# EDGAR Filing Document

**Accession Number:** 0001450011
**File Stem:** 0001450011-23-000111
**Filing Date:** 2023-3
**Character Count:** 272172
**Document Hash:** 8b3cd5fcb3aac3ee1b800539dee534d1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001450011-23-000111.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001450011-23-000111

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO ETF Trust
- **CENTRAL INDEX KEY:** 0001450011
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22250
- **FILM NUMBER:** 23688769

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949.720.6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO Enhanced Low Duration Active Exchange-Traded Fund (Series ID: S000037977)

| Class ID   | Class Name                                              | Ticker Symbol   |
|:---|:---|:---|
| C000117167 | PIMCO Enhanced Low Duration Active Exchange-Traded Fund | LDUR            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO ETF Trust

- **b. Investment Company Act file number:** 811-22250

- **c. CIK number of Registrant:** 0001450011

- **d. LEI of Registrant:** 5493004M9TBGFQUJ6D27

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 400-4383

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

- **a. Name of Series:** PIMCO Enhanced Low Duration Active Exchange-Traded Fund

- **b. EDGAR series identifier (if any):** S000037977

- **c. LEI of Series:** 549300GQB1D1UUTM2872

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

- **a. Date of fiscal year-end:** 2023-06-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1393113471.16

**Total Liabilities:** $13124038.21

**Net Assets:** $1379989432.95

**Cash Not Reported:** $10715898.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -42510.182600 | **1-Year:** 173849.708100 | **5-Year:** 75053.135700 | **10-Year:** 569.122200 | **30-Year:** 0.000000

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

- **3-Month:** 743.437100 | **1-Year:** 383.400800 | **5-Year:** 356.058100 | **10-Year:** 21.963300 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000117167 | -0.64%               | 0.61%                | 0.52%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-520607.55              | $-7709817.71                               |
| Month 2  | $-3111648.23             | $12889519.35                               |
| Month 3  | $-5925216.86             | $7845990.99                                |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** 0

### Schedule of Portfolio Investments

| Name                                                                          | Title                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                           | IRS USD 0.25000 06/16/21-2Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3996593.78  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/1ML+9.75 01/13/22-22 CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-590.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/1ML+9.8 01/13/22-23 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-455.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                                     | BANCO BILBAO VIZCAYA ARG SR UNSECURED 09/23 0.875      | CUSIP: 05946KAH4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |  10200000 | PA      | $9880608.73   | 0.72%             | 2023-09-18      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.53000 10/26/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $412681.71    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA SR UNSECURED 05/24 3.892            | CUSIP: 05971KAM1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   5000000 | PA      | $4897407.35   | 0.35%             | 2024-05-24      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/26 VAR            | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3823539.52   | 0.28%             | 2026-04-02      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT MAR23 XCBT 20230322                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -435 | NC      | $529327.48    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 2YR NOTE (CBT) MAR23 XCBT 20230331                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       662 | NC      | $24814.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) MAR23 XCBT 20230331                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -888 | NC      | $98650.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 05/24 VAR            | CUSIP: 06051GJC4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2953402.08   | 0.21%             | 2024-05-19      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT MAR23 XCBT 20230322                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -76 | NC      | $34919.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 07/26 VAR            | CUSIP: 06051GLA5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4946464.90   | 0.36%             | 2026-07-22      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 05/24 VAR                    | CUSIP: 06738EBC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   6600000 | PA      | $6600304.39   | 0.48%             | 2024-05-16      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 05/26 VAR                    | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $744067.00    | 0.05%             | 2026-05-07      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 08/26 5.304                  | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   7700000 | PA      | $7650086.60   | 0.55%             | 2026-08-09      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BARRY CALLEBAUT SERVICES NV                                                   | BARRY CALLEBAUT SVCS NV COMPANY GUAR REGS 06/23 5.5    | CUSIP: ACI067KC5<br>LEI: 213800R1F1EJYM4ICO85 | Long             | DBT              | CORP              | BE        |   5400000 | PA      | $5374593.00   | 0.39%             | 2023-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORPORATION                                                       | BAT CAPITAL CORP COMPANY GUAR 08/27 3.557              | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1017000 | PA      | $930707.70    | 0.07%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORPORATION                                                       | BAT CAPITAL CORP COMPANY GUAR 09/24 2.789              | CUSIP: 05526DBG9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2393815.65   | 0.17%             | 2024-09-06      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                 | BAT INTL FINANCE PLC COMPANY GUAR 144A 06/25 3.95      | CUSIP: 05530QAK6<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $961296.38    | 0.07%             | 2025-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 07/24 3.375  | CUSIP: 07274NAW3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    931000 | PA      | $902006.26    | 0.07%             | 2024-07-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 3.875  | CUSIP: 07274NAE3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1971806.54   | 0.14%             | 2023-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 VAR    | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1995951.70   | 0.14%             | 2023-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                          | BAYER US FINANCE LLC COMPANY GUAR 144A 10/24 3.375     | CUSIP: 07274EAG8<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2900965.11   | 0.21%             | 2024-10-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                           | BCP TRUST BCP 2021 330N A 144A                         | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5600000 | PA      | $5241198.48   | 0.38%             | 2038-06-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE7                                                 | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE7 M1       | CUSIP: 073879EU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464210 | PA      | $442384.34    | 0.03%             | 2034-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                               | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2             | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29903 | PA      | $27851.15     | 0.00%             | 2035-05-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                               | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1              | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    872985 | PA      | $772768.29    | 0.06%             | 2034-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1       | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       560 | PA      | $533.13       | 0.00%             | 2033-02-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2001-3                                           | BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2         | CUSIP: 07384YBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20762 | PA      | $20253.19     | 0.00%             | 2032-10-27      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC 2005-AQ2                                             | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ2 M1       | CUSIP: 0738792V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    822488 | PA      | $819119.78    | 0.06%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XII LTD 2017-12A                                  | BENEFIT STREET PARTNERS CLO LT BSP 2017 12A A1R 144A   | CUSIP: 08179HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1480980.75   | 0.11%             | 2030-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XVI LTD                                           | BENEFIT STREET PARTNERS CLO LT BSP 2018 16A A1R 144A   | CUSIP: 08181VAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $391667.64    | 0.03%             | 2032-01-17      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                              | BERRY GLOBAL INC SR SECURED 01/26 1.57                 | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3567561.56   | 0.26%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                              | BERRY GLOBAL INC SR SECURED 02/24 0.95                 | CUSIP: 08576PAG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   8132000 | PA      | $7707808.53   | 0.56%             | 2024-02-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                              | BERRY GLOBAL INC SR SECURED 144A 07/26 4.875           | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1930101.28   | 0.14%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                           | BFLD TRUST BFLD 2020 EYP A 144A                        | CUSIP: 05493AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1903741.80   | 0.14%             | 2035-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BGC PARTNERS INC                                                              | BGC PARTNERS INC SR UNSECURED 07/23 5.375              | CUSIP: 05541TAK7<br>LEI: TF1LXM1YNB81WKUH5G19 | Long             | DBT              | CORP              | US        |   6543000 | PA      | $6513406.01   | 0.47%             | 2023-07-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 01/24 3.8                | CUSIP: 05581KAB7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  14574000 | PA      | $14325886.69  | 1.04%             | 2024-01-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 01/25 3.375              | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4000000 | PA      | $3852363.20   | 0.28%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 01/25 VAR                | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    748000 | PA      | $740825.54    | 0.05%             | 2025-01-10      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)                              | BOC AVIATION LTD SR UNSECURED 144A 09/23 VAR           | CUSIP: 09681LAH3<br>LEI: 254900H06V5RMEB3KE72 | Long             | DBT              | CORP              | SG        |   1000000 | PA      | $998781.14    | 0.07%             | 2023-09-26      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)                              | BOC AVIATION LTD SR UNSECURED REGS 09/23 VAR           | CUSIP: 09681MAH1<br>LEI: 254900H06V5RMEB3KE72 | Long             | DBT              | CORP              | SG        |   1700000 | PA      | $1697927.94   | 0.12%             | 2023-09-26      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORPORATION                                                 | BOSTON SCIENTIFIC CORP SR UNSECURED 03/24 3.45         | CUSIP: 101137AV9<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    219000 | PA      | $215016.37    | 0.02%             | 2024-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA SR UNSECURED 144A 10/26 VAR                    | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $1779319.62   | 0.13%             | 2026-10-06      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| BRASS NO 8 PLC 8A                                                             | BRASS PLC BRASS 8A A1 144A                             | CUSIP: 10554MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     53418 | PA      | $53430.06     | 0.00%             | 2066-11-16      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC COMPANY GUAR 09/26 3.459                  | CUSIP: 11135FAN1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   4238000 | PA      | $3998871.02   | 0.29%             | 2026-09-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC COMPANY GUAR 11/25 3.15                   | CUSIP: 11135FBB6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1137956.21   | 0.08%             | 2025-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                 | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A              | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2866351.50   | 0.21%             | 2036-09-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MFM1                                        | BX TRUST BX 2021 MFM1 A 144A                           | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3800000 | PA      | $3681915.00   | 0.27%             | 2034-01-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BXMT 2020-FL3 LTD                                                             | BXMT LTD BXMT 2020 FL3 A 144A                          | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3900000 | PA      | $3840243.62   | 0.28%             | 2037-11-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                                          | CANTOR FITZGERALD LP SR UNSECURED 144A 05/24 4.875     | CUSIP: 138616AE7<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |   6374000 | PA      | $6257102.94   | 0.45%             | 2024-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO LTD 2017-1A                                                    | CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A   | CUSIP: 14314BAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5600000 | PA      | $5510714.44   | 0.40%             | 2031-04-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CBAM 2018-5 LTD 8A                                                            | CBAM CLO MANAGEMENT CBAM 2018 8A A1 144A               | CUSIP: 12478CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7757416 | PA      | $7664327.43   | 0.56%             | 2029-10-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RESOURCES CORP                                             | CENTERPOINT ENERGY RES SR UNSECURED 03/23 VAR          | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    460000 | PA      | $459783.43    | 0.03%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR          | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10500000 | PA      | $10550001.74  | 0.76%             | 2024-02-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 07/25 4.908        | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $981067.92    | 0.07%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-5                                        | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2A2         | CUSIP: 161546GR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209779 | PA      | $198237.78    | 0.01%             | 2033-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 8A1       | CUSIP: 161630AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381700 | PA      | $363838.81    | 0.03%             | 2037-02-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-1A                                        | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A A2 144A   | CUSIP: 16678RCU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34265 | PA      | $30219.50     | 0.00%             | 2036-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-3A                                         | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A2 144A   | CUSIP: 16678RBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22554 | PA      | $20373.31     | 0.00%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-4A                                         | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 4A A1 144A   | CUSIP: 16678RCC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197700 | PA      | $179320.93    | 0.01%             | 2035-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CHUGOKU ELECTRIC POWER CO INC                                                 | CHUGOKU ELECTRIC POWER SR SECURED REGS 02/24 3.488     | CUSIP: ACI18ZTK2<br>LEI: 353800MV866ELME96Q46 | Long             | DBT              | CORP              | JP        |   1900000 | PA      | $1857649.00   | 0.13%             | 2024-02-28      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| CHUGOKU ELECTRIC POWER CO INC                                                 | CHUGOKU ELECTRIC POWER SR SECURED REGS 08/24 2.401     | CUSIP: ACI1F2P70<br>LEI: 353800MV866ELME96Q46 | Long             | DBT              | CORP              | JP        |  10800000 | PA      | $10272852.00  | 0.74%             | 2024-08-27      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                                             | CIGNA CORP COMPANY GUAR 07/23 3.75                     | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    361000 | PA      | $358695.17    | 0.03%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-KEYS                                 | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2021 KEYS A 144A   | CUSIP: 17291GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1857971.51   | 0.13%             | 2036-10-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 03/26 VAR                   | CUSIP: 172967NM9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3409870.68   | 0.25%             | 2026-03-17      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 05/24 VAR                   | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2957941.17   | 0.21%             | 2024-05-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 05/25 VAR                   | CUSIP: 172967NQ0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1471771.88   | 0.11%             | 2025-05-24      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV3 A11 144A | CUSIP: 17329VDF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4013593 | PA      | $3669940.56   | 0.27%             | 2051-05-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| CK HUTCHISON INTERNATIONAL (19) LIMITED                                       | CK HUTCHISON INTL 19 LTD COMPANY GUAR 144A 04/24 3.25  | CUSIP: 12564CAA4<br>LEI: 254900FPY8WXG61CMU70 | Long             | DBT              | CORP              | KY        |   3100000 | PA      | $3029205.21   | 0.22%             | 2024-04-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL NV                                                             | CNH INDUSTRIAL NV SR UNSECURED 08/23 4.5               | CUSIP: 12594KAA0<br>LEI: 549300WGC2HZ5J67V817 | Long             | DBT              | CORP              | NL        |  14254000 | PA      | $14167432.18  | 1.03%             | 2023-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                            | CNO GLOBAL FUNDING SECURED 144A 01/25 1.65             | CUSIP: 18977W2B5<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3708857.84   | 0.27%             | 2025-01-06      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                           | COMMONSPIRIT HEALTH SR SECURED 10/25 1.547             | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3330605.58   | 0.24%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                            | CONAGRA BRANDS INC SR UNSECURED 05/24 4.3              | CUSIP: 205887CA8<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    500000 | PA      | $493376.21    | 0.04%             | 2024-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                        | CONOCOPHILLIPS COMPANY COMPANY GUAR 03/25 2.4          | CUSIP: 20826FAU0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $3995286.41   | 0.29%             | 2025-03-07      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON COMPANY OF NEW YORK INC                                   | CONSOLIDATED ED CO N                                   | CUSIP: 20911MNH6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3192588.80   | 0.23%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON COMPANY OF NEW YORK INC                                   | CONSOLIDATED ED CO N                                   | CUSIP: 20911MNJ2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3491432.60   | 0.25%             | 2023-01-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON COMPANY OF NEW YORK INC                                   | CONSOLIDATED ED CO N                                   | CUSIP: 20911MNK9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3590712.00   | 0.26%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON COMPANY OF NEW YORK INC                                   | CONSOLIDATED ED CO N                                   | CUSIP: 20911MNL7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3590235.00   | 0.26%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                      | COREBRIDGE FINANCIAL INC SR UNSECURED 144A 04/25 3.5   | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   7700000 | PA      | $7388347.97   | 0.54%             | 2025-04-04      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                      | COREBRIDGE FINANCIAL INC SR UNSECURED 144A 04/27 3.65  | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2147498.55   | 0.16%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1A      | CUSIP: 02150PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62802 | PA      | $54863.66     | 0.00%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-7                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV4          | CUSIP: 1266732K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62020 | PA      | $61862.90     | 0.00%             | 2035-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-11                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 11 2AV         | CUSIP: 12666TAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274700 | PA      | $272485.48    | 0.02%             | 2046-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-15                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 15 M1          | CUSIP: 126670MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211375 | PA      | $206683.08    | 0.01%             | 2036-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2022-2A LTD                                                        | CQS US CLO 2022 2, LTD. CQS 2022 2A A1 144A            | CUSIP: 12664BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1496017.50   | 0.11%             | 2031-07-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                            | CREDIT AGRICOLE SA SR UNSECURED 144A 01/27 VAR         | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $262683.08    | 0.02%             | 2027-01-26      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 06/24 VAR     | CUSIP: 225401AG3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   3000000 | PA      | $2925490.95   | 0.21%             | 2024-06-12      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 06/26 VAR     | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1500000 | PA      | $1282350.02   | 0.09%             | 2026-06-05      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 07/26 VAR     | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1900000 | PA      | $1785503.40   | 0.13%             | 2026-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED REGS 06/24 VAR     | CUSIP: H3698DBT0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   4428000 | PA      | $4194265.89   | 0.30%             | 2024-06-12      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP10 A1 144A    | CUSIP: 12597FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1057581 | PA      | $1044229.48   | 0.08%             | 2059-12-26      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                           | CUSIP: 22823QN49<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1998653.34   | 0.14%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                           | CUSIP: 22823QN98<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $10985095.00  | 0.80%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                           | CUSIP: 22823QNA5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1098359.11   | 0.08%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                               | DAE FUNDING LLC COMPANY GUAR 144A 08/24 1.55           | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2510752.57   | 0.18%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                               | DANSKE BANK A/S SR UNSECURED 144A 01/24 5.375          | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   3000000 | PA      | $2976365.58   | 0.22%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                               | DANSKE BANK A/S SR UNSECURED 144A 09/23 3.875          | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    500000 | PA      | $493866.87    | 0.04%             | 2023-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                               | DANSKE BANK A/S SR UNSECURED 144A 09/23 VAR            | CUSIP: 23636AAQ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   6859000 | PA      | $6860515.15   | 0.50%             | 2023-09-12      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                               | DANSKE BANK A/S SR UNSECURED REGS 09/23 VAR            | CUSIP: 23636BAP4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1600000 | PA      | $1600353.44   | 0.12%             | 2023-09-12      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                             | DELL INT LLC / EMC CORP SR UNSECURED 06/23 5.45        | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    134000 | PA      | $134100.30    | 0.01%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                             | DELL INT LLC / EMC CORP SR UNSECURED 10/26 4.9         | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1675666.63   | 0.12%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                           | DELTA AIR LINES INC SR UNSECURED 01/26 7.375           | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3070110.00   | 0.22%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 02/23 3.95               | CUSIP: 251526BR9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   3800000 | PA      | $3787117.92   | 0.27%             | 2023-02-27      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 02/23 VAR                | CUSIP: 251526BS7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    500000 | PA      | $500142.20    | 0.04%             | 2023-02-27      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 09/24 VAR                | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   9000000 | PA      | $8694882.99   | 0.63%             | 2024-09-18      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 11/23 0.962              | CUSIP: 251526CM9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4700000 | PA      | $4523558.66   | 0.33%             | 2023-11-08      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                  | DNB BANK ASA SR UNSECURED 144A 03/25 2.968             | CUSIP: 25601B2D6<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   4000000 | PA      | $3860120.48   | 0.28%             | 2025-03-28      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                                 | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A    | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5725356.00   | 0.41%             | 2043-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| DRYDEN 36 SENIOR LOAN FUND 2014-36A                                           | DRYDEN SENIOR LOAN FUND DRSLF 2014 36A AR3 144A        | CUSIP: 26249KAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3286672 | PA      | $3251478.45   | 0.24%             | 2029-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| DRYDEN 47 SENIOR LOAN FUND 2017-47A                                           | DRYDEN SENIOR LOAN FUND DRSLF 2017 47A A1R 144A        | CUSIP: 26245EAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2364273 | PA      | $2342027.13   | 0.17%             | 2028-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| DRYDEN 60 CLO LTD                                                             | DRYDEN SENIOR LOAN FUND DRSLF 2018 60A A 144A          | CUSIP: 26251NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7400000 | PA      | $7273377.12   | 0.53%             | 2031-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                | ELECTRICITE DE FRANCE SA                               | CUSIP: 28504HNL4<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |  11600000 | PA      | $11568670.37  | 0.84%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 10/25 3.625 | CUSIP: 268317AS3<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |   2297000 | PA      | $2216406.36   | 0.16%             | 2025-10-13      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO LTD 2017-8A                                                     | ELEVATION CLO LTD AWPT 2017 8A A1R2 144A               | CUSIP: 28622VAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7800000 | PA      | $7660603.08   | 0.56%             | 2030-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ELFI GRADUATE LOAN PROGRAM 2021-A LLC                                         | ELFI GRADUATE LOAN PROGRAM 202 ELFI 2021 A A 144A      | CUSIP: 28628BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5256622 | PA      | $4598220.55   | 0.33%             | 2046-12-26      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                             | ENBRIDGE (US) INC                                      | CUSIP: 29251VNL6<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $4287949.98   | 0.31%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                             | ENBRIDGE (US) INC                                      | CUSIP: 29251VNR3<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |  11700000 | PA      | $11659211.81  | 0.84%             | 2023-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                             | ENBRIDGE (US) INC                                      | CUSIP: 29251VNS1<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996376.75    | 0.07%             | 2023-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                 | ENEL FINANCE INTL NV COMPANY GUAR 144A 10/25 6.8       | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2500000 | PA      | $2569767.10   | 0.19%             | 2025-10-14      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                 | ENEL FINANCE INTL NV SR UNSECURED 144A 06/25 4.25      | CUSIP: 29278GAV0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  12500000 | PA      | $12114350.25  | 0.88%             | 2025-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 03/23 4.25             | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498817.79    | 0.04%             | 2023-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                                       | ENI SPA SR UNSECURED 144A 09/23 4                      | CUSIP: 26874RAG3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   3987000 | PA      | $3932335.04   | 0.28%             | 2023-09-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                                       | ENI SPA SR UNSECURED REGS 09/23 4                      | CUSIP: T3666JJQ0<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    580000 | PA      | $572047.74    | 0.04%             | 2023-09-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FUNDING LLC 2022-4                                           | ENTERPRISE FLEET FINANCING LLC EFF 2022 4 A2 144A      | CUSIP: 29374GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7036817.20   | 0.51%             | 2029-10-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                          | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A        | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5466676 | PA      | $5317300.59   | 0.39%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FLHB)                                                 | FEDERAL HOME LOAN BANK BONDS 12/24 5.3                 | CUSIP: 3130AU2C7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  27000000 | PA      | $26990334.00  | 1.96%             | 2024-12-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)                          | FREDDIE MAC NOTES 11/24 5.31                           | CUSIP: 3134GY2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   5400000 | PA      | $5400553.77   | 0.39%             | 2024-11-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)                          | FREDDIE MAC NOTES 11/24 5.36                           | CUSIP: 3134GY3S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  29500000 | PA      | $29535973.78  | 2.14%             | 2024-11-22      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| FEDERATION DES CAISSES DESJARDINS DU QUEBEC                                   | FED CAISSES DESJARDINS SR UNSECURED 144A 02/25 2.05    | CUSIP: 31429KAD5<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $4664131.80   | 0.34%             | 2025-02-10      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL B32059 FG 09/37 FIXED 5.4            | CUSIP: 312979JC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    185412 | PA      | $188527.32    | 0.01%             | 2037-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL B70184 FG 05/29 FIXED 7              | CUSIP: 312988FZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13412 | PA      | $13392.53     | 0.00%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL E04367 FG 04/28 FIXED 2              | CUSIP: 31294NZ85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1015 | PA      | $955.86       | 0.00%             | 2028-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G15159 FG 01/24 FIXED 5              | CUSIP: 3128MD5U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64 | PA      | $64.93        | 0.00%             | 2024-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G80365 FG 10/38 FIXED 6.5            | CUSIP: 31335PMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46452 | PA      | $47471.31     | 0.00%             | 2038-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H00259 FG 04/35 FIXED 5.5            | CUSIP: 3128MSJC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2027 | PA      | $2016.01      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H00962 FG 07/37 FIXED 6.5            | CUSIP: 3128MTB72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25150 | PA      | $25248.04     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H01774 FG 09/37 FIXED 6.5            | CUSIP: 3128MT6K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71834 | PA      | $74405.19     | 0.01%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H03252 FG 10/37 FIXED 6.5            | CUSIP: 3128MVTH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12855 | PA      | $12905.03     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H09022 FG 02/37 FIXED 5.5            | CUSIP: 3128UNAX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8723 | PA      | $8754.64      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H09069 FG 09/37 FIXED 6.5            | CUSIP: 3128UNCE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14609 | PA      | $14999.65     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H09070 FG 09/37 FIXED 6.5            | CUSIP: 3128UNCF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27358 | PA      | $27794.25     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H09098 FG 10/37 FIXED 6.5            | CUSIP: 3128UNDB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121007 | PA      | $123172.68    | 0.01%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H09117 FG 11/37 FIXED 6.5            | CUSIP: 3128UNDW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5781 | PA      | $5909.53      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H09152 FG 02/38 FIXED 6.5            | CUSIP: 3128UNEZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28122 | PA      | $28388.76     | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL H19005 FG 01/37 FIXED 5.5            | CUSIP: 3128NAAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    168116 | PA      | $167878.98    | 0.01%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL J22451 FG 02/28 FIXED 2              | CUSIP: 31307AWL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2974 | PA      | $2801.43      | 0.00%             | 2028-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL K30023 FG 02/47 FIXED 5.5            | CUSIP: 31302PAY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67833 | PA      | $65738.11     | 0.00%             | 2047-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL K30066 FG 06/47 FIXED 5.5            | CUSIP: 31302PCB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52621 | PA      | $50993.61     | 0.00%             | 2047-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL L00007 FG 03/35 FIXED 5.5            | CUSIP: 3128DFAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15388 | PA      | $15928.99     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N30959 FG 03/33 FIXED 5              | CUSIP: 31281BB41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1772 | PA      | $1694.62      | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31005 FG 08/33 FIXED 5.5            | CUSIP: 31281BDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79184 | PA      | $77303.90     | 0.01%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31013 FG 10/33 FIXED 5              | CUSIP: 31281BDS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9591 | PA      | $9632.25      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31137 FG 09/34 FIXED 5.5            | CUSIP: 31281BHN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6706 | PA      | $6750.77      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31138 FG 09/34 FIXED 5.5            | CUSIP: 31281BHP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3976 | PA      | $3770.92      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31330 FG 08/36 FIXED 5.5            | CUSIP: 31281BPP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15956 | PA      | $15425.39     | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31347 FG 11/36 FIXED 5.5            | CUSIP: 31281BP87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       322 | PA      | $314.17       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31368 FG 01/37 FIXED 5              | CUSIP: 31281BQV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6467 | PA      | $6594.97      | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31453 FG 10/37 FIXED 5              | CUSIP: 31281BTJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7672 | PA      | $7582.64      | 0.00%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31465 FG 11/37 FIXED 5              | CUSIP: 31281BTW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1633 | PA      | $1646.62      | 0.00%             | 2037-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31476 FG 12/37 FIXED 5              | CUSIP: 31281BT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15296 | PA      | $15573.78     | 0.00%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31480 FG 04/37 FIXED 5              | CUSIP: 31281BUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22184 | PA      | $22057.27     | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N31493 FG 02/38 FIXED 5              | CUSIP: 31281BUS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69159 | PA      | $70339.98     | 0.01%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL N39008 FG 09/38 FIXED 5.5            | CUSIP: 31320LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    593619 | PA      | $609793.43    | 0.04%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P00039 FG 05/33 FIXED 6              | CUSIP: 31283NBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18002 | PA      | $17965.59     | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P20584 FG 11/34 FIXED 5              | CUSIP: 31283YRC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119774 | PA      | $118661.11    | 0.01%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P50075 FG 09/31 FIXED 6              | CUSIP: 31288LCL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28413 | PA      | $28393.04     | 0.00%             | 2031-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P50485 FG 05/35 FIXED 5.5            | CUSIP: 31288LRE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8605 | PA      | $8516.30      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P51237 FG 11/36 FIXED 6.5            | CUSIP: 3128C6LS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56390 | PA      | $58196.78     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P51262 FG 02/37 FIXED 5.5            | CUSIP: 3128C6MK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59358 | PA      | $59226.59     | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P51299 FG 07/37 FIXED 5.5            | CUSIP: 3128C6NQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56794 | PA      | $56763.38     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL P51309 FG 07/37 FIXED 5.5            | CUSIP: 3128C6N21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98294 | PA      | $98192.70     | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL T30133 FG 07/37 FIXED 5.55           | CUSIP: 31286DEE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30121 | PA      | $30350.99     | 0.00%             | 2037-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL U30321 FG 02/37 FIXED 5              | CUSIP: 31335YLA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     63253 | PA      | $63017.36     | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL U30400 FG 06/37 FIXED 5.55           | CUSIP: 31335YNR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38166 | PA      | $38456.80     | 0.00%             | 2037-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL U30402 FG 06/37 FIXED 5.55           | CUSIP: 31335YNT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37191 | PA      | $37474.49     | 0.00%             | 2037-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL U31817 FG 03/38 FIXED 5.4            | CUSIP: 31321XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76769 | PA      | $77861.85     | 0.01%             | 2038-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL U32257 FG 08/38 FIXED 5.4            | CUSIP: 31321XQJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85816 | PA      | $87022.27     | 0.01%             | 2038-08-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL U32423 FG 11/38 FIXED 5.4            | CUSIP: 31321XVQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73361 | PA      | $74260.92     | 0.01%             | 2038-11-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FINANCE AMERICA MTGE LOAN TRUST 2004-2                                        | FINANCE AMERICA MORTGAGE LOAN FINA 2004 2 M1           | CUSIP: 317350BD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127747 | PA      | $118039.73    | 0.01%             | 2034-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FIRST ABU DHABI BANK PJSC                                                     | FIRST ABU DHABI BANK PJS SR UNSECURED REGS 08/23 VAR   | CUSIP: ACI1DSTV8<br>LEI: 2138002Y3WMK6RZS8H90 | Long             | DBT              | CORP              | AE        |   4000000 | PA      | $3998732.00   | 0.29%             | 2023-08-08      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CER 2004-FF1                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF1 M1         | CUSIP: 32027NGC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111095 | PA      | $105954.52    | 0.01%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                              | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3        | CUSIP: 32027EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1273035 | PA      | $1229975.64   | 0.09%             | 2036-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2004-FF6                                        | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF6 M1         | CUSIP: 32027NKJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99473 | PA      | $99113.83     | 0.01%             | 2034-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA7                                           | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA7 2A1      | CUSIP: 32051GFB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197432 | PA      | $182903.28    | 0.01%             | 2035-02-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                    | FISERV INC                                             | CUSIP: 33774LNH7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2793513.80   | 0.20%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FUNDING TRUST                                                    | FIVE CORNERS FUNDING TRS SR UNSECURED 144A 11/23 4.419 | CUSIP: 33829TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $396692.87    | 0.03%             | 2023-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 254670 FN 02/33 FIXED 5.5                    | CUSIP: 31371K2B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       491 | PA      | $491.82       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 255538 FN 11/34 FIXED 5.5                    | CUSIP: 31371LZB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13390 | PA      | $13229.67     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 255990 FN 11/35 FIXED 5                      | CUSIP: 31371MKB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78000 | PA      | $77007.39     | 0.01%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256372 FN 07/36 FIXED 6.5                    | CUSIP: 31371MW94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170242 | PA      | $172606.16    | 0.01%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256496 FN 10/36 FIXED 6.5                    | CUSIP: 31371M3D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8924 | PA      | $8940.37      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256526 FN 12/36 FIXED 6                      | CUSIP: 31371M4K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1389 | PA      | $1422.14      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256809 FN 07/37 FIXED 6                      | CUSIP: 31371NGS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11836 | PA      | $12075.35     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256860 FN 08/37 FIXED 6.5                    | CUSIP: 31371NJD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       614 | PA      | $634.77       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256890 FN 09/37 FIXED 6                      | CUSIP: 31371NKB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64537 | PA      | $65542.29     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 256973 FN 11/37 FIXED 6.5                    | CUSIP: 31371NMW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7032 | PA      | $7301.56      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 257044 FN 01/38 FIXED 6                      | CUSIP: 31371NP58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1982 | PA      | $2023.62      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 257138 FN 03/38 FIXED 5                      | CUSIP: 31371NS30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9214 | PA      | $9087.96      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 257213 FN 04/48 FIXED 6                      | CUSIP: 31371NVE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13486 | PA      | $13319.00     | 0.00%             | 2048-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 257393 FN 09/48 FIXED 6.5                    | CUSIP: 31371N3A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2478 | PA      | $2409.24      | 0.00%             | 2048-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 357175 FN 12/31 FIXED 5.5                    | CUSIP: 31376JXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9331 | PA      | $8966.60      | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 405220 FN 09/28 FIXED 6                      | CUSIP: 31378QDZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3366 | PA      | $3418.35      | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 452968 FN 12/28 FIXED 5.5                    | CUSIP: 31380XFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       420 | PA      | $411.99       | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 499703 FN 05/29 FIXED 6                      | CUSIP: 31383DDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2040 | PA      | $1955.23      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 519281 FN 09/29 FIXED 5.34                   | CUSIP: 31384B2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52570 | PA      | $52757.79     | 0.00%             | 2029-09-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 535994 FN 06/31 FIXED VAR                    | CUSIP: 31384WNK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1382 | PA      | $1429.11      | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 577852 FN 06/31 FIXED 6                      | CUSIP: 31386Y5M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19160 | PA      | $18932.20     | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 596705 FN 04/32 FIXED 6                      | CUSIP: 31387W3N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10374 | PA      | $10473.72     | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 695530 FN 04/33 FIXED 6                      | CUSIP: 31400RVX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35632 | PA      | $35584.80     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 713199 FN 06/33 FIXED 5.5                    | CUSIP: 31401NKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14057 | PA      | $14105.21     | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 738753 FN 09/33 FIXED 6                      | CUSIP: 31402UWN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    142139 | PA      | $144427.60    | 0.01%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 800447 FN 10/34 FIXED 5                      | CUSIP: 31405VHY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23662 | PA      | $23123.46     | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 801506 FN 09/34 FIXED 4.75                   | CUSIP: 31405WNX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35531 | PA      | $35129.42     | 0.00%             | 2034-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 819230 FN 02/35 FIXED 5.35                   | CUSIP: 31406TEB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34739 | PA      | $34581.35     | 0.00%             | 2035-02-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 819457 FN 02/35 FIXED 4.75                   | CUSIP: 31406TME8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    154209 | PA      | $152338.82    | 0.01%             | 2035-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 820191 FN 05/35 FIXED 5                      | CUSIP: 31406UF86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49298 | PA      | $48156.41     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 833303 FN 05/35 FIXED 5.15                   | CUSIP: 31407KX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39633 | PA      | $39445.37     | 0.00%             | 2035-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 839137 FN 10/35 FIXED 6                      | CUSIP: 31407SHN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31070 | PA      | $31575.53     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 847106 FN 10/35 FIXED 5.5                    | CUSIP: 31408CDK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19554 | PA      | $19480.95     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 851762 FN 01/36 FIXED 4.25                   | CUSIP: 31408HJF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85069 | PA      | $83253.02     | 0.01%             | 2036-01-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 852504 FN 09/35 FIXED 5.35                   | CUSIP: 31408JDH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112395 | PA      | $110677.31    | 0.01%             | 2035-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 870801 FN 10/36 FIXED 5.5                    | CUSIP: 31409GNS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3770 | PA      | $3645.24      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 871039 FN 02/37 FIXED 5.5                    | CUSIP: 31409GV86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5103 | PA      | $5092.58      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 879922 FN 11/35 FIXED 5                      | CUSIP: 31409VSK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38878 | PA      | $38490.13     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888372 FN 04/37 FIXED VAR                    | CUSIP: 31410F6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4325 | PA      | $4405.62      | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888796 FN 09/37 FIXED VAR                    | CUSIP: 31410GNM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60247 | PA      | $60700.07     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888970 FN 06/37 FIXED VAR                    | CUSIP: 31410GT37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7128 | PA      | $6991.46      | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889154 FN 02/38 FIXED VAR                    | CUSIP: 31410GZT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2991 | PA      | $2854.48      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889187 FN 07/33 FIXED VAR                    | CUSIP: 31410G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17542 | PA      | $17135.55     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 889322 FN 04/38 FIXED VAR                    | CUSIP: 31410KAX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15035 | PA      | $15197.62     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 891367 FN 04/36 FIXED 4.75                   | CUSIP: 31410MJL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    176743 | PA      | $176495.39    | 0.01%             | 2036-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 895567 FN 04/36 FIXED 5.45                   | CUSIP: 31410R6C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90519 | PA      | $89908.01     | 0.01%             | 2036-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 899432 FN 05/37 FIXED 6                      | CUSIP: 31410WHH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72 | PA      | $71.69        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 910758 FN 01/37 FIXED 5.5                    | CUSIP: 31411KZX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16175 | PA      | $16062.51     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 913145 FN 03/37 FIXED 5.35                   | CUSIP: 31411RP69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36259 | PA      | $36103.96     | 0.00%             | 2037-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 918929 FN 04/37 FIXED 5.5                    | CUSIP: 31411Y4N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236440 | PA      | $236614.35    | 0.02%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 922855 FN 11/36 FIXED 5.5                    | CUSIP: 31412EH82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31745 | PA      | $32217.82     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 924068 FN 05/37 FIXED 6.5                    | CUSIP: 31412FTZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47306 | PA      | $48029.77     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 933032 FN 10/37 FIXED 6                      | CUSIP: 31412SA96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       569 | PA      | $560.47       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 939484 FN 06/37 FIXED 5                      | CUSIP: 31413AFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9040 | PA      | $8858.82      | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 941742 FN 07/37 FIXED 5.35                   | CUSIP: 31413CWB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    108356 | PA      | $107540.42    | 0.01%             | 2037-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 944066 FN 07/37 FIXED 6.5                    | CUSIP: 31413FJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       699 | PA      | $704.79       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 944530 FN 07/47 FIXED 6                      | CUSIP: 31413FY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    116931 | PA      | $115335.23    | 0.01%             | 2047-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 952320 FN 10/37 FIXED 6.5                    | CUSIP: 31413QPD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18059 | PA      | $17964.67     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 961191 FN 01/38 FIXED 6                      | CUSIP: 31414BKC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4169 | PA      | $4148.05      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 972781 FN 01/38 FIXED 5.35                   | CUSIP: 31414QFW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     92968 | PA      | $92215.06     | 0.01%             | 2038-01-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 973542 FN 03/38 FIXED 5.5                    | CUSIP: 31414RBK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7658 | PA      | $7609.06      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 982008 FN 05/38 FIXED 5.5                    | CUSIP: 31415BNZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7916 | PA      | $7865.55      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 995092 FN 12/37 FIXED VAR                    | CUSIP: 31416BNH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    107724 | PA      | $111548.63    | 0.01%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 995858 FN 09/37 FIXED VAR                    | CUSIP: 31416CJB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2325 | PA      | $2385.22      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB1063 FN 03/50 FIXED 5.5                    | CUSIP: 31416WFD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     77209 | PA      | $74733.38     | 0.01%             | 2050-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB6113 FN 08/42 FIXED 4                      | CUSIP: 31417CYK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61953 | PA      | $60063.46     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AB6261 FN 09/42 FIXED 4                      | CUSIP: 31417C5X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44749 | PA      | $42951.34     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AC4532 FN 01/34 FIXED 5                      | CUSIP: 31417QBA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    632426 | PA      | $618797.97    | 0.04%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AD0893 FN 01/39 FIXED VAR                    | CUSIP: 31418M7F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    292798 | PA      | $296191.31    | 0.02%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AE0287 FN 02/38 FIXED VAR                    | CUSIP: 31419AJ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    575365 | PA      | $581356.99    | 0.04%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL2591 FN 05/38 FIXED VAR                    | CUSIP: 3138EJ2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37698 | PA      | $37630.04     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL6513 FN 07/44 FIXED VAR                    | CUSIP: 3138EPGX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27735 | PA      | $28025.09     | 0.00%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AO3529 FN 06/42 FIXED 4                      | CUSIP: 3138LT4P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64498 | PA      | $61924.61     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS0070 FN 08/43 FIXED 4                      | CUSIP: 3138W9CG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70558 | PA      | $67553.94     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AW0293 FN 02/44 FIXED 4                      | CUSIP: 3138XPKF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17820 | PA      | $17060.07     | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AW1120 FN 11/34 FIXED 5                      | CUSIP: 3138XQG62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    473589 | PA      | $468789.37    | 0.03%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0101 FN 05/39 FIXED 5                      | CUSIP: 31417YDF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4064 | PA      | $4001.18      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA0565 FN 09/40 FIXED 5.5                    | CUSIP: 31417YTX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65637 | PA      | $66642.27     | 0.00%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA1137 FN 07/42 FIXED 4                      | CUSIP: 31418AHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59881 | PA      | $55359.77     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA1253 FN 11/42 FIXED 4                      | CUSIP: 31418AMB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    127185 | PA      | $122097.21    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA1715 FN 12/43 FIXED 4                      | CUSIP: 31418A3Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1482 | PA      | $1419.03      | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA2313 FN 06/45 FIXED 4                      | CUSIP: 31418BSB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22660 | PA      | $21693.89     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA2953 FN 03/47 FIXED 4                      | CUSIP: 31418CH72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54329 | PA      | $52290.69     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/23 3.37       | CUSIP: 345397A78<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195354.28    | 0.01%             | 2023-11-17      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4948                                                       | FREDDIE MAC FHR 4948 E                                 | CUSIP: 3137FQZF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    161320 | PA      | $143809.92    | 0.01%             | 2048-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                           | FS KKR CAPITAL CORP SR UNSECURED 10/24 1.65            | CUSIP: 302635AJ6<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4516405.60   | 0.33%             | 2024-10-12      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/26 1.625       | CUSIP: 36143L2A2<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    900000 | PA      | $800102.68    | 0.06%             | 2026-01-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 04/25 VAR         | CUSIP: 36143L2K0<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2934226.95   | 0.21%             | 2025-04-11      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 09/24 0.8         | CUSIP: 36143L2C8<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   2153000 | PA      | $1968673.70   | 0.14%             | 2024-09-13      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 09/24 VAR         | CUSIP: 36143L2E4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $971679.13    | 0.07%             | 2024-09-13      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SR SECURED 144A 12/23 1.25     | CUSIP: 36143L2F1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3359451.66   | 0.24%             | 2023-12-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM3 TRUST                                                          | GCAT GCAT 2021 NQM3 A2 144A                            | CUSIP: 36167HAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2940455 | PA      | $2363214.88   | 0.17%             | 2066-05-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM3 TRUST                                                          | GCAT GCAT 2021 NQM3 A3 144A                            | CUSIP: 36167HAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2655819 | PA      | $2095013.85   | 0.15%             | 2066-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2022-HX1 TRUST                                                           | GCAT GCAT 2022 HX1 A1 144A                             | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2173942 | PA      | $1943330.04   | 0.14%             | 2066-12-27      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| GCAT LLC 2019-RPL1                                                            | GCAT GCAT 2019 RPL1 A1 144A                            | CUSIP: 36167CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418304 | PA      | $394237.49    | 0.03%             | 2068-10-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GCT COMMERCIAL MORTGAGE TRUST 2021-GCT                                        | GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT A 144A      | CUSIP: 36167RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $744006.88    | 0.05%             | 2038-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO COMPANY GUAR 01/23 3.25         | CUSIP: 37045XCF1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1499911.77   | 0.11%             | 2023-01-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO COMPANY GUAR 04/24 3.95         | CUSIP: 37045XBW5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3040468.75   | 0.22%             | 2024-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO COMPANY GUAR 05/23 4.25         | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996013.45    | 0.07%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO SR UNSECURED 01/24 5.1          | CUSIP: 37045XCR5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  11500000 | PA      | $11459181.21  | 0.83%             | 2024-01-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO SR UNSECURED 11/23 VAR          | CUSIP: 37045XDC7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   5600000 | PA      | $5585567.96   | 0.40%             | 2023-11-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                           | GILEAD SCIENCES INC SR UNSECURED 10/27 1.2             | CUSIP: 375558BX0<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2463960.87   | 0.18%             | 2027-10-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PAYMENTS INC SR UNSECURED 03/26 1.2             | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2269169.89   | 0.16%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 002076 G2 09/25 FIXED 6.5                 | CUSIP: 36202CJV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       349 | PA      | $349.32       | 0.00%             | 2025-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004182 G2 07/38 FIXED 5.5                 | CUSIP: 36202EUF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17478 | PA      | $17185.53     | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004239 G2 09/38 FIXED 6                   | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40040 | PA      | $40319.10     | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004241 G2 09/38 FIXED 7                   | CUSIP: 36202EWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97084 | PA      | $98230.77     | 0.01%             | 2038-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004262 G2 10/38 FIXED 7                   | CUSIP: 36202EWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     91709 | PA      | $93216.20     | 0.01%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004362 G2 02/39 FIXED 5                   | CUSIP: 36202EZ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       213 | PA      | $212.59       | 0.00%             | 2039-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004492 G2 07/39 FIXED 6.5                 | CUSIP: 36202E7D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30591 | PA      | $31125.40     | 0.00%             | 2039-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004537 G2 06/39 FIXED 7                   | CUSIP: 36202FBE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22993 | PA      | $22960.60     | 0.00%             | 2039-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004670 G2 04/40 FIXED 4                   | CUSIP: 36202FFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    263934 | PA      | $244650.89    | 0.02%             | 2040-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004796 G2 09/40 FIXED 4.5                 | CUSIP: 36202FKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       772 | PA      | $754.89       | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004879 G2 12/40 FIXED 4                   | CUSIP: 36202FM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4568 | PA      | $4352.06      | 0.00%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004918 G2 01/41 FIXED 4                   | CUSIP: 36202FPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89216 | PA      | $85039.19     | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004949 G2 02/41 FIXED 4                   | CUSIP: 36202FQA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    132723 | PA      | $126471.75    | 0.01%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005164 G2 08/41 FIXED 5.5                 | CUSIP: 36202FWZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175747 | PA      | $172821.62    | 0.01%             | 2041-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 005201 G2 10/41 FIXED 4                   | CUSIP: 36202FX68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28939 | PA      | $27567.77     | 0.00%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 627122 G2 03/34 FIXED 5.5                 | CUSIP: 36291FVP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78042 | PA      | $77451.21     | 0.01%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 688058 G2 08/38 FIXED 4.5                 | CUSIP: 36296DMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    108808 | PA      | $105401.98    | 0.01%             | 2038-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 716993 G2 06/39 FIXED 5.4                 | CUSIP: 3620A2RN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85325 | PA      | $86011.65     | 0.01%             | 2039-06-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 723581 G2 04/35 FIXED 5.5                 | CUSIP: 3620A92N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85070 | PA      | $85663.50     | 0.01%             | 2035-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 734402 G2 04/41 FIXED 4.5                 | CUSIP: 3620AM3K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79443 | PA      | $78039.20     | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 754366 G2 03/42 FIXED 4                   | CUSIP: 36230NZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8391 | PA      | $8164.12      | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 758659 G2 03/41 FIXED 4.5                 | CUSIP: 36230TTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    108394 | PA      | $106297.39    | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 773563 G2 07/41 FIXED 4.5                 | CUSIP: 36176RFC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    146862 | PA      | $144266.55    | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 799902 G2 03/42 FIXED 3.74                | CUSIP: 36177VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43169 | PA      | $40547.48     | 0.00%             | 2042-03-20      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL AA0711 G2 07/42 FIXED 3.74                | CUSIP: 36177WYG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33442 | PA      | $31460.49     | 0.00%             | 2042-07-20      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL AH5878 G2 03/44 FIXED 3.75                | CUSIP: 36182NQ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52138 | PA      | $49400.68     | 0.00%             | 2044-03-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL AV9440 G2 11/46 FIXED 3                   | CUSIP: 36195LPZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     93174 | PA      | $83516.87     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL BK5879 G2 11/48 FIXED 4.5                 | CUSIP: 3617J6Q80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68998 | PA      | $67009.28     | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA0082 G2 05/42 FIXED 3.5                 | CUSIP: 36179MCT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65739 | PA      | $60009.34     | 0.00%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA1084 G2 06/43 FIXED 4                   | CUSIP: 36179NFZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52018 | PA      | $49552.74     | 0.00%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA5042 G2 10/38 FIXED 7                   | CUSIP: 36179TS71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    381031 | PA      | $387380.82    | 0.03%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 412608 GN 05/26 FIXED 7                      | CUSIP: 36206JKV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1400 | PA      | $1409.38      | 0.00%             | 2026-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 662867 GN 12/36 FIXED 5.35                   | CUSIP: 36294XMQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32110 | PA      | $32829.47     | 0.00%             | 2036-12-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 671883 GN 06/37 FIXED 5.35                   | CUSIP: 36295JM86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64069 | PA      | $65320.34     | 0.00%             | 2037-06-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 672041 GN 08/37 FIXED 5.35                   | CUSIP: 36295JS64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57000 | PA      | $58113.35     | 0.00%             | 2037-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 672173 GN 09/37 FIXED 5.35                   | CUSIP: 36295JXA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27884 | PA      | $28429.04     | 0.00%             | 2037-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 672295 GN 01/38 FIXED 5.35                   | CUSIP: 36295J3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70430 | PA      | $71806.46     | 0.01%             | 2038-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 679071 GN 11/37 FIXED 5.35                   | CUSIP: 36295SMU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41593 | PA      | $42406.09     | 0.00%             | 2037-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 679165 GN 11/37 FIXED 5.35                   | CUSIP: 36295SQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43585 | PA      | $44562.05     | 0.00%             | 2037-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 780058 GN 01/25 FIXED 7                      | CUSIP: 36225AB33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       247 | PA      | $247.29       | 0.00%             | 2025-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 780650 GN 10/27 FIXED 6.5                    | CUSIP: 36225AWK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4086 | PA      | $4205.04      | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 780742 GN 09/24 FIXED 7                      | CUSIP: 36225AZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       548 | PA      | $549.26       | 0.00%             | 2024-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 799863 GN 04/42 FIXED 3.75                   | CUSIP: 36177U5Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95124 | PA      | $90243.77     | 0.01%             | 2042-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL AA0060 GN 04/42 FIXED 3.7                    | CUSIP: 36177WB58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121731 | PA      | $115942.91    | 0.01%             | 2042-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GOLDEN CREDIT CARD TRUST 2022-4A                                              | GOLDEN CREDIT CARD TRUST GCCT 2022 4A A 144A           | CUSIP: 380881FP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |  10000000 | PA      | $9848613.00   | 0.71%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 02/23 VAR         | CUSIP: 38141GWU4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3001605.54   | 0.22%             | 2023-02-23      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 VAR         | CUSIP: 38141GXW9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $993955.09    | 0.07%             | 2024-03-08      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 11/24 5.7         | CUSIP: 38141GZV9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2531570.23   | 0.18%             | 2024-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-17                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 17 EU          | CUSIP: 38382CP47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    128466 | PA      | $112057.69    | 0.01%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H22                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H22 EF         | CUSIP: 38382YA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2025302 | PA      | $2021397.08   | 0.15%             | 2072-10-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-66                                            | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 66 UF          | CUSIP: 38376FRF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3824 | PA      | $3864.21      | 0.00%             | 2039-08-16      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GREENWOOD PARK CLO LTD 2018-1A                                                | GREENWOOD PARK CLO, LTD GRNPK 2018 1A A2 144A          | CUSIP: 39729RAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $4049310.88   | 0.29%             | 2031-04-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2                               | GREYSTONE COMMERCIAL REAL ESTA GSTNE 2019 FL2 A 144A   | CUSIP: 39809LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    696972 | PA      | $686425.93    | 0.05%             | 2037-09-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2022-GTWY                                      | GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A     | CUSIP: 36266DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7300000 | PA      | $7366586.22   | 0.53%             | 2039-08-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR2 A9 144A   | CUSIP: 36262JAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4377512 | PA      | $4001064.28   | 0.29%             | 2052-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A9 144A  | CUSIP: 36263KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2650680 | PA      | $2423020.46   | 0.18%             | 2051-12-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-7                                                 | GSAA HOME EQUITY TRUST GSAA 2007 7 A4                  | CUSIP: 36249BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153681 | PA      | $146405.76    | 0.01%             | 2037-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                                          | GSAMP TRUST GSAMP 2006 HE4 A2D                         | CUSIP: 362439AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610581 | PA      | $584716.58    | 0.04%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-9                                                | GSR MORTGAGE LOAN TRUST GSR 2003 9 A2                  | CUSIP: 36228FWS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68304 | PA      | $63351.97     | 0.00%             | 2033-08-25      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                              | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A4               | CUSIP: 362341RW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3557 | PA      | $3473.36      | 0.00%             | 2035-09-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                                        | HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 02/23 3.35  | CUSIP: 41283LAS4<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |   3890000 | PA      | $3881164.37   | 0.28%             | 2023-02-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| HERA COMMERCIAL MORTGAGE 2021-FL1                                             | HERA COMMERCIAL MORTGAGE LTD HERA 2021 FL1 A 144A      | CUSIP: 42704RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3196063.76   | 0.23%             | 2038-02-18      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-5                                                | HOME EQUITY ASSET TRUST HEAT 2004 5 M3                 | CUSIP: 437084DY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870528 | PA      | $849476.55    | 0.06%             | 2034-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 03/25 VAR               | CUSIP: 404280CA5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  10107000 | PA      | $10022053.60  | 0.73%             | 2025-03-11      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 09/26 VAR               | CUSIP: 404280BW8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4850000 | PA      | $4776616.88   | 0.35%             | 2026-09-12      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                      | HYATT HOTELS CORP SR UNSECURED 10/24 1.8               | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1031433.15   | 0.07%             | 2024-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2022-C                                         | HYUNDAI AUTO RECEIVABLES TRUST HART 2022 C A2A         | CUSIP: 44933DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3007023.60   | 0.22%             | 2025-11-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/24 0.8    | CUSIP: 44891ABR7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   6555000 | PA      | $6238399.79   | 0.45%             | 2024-01-08      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED REGS 04/23 5.75   | CUSIP: 44891CBJ1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3002183.76   | 0.22%             | 2023-04-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL SERVICES                                                      | HYUNDAI CAPITAL SERVICES SR UNSECURED 144A 09/23 0.75  | CUSIP: 44920UAQ1<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |   2100000 | PA      | $2019780.42   | 0.15%             | 2023-09-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| IBERDROLA INTERNATIONAL BV                                                    | IBERDROLA INTL BV COMPANY GUAR 03/25 5.81              | CUSIP: 81013TAC5<br>LEI: 549300ZMLFJKWC63XN87 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $405771.85    | 0.03%             | 2025-03-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                   | ILLINOIS ST ILS 05/23 FIXED 5.375                      | CUSIP: 4521526F3<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    450000 | PA      | $452509.65    | 0.03%             | 2023-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                                                  | ILLUMINA INC SR UNSECURED 12/25 5.8                    | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1713413.20   | 0.12%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-10                                                          | IMPAC CMB TRUST IMM 2004 10 1A1                        | CUSIP: 45254NLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87165 | PA      | $79118.59     | 0.01%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)               | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/24 3.125  | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   8100000 | PA      | $7748295.89   | 0.56%             | 2024-07-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)               | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/25 4.25   | CUSIP: 453140AF2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   1641000 | PA      | $1568723.11   | 0.11%             | 2025-07-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)               | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5    | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   1300000 | PA      | $1193914.68   | 0.09%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)               | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/27 6.125  | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   4000000 | PA      | $3987191.16   | 0.29%             | 2027-07-27      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)               | IMPERIAL BRANDS FIN PLC COMPANY GUAR REGS 07/24 3.125  | CUSIP: G471ABNU0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    625000 | PA      | $597862.34    | 0.04%             | 2024-07-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)               | IMPERIAL BRANDS FIN PLC COMPANY GUAR REGS 07/25 4.25   | CUSIP: G4721VNU4<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $191191.12    | 0.01%             | 2025-07-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV SR UNSECURED 03/26 3.869                  | CUSIP: 456837BA0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1500000 | PA      | $1444666.86   | 0.10%             | 2026-03-28      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV SR UNSECURED 04/27 VAR                    | CUSIP: 456837AX1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   5594000 | PA      | $5401660.60   | 0.39%             | 2027-04-01      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A                                     | VOYA CLO LTD INGIM 2012 4A A1R3 144A                   | CUSIP: 92916GBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3437773.89   | 0.25%             | 2030-10-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY MORTGAGE TRUST                                               | INTOWN 2022 STAY TOWN 2022 STAY A 144A                 | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2888257.32   | 0.21%             | 2039-08-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRIC CORPORATION LTD                                               | ISRAEL ELECTRIC CORP LTD SR SECURED 144A REGS 11/24 5  | CUSIP: 465077AK1<br>LEI: 254900JW7GE35YNJGJ55 | Long             | DBT              | CORP              | IL        |  11636000 | PA      | $11538432.14  | 0.84%             | 2024-11-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A  | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060456 | PA      | $1010145.82   | 0.07%             | 2031-12-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INCORPORATION                                               | JACKSON FINANCIAL INC SR UNSECURED 11/23 1.125         | CUSIP: 46817MAJ6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   3125000 | PA      | $3010076.84   | 0.22%             | 2023-11-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| JFIN CLO LTD 2017-2A                                                          | APEX CREDIT CLO LLC JFIN 2017 2A AR 144A               | CUSIP: 46593CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    822832 | PA      | $809543.17    | 0.06%             | 2029-09-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 06/25 VAR             | CUSIP: 46647PCK0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $932723.28    | 0.07%             | 2025-06-23      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-MHC                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 MHC A 144A   | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    944897 | PA      | $921229.74    | 0.07%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2             | CUSIP: 46630GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212552 | PA      | $195648.02    | 0.01%             | 2035-07-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                  | 7 ELEVEN INC SR UNSECURED 144A 02/24 0.8               | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   2131000 | PA      | $2028808.26   | 0.15%             | 2024-02-10      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22                           | JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C22 A4       | CUSIP: 46642NBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4410284 | PA      | $4268756.22   | 0.31%             | 2047-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7                           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2017 JP7 A3       | CUSIP: 465968AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $288671.10    | 0.02%             | 2050-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| KANSAS CITY SOUTHERN/OLD                                                      | KANSAS CITY SOUTHERN COMPANY GUAR 05/23 3              | CUSIP: 485170AV6<br>LEI: 5493008C12PZMWP3WY03 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1090470.13   | 0.08%             | 2023-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KANSAS CITY SOUTHERN/OLD                                                      | KANSAS CITY SOUTHERN COMPANY GUAR 06/26 3.125          | CUSIP: 485170BA1<br>LEI: 5493008C12PZMWP3WY03 | Long             | DBT              | CORP              | US        |    700000 | PA      | $658265.08    | 0.05%             | 2026-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| KKR CLO 9 LTD                                                                 | KKR FINANCIAL CLO LTD KKR 9 AR2 144A                   | CUSIP: 48250LAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2227604 | PA      | $2187155.50   | 0.16%             | 2030-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 18                                                                | KKR FINANCIAL CLO LTD KKR 18 AR 144A                   | CUSIP: 48251JAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    565879 | PA      | $560627.12    | 0.04%             | 2030-07-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL HOLDINGS LLC                                                    | KKR FINANCIAL HOLDINGS SR UNSECURED 144A 05/33 5.4     | CUSIP: 48248AAG3<br>LEI: 549300U5WMP5TYFNKW68 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5136745.63   | 0.37%             | 2033-05-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| KT CORPORATION                                                                | KT CORP SR UNSECURED 144A 08/25 4                      | CUSIP: 48268KAG6<br>LEI: 9884005ACF8449EANY26 | Long             | DBT              | CORP              | KR        |   9800000 | PA      | $9542626.72   | 0.69%             | 2025-08-08      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCCM 2021-FL2 TRUST                                                           | LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL2 A 144A    | CUSIP: 50202KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3881234.00   | 0.28%             | 2038-12-13      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                                    | LCM LTD PARTNERSHIP LCM 30A AR 144A                    | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1075061.14   | 0.08%             | 2031-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| LCM LP 13A                                                                    | LCM LTD PARTNERSHIP LCM 13A AR3 144A                   | CUSIP: 50184KBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    843979 | PA      | $834869.70    | 0.06%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCM XV LP 15A                                                                 | LCM LTD PARTNERSHIP LCM 15A AR2 144A                   | CUSIP: 50184NAR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4719501 | PA      | $4648893.71   | 0.34%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| LCM XX LP 20A                                                                 | LCM LTD PARTNERSHIP LCM 20A AR 144A                    | CUSIP: 50188WAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    141943 | PA      | $141289.00    | 0.01%             | 2027-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LEASEPLAN CORPORATION NV                                                      | LEASEPLAN CORPORATION NV SR UNSECURED 144A 10/24 2.875 | CUSIP: 52206AAD2<br>LEI: 724500C60L930FVHS484 | Long             | DBT              | CORP              | NL        |   9625000 | PA      | $9037919.18   | 0.65%             | 2024-10-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-SL1                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 SL1 A 144A       | CUSIP: 52475PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1081727 | PA      | $1061387.10   | 0.08%             | 2060-09-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                    | LEIDOS INC COMPANY GUAR 05/23 2.95                     | CUSIP: 52532XAB1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |  10200000 | PA      | $10119477.22  | 0.73%             | 2023-05-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 03/26 VAR        | CUSIP: 53944YAR4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2500000 | PA      | $2377146.28   | 0.17%             | 2026-03-18      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 08/26 VAR        | CUSIP: 53944YAT0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2938258.29   | 0.21%             | 2026-08-11      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE4                                                 | LOANCORE 2018 CRE1 ISSUER, LTD LNCR 2021 CRE4 A 144A   | CUSIP: 53946CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1269742 | PA      | $1232999.92   | 0.09%             | 2035-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| LUXE TRUST 2021-TRIP                                                          | LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP A 144A   | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2076599 | PA      | $1989344.82   | 0.14%             | 2038-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                | WARNERMEDIA HOLDINGS INC COMPANY GUAR 144A 03/25 3.788 | CUSIP: 55903VAU7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3154711.07   | 0.23%             | 2025-03-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                       | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 2A2        | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16843 | PA      | $16112.91     | 0.00%             | 2034-04-21      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| MCCORMICK & COMPANY INCORPORATED                                              | MCCORMICK + COMPANY                                    | CUSIP: 57978DNT2<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |  13900000 | PA      | $13849263.47  | 1.00%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                       | MERCEDES BENZ FIN NA COMPANY GUAR 144A 11/24 5.5       | CUSIP: 58769JAA5<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3220483.26   | 0.23%             | 2024-11-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                       | MERCEDES BENZ FIN NORTH                                | CUSIP: 58768KNW1<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |  10700000 | PA      | $10656602.62  | 0.77%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A9                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A9 2A1C       | CUSIP: 59020UZ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206408 | PA      | $194287.25    | 0.01%             | 2035-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| MF1 2020-FL4 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A     | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1448252 | PA      | $1429755.79   | 0.10%             | 2035-11-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL5 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL5 A 144A     | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1976709 | PA      | $1929415.73   | 0.14%             | 2036-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A1 144A                      | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533886 | PA      | $481285.97    | 0.03%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| MFA 2021-RPL1 TRUST                                                           | MFRA TRUST MFRA 2021 RPL1 A1 144A                      | CUSIP: 55283QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2827095 | PA      | $2489884.44   | 0.18%             | 2060-07-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                     | MGM RESORTS INTL COMPANY GUAR 03/23 6                  | CUSIP: 552953CC3<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599087.94    | 0.04%             | 2023-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INCORPORATED                                             | MICROCHIP TECHNOLOGY INC SR UNSECURED 06/23 4.333      | CUSIP: 595017AP9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4979485.40   | 0.36%             | 2023-06-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                         | MICRON TECHNOLOGY INC SR UNSECURED 02/27 4.185         | CUSIP: 595112BP7<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2181010.83   | 0.16%             | 2027-02-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO II 2013-2A                                                | MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A              | CUSIP: 59863KAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3206884 | PA      | $3169860.15   | 0.23%             | 2030-01-29      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/24 VAR          | CUSIP: 606822BV5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  14000000 | PA      | $13515539.80  | 0.98%             | 2024-09-15      | Floating      | 0.85%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 05/24 VAR          | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  10800000 | PA      | $10742099.58  | 0.78%             | 2024-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 07/24 VAR          | CUSIP: 60687YBG3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1496699.81   | 0.11%             | 2024-07-10      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MKS CLO LTD 2017-1A                                                           | MKS CLO LTD MKS 2017 1A AR 144A                        | CUSIP: 55317AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4585583 | PA      | $4505333.11   | 0.33%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-A                                            | MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1             | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125847 | PA      | $114461.73    | 0.01%             | 2029-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC 2022-B                                             | MMAF EQUIPMENT FINANCE LLC MMAF 2022 B A1 144A         | CUSIP: 606940AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3073231 | PA      | $3073318.81   | 0.22%             | 2023-12-01      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 04/24 VAR                  | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5821000 | PA      | $5790270.77   | 0.42%             | 2024-04-24      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 05/27 VAR                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $439197.56    | 0.03%             | 2027-05-04      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 07/26 VAR                  | CUSIP: 61747YET8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4919119.60   | 0.36%             | 2026-07-17      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-6AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 6AR 1M6        | CUSIP: 61748HNB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    755000 | PA      | $745322.41    | 0.05%             | 2035-11-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2021-6                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2021 6 A6 144A     | CUSIP: 61772QAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    871258 | PA      | $796462.31    | 0.06%             | 2051-09-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LLC 2017-1A                                                 | MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A                 | CUSIP: 62432HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    280255 | PA      | $277267.99    | 0.02%             | 2029-10-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| NASSAU LTD 2017-IA                                                            | NASSAU LTD NCC 2017 IA A1AS 144A                       | CUSIP: 631707AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1630167 | PA      | $1609479.05   | 0.12%             | 2029-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 03/24 VAR    | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   9075000 | PA      | $9025900.89   | 0.65%             | 2024-03-08      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 08/24 VAR    | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1163000 | PA      | $1148054.66   | 0.08%             | 2024-08-01      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 06/24 VAR               | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2600000 | PA      | $2576331.97   | 0.19%             | 2024-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORPORATION                                                           | NAVIENT CORP SR UNSECURED 01/23 5.5                    | CUSIP: 78442FEQ7<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5499560.00   | 0.40%             | 2023-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A                              | NAVIENT STUDENT LOAN TRUST NAVSL 2020 A A2A 144A       | CUSIP: 63941FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    916560 | PA      | $837763.10    | 0.06%             | 2068-11-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-EA                             | NAVIENT STUDENT LOAN TRUST NAVSL 2020 EA A 144A        | CUSIP: 63941TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2673690 | PA      | $2407438.49   | 0.17%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA                             | NAVIENT STUDENT LOAN TRUST NAVSL 2020 GA A 144A        | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1963350 | PA      | $1742357.92   | 0.13%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA                             | NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A        | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    821563 | PA      | $737940.21    | 0.05%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-A                              | NAVIENT STUDENT LOAN TRUST NAVSL 2021 A A 144A         | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1385667 | PA      | $1199266.10   | 0.09%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2022-A                              | NAVIENT STUDENT LOAN TRUST NAVSL 2022 A A 144A         | CUSIP: 63942MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5240640 | PA      | $4554423.88   | 0.33%             | 2070-07-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-AA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2015 AA A2B 144A      | CUSIP: 63939EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72550 | PA      | $72571.50     | 0.01%             | 2028-12-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A       | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2417854 | PA      | $2384614.37   | 0.17%             | 2040-07-16      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1B 144A      | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2077431 | PA      | $2022390.10   | 0.15%             | 2069-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-3                                        | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 3 M1         | CUSIP: 64352VHV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374183 | PA      | $354778.05    | 0.03%             | 2034-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/24 1.65       | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   5000000 | PA      | $4615363.45   | 0.33%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                                   | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A     | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117034 | PA      | $109972.10    | 0.01%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A   | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178167 | PA      | $1115690.88   | 0.08%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A   | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2028674 | PA      | $1894417.50   | 0.14%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                                   | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A    | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468446 | PA      | $433516.47    | 0.03%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 NQM1 A1 144A   | CUSIP: 64830VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5785322 | PA      | $5181586.77   | 0.38%             | 2060-01-26      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A   | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2334966 | PA      | $2139166.95   | 0.16%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R A1 144A   | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1685239 | PA      | $1464969.26   | 0.11%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                               | AES CORP/THE SR UNSECURED 01/26 1.375                  | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $3822971.63   | 0.28%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                           | NEXTERA ENERGY CAPITAL COMPANY GUAR 03/24 2.94         | CUSIP: 65339KCD0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3896178.96   | 0.28%             | 2024-03-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/24 1.05   | CUSIP: 654740BQ1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1124534.57   | 0.08%             | 2024-03-08      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/23 3.875  | CUSIP: 654740BL2<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3927139.56   | 0.28%             | 2023-09-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/23 3.043          | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   8396000 | PA      | $8228489.89   | 0.60%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 01/25 2.648           | CUSIP: 65535HAP4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   2000000 | PA      | $1889889.56   | 0.14%             | 2025-01-16      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 01/27 2.329           | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   8800000 | PA      | $7715834.63   | 0.56%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 07/25 1.851           | CUSIP: 65535HAR0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   5960000 | PA      | $5437770.08   | 0.39%             | 2025-07-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                               | NORDEA BANK ABP SR UNSECURED 144A 06/25 3.6            | CUSIP: 65558RAA7<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   2000000 | PA      | $1931818.16   | 0.14%             | 2025-06-06      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-4                                              | NOVASTAR HOME EQUITY LOAN NHEL 2005 4 M1               | CUSIP: 66987WDE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366920 | PA      | $360154.43    | 0.03%             | 2036-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                         | AIR LEASE CORP SR UNSECURED 01/23 2.75                 | CUSIP: 00912XAX2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1298487.88   | 0.09%             | 2023-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                             | AIRCASTLE LTD SR UNSECURED 04/23 5                     | CUSIP: 00928QAP6<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    200000 | PA      | $199696.45    | 0.01%             | 2023-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                       | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A     | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5456490.60   | 0.40%             | 2038-11-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                             | AIRCASTLE LTD SR UNSECURED 09/23 4.4                   | CUSIP: 00928QAR2<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   3874000 | PA      | $3836532.07   | 0.28%             | 2023-09-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2019-1A                                                           | OAKTREE CLO LTD OAKCL 2019 1A A1R 144A                 | CUSIP: 67401XAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1564695.68   | 0.11%             | 2030-04-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ONE 2021-PARK MORTGAGE TRUST                                                  | ONE PARK MORTGAGE TRUST ONP 2021 PARK A 144A           | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3914000 | PA      | $3732759.49   | 0.27%             | 2036-03-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                            | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A    | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3497615.92   | 0.25%             | 2036-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-NQM4                                      | ONSLOW BAY FINANCIAL LLC OBX 2021 NQM4 A1 144A         | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250699 | PA      | $200622.48    | 0.01%             | 2061-10-25      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/24 3.75         | CUSIP: 694308HG5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195955.26    | 0.01%             | 2024-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95         | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91762.90     | 0.01%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/23 3.25         | CUSIP: 694308HC4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1483589.07   | 0.11%             | 2023-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/25 4.95         | CUSIP: 694308KE6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3449246.92   | 0.25%             | 2025-06-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/23 4.25         | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1492624.61   | 0.11%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/24 3.4          | CUSIP: 694308HK6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192042.15    | 0.01%             | 2024-08-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1          | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    800000 | PA      | $684437.08    | 0.05%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/23 1.7          | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $3969452.52   | 0.29%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/23 3.85         | CUSIP: 694308HE0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98605.22     | 0.01%             | 2023-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GLOBAL FUNDING II                                                | PACIFIC LIFE GF II SECURED 144A 06/26 VAR              | CUSIP: 6944PL2G3<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |   1496000 | PA      | $1436718.16   | 0.10%             | 2026-06-04      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE PTY LTD                                              | PACIFIC NATIONAL FINANCE COMPANY GUAR 144A 04/23 6     | CUSIP: 04363UAD8<br>LEI: 213800SSTRDXLWWVF948 | Long             | DBT              | CORP              | AU        |   1000000 | PA      | $999593.69    | 0.07%             | 2023-04-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2020-1 LTD                                         | PALMER SQUARE LOAN FUNDING LTD PSTAT 2020 1A A1 144A   | CUSIP: 69701EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    684444 | PA      | $679894.00    | 0.05%             | 2028-02-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-4                                             | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 4A A1 144A   | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    168626 | PA      | $166174.72    | 0.01%             | 2029-10-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                 | PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 07/24 3.45  | CUSIP: 709599BF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $966228.20    | 0.07%             | 2024-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| PETRONAS ENERGY CANADA LTD                                                    | PETRONAS ENERGY CANADA COMPANY GUAR 144A 03/28 2.112   | CUSIP: 71675BAA8<br>LEI: 5493001PEB90YGTDC638 | Long             | DBT              | CORP              | CA        |   4000000 | PA      | $3503159.08   | 0.25%             | 2028-03-23      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| PFP 2022-9 LTD A                                                              | PFP III PFP 2022 9 A 144A                              | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   6000000 | PA      | $5893948.20   | 0.43%             | 2035-08-19      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| PFP III LTD 2021-8                                                            | PFP III PFP 2021 8 A 144A                              | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1585605 | PA      | $1517725.52   | 0.11%             | 2037-08-09      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                            | ALLY FINANCIAL INC SR UNSECURED 10/23 1.45             | CUSIP: 02005NBL3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3200021.35   | 0.23%             | 2023-10-02      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| PIPER SANDLER COMPANIES                                                       | PIPER SANDLER COS SR UNSECURED 144A 10/23 5.2          | CUSIP: 724078AE0<br>LEI: QUQDBTUSOAKFEVMRMF78 | Long             | DBT              | CORP              | US        |    600000 | PA      | $594720.00    | 0.04%             | 2023-10-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PRET 2021-NPL6 LLC                                                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL6 A1 144A  | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3276381 | PA      | $3042479.04   | 0.22%             | 2051-07-25      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN1 A1 144A   | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1769927 | PA      | $1604114.58   | 0.12%             | 2061-02-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| QATAR NATIONAL BANK (QPSC)                                                    | QATAR NATIONAL BANK QPSC UNSECURED TERM LOAN           | CUSIP: 948AFGII4<br>LEI: 549300FFSRVBS0SQXY75 | Long             | LON              | CORP              | QA        |   6400000 | PA      | $6376000.00   | 0.46%             | 2023-11-06      | Floating      | 5.56%                 | No            |                  3 | On Loan: No      |
| QNB FINANCE LTD                                                               | QNB FINANCE LTD COMPANY GUAR 03/24 VAR                 | CUSIP: ACI23SGL3<br>LEI: 549300MY0DXTHQEX5O57 | Long             | DBT              | CORP              | KY        |   2600000 | PA      | $2615678.00   | 0.19%             | 2024-03-21      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                           | QUANTA SERVICES INC                                    | CUSIP: 74767HNK2<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   3850000 | PA      | $3839414.66   | 0.28%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-RP4                                                          | RAAC SERIES RAAC 2006 RP4 M1 144A                      | CUSIP: 74919TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468307 | PA      | $456470.51    | 0.03%             | 2046-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2003-2                                          | RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A           | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    759244 | PA      | $701808.19    | 0.05%             | 2033-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| RENESAS ELECTRONICS CORPORATION                                               | RENESAS ELECTRONICS CORP SR UNSECURED 144A 11/24 1.543 | CUSIP: 75972BAA9<br>LEI: 5299000EPC47VJQOFB81 | Long             | DBT              | CORP              | JP        |   3172000 | PA      | $2910316.53   | 0.21%             | 2024-11-26      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| RENESAS ELECTRONICS CORPORATION                                               | RENESAS ELECTRONICS CORP SR UNSECURED REGS 11/24 1.543 | CUSIP: J4881VAA5<br>LEI: 5299000EPC47VJQOFB81 | Long             | DBT              | CORP              | JP        |   6528000 | PA      | $5989453.45   | 0.43%             | 2024-11-26      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2013-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 13 1 A PASS T AMER AIRLN 13 1 A PASS T      | CUSIP: 023772AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    436485 | PA      | $379157.43    | 0.03%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX1                                        | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX1 M2       | CUSIP: 76110WQ66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252529 | PA      | $244606.11    | 0.02%             | 2035-03-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES C 2005-KS5                                       | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS5 M6        | CUSIP: 76110WX27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504781 | PA      | $500547.72    | 0.04%             | 2035-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RESIMAC BASTILLE TRUST SERIES 2021-2NCA                                       | RESIMAC RESI 2021 2NCA A1A 144A                        | CUSIP: 76120BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   2999618 | PA      | $2967268.39   | 0.22%             | 2053-02-03      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                         | REYNOLDS AMERICAN INC COMPANY GUAR 06/25 4.45          | CUSIP: 761713BG0<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $979187.31    | 0.07%             | 2025-06-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/25 5.625               | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   2800000 | PA      | $2680697.82   | 0.19%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY INC                                           | AMERICAN ELEC PWR INC                                  | CUSIP: 0255E3NK0<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |  11800000 | PA      | $11769556.00  | 0.85%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 01/24 VAR        | CUSIP: 80281LAH8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1250000 | PA      | $1250000.00   | 0.09%             | 2024-01-05      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 03/25 VAR        | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   7000000 | PA      | $6543355.77   | 0.47%             | 2025-03-15      | Floating      | 1.09%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 11/24 VAR        | CUSIP: 80281LAJ4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $1967062.14   | 0.14%             | 2024-11-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                                       | SARANAC CLO LTD SRANC 2018 6A A1R 144A                 | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   5200000 | PA      | $5038985.95   | 0.37%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-1                                           | SAXON ASSET SECURITIES TRUST SAST 2005 1 M2            | CUSIP: 805564RN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154485 | PA      | $144180.30    | 0.01%             | 2035-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                               | SBA TOWER TRUST ASSET BACKED 144A 01/50 2.836          | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4715937.50   | 0.34%             | 2050-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                               | SBA TOWER TRUST SBAC 2014 2A C 144A                    | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $956329.10    | 0.07%             | 2049-10-15      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| SCENTRE MANAGEMENT LTD (SCENTRE GROUP TRUST 1/SCENTRE GROUP TRUST 2)          | SCENTRE GROUP TRUST 1/2 COMPANY GUAR REGS 02/25 3.5    | CUSIP: Q8351LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   3859000 | PA      | $3696308.26   | 0.27%             | 2025-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                             | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2        | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110493 | PA      | $101368.68    | 0.01%             | 2035-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-2                                                 | SEQUOIA MORTGAGE TRUST SEMT 2003 2 A1                  | CUSIP: 81743PAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1189 | PA      | $1140.94      | 0.00%             | 2033-06-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                                 | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                 | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    698888 | PA      | $598236.64    | 0.04%             | 2036-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SES SA                                                                        | SES SA COMPANY GUAR 144A 04/23 3.6                     | CUSIP: 78413HAA7<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |   1000000 | PA      | $993468.61    | 0.07%             | 2023-04-04      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                                                  | SK HYNIX INC SR UNSECURED 144A 01/24 1                 | CUSIP: 78392BAA5<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |  10466000 | PA      | $9947116.97   | 0.72%             | 2024-01-19      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                                                  | SK HYNIX INC SR UNSECURED REGS 01/24 1                 | CUSIP: Y8085FAZ3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   2200000 | PA      | $2090928.47   | 0.15%             | 2024-01-19      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                                                  | SK HYNIX INC SR UNSECURED REGS 09/24 3                 | CUSIP: ACI1FH215<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   2500000 | PA      | $2359947.38   | 0.17%             | 2024-09-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-2                                                 | SLM STUDENT LOAN TRUST SLMA 2008 2 A3                  | CUSIP: 784442AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331519 | PA      | $320905.44    | 0.02%             | 2023-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-5                                                 | SLM STUDENT LOAN TRUST SLMA 2008 5 A4                  | CUSIP: 78444YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151134 | PA      | $149674.71    | 0.01%             | 2023-07-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-9                                                 | SLM STUDENT LOAN TRUST SLMA 2008 9 A                   | CUSIP: 78445JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176698 | PA      | $175110.09    | 0.01%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-A                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 A A2A 144A     | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1937783 | PA      | $1769542.81   | 0.13%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                     | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A   | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170240 | PA      | $1040516.06   | 0.08%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                     | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2B 144A   | CUSIP: 78449VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2600534 | PA      | $2499347.36   | 0.18%             | 2054-09-15      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                     | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB A2B 144A   | CUSIP: 78449DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2061418 | PA      | $1996444.80   | 0.14%             | 2054-09-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-D                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1B 144A     | CUSIP: 78449MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    542304 | PA      | $523117.31    | 0.04%             | 2053-03-17      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-C                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1A 144A     | CUSIP: 78449CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3292549 | PA      | $3152956.80   | 0.23%             | 2050-05-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY                     | SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 04/24 3.55  | CUSIP: 78448TAE2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |   1500000 | PA      | $1450777.82   | 0.11%             | 2024-04-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY                     | SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 07/23 4.125 | CUSIP: 78448TAD4<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |   2734000 | PA      | $2705735.36   | 0.20%             | 2023-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY                     | SMBC AVIATION CAPITAL FI COMPANY GUAR REGS 07/23 4.125 | CUSIP: G82296AC1<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    940000 | PA      | $930282.09    | 0.07%             | 2023-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 01/25 2.625         | CUSIP: 83368RAV4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   6824000 | PA      | $6420735.45   | 0.47%             | 2025-01-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 03/24 3.875         | CUSIP: 83368RAT9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $293164.00    | 0.02%             | 2024-03-28      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 12/26 VAR           | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   5200000 | PA      | $4524936.10   | 0.33%             | 2026-12-14      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM 2016-F LLC                                     | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 F A2 144A     | CUSIP: 78471AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66793 | PA      | $63733.25     | 0.00%             | 2040-02-25      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C                                     | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 C AFX 144A    | CUSIP: 83390UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    705325 | PA      | $632348.09    | 0.05%             | 2046-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XV LTD 2017-1A                                                | SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A             | CUSIP: 83609RAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3733607 | PA      | $3687245.84   | 0.27%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVI LTD 2017-2A                                               | SOUND POINT CLO LTD SNDPT 2017 2A AR 144A              | CUSIP: 83610KAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2400000 | PA      | $2364000.00   | 0.17%             | 2030-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT1 M2       | CUSIP: 83611MDH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327791 | PA      | $318644.20    | 0.02%             | 2035-06-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 01/24 0.6             | CUSIP: 03027XBH2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    110000 | PA      | $104895.55    | 0.01%             | 2024-01-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                               | SOUTHERN CALIF GAS CO 1ST MORTGAGE 02/30 2.55          | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1535810.18   | 0.11%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                    | SPRINT LLC COMPANY GUAR 09/23 7.875                    | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    900000 | PA      | $914567.40    | 0.07%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 03/26 VAR     | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2300000 | PA      | $2198757.17   | 0.16%             | 2026-03-30      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 03/26 VAR     | CUSIP: 853254CK4<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4920426.90   | 0.36%             | 2026-03-30      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 09/25 1.3             | CUSIP: 03027XBB5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $994017.20    | 0.07%             | 2025-09-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 11/25 VAR     | CUSIP: 853254CE8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2742095.19   | 0.20%             | 2025-11-23      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3                                    | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A      | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430760 | PA      | $396238.07    | 0.03%             | 2065-04-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                     | STELLANTIS FIN US INC COMPANY GUAR 144A 01/27 1.711    | CUSIP: 85855CAA8<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2578309.38   | 0.19%             | 2027-01-29      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| STELLANTIS NV                                                                 | STELLANTIS NV SR UNSECURED 04/23 5.25                  | CUSIP: 31562QAF4<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |  10000000 | PA      | $10009000.00  | 0.73%             | 2023-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                       | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1        | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6643 | PA      | $6324.06      | 0.00%             | 2032-09-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                                      | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4          | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495789 | PA      | $466641.77    | 0.03%             | 2034-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 A1          | CUSIP: 86358ELK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631924 | PA      | $1504475.67   | 0.11%             | 2034-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2       | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3894 | PA      | $3548.87      | 0.00%             | 2034-07-19      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-EQ1A                                           | STRUCTURED ASSET SECURITIES CO SASC 2006 EQ1A A1 144A  | CUSIP: 86360RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322749 | PA      | $318213.14    | 0.02%             | 2036-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                         | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS A 144A    | CUSIP: 78486DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3002186.94   | 0.22%             | 2034-04-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 16 LTD 2015-16A                                                      | AMERICAN MONEY MANAGEMENT CORP AMMC 2015 16A AR2 144A  | CUSIP: 00176JAT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    342326 | PA      | $340270.55    | 0.02%             | 2029-04-14      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED                                    | SYDNEY AIRPORT FINANCE SR SECURED 144A 03/23 3.9       | CUSIP: 87124VAD1<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |   2500000 | PA      | $2493323.10   | 0.18%             | 2023-03-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK)                                  | SYNCHRONY BANK SR UNSECURED 08/25 5.4                  | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   7200000 | PA      | $7073577.86   | 0.51%             | 2025-08-22      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SYSTEM ENERGY RESOURCES INC                                                   | SYSTEM ENERGY RESOURCES 1ST MORTGAGE 12/25 2.14        | CUSIP: 871911AT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4800000 | PA      | $4394926.99   | 0.32%             | 2025-12-09      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORPORATION                                                         | TD SYNNEX CORP SR UNSECURED 08/24 1.25                 | CUSIP: 87162WAD2<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3717347.84   | 0.27%             | 2024-08-09      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| THOMSON REUTERS CORPORATION                                                   | THOMSON REUTERS CORP                                   | CUSIP: 88513BNR7<br>LEI: 549300561UZND4C7B569 | Long             | DBT              | CORP              | CA        |  13900000 | PA      | $13854995.69  | 1.00%             | 2023-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SEC TRUST 2005-1                                           | THORNBURG MORTGAGE SECURITIES TMST 2005 1 A3           | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44955 | PA      | $42025.16     | 0.00%             | 2045-04-25      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| TOWD POINT ASSET TRUST 2021-SL1                                               | TOWD POINT ASSET TRUST TPAT 2021 SL1 A2 144A           | CUSIP: 89179XAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1677871 | PA      | $1653668.18   | 0.12%             | 2061-11-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-5                                              | TOWD POINT MORTGAGE TRUST TPMT 2017 5 A1 144A          | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101142 | PA      | $100143.24    | 0.01%             | 2057-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-3                                              | TOWD POINT MORTGAGE TRUST TPMT 2018 3 A1 144A          | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2518146 | PA      | $2385030.34   | 0.17%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                            | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A        | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1032252 | PA      | $1023593.79   | 0.07%             | 2058-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                            | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A       | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    678687 | PA      | $672137.29    | 0.05%             | 2059-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-MH1                                            | TOWD POINT MORTGAGE TRUST TPMT 2019 MH1 A1 144A        | CUSIP: 89177WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213986 | PA      | $209906.84    | 0.02%             | 2058-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A          | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015743 | PA      | $935721.33    | 0.07%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A         | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3114026 | PA      | $2742297.26   | 0.20%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-1                                              | TOWD POINT MORTGAGE TRUST TPMT 2021 1 A1 144A          | CUSIP: 89179YAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900754 | PA      | $808170.41    | 0.06%             | 2061-11-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-SJ2                                            | TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A       | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3893670 | PA      | $3579492.44   | 0.26%             | 2061-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2022-D OWNER TRUST                                    | TOYOTA AUTO RECEIVABLES OWNER TAOT 2022 D A2A          | CUSIP: 89239HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5009643.00   | 0.36%             | 2026-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD 2015-6A                                             | ANCHORAGE CAPITAL CLO LTD ANCHC 2015 6A ARR 144A       | CUSIP: 03328QAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2799831 | PA      | $2761841.27   | 0.20%             | 2030-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020-4                                               | ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A           | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665472 | PA      | $596954.32    | 0.04%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 05/26 VAR               | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  12000000 | PA      | $11739157.32  | 0.85%             | 2026-05-12      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 03/23 0.00000                            | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    546000 | PA      | $542275.60    | 0.04%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 09/25 3.5                              | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  62700000 | PA      | $61455796.88  | 4.45%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                                            | VENTURE CDO LTD VENTR 2019 36A A1AR 144A               | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1072467.61   | 0.08%             | 2032-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| VENTURE CDO LTD 2016-25A                                                      | VENTURE CDO LTD VENTR 2016 25A ARR 144A                | CUSIP: 92329VAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1663201 | PA      | $1646799.71   | 0.12%             | 2029-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVI CLO LTD 2017-26A                                                 | VENTURE CDO LTD VENTR 2017 26A AR 144A                 | CUSIP: 92331MAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1159650 | PA      | $1146197.50   | 0.08%             | 2029-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                                | VENTURE CDO LTD VENTR 2017 27A AR 144A                 | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8693884 | PA      | $8494010.49   | 0.62%             | 2030-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                    | VERIZON COMMUNICATIONS SR UNSECURED 05/25 VAR          | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   6613000 | PA      | $6668929.32   | 0.48%             | 2025-05-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO IV LTD 2016-4A                                                    | VIBRANT CLO LTD VIBR 2016 4A A1RR 144A                 | CUSIP: 92557WAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $295123.56    | 0.02%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                            | VICI PROPERTIES LP SR UNSECURED 05/25 4.375            | CUSIP: 925650AA1<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1653467.52   | 0.12%             | 2025-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2019-CRE3                                                         | AREIT CRE TRUST AREIT 2019 CRE3 A 144A                 | CUSIP: 00217LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23476 | PA      | $23084.68     | 0.00%             | 2036-09-14      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| VMC FINANCE 2019-FL3 LLC                                                      | VMC FINANCE LLC VMC 2019 FL3 A 144A                    | CUSIP: 91834PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140070 | PA      | $135191.81    | 0.01%             | 2036-09-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| VMC FINANCE 2021-FL4 LLC                                                      | VMC FINANCE LLC VMC 2021 FL4 A 144A                    | CUSIP: 91835RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2228820 | PA      | $2091859.22   | 0.15%             | 2036-06-16      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                       | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 06/25 3.95  | CUSIP: 928668BR2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   9900000 | PA      | $9589466.30   | 0.69%             | 2025-06-06      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                                         | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                 | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7200000 | PA      | $7147418.40   | 0.52%             | 2039-06-17      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2017-1A                                                          | VOYA CLO LTD VOYA 2017 1A A1R 144A                     | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4725950 | PA      | $4667439.33   | 0.34%             | 2030-04-17      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                                 | VW CR INC                                              | CUSIP: 91842KNT9<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $4184669.54   | 0.30%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)                   | WESTINGHOUSE AIR BRAKE COMPANY GUAR 03/24 4.4          | CUSIP: 960386AN0<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6397301.76   | 0.46%             | 2024-03-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 2A2       | CUSIP: 93364FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403640 | PA      | $337727.64    | 0.02%             | 2037-07-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7        | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1242 | PA      | $1155.63      | 0.00%             | 2033-06-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR8                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A2        | CUSIP: 92922FUN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411457 | PA      | $370409.48    | 0.03%             | 2044-06-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1B2     | CUSIP: 92922F4R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70847 | PA      | $65344.94     | 0.00%             | 2045-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A      | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7579 | PA      | $7274.15      | 0.00%             | 2045-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ARES XXXIX CLO LTD 2016-39A                                                   | ARES CLO LTD ARES 2016 39A A1R2 144A                   | CUSIP: 04015WBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4400000 | PA      | $4323000.00   | 0.31%             | 2031-04-18      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A      | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22755 | PA      | $21014.33     | 0.00%             | 2046-06-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 07/28 VAR           | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3913374.40   | 0.28%             | 2028-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2013 LC12 A4       | CUSIP: 94988QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990530.50    | 0.07%             | 2046-07-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY ABS SER 2004-1                                        | WELLS FARGO HOME EQUITY TRUST WFHET 2004 1 1A          | CUSIP: 86359BMW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1059276 | PA      | $1006414.21   | 0.07%             | 2034-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                                      | WOODSIDE FINANCE LTD COMPANY GUAR 144A 03/25 3.65      | CUSIP: 980236AM5<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   1600000 | PA      | $1537195.12   | 0.11%             | 2025-03-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                                      | WOODSIDE FINANCE LTD COMPANY GUAR 144A 09/26 3.7       | CUSIP: 980236AN3<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   1150000 | PA      | $1076912.04   | 0.08%             | 2026-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                                      | WOODSIDE FINANCE LTD COMPANY GUAR REGS 03/25 3.65      | CUSIP: Q98229AH2<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   5000000 | PA      | $4803734.75   | 0.35%             | 2025-03-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LIMITED                                                      | WOODSIDE FINANCE LTD COMPANY GUAR REGS 09/26 3.7       | CUSIP: Q98236AC8<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   3500000 | PA      | $3277558.38   | 0.24%             | 2026-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2022-D                                      | WORLD OMNI AUTO RECEIVABLES TR WOART 2022 D A2A        | CUSIP: 98163VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4350000 | PA      | $4360840.20   | 0.32%             | 2026-03-16      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | FIXED INC CLEARING CORP.REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   2088081 | PA      | $2088081.17   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | PARIBAS REPO                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   3400000 | PA      | $3400000.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG37 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1186921.41  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG39 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-2226553.56  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20230110                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $144536.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE3                                        | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1       | CUSIP: 04541GJT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69997 | PA      | $64956.94     | 0.00%             | 2034-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                      | AT+T INC                                               | CUSIP: 0020A3N30<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  18000000 | PA      | $17990922.06  | 1.30%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                      | AT+T INC SR UNSECURED 02/23 VAR                        | CUSIP: 00206RFY3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1100288.51   | 0.08%             | 2023-02-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20230110                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-674862.26   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ATSTC 2022-1A                                                                 | ATLAS STATIC SENIOR LOAN FUND ATSTC 2022 1A A 144A     | CUSIP: 04942PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4700000 | PA      | $4685712.94   | 0.34%             | 2030-07-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230110                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-125506.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSGRID FINANCE PTY LTD                                                       | AUSGRID FINANCE PTY LTD SR SECURED 144A 05/23 3.85     | CUSIP: 052113AA5<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |   1100000 | PA      | $1094539.84   | 0.08%             | 2023-05-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20230110                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $166452.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)                                 | PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 03/23 4.5    | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   3580000 | PA      | $3571430.55   | 0.26%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/23 5.5   | CUSIP: 05401AAA9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1100000 | PA      | $1097188.93   | 0.08%             | 2023-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/23 5.125 | CUSIP: 05401AAB7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $395629.90    | 0.03%             | 2023-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  JUN23 XCME 20230919                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      2221 | NC      | $-222762.78   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  JUN24 XCME 20240917                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -790 | NC      | $571755.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-09

**Name of Applicant:** PIMCO ETF Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer