally rebuilding capital levels
and slowing down their share repurchases.
Spreads widened by 19bps in September leaving the corporate index 159 bps cheap to Treasuries. Spreads are on the
Historical spreads vs. govt/other asset classes -
cheaper side of long-term fair value but are still well inside recessionary levels.
Liquidity is still solid with active markets, but may be showing some signs of slight deterioration. Measures of volatility in
Liquidity/Spread Volatility -
the rates market are elevated and the Fed’s measure of market dislocations in corporate bond markets has climbed.
Investment Grade bond issuance in September was unseasonably light at ~$84 billion, the second lowest September
issuance on record after 2008 and significantly lower (39%) than the past 4yr average of $137bn ex-2020. YTD HG bond
Supply/Demand 0
supply crossed the trillion mark and stands at $1.02 trillion, which is down about 7% YoY. Expectations for 2022 are
$1.23 trillion and if met would entail an average issuance of $69billion per month for the remainder of the year.
Yield curve between 2-year and 10-year became further inverted to 45bps, which is viewed as a signal a recession is
Yield Curve Shape - likely to follow. Relative to the FOMC”s projections, the U.S. yield curve is pricing in a slightly quicker pace and slightly
higher peak Fed Funds rate.
+ Positive 0 Neutral – Negative
We’re considering reducing some cyclical and BBB exposure as their fundamentals would be expected to deteriorate in a downturn. That said, the move higher in rates along with
the widening in spreads has made the dollar price and convexity of certain bonds more attractive. Although the banking sector appears undervalued with A-rated banks trading
more like BBB-rated industrials, we are considering a modest reduction to the sector as it can be sensitive to technicals given it is a highly liquid part of market, the heavy issuance
experienced thus far this year and the prospect of more issuance to come. That said, the baking sector remains very well capitalized and the fundamentals remain strong.
Source: PGIM Fixed Income. Provided for discussion purposes only. The comments, opinions, and estimates contained herein are based on and/or derived from publicly available information from sources that PGIM Fixed Income believes
to be reliable. We do not guarantee the accuracy of such sources or information. This outlook, which is for informational pu rposes only, sets forth our views as of this date. The underlying assumptions and our views are subject to change.53
508/521
Does not constitute a recommendation regarding the merits of any investments. Does not constitute investment advice and shou ld not be used as the basis for any investment decision. Does not constitute a representation that PGIM
Fixed Income has purchased or would purchase any of the investments referenced or that any such investments would be profitab le. Past performance is not a guarantee or a reliable indicator of future results.
Agency Mortgages
September 2022
Origination continues to be light, with mortgage rates continue to rachet higher. Fed tapering and the prospect of Fed
Supply/Demand 0
sales continue to weigh on demand.
Liquidity continues to deteriorate, with limited risk appetite from the Street and the Fed purchases to end in
Liquidity -
September.
Dollar Rolls (financing) 0 Most rolls traded less special, with markets pricing in larger hikes in the near future.
Prepayments 0 Prepayment speeds have declined in the belly and higher coupons, in line with street expectation.
Current Coupon / OAS + Option-adjusted spreads have cheapened to levels not sustainably seen since 2008.
Summary
• Fundamental valuations are at the most attractive levels in over a decade. We continue to walk back our underweights across mandates and recommend an overweight vs the
index in accounts with liquidity.
• Mortgage rates continue to rise with Treasury yields resetting higher. The 30-year mortgage rate is at the highest level since 2000.
• Liquidity continues to be a primary headwind for the sector. Interest rate volatility remains elevated.
• We prefer the wings on the 30-year coupon stack given the current valuation as well as shrinking origination with a bias to own specified pools in lieu of TBA. We have also
reduced underweights in Ginnie Maes.
Source: PGIM Fixed Income. Provided for discussion purposes only. The comments, opinions, and estimates contained herein are based on and/or derived from publicly available information from sources
that PGIM Fixed Income believes to be reliable. We do not guarantee the accuracy of such sources or information. This outlook, which is for informational purposes only, sets forth our views as of this
date. The underlying assumptions and our views are subject to change. Does not constitute a recommendation regarding the meri ts of any investments. Does not constitute investment advice and should
not be used as the basis for any investment decision. Does not constitute a representation that PGIM Fixed Income has purchased or would purchase any of the investments referenced or that any such
investments would be profitable. Past performance is not a guarantee or a reliable indicator of future results.
509/521 54
September 2022
Economy/Environment/Fed - A less accommodative stance by the Fed and escalating geopolitical tensions puts spread products at risk.
Collateral performance is normalizing to pre-COVID levels across most sectors. Despite support from a stable job
Collateral Performance +
market, headwinds emerge for lower consumer credit cohorts.
Issuance volumes for 2021 broke records, we expect 2022 issuance be somewhat curtailed given higher rates and
Supply/Demand 0
spread volatility.
Liquidity in senior bonds is adequate. However, dealer balance sheets are increasingly constrained – especially
Liquidity 0
for mezzanine or equity securities. UK LDI pension liquidations have pressured UK/Euro bonds.
Deals with significant enhancement (and lower downgrade risk) generally provide better risk-adjusted returns in
Spreads/Valuations +
the current environment over the long-term.
Positive on the following securities given attractive valuations relative to other fixed income sectors:
• CLO AAAs and select AAs, which have significant collateral enhancement relative to collateral performance
• Conduit CMBS with significant credit enhancement and select single-asset/single-borrower mezzanine tranches
• Residential mortgage credit risk transfer securities, particularly with exposure to 2021 mortgages due to embedded HPA and lower mortgage payments
Source: PGIM Fixed Income. Provided for discussion purposes only. The comments, opinions, and estimates contained herein are based on and/or derived from publicly available
information from sources that PGIM Fixed Income believes to be reliable. We do not guarantee the accuracy of such sources or information. This outlook, which is for informational
purposes only, sets forth our views as of this date. The underlying assumptions and our views are subject to change. Does not constitute a recommendation regarding the merits of any
investments. Does not constitute investment advice and should not be used as the basis for any investment decision. Does not constitute a representation that PGIM Fixed Income has
purchased or would purchase any of the investments referenced or that any such investments would be profitable. Past performa nce is not a guarantee or a reliable indicator of future
results.
510/521 55
PGIM FIXED INCOME Corporate Bond Excess Returns
U.S. Corporate Subsector Excess Returns

bps
200 Quarter-To-Date Through September 30, 2022
100
0
-33
-100
-200
bps
Year-To-Date Through September 30, 2022
-50
-150
-250
-350
-450 -357
-550
-650
-750
56
Past performance is not a guarantee or a reliable indicator of future results. Please see the511/521
Notice for important disclosures. Source: Bloomberg. You cannot invest directly in an index.
PGIM FIXED INCOME Notice Page
PGIM Fixed Income is a global asset manager primarily focused on public fixed income investments whose U.S. business operates as a unit of PGIM, Inc. PGIM, Inc. is an investment adviser registered with
the U.S. Securities and Exchange Commission (the “SEC”)., and is a Prudential Financial, Inc. (“PFI”) company. Registration with the SEC as an investment adviser does not imply a certain level or skill or
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All investments involve risk, including the possible loss of capital. All performance targets contained herein are subject to revision and are provided solely as a guide to current expectations.
There can be no assurance that any product or strategy described herein will achieve any targets or that there will be any return of capital. Past performance is not a guarantee or a reliable
indicator of future results and an investment could lose value.
These materials are for informational purposes. The information is not intended as investment advice and is not a recommendation about managing or investing assets. In providing these
materials, PGIM Fixed Income is not acting as your fiduciary. Clients seeking information regarding their particular investment needs should contact their financial professional.
This document may contain confidential information and the recipient hereof agrees to maintain the confidentiality of such information. Distribution of this information to any person other than the person to
whom it was originally delivered and to such person’s advisers is unauthorized, and any reproduction of this document, in whole or in part, or the divulgence of any of its contents, without PGIM Fixed
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such information will not be changed. The information contained herein is current as of the date of issuance (or such earlier date as referenced herein) and is subject to change without notice. PGIM Fixed
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used as the basis for any investment decision.
This material may contain examples of the firm’s internal ESG research program and is not intended to represent any particular product’s or strategy’s performance or how any particular product or strategy
will be invested or allocated at any particular time. PGIM’s ESG policies and procedures, rankings and factors may change over time, in PGIM Fixed Income’s discretion. ESG investing is qualitative and
subjective by nature; there is no guarantee that the criteria used or judgment exercised by PGIM Fixed Income will reflect the beliefs or values of any investor. Information regarding certain ESG practices
may be obtained through third-party reporting, which may not be accurate or complete, and PGIM Fixed Income depends on this information to evaluate a company’s commitment to, or implementation of,
ESG practices. ESG norms differ by region. Accounts managed by PGIM Fixed Income may or may not hold instruments issued by any of the issuers that may be discussed herein. Nothing contained herein
should be construed as limiting the investments or strategies that PGIM Fixed Income can pursue when managing a client account. There is no assurance that PGIM Fixed Income’s ESG investing
techniques will be successful.
These materials do not take into account individual client circumstances, objectives or needs. No determination has been made regarding the suitability of any securities, financial instruments or strategies
for particular clients or prospects. The information contained herein is provided on the basis and subject to the explanations, caveats and warnings set out in this notice and elsewhere herein. Any discussion
of risk management is intended to describe PGIM Fixed Income’s efforts to monitor and manage risk but does not imply low risk. No risk management technique can guarantee the mitigation or elimination
of risk in any market environment. Any risk metrics or portfolio characteristics provided are not, and should not be construed as, the past or projected performance of the strategy presented or any
investment, which will be impacted by a number of factors not reflected herein. These materials do not purport to provide any legal, tax or accounting advice. These materials are not intended for
distribution to or use by any person in any jurisdiction where such distribution would be contrary to local law or regulation.
Any financial indices referenced herein as benchmarks are provided for informational purposes only. The use of benchmarks has limitations because portfolio holdings and characteristics will differ from
those of the benchmark(s), and such differences may be material. You cannot make a direct investment in an index. Factors affecting portfolio performance that do not affect benchmark performance may
include portfolio rebalancing, the timing of cash flows, credit quality, diversification, and differences in volatility. In addition, financial indices do not reflect the impact of fees, applicable taxes or trading costs
which reduce returns. Unless otherwise noted, financial indices assume reinvestment of dividends.
Any forecasts, estimates and certain information contained herein are based upon proprietary research and should not be interpreted as investment advice, as an offer or solicitation, nor as the purchase or
sale of any financial instrument. Forecasts and estimates have certain inherent limitations, and unlike an actual performance record, do not reflect actual trading, liquidity constraints, fee. These materials are
not intended as an offer or solicitation with respect to the purchase or sale of any security or other financial instrument or any investment management services and should not be used as the basis for any
investment decision. PGIM Fixed Income and its affiliates may make investment decisions that are inconsistent with the recommendations or views expressed herein, including for proprietary accounts of
PGIM Fixed Income or its affiliates.
512/521 57
PGIM FIXED INCOME Notice Page
Any performance targets contained herein are subject to revision by PGIM Fixed Income and are provided solely as a guide to current expectations. There can be no assurance that any
product or strategy described herein will achieve any targets or that there will be any return of capital. Target annualized excess returns are presented on a gross basis solely for the purpose of
detailing the anticipated risk and reward characteristics of the strategy in order to facilitate comparisons with other investment types. Gross targets do not reflect the deduction of fees and other expenses to
be borne by accounts using the strategy, which will reduce returns and, in the aggregate, may be substantial. The target returns presented herein are not a prediction, projection, expectation or guarantee of
future performance. There are significant risks and limitations in using target returns, including targets the are based upon assumptions regarding future events and situations, which may prove not to be
accurate or may not materialize. Further, the target returns stated herein are based on an assumption that economic, market and other conditions will not deteriorate and, in some cases, will improve. The
target returns are also based on models, estimates and assumptions about performance believed to be reasonable under the circumstances, but actual returns of the strategy and its investments will
depend on, among other factors, the ability to consummate attractive investments, future operating results, the value of the assets and market conditions at the time of disposition, any related transaction
costs and the timing and manner of sale, all of which may differ from the assumptions and circumstances on which the targeted returns are based. PGIM Fixed Income believes that the target returns for the
strategy and each investment type reflect in part a measure of the risk PGIM Fixed Income will be taking with respect to the strategy and investments in that investment type. There can be no assurance that
any investments, any of the investment types or the strategy will achieve comparable returns to those targeted herein or that PGIM Fixed Income will be able to implement its investment strategy and
investment approach or achieve its investment objectives. Target returns do not take into account cash flows into and out of the portfolio, as well as other factors, which could have an impact on actual
performance of a client utilizing the strategy. Accordingly, target returns should not be used as a primary basis for an investor's decision to invest in the strategy.
Tracking Error (TE) is one possible measurement of the dispersion of a portfolio's returns from its stated benchmark; it is the standard deviation of such excess returns. TE figures are representations of
statistical expectations falling within "normal" distributions of return patterns. Normal statistical distributions of returns suggests that approximately two thirds of the time the annual gross returns of the
accounts will lie in a range equal to the benchmark return plus or minus the TE if the market behaves in a manner suggested by historical returns. Targeted TE therefore applies statistical probabilities (and
the language of uncertainty) and so cannot be predictive of actual results. In addition, past tracking error is not indicative of future TE and there can be no assurance that the TE actually reflected in your
accounts will be at levels either specified in the investment objectives or suggested by our forecasts.
In the United Kingdom, information is issued by PGIM Limited with registered office: Grand Buildings, 1-3 Strand, Trafalgar Square, London, WC2N 5HR. PGIM Limited is authorised and regulated by the
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© 2022 PFI and its related entities.
513/521 58
PGIM FIXED INCOME Notes To Performance
Gross returns do not reflect the deduction of investment advisory fees or other expenses it may incur in the management of its investment advisory account, but are after transaction costs. A client’s return will
be reduced by such advisory fees and other management expenses. For example, a 1.00% management fee deducted quarterly would result in the following cumulative compounded reduction in portfolio time-
weighted rate of return: 1 year = 1.004%, 3 year = 3.042%, 5 year = 5.121% and 10 year = 10.5%. The investment advisory fees are described in Part 2A of the Adviser’s Form ADV which is publicly available
on the SEC's website at www.sec.gov, and available upon request. Fees represent the highest standard advisory fees currently in effect and may have been higher or lower historically. Fees may be higher for
commingled accounts, insurance company separate accounts, and trust, corporate, or bank-o wned life insurance products. Performance has been calculated in US dollars, unless other wise noted in composite
descriptions, and reflects the deduction of transaction costs and withholding taxes, if any, and the reinvestment of income.
Core Conservative Composite Net Disclosure (Inception Date: January 1, 1989) — An investment management fee of 0.12% would have reduced the since inception annualized return ending June 30, 2022
from 5.78% to 5.66%.
Core Composite Net Disclosure (Inception Date: January 1, 1991) — An investment management fee of 0.28% would have reduced the since inception annualized return ending June 30, 2022 from 5.72% to
5.39%.
Japan Total Core Bond Composite Net Disclosure (Inception Date: January 1, 2003) — An investment management fee of 0.25% would have reduced the since inception annualized return ending June 30,
2022 from 1.62% to 1.29%.
Global Core Composite Net Disclosure (Inception Date: September 1, 2008) — An investment management fee of 0.30% would have reduced the since inception annualized return ending June 30, 2022 from
3.13% to 2.79%.
Core Plus Composite Net Disclosure (Inception Date: January 1, 1996) — An investment management fee of 0.30% would have reduced the since inception annualized return ending June 30, 2022 from 5.49%
to 5.14%.
Global Total Return Composite Net Disclosure (Inception Date: November 1, 2002) — An investment management fee of 0.35% would have reduced the since inception annualized return ending June 30, 2022
from 5.07% to 4.63%. Effective January 1, 2020, the Global Aggregate Plus Composite was renamed the Global Total Return Composite.
Absolute Return Composite Net Disclosure (Inception Date: May 1, 2011) — An investment management fee of 0.40% would have reduced the since inception annualized return ending June 30, 2022 from
3.17% to 2.71%.
Multi-Asset Credit Composite Net Disclosure (Inception Date: November 1, 2016) — An investment management fee of 0.40% would have reduced the since inception annualized return ending June 30, 2022
from 3.16% to 2.73%. As of 3/1/2022, the benchmark for this composite is the ICE BofA U.S. 3-Month Treasury Bill Index. Prior to 3/1/2022, the benchmark for this composite was the ICE BofA 3-Month Deposit
Offered Rate Constant Maturity Index. Prior to 1/1/2021, the benchmark for this composite was the ICE BofA 3-Month Libor Average.
Strategic Bond Composite Net Disclosure (Inception Date: September 1, 2015) — An investment management fee of 0.45% would have reduced the since inception annualized return ending June 30, 2022
from 4.29% to 3.82%. Effective March 1, 2019, the Unconstrained Bond Composite was renamed the Strategic Bond Composite. The strategy benchmark also changed from the ICE LIBOR 3-Month Average to
the Bloomberg Intermediate U.S. Aggregate Bond Index.
Global Dynamic Bond Composite Net Disclosure (Inception Date: January 1, 2016) — An investment management fee of 0.45% would have reduced the since inception annualized return ending June 30, 2022
from 3.18% to 2.69%.
Short Duration Core Plus Composite Net Disclosure (Inception Date: February 1, 2014) — An investment management fee of 0.30% would have reduced the since inception annualized return ending June 30,
2022 from 2.29% to 1.98%.
Short Term Corporate Composite Net Disclosure (Inception Date: January 1, 1994) — An investment management fee of 0.30% would have reduced the since inception annualized return ending June 30, 2022
from 4.69% to 4.38%.
U.S. Short Duration Higher Quality High Yield Composite Net Disclosure (Inception Date: December 1, 2012) — An investment management fee of 0.50% would have reduced the since inception return ending
June 30, 2022 from 4.44% to 3.93%.
Long Duration (Government/Credit) Composite Net Disclosure (Inception Date: December 1, 2009) — An investment management fee of 0.28% would have reduced the since inception return ending June 30,
2022 from 5.27% to 4.97%.
Corporate Fixed Income (Long Duration) Composite Net Disclosure (Inception Date: July 1, 2008) — An investment management fee of 0.30% would have reduced the since inception annualized return ending
June 30, 2022 from 6.88% to 6.56%.
Long Duration Custom LDI Composite Net Disclosure (Inception Date: July 1, 1998) — An investment management fee of 0.30% would have reduced the since inception return ending June 30, 2022 from
6.26% to 5.95%.
Securitized Product (Unconstrained) Composite Net Disclosure (Inception Date: January 1, 2016) — An investment management fee of 0.40% would have reduced the since inception return ending June 30,
2022 from 3.95% to 3.53%.
Corporate Fixed Income Composite Net Disclosure (Inception Date: July 1, 1991) — An investment management fee of 0.30% would have reduced the since inception annualized return ending June 30, 2022
from 6.68% to 6.34%.
European Corporate (USD Hedged) Composite Net Disclosure (Inception Date: February 1, 2008) — An investment management fee of 0.30% would have reduced the since inception annualized return ending
June 30, 2022 from 4.46% to 4.15%.
Global Corporate (Unhedged) Composite Net Disclosure (Inception Date: May 1, 2010) — An investment management fee of 0.30% would have reduced the since inception annualized return ending June 30,
2022 from 3.21% to 2.90%.
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PGIM FIXED INCOME Notes To Performance
Gross returns do not reflect the deduction of investment advisory fees or other expenses it may incur in the management of its investment advisory account, but are after transaction costs. A client’s return will
be reduced by such advisory fees and other management expenses. For example, a 1.00% management fee deducted quarterly would result in the following cumulative compounded reduction in portfolio time-
weighted rate of return: 1 year = 1.004%, 3 year = 3.042%, 5 year = 5.121% and 10 year = 10.5%. The investment advisory fees are described in Part 2A of the Adviser’s Form ADV which is publicly available
on the SEC's website at www.sec.gov, and available upon request. Fees represent the highest standard advisory fees currently in effect and may have been higher or lower historically. Fees may be higher for
commingled accounts, insurance company separate accounts, and trust, corporate, or bank-o wned life insurance products. Performance has been calculated in US dollars, unless other wise noted in composite
descriptions, and reflects the deduction of transaction costs and withholding taxes, if any, and the reinvestment of income.
U.S. Higher Quality High Yield Composite Net Disclosure (Inception Date: July 1, 1998) — An investment management fee of 0.50% would have reduced the since inception annualized return ending June 30,
2022 from 6.96% to 6.43%.
U.S. Broad Market High Yield Composite Net Disclosure (Inception Date: March 1, 2002) — An investment management fee of 0.50% would have reduced the since inception annualized return ending June 30,
2022 from 7.45% to 6.90%.
U.S. Senior Secured Loans (Unconstrained) Composite Net Disclosure (Inception Date: May 1, 2007) — An investment management fee of 0.55% would have reduced the since inception annualized return
ending June 30, 2022 from 4.44% to 3.87%.
European High Yield Composite Net Disclosure (Inception Date: November 1, 2010) — An investment management fee of 0.50% would have reduced the since inception annualized return ending June 30,
2022 from 6.05% to 5.52. Performance shown in EUR.
European Senior Secured Debt (Constrained) Composite Net Disclosure (Inception Date: July 1, 2006) — An investment management fee of 0.55% would have reduced the since inception annualized return
ending June 30, 2022 from 4.11% to 3.54%. Performance shown in EUR.
Global High Yield (Euro Hedged) Composite Net Disclosure (Inception Date: May 1, 2002) — An investment management fee of 0.50% would have reduced the since inception annualized return ending June
30, 2022 from 6.42% to 5.88%. Performance shown in EUR.
Global Senior Secured Loans Composite Net Disclosure (Inception Date: December 1, 2011) — An investment management fee of 0.55% would have reduced the since inception annualized return ending
June 30, 2022 from 4.96% to 4.33%.
Emerging Markets Debt Composite Net Disclosure (Inception Date: July 1, 1996) — An investment management fee of 0.55% would have reduced the since inception annualized return ending June 30, 2022
from 9.65% to 8.96%.
Emerging Markets Blend Composite Net Disclosure (Inception Date: December 1, 2007) — An investment management fee of 0.55% would have reduced the since inception annualized return ending June 30,
2022 from 4.09 to 3.46%.
Emerging Markets Blend Plus Composite Net Disclosure (Inception Date: August 1, 2014) — An investment management fee of 0.75% plus the actual incentive and certain other applicable fees and expenses
would have reduced the since inception return ending June 30, 2022 from 2.68% to 0.85%.
Emerging Markets Local Currency Composite Net Disclosure (Inception Date: January 1, 2011) — An investment management fee of 0.55% would have reduced the since inception annualized return ending
June 30, 2022 from -0.14% to -0.72%.
Emerging Markets Corporate Debt Composite Net Disclosure (Inception Date: March 1, 2013) — An investment management fee of 0.55% would have reduced the since inception annualized return ending
June 30, 2022 from 3.21% to 2.65%.
National Municipal Bond Composite Net Disclosure (Inception Date: January 1, 1994) — An investment management fee of 0.28% would have reduced the since inception annualized return ending June 30,
2022 from 4.69% to 4.40%.
High Income Municipal Bond Composite Net Disclosure (Inception Date: January 1, 1994) — An investment management fee of 0.32% would have reduced the since inception annualized return ending June
30, 2022 from 5.27% to 4.94%.
U.S. Liquidity Relative Value Composite Net Disclosure (Inception Date: July 1, 2002) — An investment management fee of 0.50% plus the actual incentive and certain other applicable fees and expenses
would have reduced the since inception return ending June 30, 2022 from 6.52% to 4.65%. Effective April 1, 2020 the Benchmark changed to the ICE BofA U.S. 3-Month Treasury Bill Index, prior to that the
Benchmark was 3-Month U.S. Dollar LIBOR. As of 6/1/2020 net returns were retroactively restated to reflect model management fees.
Global Liquidity Relative Value Composite Net Disclosure (Inception Date: July 1, 2014) — An investment management fee of 1.00% plus the actual incentive and certain other applicable fees and expenses
would have reduced the since inception return ending June 30, 2022 from 5.51% to 3.37%. Effective April 1, 2020 the Benchmark changed to the ICE BofA U.S. 3-Month Treasury Bill Index, prior to that the
Benchmark was 3-Month U.S. Dollar LIBOR. As of 6/1/2020 net returns were retroactively restated to reflect model management fees.
Emerging Markets Debt Long/Short Composite Net Disclosure (Inception Date: November 1, 2007) — An investment management fee of 0.75% plus the actual incentive and certain other applicable fees and
expenses would have reduced the since inception return ending June 30, 2022 from 8.47% to 5.95%. Effective April 1, 2020 the Benchmark changed to the ICE BofA U.S. 3-Month Treasury Bill Index, prior to
that the Benchmark was 3-Month U.S. Dollar LIBOR. As of 6/1/2020 net returns were retroactively restated to reflect model management fees.
U.S. Liquidity Relative Value (S&P 500 Overlay) Composite Net Disclosure (Inception Date: April 1, 2014) — An investment management fee of 0.50% plus the actual incentive and certain other applicable fees
and expenses would have reduced the since inception return ending June 30, 2022 from 13.00% to 11.80%.
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PGIM FIXED INCOME Benchmark Descriptions
Bloomberg U.S. Aggregate Bond Index (Bloomberg U.S. Aggregate Index)
(Core Fixed Income: Inception Date: January 1, 1991, Core Plus: Inception Date: January 1, 1996, Core Conservative: Inception Date: January 1, 1989)
The Bloomberg U.S. Aggregate Index covers the USD-denominated, investment-grade, fixed-rate or step up, taxable bond market of SEC-registered securities and includes bonds from the Treasury,
Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS sectors. Securities included in the index must have at least 1 year until final maturity and be rated
investment-grade (Baa3/ BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.
Nomura-BPI Overall (Nomura-BPI Overall Index)

(Japan Core Bond: Inception Date: January 1, 2003)
The Nomura-BPI Overall index tracks total returns of all fixed income securities in the Japanese bond market that meet certain criteria. The intellectual property rights and any other rights in Nomura-BPI
Overall Index belong to Nomura Securities Co., Ltd. Nomura Securities Co., Ltd. does not guarantee accuracy, completeness, reliability, usefulness, marketability, merchantability and fitness of the Index,
and does not account for performance of the fund with the use of the Index. This disclaimer is applicable to Nomura-BPI Overall Index referenced herein.
Bloomberg Global Aggregate Bond Index USD Unhedged (Bloomberg Global Aggregate Index)
(Global Core: Inception Date: September 1, 2008, Global Total Return: Inception Date: November 1, 2002)
The Bloomberg Global Aggregate Index provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-
European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD
investment-grade 144A securities. Securities included in the index must have at least 1 year until final maturity and be rated i nvestment-grade (Baa3/ BBB-/BBB) or better using the middle rating of
Moody’s, S&P, and Fitch.
FTSE World Government Bond Index

(Former benchmark for Global Total Return: Inception Date: November 1, 2002)
FTSE World Government Bond Index is a market-capitalization-weighted benchmark that tracks the performance of the government bond markets. The composition of the index consists of sovereign debt
denominated in the domestic currency. Securities must be rated BBB-/Baa3 by S& P or Moody's.
ICE BofA US 3-Month Treasury Bill Index

(Absolute Return: Inception Date: May 1, 2011, Multi-Asset Credit: Inception Date: November 1, 2016, Global Dynamic Bond: Inception Date: January 1, 2016, Securitized Product (Unconstrained:
Inception Date: January 1, 2016))
ICE BofA US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly
selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection,
an issue must have settled on or before the month-end rebalancing date.
ICE BofA 3-Month Deposit Offered Rate Constant Maturity Index

(Former Benchmark for Absolute Return: Inception Date: May 1, 2011, Multi-Asset Credit: Inception Date: November 1, 2016, Global Dynamic Bond: Inception Date: January 1, 2016, Securitized Product
(Unconstrained: Inception Date: January 1, 2016)
The ICE BofA 3-Month Deposit Offered Rate Constant Maturity Index tracks the performance of a synthetic asset paying Libor to a stated maturity. The index is based on the assumed purchase at par of a
synthetic instrument having exactly its stated maturity and with a coupon equal to that day's fixing rate. That issue is assu med to be sold the following business day (priced at a yield equal to the current day
fixing rate) and rolled into a new instrument.
ICE LIBOR 3-Month Average (ICE LIBOR 3-Month Average Index)

(Former benchmark for Absolute Return: Inception Date: May 1, 2011, Multi-Asset Credit: Inception Date: November 1, 2016, Global Dynamic Bond: Inception Date: January 1, 2016)
The 3 Month LIBOR (London Interbank Offered Rate) is the stated rate of interest at which banks in the London wholesale money markets may borrow funds from one another for three months. The 90-day
average of the daily rates set by the Intercontinental Exchange Benchmark Administration Ltd ("IBA") is used to derive the return for the month. ICE Data Indices, LLC, used with permission. ICE Data
Indices, LLC is licensing the ICE Data Indices and related data "as is," makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE
Data Indices or any data included in, related to, or derived therefrom, assumes no liability in connection with their use, and does not sponsor, endorse, or recommend PGIM Fixed Income, or any of its
products or services. Effective March 1, 2019, the Unconstrained Bond Composite was renamed the Strategic Bond Composite. The strategy benchmark also changed from the ICE LIBOR 3-Month
Average to the Bloomberg Intermediate U.S. Aggregate Bond Index.
Bloomberg Intermediate U.S. Aggregate Bond Index (Bloomberg Intermediate U.S. Aggregate Bond Index)
(Strategic Bond: Inception Date: September 1, 2015)
The Bloomberg Intermediate U.S. Aggregate Bond Index covers the USD-denominated, investment-grade, fixed-rate or step up, taxable bond market of SEC-registered securities with maturities of 1-10
years. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS and CMBS sectors. Securities must be rated investment-
grade (Baa3/BBB-/BBB- or above) using the middle rating of Moody’s, S&: and Fitch and have at least 1 year until final maturity.
Bloomberg U.S. 1-3 Year Government/Credit Bond Index (Bloomberg U.S. 1-3 Year Government/Credit Index)
(Short Duration Core Plus: Inception Date: February 1, 2014)
Bloomberg U.S. 1-3 Year Government/Credit Bond Index covers USD-denominated and nonconvertible, publicly issued U.S. Government or investment-grade securities that are fixed-rate or step ups.
Bonds must have a maturity from 1 up to (but not including) 3 years and be rated investment-grade (Baa3/ BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.
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PGIM FIXED INCOME Benchmark Descriptions (cont’d)
Bloomberg U.S. 1-5 Year Credit Bond Index (Bloomberg U.S. 1-5 Year Credit Index)
(Short Term Corporate: Inception Date: January 1, 1994)
Bloomberg U.S. 1-5 Year Credit Bond Index is a subset of the Bloomberg Credit Index with maturities of 1-5 years. The U.S. Credit Index is comprised of the U.S. Corporate Index and the non-native
currency subcomponent of the U.S. Government-Related Index. The U.S. Credit Index includes publicly issued U.S. corporates, specified foreign debentures and secured notes denominated in USD.
Securities must be rated investment-grade (Baa3/BBB-/BBB- or above) using the middle rating of Moody's, S&P, and Fitch, respectively.
Bloomberg U.S. High Yield 1-5 Year Ba/B 1% Issuer Constrained Index (Bloomberg U.S. HY 1-5 Year Ba/B 1% Issuer Capped Index)
(U.S. Short Duration Higher Quality High Yield: Inception Date: December 1, 2012)
The Bloomberg U.S. 1-5 Yr High Yield Ba-B 1% Issuer Constrained Index is an issuer-constrained version of the U.S. Corporate High-Yield Index that covers the 1-5 year maturing USD-denominated,
non-investment-grade, fixed-rate, taxable corporate bond market. The U.S. HY 1% Issuer Capped Index limits issuer exposures to a maximum 1% and redistributes the excess market value index-wide
on a pro-rata basis. Securities must be rated Ba/B using the middle rating of Moody’s, S&P, and Fitch, and have at least 1 year until final maturity.
Bloomberg U.S. Long Duration Government/Credit Index (Bloomberg U.S. Long Govt/Credit Index)
(Long Duration Government/Credit: Inception Date: December 1, 2009)
The Bloomberg U.S. Long Government/Credit Index covers USD-denominated and non-convertible, publicly issued U.S. Government or investment-grade securities that are fixed rate or step ups.
Securities must have a maturity of 10 years or greater and be rated investment-grade (Baa3/ BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.
Bloomberg U.S. Long Corporate Bond Index (Bloomberg U.S. Long Corporate Index)
(Long Duration Corporate: Inception Date: July 1, 2008)
The Bloomberg U.S. Long Corporate Bond Index covers USD-denominated and non-convertible, publicly issued securities that are fixed-rate or step ups. Securities must have a maturity of 10 years and
be rated investment-grade (Baa3/ BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.
Client-Directed Liability Based Benchmark

(Long Duration LDI: Inception Date: July 1, 1998)
The customized benchmark for the Long Duration Custom Composite is the weighted average of each composite member’s benchmark return rebalanced monthly. The benchmarks are market-based
indices/sub-indices constructed to reflect the liabilities of the portfolios. The benchmarks consists of various weights of the sub indices of the Bloomberg Intermediate (maturities from 1 up to but not
including10 years), and Long (maturities of 10+ years) Government/Credit and US Corporate Indices. All securities must be rated investment-grade (Baa3/ BBB-/BBB-) or above using the middle rating
of Moody’s, S&P, and Fitch.
Bloomberg U.S. Credit Bond Index (Bloomberg U.S. Credit Index)

(Investment Grade Corporates: Inception Date: July 1, 1991)
The Bloomberg U.S. Credit Index is comprised of the U.S. Corporate Index and the non-native currency subcomponent of the U.S. Government-Related Index. The U.S. Credit Index includes publicly
issued U.S. corporate, specified foreign debentures and secured notes denominated in USD. Securities included in the index must have at least 1 year until final maturity and be rated investment-grade
(Baa3/ BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.
Bloomberg Euro Aggregate Corporate Index USD Hedged (Bloomberg Euro Aggregate Corporate Index USD Hedged)
(European Corporate Fixed Income (USD Hedged): Inception Date: February 1, 2008)
The Bloomberg Euro Aggregate Corporate Index USD Hedged Index is a benchmark that measures the corporate component of the Bloomberg Euro Aggregate Bond Index, a broad-based flagship
benchmark that measures the investment grade, euro-denominated, fixed-rate bond market, including treasuries, government-related, corporate and securitized issues. Inclusion is based on currency
denomination of a bond and not country of risk of the issuer. The index is hedged to USD. As of January 1, 2020 composite benchmark was changed to the Bloomberg Euro Aggregate Corporate USD
Hedged Index from the iBoxx Euro Corporate (USD Hedged) Index.
iBoxx Euro Corporate Index 100% USD Hedged (iBoxx Euro Corporate Index (USD Hedged))
(Former benchmark for European Corporate Fixed Income (USD Hedged): Inception Date: February 1, 2008)
The iBoxx EUR benchmark is made up of only fixed-rate bonds or step ups whose cash flow can be determined in advance. The indices are comprised solely of bonds. Treasury Bills and other money
market instruments are not eligible. The iBoxx EUR indices include only Euro and legacy currency denominated bonds. Securities must be rated investment-grade (Baa3/ BBB-/BBB-) or above by at
least one of the following rating agencies: Standard & Poor’s, Moody’s or Fitch and have at least 1 year until final maturity at the rebalancing date.
Bloomberg Global Aggregate Corporate Index Unhedged (Bloomberg Global Corporate Index (Unhedged))
(Global Corporate (Unhedged): Inception Date: May 1, 2010)
The Bloomberg Global Corporate Aggregate Index is a component of the Global Aggregate Index that includes the global investment-grade, fixed-rate or step up, taxable securities sold by industrial,
utility and financial issuers. The three major components of this index are the U.S. Aggregate Corporate, the Pan-European Aggregate Corporate, and the Asian-Pacific Aggregate Corporate indices.
The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian corporate securities, and USD investment-grade 144A securities. Securities included in the index must have at least 1 year
until final maturity and be rated investment-grade (Baa3/ BBB-/BBB-) or better using the middle rating of Moody's, S&P, and Fitch.
Bloomberg Global Aggregate Corporate Bond Index (USD Hedged) (Bloomberg Global Corporate Index (USD Hedged))
(Global Corporate (USD Hedged): Inception Date: October 1, 2011)
The Bloomberg Global Aggregate Corporate Bond Index (USD Hedged) is a component of the Global Aggregate Index that includes the global investment-grade, fixed-rate or step up, taxable securities
sold by industrial, utility and financial issuers. The three major components of this index are the U.S. Aggregate Corporate, the Pan-European Aggregate Corporate, and the Asian-Pacific Aggregate
Corporate indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian corporate securities, and USD investment-grade 144A securities. Securities included in the index must
have at least 1 year until final maturity and be rated investment-grade (Baa3/ BBB-/BBB-) or better using the middle rating of Moody's, S&P, and Fitch. The index is hedged to USD.
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Bloomberg U.S. Corporate High Yield Ba/B 1% Issuer Capped Bond Index (Bloomberg U.S. High Yield Ba/B 1% Issuer Capped Index)
(Higher Quality High Yield: Inception Date: July 1, 1998)
The Bloomberg U.S. High Yield Ba/B 1% Issuer Capped Index is an issuer-constrained version of the Bloomberg U.S. High Yield Index that covers the USD-denominated, non-investment-grade, fixed-rate,
taxable corporate bond market. The Bloomberg U.S. High Yield 1% Ba/B Issuer Capped Index limits issuer exposures to a maximum 1% and redistributes the excess market value index-wide on a pro-rata
basis. Securities must be rated below investment-grade (Ba1/BB+/BB+ or below) using the middle rating of Moody’s, S&P, and Fitch, and have at least a one year until final maturity.
Bloomberg US High-Yield 1% Issuer Capped Index (Bloomberg US High-Yield 1% Issuer Capped Index )
(Broad Market High Yield: Inception Date: March 1, 2002)
The Bloomberg US High-Yield 1% Issuer Capped Index is an issuer-constrained version of the US High-Yield Index that covers the USD-denominated, non-investment-grade, fixed-rate, taxable corporate
bond market. The US HY 1% Issuer Capped Index limits issuer exposures to a maximum 1% and redistributes the excess market value index-wide on a pro-rata basis. Securities must be rated below
investment-grade (Ba1/BB+/BB+ or below) using the middle rating of Moody’s, S&P, and Fitch, and have at least 1 year until final maturity. Effective October 1, 2020 the Benchmark changed to the
Bloomberg US High-Yield 1% Issuer Capped Index, prior to that the Benchmark was the Bloomberg US Corporate High Yield Bond Index.
Bloomberg U.S. Corporate High Yield Bond Index (Bloomberg U.S. High Yield Index)
(Former benchmark for Broad Market High Yield: Inception Date: March 1, 2002)
Bloomberg U.S. Corporate High Yield Bond Index covers the USD-denominated, non-investment grade, fixed-rate or step ups, taxable corporate bond market. The index excludes Emerging Markets debt.
Securities must be rated below investment-grade (Ba1/BB+/BB+ or below) using the middle rating of Moody's, S&P, and Fitch, respectively and have at least 1 year until final maturity.
Credit Suisse Leveraged Loan Index (CS Leveraged Loan Index)

(U.S. Senior Secured Loans: Inception Date: May 1, 2007)
The Credit Suisse Leveraged Loan Index is a representative, unmanaged index of tradable, U.S. dollar denominated floating rate senior secured loans and is designed to mirror the investable universe of
the U.S. dollar denominated leveraged loan market. The Index return does not reflect the impact of principal repayments in the current month.
ICE BofAML European Currency High Yield ex Finance 2% Constrained Index (ML Euro HY ex Finance 2% Constrained Index)
(European High Yield (Euro Hedged):Inception Date: November 1, 2010)
The ICE BofAML European High Yield ex Finance 2% Constrained Index tracks the performance of EUR and GBP denominated below investment grade corporate debt publicly issued in the eurobond,
sterling domestic or euro domestic markets. Qualifying securities must have a below investment grade rating and an investment grade country of risk. The index contains all non-Financial securities but
caps issuer exposure at 2%. Source: ICE Data Indices, LLC, used with permission. ICE Data Indices, LLC is licensing the ICE D ata Indices and related data "as is," makes no warranties regarding same,
does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE Data Indices or any data included in, related to, or derived therefrom, assumes no liability in connection with
their use, and does not sponsor, endorse, or recommend PGIM Fixed Income, or any of its products or services.
Credit Suisse Western European Leveraged Loan Index (EUR Hedged) (CS Western European Leveraged Loan Index (EUR Hedged)
(European Senior Secured Debt: Inception Date: July 1, 2006)
Credit Suisse Western European Leveraged Loan Index: All Denominations Euro Hedged. The Index is a representative, unmanaged index of tradable, floating rate senior secured loans designed to mirror
the investable universe of the European leveraged loan market. The index is hedged to EUR. The Index return does not reflect the impact of principal repayments in the current month.
Bloomberg Global High Yield Index (Euro Hedged)
(Global High Yield (Euro Hedged): Inception Date: May 1, 2002)
The Bloomberg Global High Yield Index provides a broad-based measure of the global high yield fixed income markets. It includes U.S. high yield, Pan-European high yield, U.S. emerging markets high
yield, and Pan-European emerging markets high yield indices. Securities included in the index must be fully taxable, have at least on year until final maturity, and be rated high yield (Ba//BB+/BB+ or below)
using the middle rating of Moody’s S&P and Fitch.
CS Blend Lev. Loan & West European Lev. Loan: Euro Denominated (USD Hedged)
(Global Senior Secured Loans: Inception Date: December 1, 2011)
The custom benchmark for this composite is comprised of the Credit Suisse Leveraged Loan Index and the Credit Suisse Western European Leveraged Loan Index Euro Denominated (hedged to USD)
and is rebalanced monthly. As of December 31, 2021, the weights are 75% and 25%, respectively. The Credit Suisse indices are representative unmanaged indices of tradeable, floating rate senior
secured loans designed to mirror the investable universe of the U.S. and European Leveraged Loan markets.
JP Morgan Emerging Markets Bond Index Global Diversified (JPM EMBI Global Diversified Index)
(Emerging Markets Debt: Inception Date: July 1, 1996)
The Emerging Markets Bond Index Global Diversified (EMBI Global) tracks total returns for USD-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady
bonds, loans, and Eurobonds. It limits the weights of those index countries with larger debt stocks by only including specifi ed portions of these countries’ eligible current face amounts of debt outstanding.
To be deemed an emerging market by the EMBI Global Diversified Index, a country must be rated Baa1/BBB+ or below by Moody’s/S &P rating agencies. Information has been obtained from sources
believed to be reliable, but J.P. Morgan does not warrant its completeness or accuracy. The Index is used with permission. Th e Index may not be copied, used, or distributed without J.P. Morgan's prior
written approval. Copyright 2022, JPMorgan Chase & Co. All rights reserved.
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Blend: JPM EMBI Global Diversified & GBI-EM Global Diversified
(Emerging Markets Blend: Inception Date: December 1, 2007, Emerging Markets Blend Plus: Inception Date: August 1, 2014)
The customized benchmark for this composite is an even blend of the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index and the JPMorgan Emerging Markets Bond Index
Global Diversified Index. The Government Bond Index-Emerging Markets Global Diversified Index (GBI-EM Global) tracks total returns for local currency bonds issued by emerging market governments
while the Emerging Markets Bond Index Global Diversified (EMBI Global) tracks total returns for USD -denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities:
Brady bonds, loans, and Eurobonds. It limits the weights of those index countries with larger debt stocks by only including specified portions of these countries’ eligible current face amounts of debt
outstanding. Copyright 2022, JPMorgan Chase & Co. All rights reserved.
JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (JPM GBI-EM Global Diversified Index)
(Emerging Markets Debt (Local Currency): Inception Date: January 1, 2011)
The Government Bond Index-Emerging Markets Global Diversified Index (GBI-EM Global) tracks total returns for local currency bonds issued by emerging market governments. Copyright 2022, JPMorgan
Chase & Co. All rights reserved.
JPMorgan Corporate Emerging Markets Bond Index Broad Diversified (JPM CEMBI Broad Diversified)
(Emerging Markets Corporate Debt: Inception Date: March 1, 2013)
The CEMBI tracks total returns of US dollar-denominated debt instruments issued by corporate entities in Emerging Markets countries. The CEMBI Broad is the most comprehensive corporate benchmark
followed by the CEMBI, which consists of an investable universe of corporate bonds. Copyright 2022, JPMorgan Chase & Co. All rights reserved.
Bloomberg US 1-15 Year Municipal Index

(National Municipal Bond: Inception Date: January 1, 1994)
The Bloomberg US 1-15 Year Municipal Index covers the USD-denominated long-term tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds,
insured bonds, and pre-refunded bonds. The bonds must be fixed-rate or step ups, have a dated date after Dec. 13, 1990, and must have a maturity from 1 up to (but not including) 15 years. Non-credit
enhanced bonds (municipal debt without a guarantee) must be rated investment-grade (Baa3/ BBB-/BBB-) or better by the middle rating of Moody’s, S&P, and Fitch. Effective April 1, 2020 the Benchmark
changed to the Bloomberg 1-15 Yr. Muni Unhedged Index, prior to that the Benchmark was the Bloomberg Municipal Bond index
Bloomberg Municipal Bond Index

(Former benchmark for National Municipal Bond: Inception Date: January 1, 1994)
The index covers the USD-denominated long-term tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and pre-refunded
bonds. The bonds must be fixed-rate or step ups, have a dated date after Dec. 13, 1990, and must be at least 1 year from their m aturity date. Non-credit enhanced bonds (municipal debt without a
guarantee) must be rated investment grade (Baa3/BBB-/BBB- or better) by the middle rating of Moody's, S&P, and Fitch.
Blend: Bloomberg Muni High Income/Muni Index

(High Income Municipal Bond: Inception Date: January 1, 1994)
The customized benchmark for this composite is an even blend of the Bloomberg Municipal High Yield Bond Index and Bloomberg M unicipal Bond Index. The Bloomberg Municipal Bond Index covers the
USD-denominated long-term tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds. The bonds must
be fixed-rate or step ups, have a dated date after Dec. 13, 1990, and must be at least 1 year from their maturity date. Non-credit enhanced bonds (municipal debt without a guarantee) must be rated
investment-grade (Baa3/ BBB-/BBB- or better) by the middle rating of Moody’s, S&P, and Fitch. The Bloomberg Municipal High Yield Bond Index is the high yield component of the Bloomberg Municipal
Bond Index.
ICE BofA US 3-Month Treasury Bill Index
(U.S. Liquidity Relative Value: Inception Date: July 1, 2002, Emerging Markets Long/Short: Inception Date: November 1, 2007, Global Liquidity Relative Value: Inception Date: July 1, 2014)
ICE BofA US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly
selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection,
an issue must have settled on or before the month-end rebalancing date. Effective April 1, 2020 the Benchmark changed to the ICE BofA U.S. 3-Month Treasury Bill Index, prior to that the Benchmark was
3-Month U.S. Dollar LIBOR.
3 Month U.S. Dollar ICE LIBOR Reset Weekly
(Former benchmark for U.S. Liquidity Relative Value: Inception Date: July 1, 2002)
The 3 Month U.S. Dollar ICE LIBOR Reset Weekly, ICE LIBOR (formerly known as BBA LIBOR), is a widely used benchmark for short-term interest rates, providing an indication of the average rates at
which LIBOR panel banks could obtain wholesale, unsecured funding for set periods in particular currencies. It is produced for five currencies (CHF, EUR, GBP, JPY and USD) and seven tenors
(Overnight/Spot Next, 1 Week, 1 Month, 2 Months, 3 Months, 6 Months and 12 Months) based on submissions from a reference panel of between 11 and 16 banks for each currency, resulting in the
publication of 35 rates every applicable London business day. The benchmark for the Composite uses the 3 Month USD rate on the 8th, 15th, 23rd and month end to derive the return for the subsequent
period. If a reset day is a weekend or holiday, then the rate of the preceding business day is used.
3-Month U.S. Dollar ICE LIBOR Reset Monthly

(Former benchmark for Emerging Markets Long/Short: Inception Date: November 1, 2007, Global Liquidity Relative Value: Incepti on Date: July 1, 2014)
The 3-Month U.S. Dollar ICE LIBOR Reset Monthly, ICE LIBOR (formerly known as BBA LIBOR), is a widely used benchmark for short-term interest rates, providing an indication of the average rates at
which LIBOR panel banks could obtain wholesale, unsecured funding for set periods in particular currencies. It is produced for five currencies (CHF, EUR, GBP, JPY and USD) and seven tenors
(Overnight/Spot Next, 1 Week, 1 Month, 2 Months, 3 Months, 6 Months and 12 Months) based on submissions from a reference panel of between 11 and 16 banks for each currency, resulting in the
publication of 35 rates every applicable London business day. The benchmark for the Composite uses the 3 Month USD rate of th e prior month end to derive the return for the current month.
S&P 500 Total Return Index (S&P 500 Index)
(U.S. Liquidity Relative Value (S&P 500 Overlay): Inception Date: April 1, 2014)
S&P 500 Total Return Index is a commonly recognized, market capitalization weighted index of 519/521
500 widely held equity securitie s, designed to measure broad U.S. equity performance. 64
Investment Committee Meeting
Miscellaneous Updates
October4, 2022
520/521
David DeGuire
From: Bachman, Eric <[email protected]>

Sent: Tuesday, October 4, 2022 8:34 AM
To: David DeGuire
Cc: Kelley, Chloe
Subject: [EXTERNAL] PIMCO: PM update
Use caution with links or attachments. DO NOT provide

your credentials l
Hi David,
As a follow up to our voicemail, we are reaching out to share that Scott Mather will be taking a personal leave of absence from
PIMCO and has transitioned his responsibilities to the remainder of the Total Return team. Dan lvascyn, Group CIO, and Manny
Roman, CEO, have worked closely with Scott on a thoughtful transition plan for his leave.
Given our team-based approach to managing portfolios, the strategies which Scott leads are supported by a talented team with
deep experience. To that end, Vinayak Seshasayee, who you recently spoke with during our last portfolio review, will take over
management of the Mississippi Core portfolio and will join us for the upcoming board meeting.
Please let us know if you have questions or would like to discuss further.
Best,
Eric and Chloe
Eric Bachman, CFA

Institutional Client Management
1633 Broadway, 46th Floor

New York, NY 10019
T: 212.597.1123
M: 929.594.0301
Registered Represenative of PIMCO Investments LLC
This message contains confidential information and is intended only for the individual named. If you are not the named
addressee, you should not disseminate, distribute, alter or copy this e-mail. Please notify the sender immediately by e-mail if
you have received this e-mail by mistake and delete this e-mail from your system. E-mail transmissions cannot be guaranteed to
be secure or without error as information could be intercepted, corrupted, lost, destroyed, arrive late or incomplete, or contain
viruses. The sender, therefore, does not accept liability for any errors or omissions in the contents of this message which arise
during or as a result of e-mail transmission. If verification is required, please request a hard-copy version. This message is
provided for information purposes and should not be construed as a solicitation or offer to buy or sell any securities or related
financial instruments in any jurisdiction. Securities are offered in the U.S. through PIMCO Investments LLC, distributor and a
company of PIMCO LLC
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Defined Contribution Committee Meeting Agenda

Monday, October 24, 2022

I. R4 Class Shares TIAA

II. Optional Retirement Plan Annual Review

Competitive performance with lifetime

The opportunity for growth and lifetime income

The CREF Account family of investments

CREF Equity Invests in a portfolio of CREF Money Invests in high-quality,

Take more control over fiduciary responsibilities with a lower-cost option

Investment Distribution Mortality and Total annual

The lowest-cost option Plan services expense – CREF Accounts (%)

Q1. What is changing?

Q2. When will the change take place?

CREF R4 will be effective as of April 29, 2022

Q5. How is TIAA making this change?

CREF filed a prospectus supplement on January 31 announcing that R4 would be available

Q6. Who is eligible for the R4 Share Class?

• Investment management expenses. These expenses generally include investment

Q10. Will any of TIAA-CREF’s individual products be affected?

Plan/Product New Class

Q11. How will annuitants be affected?

Q16. Will TIAA notify my employees of this change?

Optimizing plan effectiveness to help drive better

October 24, 2022

Delivered by: John P. Lima, Sr. Relationship Manager

Data as of June 30, 2022

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR USE WITH OR

Andrew Carnegie Thasunda Brown Duckett

Today, TIAA is a Fortune 100 financial1 services organization committed to

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR USE WITH OR

15/521 Mississippi PERS | 5

16/521 Mississippi PERS | 6

Offer to meet with all participants

Increased presence to provide advice

Integrated Team to serve Mississippi

Your TIAA Team

Alissa Domasky, Sr. Communications Consultant

Coverage gap Savings gap Guarantee gap

We will help you

Self Guided Virtual In person

Public Employees Retirement System, State of Mississippi |

Ref ID: 31221vad

23/521 Mississippi PERS | 13

For The Fiscal Year 2022

Mississippi ORP - 151605

Mississippi ORP - 151605

Mississippi ORP - 151605

Mississippi ORP - 151605

Delta State University of University of

Demographics by Age and Gender

Employee Contribution Amounts by Gender Diversification by Gender

Mississippi ORP - 151605

Mississippi ORP - 151605

Avg # of Investment Options

Age % Guaranteed % Money Market % Fixed Income % Multi Asset/Other2 % Equities

<25 0% 0% 0% 0% 0% 0% 44% 86% 56% 14%

25-34 3% 1% 2% 0% 1% 1% 87% 82% 8% 16%

35-44 5% 6% 2% 1% 3% 3% 68% 56% 21% 33%

45-54 13% 13% 1% 2% 4% 5% 37% 33% 45% 46%

55-64 22% 19% 2% 3% 5% 7% 25% 24% 47% 48%