# EDGAR Filing Document

**Accession Number:** 0000897111
**File Stem:** 0001193125-26-081024
**Filing Date:** 2026-2
**Character Count:** 121829
**Document Hash:** 9f730cecdbf03f0c754a3bb2afc01fc5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-081024.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001193125-26-081024

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** CARILLON SERIES TRUST
- **CENTRAL INDEX KEY:** 0000897111

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07470
- **FILM NUMBER:** 26695328

**BUSINESS ADDRESS:**
- **STREET 1:** 880 CARILLON PARKWAY
- **CITY:** ST PETERSBURG
- **STATE:** FL
- **ZIP:** 33716
- **BUSINESS PHONE:** 727-567-8143

**MAIL ADDRESS:**
- **STREET 1:** 880 CARILLON PARKWAY
- **CITY:** ST. PETERSBURG
- **STATE:** FL
- **ZIP:** 33716

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** EAGLE SERIES TRUST
- **DATE OF NAME CHANGE:** 20081110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HERITAGE SERIES TRUST
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### Carillon Reams Core Plus Bond Fund (Series ID: S000058960)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000193364 | Class A      | SCPDX           |
| C000193365 | Class C      | SCPEX           |
| C000193366 | Class I      | SCPZX           |
| C000193369 | Class R-6    | SCPWX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Carillon Series Trust

- **b. Investment Company Act file number:** 811-07470

- **c. CIK number of Registrant:** 0000897111

- **d. LEI of Registrant:** 549300RNYMX90LFTNW23

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

  - **Street Address 1:** 880 Carillon Parkway

  - **City:** St. Petersburg

  - **State:** FL

  - **Foreign country:** US

  - **Zip / Postal Code:** 33716

  - **Telephone number:** 7275671000

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

- **a. Name of Series:** Carillon Reams Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000058960

- **c. LEI of Series:** 549300N9BW5L4SFJTG17

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**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:** $2751266767.46

**Total Liabilities:** $710182462.72

**Net Assets:** $2041084304.74

**Delayed Delivery Securities:** $707854237.97

**Cash Not Reported:** $44607396.90

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3822.920000000000 | **1-Year:** 53501.500000000000 | **5-Year:** 227007.740000000000 | **10-Year:** 450512.620000000000 | **30-Year:** 616577.340000000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 2.070000000000 | **5-Year:** 12188.510000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000193364 | 0.71%                | 0.67%                | -0.48%               |
| Class ID C000193365 | 0.69%                | 0.61%                | -0.58%               |
| Class ID C000193366 | 0.77%                | 0.69%                | -0.46%               |
| Class ID C000193369 | 0.78%                | 0.70%                | -0.48%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $9419933.73              | $-1432339.08                               |
| Month 2  | $-825417.32              | $8103376.46                                |
| Month 3  | $-4622656.64             | $-15216731.99                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Agg Total Return Value Unhedged USD

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  53645000 | PA      | $50848898.14  | 2.49%             | 2056-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |  49880000 | PA      | $48651002.69  | 2.38%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |  59455000 | PA      | $59234366.06  | 2.90%             | 2056-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 142990000 | PA      | $144855317.42 | 7.10%             | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                 | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38230000 | PA      | $39251791.18  | 1.92%             | 2056-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Discover Card Execution Note T | Discover Card Execution Note Trust                        | CUSIP: 254683CZ6<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-O            | CORP              | US        |   5115000 | PA      | $5140851.72   | 0.25%             | 2028-06-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC            | Dominion Energy Inc                                       | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   4750000 | PA      | $4582978.46   | 0.22%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC       | Duke Energy Progress LLC                                  | CUSIP: 26442UAQ7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   8245000 | PA      | $8573997.43   | 0.42%             | 2033-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC          | Entergy Louisiana LLC                                     | CUSIP: 29364WBM9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   5595000 | PA      | $5814709.27   | 0.28%             | 2034-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC           | Entergy Arkansas LLC                                      | CUSIP: 29366MAC2<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   5820000 | PA      | $3945721.50   | 0.19%             | 2052-06-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC           | Entergy Arkansas LLC                                      | CUSIP: 29366MAE8<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   6130000 | PA      | $6384054.17   | 0.31%             | 2033-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC           | Entergy Arkansas LLC                                      | CUSIP: 29366MAF5<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   5355000 | PA      | $5594372.14   | 0.27%             | 2034-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                         | CUSIP: 3136BX4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7212520 | PA      | $7230652.79   | 0.35%             | 2055-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust | FirstKey Homes 2021-SFR1 Trust                            | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9432664 | PA      | $9274781.34   | 0.45%             | 2038-08-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-11                          | CUSIP: 03466FAC1<br>LEI: 254900U7QMG1IM2AZ079 | Long             | ABS-MBS          | CORP              | US        |   1545927 | PA      | $1548053.72   | 0.08%             | 2070-10-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-12                          | CUSIP: 03466KAC0<br>LEI: 254900ZULW8CAJ29C630 | Long             | ABS-MBS          | CORP              | US        |   2032899 | PA      | $2037861.35   | 0.10%             | 2070-12-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-13                          | CUSIP: 034952AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2765000 | PA      | $2768452.93   | 0.14%             | 2070-10-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO           | Appalachian Power Co                                      | CUSIP: 037735CZ8<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   7965000 | PA      | $7287699.25   | 0.36%             | 2031-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2025-C39                             | CUSIP: 05556YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245000 | PA      | $1285389.89   | 0.06%             | 2058-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2025-2 | CUSIP: 362549AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2181295 | PA      | $2185779.49   | 0.11%             | 2028-02-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-PJ2              | CUSIP: 36264DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2440838 | PA      | $2042866.71   | 0.10%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-PJ6              | CUSIP: 36267JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2683882 | PA      | $2348576.81   | 0.12%             | 2053-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-LTV2             | CUSIP: 36268SCA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5941817 | PA      | $5646156.60   | 0.28%             | 2052-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-PJ5              | CUSIP: 362925AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2384238 | PA      | $2000025.03   | 0.10%             | 2052-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2025-1 | CUSIP: 362955AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6455528 | PA      | $6455890.57   | 0.32%             | 2028-01-18      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                           | CUSIP: 37045XEB8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  16680000 | PA      | $17234120.11  | 0.84%             | 2028-01-09      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | Gm Financial Consumer Automobile Receivables Trust 2025-3 | CUSIP: 379957AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12095000 | PA      | $12125506.01  | 0.59%             | 2028-06-16      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2024-3 | CUSIP: 38013KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221608 | PA      | $221757.17    | 0.01%             | 2027-06-16      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term  | GM Financial Consumer Automobile Receivables Trust 2024-3 | CUSIP: 38013KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221608 | PA      | $221624.38    | 0.01%             | 2027-06-16      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                               | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  14460000 | PA      | $15007690.58  | 0.74%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| GS FINANCE CORP                | GS Finance Corp                                           | CUSIP: 40058QFQ7<br>LEI: 549300FR80KBVO6DRL61 | Long             | SN               | CORP              | US        |   1173000 | PA      | $1483845.00   | 0.07%             | 2026-01-06      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LP                            | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15255000 | PA      | $14965884.19  | 0.73%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MCT4<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  11545000 | PA      | $11678356.30  | 0.57%             | 2029-09-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC 2025-2                    | CUSIP: 42806MCX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7910000 | PA      | $8034415.60   | 0.39%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MDB2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  13205000 | PA      | $13368885.93  | 0.65%             | 2029-12-26      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MDF3<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   8700000 | PA      | $8933535.84   | 0.44%             | 2031-12-25      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing III LLC                           | CUSIP: 42806MDL0<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   4380000 | PA      | $4380581.23   | 0.21%             | 2030-05-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2021-3 Trust                     | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2387213 | PA      | $2248928.96   | 0.11%             | 2041-01-17      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2021-2 Trust                     | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3255874 | PA      | $3187527.58   | 0.16%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2024-1 Owner Trust                 | CUSIP: 437918AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2634588 | PA      | $2657487.54   | 0.13%             | 2028-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2025-3 Owner Trust                 | CUSIP: 43813QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8535000 | PA      | $8534237.82   | 0.42%             | 2028-03-21      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-3                           | CUSIP: 46592KAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6276192 | PA      | $5268567.83   | 0.26%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-7                           | CUSIP: 46592NAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1870049 | PA      | $1567386.89   | 0.08%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-13                          | CUSIP: 46592XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3685059 | PA      | $2948047.50   | 0.14%             | 2052-04-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2024-7                           | CUSIP: 465971AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4607379 | PA      | $4020476.87   | 0.20%             | 2053-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-4                           | CUSIP: 46652VAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3080288 | PA      | $2582523.01   | 0.13%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-INV4                        | CUSIP: 46654DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2923828 | PA      | $2438700.48   | 0.12%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES | Mercedes-Benz Auto Receivables Trust 2025-1               | CUSIP: 58773DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6782512 | PA      | $6782772.06   | 0.33%             | 2028-02-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                    | MetLife Inc                                               | CUSIP: 59156RCE6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   9025000 | PA      | $9512586.73   | 0.47%             | 2033-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO          | MidAmerican Energy Co                                     | CUSIP: 595620AX3<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   3940000 | PA      | $4113066.15   | 0.20%             | 2034-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO           | Monongahela Power Co                                      | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5420000 | PA      | $5727949.28   | 0.28%             | 2034-02-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                            | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  14460000 | PA      | $15110486.86  | 0.74%             | 2036-01-18      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-J1 Trust                                         | CUSIP: 67116MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2675310 | PA      | $2589552.62   | 0.13%             | 2053-01-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2023-INV1                                             | CUSIP: 67448KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5734279 | PA      | $5003829.18   | 0.25%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES         | PNC Financial Services Group Inc/The                      | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   4560000 | PA      | $4925173.60   | 0.24%             | 2033-10-28      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust      | PRMI Securitization Trust 2021-1                          | CUSIP: 69359DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3818731 | PA      | $3435655.59   | 0.17%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM6 Trust                                      | CUSIP: 69383RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2215000 | PA      | $2214598.64   | 0.11%             | 2070-12-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit | Porsche Financial Auto Securitization Trust 2024-1        | CUSIP: 73328EAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372961 | PA      | $373105.93    | 0.02%             | 2028-01-24      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit | Porsche Financial Auto Securitization Trust 2024-1        | CUSIP: 73328EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313747 | PA      | $313740.60    | 0.02%             | 2028-01-24      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR5 Trust                      | CUSIP: 74333FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2619274 | PA      | $2584946.64   | 0.13%             | 2038-07-17      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR7 Trust                      | CUSIP: 74333PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2474781 | PA      | $2326628.62   | 0.11%             | 2040-08-17      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2023-1     | CUSIP: 61774YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    624511 | PA      | $582563.65    | 0.03%             | 2053-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR4 Trust                      | CUSIP: 74290JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5840000 | PA      | $5772253.66   | 0.28%             | 2042-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR3 Trust                      | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4135000 | PA      | $3940715.37   | 0.19%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR1 Trust                      | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3132449 | PA      | $3005428.33   | 0.15%             | 2042-02-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR5 Trust                      | CUSIP: 74334RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8750000 | PA      | $8474935.00   | 0.42%             | 2042-10-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260203                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $14.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | AUD/USD FWD 20260203                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $359660.97    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260203                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $90798.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260303                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $329034.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | BRL/USD FWD 20260303                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $423755.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260227                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-679702.64   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CHF/USD FWD 20260227                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-2900.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CNY/USD FWD 20260130                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-217943.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260112                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-12114.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260129                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-5610.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260211                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-16249.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | EUR/USD FWD 20260304                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-10533.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260112                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $318.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260211                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-27827.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260304                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-14575.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260318                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-4409.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | GBP/USD FWD 20260401                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-317.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY FIN LLC         | Morgan Stanley Finance LLC                                | CUSIP: DC6186597<br>LEI: 5493003FCPSE9RKT4B56 | Long             | SN               | CORP              | US        |    834000 | PA      | $1098891.99   | 0.05%             | 2026-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY FIN LLC         | Morgan Stanley Finance LLC                                | CUSIP: DA2876039<br>LEI: 5493003FCPSE9RKT4B56 | Long             | SN               | CORP              | US        |    934000 | PA      | $1399042.29   | 0.07%             | 2026-02-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY FIN LLC         | Morgan Stanley Finance LLC                                | CUSIP: DA2890139<br>LEI: 5493003FCPSE9RKT4B56 | Long             | SN               | CORP              | US        |   1036000 | PA      | $864429.09    | 0.04%             | 2026-02-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR8 Trust                      | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2741117 | PA      | $2698665.40   | 0.13%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR3                            | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4770963 | PA      | $4740794.83   | 0.23%             | 2026-05-17      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| USB Auto Owner Trust           | USB Auto Owner Trust 2025-1                               | CUSIP: 90367VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3117736 | PA      | $3124155.27   | 0.15%             | 2028-06-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5130000 | PA      | $5174286.32   | 0.25%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  92107000 | PA      | $90689416.16  | 4.44%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29855000 | PA      | $30652688.28  | 1.50%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7424000 | PA      | $7477360.00   | 0.37%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63405000 | PA      | $63239057.07  | 3.10%             | 2032-08-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   6015000 | PA      | $6113573.46   | 0.30%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                   | CUSIP: 928668BF8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   3980000 | PA      | $3851541.48   | 0.19%             | 2030-05-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                   | CUSIP: 928668CF7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   8180000 | PA      | $8280409.99   | 0.41%             | 2027-03-22      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                          | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  11230000 | PA      | $11304208.06  | 0.55%             | 2031-04-04      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                          | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   9700000 | PA      | $9908850.51   | 0.49%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-C64            | CUSIP: 95004BAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1865000 | PA      | $1968344.50   | 0.10%             | 2058-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2023-SFR2 Trust                                      | CUSIP: 00178YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    945000 | PA      | $936191.28    | 0.05%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2024-SFR1 Trust                                      | CUSIP: 00179CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2080000 | PA      | $2068704.14   | 0.10%             | 2041-07-17      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2024-SFR2 Trust                                      | CUSIP: 00179UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1598781.73   | 0.08%             | 2041-11-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2025-SFR2 Trust                                      | CUSIP: 00180BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2380000 | PA      | $2344993.06   | 0.11%             | 2042-11-17      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR3 Trust                                      | CUSIP: 00180UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3635000 | PA      | $3555022.00   | 0.17%             | 2038-10-17      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2025-SFR1 Trust                                      | CUSIP: 00182MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730000 | PA      | $3599332.51   | 0.18%             | 2042-06-17      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2A PTT         | Air Canada 2020-2 Class A Pass Through Trust              | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1598418 | PA      | $1633760.09   | 0.08%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR        | Alaska Airlines 2020-1 Class A Pass Through Trust         | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7679172 | PA      | $7723493.24   | 0.38%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC               | Altria Group Inc                                          | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   6060000 | PA      | $5358746.80   | 0.26%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 17-2 AA PTT       | American Airlines 2017-2 Class AA Pass Through Trust      | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1562439 | PA      | $1516066.05   | 0.07%             | 2029-10-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1AA PTT        | American Airlines 2019-1 Class AA Pass Through Trust      | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1831092 | PA      | $1730763.16   | 0.08%             | 2032-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO            | American Express Co                                       | CUSIP: 025816DV8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   6305000 | PA      | $6411422.47   | 0.31%             | 2028-07-26      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE         | American Honda Finance Corp                               | CUSIP: 02665WFZ9<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   5210000 | PA      | $5280227.31   | 0.26%             | 2035-03-05      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust        | BMW Vehicle Owner Trust 2023-A                            | CUSIP: 05592XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1269046 | PA      | $1276701.13   | 0.06%             | 2028-02-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2024-C9 Mortgage Trust                                | CUSIP: 05593MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3764000 | PA      | $3991864.28   | 0.20%             | 2057-07-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-C11 Mortgage Trust                               | CUSIP: 05613XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3635000 | PA      | $3836442.25   | 0.19%             | 2058-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-C12 Mortgage Trust                               | CUSIP: 05615DAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3090000 | PA      | $3307359.56   | 0.16%             | 2058-06-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2018-B5 Mortgage Trust                          | CUSIP: 08160BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1115631 | PA      | $1109005.35   | 0.05%             | 2051-07-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B23 Mortgage Trust                         | CUSIP: 08162RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4406872 | PA      | $4050383.37   | 0.20%             | 2054-02-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B24 Mortgage Trust                         | CUSIP: 08163CAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3638000 | PA      | $3382492.35   | 0.17%             | 2054-03-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2022-B33 Mortgage Trust                         | CUSIP: 08163PBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8420000 | PA      | $8246494.11   | 0.40%             | 2055-03-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V18 Mortgage Trust                         | CUSIP: 08164EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3720000 | PA      | $3830868.65   | 0.19%             | 2058-10-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2025-V17 Mortgage Trust                         | CUSIP: 081934AR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4435000 | PA      | $4544064.19   | 0.22%             | 2058-09-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust             | BMO 2025-5C12 Mortgage Trust                              | CUSIP: 09663VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2425000 | PA      | $2489400.00   | 0.12%             | 2058-10-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust        | BMW Vehicle Owner Trust 2025-A                            | CUSIP: 096924AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7555817 | PA      | $7555802.27   | 0.37%             | 2027-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| BOFA FINANCE LLC               | BofA Finance LLC                                          | CUSIP: 09711CAD6<br>LEI: 549300CGZYSEY3ZSIW16 | Long             | SN               | CORP              | US        |   1208000 | PA      | $1430634.40   | 0.07%             | 2026-01-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA         | BP Capital Markets America Inc                            | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |  10915000 | PA      | $11260178.80  | 0.55%             | 2034-11-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                   | Bridge 2025-SFR1 Trust                                    | CUSIP: 10807GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9140334 | PA      | $8808180.78   | 0.43%             | 2042-09-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 21-1 A PPT         | British Airways 2021-1 Class A Pass Through Trust         | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    595000 | PA      | $543802.27    | 0.03%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 AA PTT        | British Airways 2019-1 Class AA Pass Through Trust        | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1220098 | PA      | $1152068.70   | 0.06%             | 2032-12-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY       | Canadian Pacific Railway Co                               | CUSIP: 13645RBK9<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   8555000 | PA      | $8805411.10   | 0.43%             | 2035-03-30      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva | Capital One Prime Auto Receivables Trust 2023-1           | CUSIP: 14043KAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4958773 | PA      | $4977095.60   | 0.24%             | 2028-02-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva | Capital One Prime Auto Receivables Trust 2024-1           | CUSIP: 14043NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1014927 | PA      | $1016259.89   | 0.05%             | 2027-10-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva | Capital One Prime Auto Receivables Trust 2024-1           | CUSIP: 14043NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    924785 | PA      | $924793.68    | 0.05%             | 2027-10-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust        | Carmax Auto Owner Trust 2025-3                            | CUSIP: 14290FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6395000 | PA      | $6410706.12   | 0.31%             | 2028-08-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291W4X6<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1070000 | PA      | $1045079.70   | 0.05%             | 2026-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: 17291W5M9<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1198000 | PA      | $1503825.44   | 0.07%             | 2026-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRTKL                          | FRTKL 2021-SFR1                                           | CUSIP: 30322DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2005000 | PA      | $1964162.76   | 0.10%             | 2038-09-17      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HHC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3206007 | PA      | $3212756.17   | 0.16%             | 2054-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                        | CUSIP: 3137HKTV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10215149 | PA      | $10245016.44  | 0.50%             | 2055-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                  | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3270000 | PA      | $3277373.00   | 0.16%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO         | General Motors Financial Co Inc                           | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   9890000 | PA      | $9885146.28   | 0.48%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2025-2 Owner Trust                 | CUSIP: 437921AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3932024 | PA      | $3939617.55   | 0.19%             | 2028-01-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2025-3 Owner Trust                 | CUSIP: 43813QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12060000 | PA      | $12092132.66  | 0.59%             | 2028-03-21      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-9                           | CUSIP: 46592DAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3092239 | PA      | $2887299.18   | 0.14%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-1                           | CUSIP: 46592EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4720668 | PA      | $3950977.28   | 0.19%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-8                           | CUSIP: 46592TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9782533 | PA      | $8174802.87   | 0.40%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-12                          | CUSIP: 46592WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788326 | PA      | $659792.21    | 0.03%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust                                  | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7621718 | PA      | $7650374.51   | 0.37%             | 2055-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-7MPR                 | CUSIP: 46594CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6575758 | PA      | $6581621.22   | 0.32%             | 2056-02-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                       | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9180000 | PA      | $9351747.33   | 0.46%             | 2033-07-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                       | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3295000 | PA      | $3327292.32   | 0.16%             | 2028-10-22      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                       | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  14460000 | PA      | $15112415.39  | 0.74%             | 2036-01-24      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-2                           | CUSIP: 46648HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2074652 | PA      | $1889432.45   | 0.09%             | 2047-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-14                        | CUSIP: 46653QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2853108 | PA      | $2280632.12   | 0.11%             | 2052-05-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-14                        | CUSIP: 46653QBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3134041 | PA      | $3039297.64   | 0.15%             | 2052-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-10                          | CUSIP: 46654AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10936026 | PA      | $8774520.55   | 0.43%             | 2051-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-INV8                      | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7122161 | PA      | $6241626.69   | 0.31%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-15                        | CUSIP: 46654TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8509797 | PA      | $7457705.01   | 0.37%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2021-15                        | CUSIP: 46654TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2841578 | PA      | $2379971.83   | 0.12%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-1                         | CUSIP: 46654WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4024355 | PA      | $3526811.66   | 0.17%             | 2052-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-4                         | CUSIP: 46655GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1848911 | PA      | $1613391.00   | 0.08%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-6                         | CUSIP: 46655KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    928410 | PA      | $808939.53    | 0.04%             | 2052-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-7                         | CUSIP: 46655NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2683412 | PA      | $2349306.07   | 0.12%             | 2052-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2024-3                    | CUSIP: 46657QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6775738 | PA      | $5938032.81   | 0.29%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-12MPR                | CUSIP: 46660LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9600000 | PA      | $9570573.12   | 0.47%             | 2056-06-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM5                 | CUSIP: 46664DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1460000 | PA      | $1459727.27   | 0.07%             | 2065-05-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP           | JetBlue 2020-1 Class A Pass Through Trust                 | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1382635 | PA      | $1316250.85   | 0.06%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                | McDonald's Corp                                           | CUSIP: 58013MGA6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   5275000 | PA      | $5335391.00   | 0.26%             | 2035-03-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance 2021-MTG1               | CUSIP: 585495AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4453854 | PA      | $3722098.95   | 0.18%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust | Mercedes-Benz Auto Lease Trust 2024-B                     | CUSIP: 58769GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252865 | PA      | $252892.12    | 0.01%             | 2026-12-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust | Mercedes-Benz Auto Lease Trust 2024-A                     | CUSIP: 58770JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    576206 | PA      | $576298.00    | 0.03%             | 2027-02-16      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2023-SFR1 Trust                                      | CUSIP: 66981XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3155000 | PA      | $3132071.35   | 0.15%             | 2040-04-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2022-SFR3 Trust                                      | CUSIP: 66981YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385000 | PA      | $2373847.26   | 0.12%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY FIN LLC         | Morgan Stanley Finance LLC                                | CUSIP: YJ6832572<br>LEI: 5493003FCPSE9RKT4B56 | Long             | SN               | CORP              | US        |   1161000 | PA      | $968727.97    | 0.05%             | 2026-01-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS ISSUANCE BV        | BNP Paribas Issuance BV                                   | CUSIP: DC3996089<br>LEI: 7245009UXRIGIRYOBR48 | Long             | SN               | CORP              | NL        |   1077000 | PA      | $1059337.20   | 0.05%             | 2026-03-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: DC0744730<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |   1119000 | PA      | $1155979.13   | 0.06%             | 2026-03-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PSMC Trust                     | PSMC 2021-2 Trust                                         | CUSIP: 69376CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3310818 | PA      | $3013996.37   | 0.15%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PUB SVC NEW HAMP               | Public Service Co of New Hampshire                        | CUSIP: 744538AF6<br>LEI: 549300SHPFALUPKK2351 | Long             | DBT              | CORP              | US        |   9575000 | PA      | $9991632.19   | 0.49%             | 2033-10-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                 | RIDE 2025-SHRE                                            | CUSIP: 765692AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2984553.56   | 0.15%             | 2047-02-14      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA           | Royal Bank of Canada                                      | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   8245000 | PA      | $8359948.49   | 0.41%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust               | SLG Office Trust 2021-OVA                                 | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6775000 | PA      | $6056871.68   | 0.30%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust           | STAR 2022-SFR3 Trust                                      | CUSIP: 78474PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9573601 | PA      | $9589590.73   | 0.47%             | 2039-05-17      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                | San Diego Gas & Electric Co                               | CUSIP: 797440CG7<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   6255000 | PA      | $6474325.32   | 0.32%             | 2035-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-9                             | CUSIP: 81748CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3873430 | PA      | $3251562.79   | 0.16%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2025-S2                            | CUSIP: 81748UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4123824 | PA      | $3858295.27   | 0.19%             | 2055-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-4                             | CUSIP: 81748WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5351637 | PA      | $4472379.00   | 0.22%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SONOCO PRODUCTS CO             | Sonoco Products Co                                        | CUSIP: 835495AL6<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5203342.87   | 0.25%             | 2030-05-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR5 Trust           | STAR 2025-SFR5 Trust                                      | CUSIP: 85520CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3914833 | PA      | $3919715.06   | 0.19%             | 2042-02-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP              | State Street Corp                                         | CUSIP: 857477CX9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   5265000 | PA      | $5388505.79   | 0.26%             | 2036-02-28      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2015-5                          | CUSIP: 89171VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820905 | PA      | $817955.77    | 0.04%             | 2055-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-C Owner Trust                | CUSIP: 89237QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    726197 | PA      | $727093.41    | 0.04%             | 2027-05-17      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO              | Union Electric Co                                         | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   6445000 | PA      | $6636271.42   | 0.33%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg | DBJPM 20-C9 Mortgage Trust                                | CUSIP: 233063AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277424 | PA      | $276937.53    | 0.01%             | 2053-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP       | Toyota Motor Credit Corp                                  | CUSIP: 89236TNJ0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   4415000 | PA      | $4530077.86   | 0.22%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2025-C Owner Trust                | CUSIP: 89238VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10545000 | PA      | $10548969.14  | 0.52%             | 2028-06-15      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES          | TransCanada PipeLines Ltd                                 | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   7980000 | PA      | $7888627.72   | 0.39%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes          | Tricon American Homes 2020-SFR1                           | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2164775 | PA      | $2131920.15   | 0.10%             | 2038-07-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2021-SFR1 Trust                        | CUSIP: 89614YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3531974 | PA      | $3487890.41   | 0.17%             | 2038-07-17      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2023-SFR1 Trust                        | CUSIP: 89616WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2205833 | PA      | $2212549.62   | 0.11%             | 2040-07-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR2 Trust                        | CUSIP: 89617FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3021032 | PA      | $3046849.29   | 0.15%             | 2044-08-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                  | United States Treasury Bill                               | CUSIP: 912797SQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40335000 | PA      | $40180376.18  | 1.97%             | 2026-02-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                | United States Treasury Inflation Indexed Bonds            | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63594148 | PA      | $60324951.01  | 2.96%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                | United States Treasury Inflation Indexed Bonds            | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49869995 | PA      | $49736470.48  | 2.44%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  16680000 | PA      | $16483501.26  | 0.81%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RFK5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1843333 | PA      | $1844042.28   | 0.09%             | 2027-02-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RGY4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2705000 | PA      | $2773278.26   | 0.14%             | 2029-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1960000 | PA      | $2020913.86   | 0.10%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RJK1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2135000 | PA      | $2201193.54   | 0.11%             | 2030-12-20      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5545000 | PA      | $5631820.84   | 0.28%             | 2029-08-20      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  12180000 | PA      | $12479777.81  | 0.61%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC                  | CUSIP: 05377RLA0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  19365000 | PA      | $19255831.75  | 0.94%             | 2032-02-20      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2025-BNK49                                           | CUSIP: 05494FBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4195000 | PA      | $4429761.85   | 0.22%             | 2058-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2025-5C37                            | CUSIP: 05494NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4430000 | PA      | $4531740.71   | 0.22%             | 2058-09-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                      | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9645000 | PA      | $9825493.54   | 0.48%             | 2029-01-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                      | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14458000 | PA      | $15073879.86  | 0.74%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP         | Bank of New York Mellon Corp/The                          | CUSIP: 06406RBR7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   4850000 | PA      | $4944615.30   | 0.24%             | 2034-04-26      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2024-BNK47                                           | CUSIP: 06540GAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3535000 | PA      | $3750002.24   | 0.18%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2024-BNK48                                           | CUSIP: 06541GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1569000 | PA      | $1595219.09   | 0.08%             | 2057-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2025-C32                             | CUSIP: 07337AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415000 | PA      | $1505193.94   | 0.07%             | 2062-02-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| INDIANAPOLIS PWR & LIGHT       | Indianapolis Power & Light Co                             | CUSIP: 455434BV1<br>LEI: 2T85JNP2R2B2GTSFND21 | Long             | DBT              | CORP              | US        |   6805000 | PA      | $7102442.67   | 0.35%             | 2032-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust         | Invitation Homes 2024-SFR1 Trust                          | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6109534 | PA      | $6016181.28   | 0.29%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC         | IPALCO Enterprises Inc                                    | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |   8270000 | PA      | $8083409.20   | 0.40%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA        | JetBlue 2019-1 Class AA Pass Through Trust                | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4007973 | PA      | $3595518.62   | 0.18%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner  | Nissan Auto Receivables 2024-B Owner Trust                | CUSIP: 65479WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2689264 | PA      | $2690140.54   | 0.13%             | 2027-06-15      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner  | Nissan Auto Receivables 2025-A Owner Trust                | CUSIP: 65481GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15825000 | PA      | $15876002.39  | 0.78%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                              | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1190000 | PA      | $1140168.93   | 0.06%             | 2030-08-13      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                              | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4805000 | PA      | $4794195.81   | 0.23%             | 2027-01-30      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                              | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4570000 | PA      | $4870249.64   | 0.24%             | 2034-01-12      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                            | INR/USD FWD 20260127                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-365852.99   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2024-SFR5 Trust                      | CUSIP: 74332HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1203250 | PA      | $1146634.64   | 0.06%             | 2029-08-09      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2022-SFR2 Trust                      | CUSIP: 74332VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9162908 | PA      | $9013531.14   | 0.44%             | 2027-04-17      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2022-SFR4 Trust                      | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    962773 | PA      | $960802.26    | 0.05%             | 2041-05-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR9 Trust                      | CUSIP: 74333QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1517873 | PA      | $1428585.72   | 0.07%             | 2040-11-17      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR6 Trust                      | CUSIP: 74334EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12645000 | PA      | $12268688.59  | 0.60%             | 2042-12-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2024-SFR4 Trust                      | CUSIP: 74334JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12831087 | PA      | $12275005.88  | 0.60%             | 2041-07-17      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru | Provident Funding Mortgage Trust 2021-INV2                | CUSIP: 74388MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1601077 | PA      | $1395608.94   | 0.07%             | 2051-11-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP             | Union Pacific Corp                                        | CUSIP: 907818GG7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   5275000 | PA      | $5443870.58   | 0.27%             | 2035-02-20      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT       | United Airlines 2018-1 Class AA Pass Through Trust        | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3444905 | PA      | $3327582.95   | 0.16%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT       | United Airlines 2019-1 Class AA Pass Through Trust        | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1046858 | PA      | $1027898.07   | 0.05%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT       | United Airlines 2016-2 Class AA Pass Through Trust        | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1222494 | PA      | $1178530.54   | 0.06%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2015-1 AA PTT       | United Airlines 2015-1 Class AA Pass Through Trust        | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1908483 | PA      | $1880766.60   | 0.09%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                                | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   9625000 | PA      | $9968481.60   | 0.49%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16395000 | PA      | $12068257.03  | 0.59%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 108756000 | PA      | $98330717.27  | 4.82%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36485000 | PA      | $35869315.63  | 1.76%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                          | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 163689000 | PA      | $159954844.69 | 7.84%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC   | UWM Mortgage Trust 2021-INV4                              | CUSIP: 918307AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2058783 | PA      | $2028207.90   | 0.10%             | 2051-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2021-1 Trust       | CUSIP: 95003AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    957685 | PA      | $801537.01    | 0.04%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT        | Wisconsin Power and Light Co                              | CUSIP: 976826BP1<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |   4760000 | PA      | $4170423.69   | 0.20%             | 2031-09-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT        | Wisconsin Power and Light Co                              | CUSIP: 976826BQ9<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |   7150000 | PA      | $6888788.19   | 0.34%             | 2032-09-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT        | Wisconsin Power and Light Co                              | CUSIP: 976826BR7<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |   5725000 | PA      | $5797220.93   | 0.28%             | 2033-04-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE       | Wisconsin Public Service Corp                             | CUSIP: 976843BN1<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |   3910000 | PA      | $2466368.49   | 0.12%             | 2051-12-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Tr | World Omni Auto Receivables Trust 2025-B                  | CUSIP: 98164TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3490507 | PA      | $3496873.74   | 0.17%             | 2028-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Tr | World Omni Auto Receivables Trust 2025-C                  | CUSIP: 981936AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6940000 | PA      | $6953265.81   | 0.34%             | 2028-10-16      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2025-5C6            | CUSIP: 95004TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1630000 | PA      | $1676297.87   | 0.08%             | 2058-10-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                | DTE Electric Co                                           | CUSIP: 23338VAS5<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |   7735000 | PA      | $8038131.63   | 0.39%             | 2033-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC        | Duke Energy Indiana LLC                                   | CUSIP: 26443TAE6<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |   4450000 | PA      | $4608723.45   | 0.23%             | 2034-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC        | Duke Energy Florida LLC                                   | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   2360000 | PA      | $2547618.94   | 0.12%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust | FirstKey Homes 2021-SFR2 Trust                            | CUSIP: 33767TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1163589 | PA      | $1140501.54   | 0.06%             | 2038-09-17      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust | FirstKey Homes 2022-SFR3 Trust                            | CUSIP: 33768EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1276727 | PA      | $1274392.60   | 0.06%             | 2038-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-6INV                         | CUSIP: 33851GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2003052 | PA      | $1673956.58   | 0.08%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-3INV                         | CUSIP: 33852CAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6263842 | PA      | $5242541.52   | 0.26%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-3INV                         | CUSIP: 33852CAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2013756 | PA      | $1983837.40   | 0.10%             | 2051-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-4                            | CUSIP: 33852FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11404773 | PA      | $9552101.96   | 0.47%             | 2051-06-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-7                            | CUSIP: 33852JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11117473 | PA      | $9311472.97   | 0.46%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-12                           | CUSIP: 33853GAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8986428 | PA      | $7498751.40   | 0.37%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC        | Duke Energy Florida LLC                                   | CUSIP: 341099CN7<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   5936000 | PA      | $6168704.32   | 0.30%             | 2040-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-B                       | CUSIP: 34531QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    561825 | PA      | $562590.11    | 0.03%             | 2027-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-B                       | CUSIP: 34531QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    920295 | PA      | $920562.97    | 0.05%             | 2027-04-15      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-C                       | CUSIP: 34532UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1671719 | PA      | $1672104.94   | 0.08%             | 2027-08-15      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-D                       | CUSIP: 34535VAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1329972 | PA      | $1332698.13   | 0.07%             | 2027-10-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-D                       | CUSIP: 34535VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1536210 | PA      | $1536663.02   | 0.08%             | 2027-10-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2025-B Owner Trust                | CUSIP: 89231HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3317101 | PA      | $3324942.48   | 0.16%             | 2028-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-C Owner Trust                | CUSIP: 89237QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    726197 | PA      | $726325.24    | 0.04%             | 2027-05-17      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2025-C Owner Trust                | CUSIP: 89238VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10160000 | PA      | $10188895.04  | 0.50%             | 2028-06-15      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                             | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8860000 | PA      | $8966179.75   | 0.44%             | 2033-05-24      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                             | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2775380.48   | 0.14%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                             | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5235000 | PA      | $5276629.45   | 0.26%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                             | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  11785000 | PA      | $12055463.51  | 0.59%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | CITIGROUP MORTGAGE LOAN TRUST 2021-INV1                   | CUSIP: 17329PAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8435575 | PA      | $7060179.76   | 0.35%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-J3                     | CUSIP: 17330BAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4059145 | PA      | $3392239.55   | 0.17%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2025-12 Mortgage Loan Trust                          | CUSIP: 19688UAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4760000 | PA      | $4765845.76   | 0.23%             | 2071-01-26      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-AA        | Delta Air Lines 2020-1 Class AA Pass Through Trust        | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7171060 | PA      | $6848767.72   | 0.34%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC              | HSBC Holdings PLC                                         | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   6025000 | PA      | $6176401.86   | 0.30%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2024-B                     | CUSIP: 44934QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    946442 | PA      | $947909.80    | 0.05%             | 2027-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2024-B                     | CUSIP: 44934QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    825445 | PA      | $825444.38    | 0.04%             | 2027-06-15      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-A                     | CUSIP: 44935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5639141 | PA      | $5645172.46   | 0.28%             | 2027-12-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-A                     | CUSIP: 44935CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6850258 | PA      | $6852426.61   | 0.34%             | 2027-12-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-C                     | CUSIP: 44935JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20995000 | PA      | $21017615.81  | 1.03%             | 2028-07-17      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-B                     | CUSIP: 44935XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8060000 | PA      | $8085442.20   | 0.40%             | 2028-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: YK9436188<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |    995000 | PA      | $894040.69    | 0.04%             | 2026-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: DC3894250<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |    840000 | PA      | $1138637.23   | 0.06%             | 2026-03-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS       | Citigroup Global Markets Holdings Inc/United States       | CUSIP: DC0985176<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |    989000 | PA      | $1380856.61   | 0.07%             | 2026-03-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-INV1             | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2470181 | PA      | $2154283.98   | 0.11%             | 2050-10-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-INV1             | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1419947 | PA      | $1186654.38   | 0.06%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2021-MM1              | CUSIP: 36264JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8214941 | PA      | $6875519.31   | 0.34%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| NOMURA INTL FUNDING PTE        | Nomura International Funding Pte Ltd                      | CUSIP: 65539UAA4<br>LEI: 5493006YXUX4IZ8XXW98 | Long             | SN               | CORP              | SG        |   1742000 | PA      | $1932661.90   | 0.09%             | 2026-02-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2021-INV2 Trust                                       | CUSIP: 67114KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2264975 | PA      | $1891487.33   | 0.09%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2022-J2 Trust                                         | CUSIP: 67115QAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6187962 | PA      | $5430660.66   | 0.27%             | 2052-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust           | Verizon Master Trust Series 2024-4                        | CUSIP: 92348KCU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6605000 | PA      | $6643983.37   | 0.33%             | 2029-06-20      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-12                        | CUSIP: 92490FAF7<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |   4510000 | PA      | $4515513.02   | 0.22%             | 2070-12-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO       | Virginia Electric and Power Co                            | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   6840000 | PA      | $6959437.75   | 0.34%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL       | Brazil Notas do Tesouro Nacional Serie F                  | CUSIP: ZP2084801<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        | 216843000 | PA      | $34860455.34  | 1.71%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260303                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $4224.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CAD/USD FWD 20260303                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $364291.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | CDX.NA.HY.45 12/20/2030 (SELL PROTECTION)                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $3750547.62   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

**Name of Applicant:** Carillon Series Trust

**Signature:** /s/ Carolyn Gill

**Name of Signer:** Carolyn Gill

**Title:** Principal Financial Officer