# EDGAR Filing Document

**Accession Number:** 0000816153
**File Stem:** 0001410368-26-051170
**Filing Date:** 2026-5
**Character Count:** 351971
**Document Hash:** 2fe6ae76ee9bed5044214aca64a8e484
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-051170.hdr.sgml**: 20260526

**ACCESSION NUMBER**: 0001410368-26-051170

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260526

**DATE AS OF CHANGE**: 20260526

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** THORNBURG INVESTMENT TRUST
- **CENTRAL INDEX KEY:** 0000816153

**ORGANIZATION NAME:**
- **EIN:** 061158764
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05201
- **FILM NUMBER:** 261016876

**BUSINESS ADDRESS:**
- **STREET 1:** 2300 NORTH RIDGETOP ROAD
- **CITY:** SANTA FE
- **STATE:** NM
- **ZIP:** 87506-8361
- **BUSINESS PHONE:** 5059840200

**MAIL ADDRESS:**
- **STREET 1:** 2300 NORTH RIDGETOP ROAD
- **CITY:** SANTA FE
- **STATE:** NM
- **ZIP:** 87506-8361

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** THORNBURG INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LIMITED TERM TRUST
- **DATE OF NAME CHANGE:** 19870816

## Series and Classes Contracts Data

### Thornburg Limited Term Income Fund (Series ID: S000011845)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000032357 | Thornburg Limited Term Income Fund - Class A  | THIFX           |
| C000032358 | Thornburg Limited Term Income Fund - Class C  | THICX           |
| C000032359 | Thornburg Limited Term Income Fund - Class I  | THIIX           |
| C000042668 | Thornburg Limited Term Income Fund - Class R3 | THIRX           |
| C000113848 | Thornburg Limited Term Income Fund - Class R5 | THRRX           |
| C000136849 | Thornburg Limited Term Income Fund - Class R4 | THRIX           |
| C000177478 | Thornburg Limited Term Income Fund - Class R6 | THRLX           |
| C000222325 | Thornburg Limited Term Income Fund - Class C2 | THIQX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** THORNBURG INVESTMENT TRUST

- **b. Investment Company Act file number:** 811-05201

- **c. CIK number of Registrant:** 0000816153

- **d. LEI of Registrant:** 5493001XM52H8S4WYY82

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

  - **Street Address 1:** 2300 NORTH RIDGETOP ROAD

  - **City:** SANTA FE

  - **State:** NM

  - **Foreign country:** US

  - **Zip / Postal Code:** 87506-8361

  - **Telephone number:** 505-984-0200

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

- **a. Name of Series:** Thornburg Limited Term Income Fund

- **b. EDGAR series identifier (if any):** S000011845

- **c. LEI of Series:** 549300TTKQL3842TC885

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**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:** $6289687214.51

**Total Liabilities:** $89583249.79

**Net Assets:** $6200103964.72

**Delayed Delivery Securities:** $35339054.15

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -22100.38000000 | **1-Year:** -229452.55000000 | **5-Year:** -470412.96000000 | **10-Year:** -322373.59000000 | **30-Year:** -74249.48000000

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

- **3-Month:** -4330.11000000 | **1-Year:** -37677.08000000 | **5-Year:** -62583.02000000 | **10-Year:** -49917.14000000 | **30-Year:** -12345.99000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000032357 | 0.28%                | 0.98%                | -1.04%               |
| Class ID C000032358 | 0.26%                | 0.97%                | -1.05%               |
| Class ID C000032359 | 0.38%                | 0.93%                | -0.95%               |
| Class ID C000042668 | 0.27%                | 0.98%                | -1.04%               |
| Class ID C000113848 | 0.31%                | 1.00%                | -1.03%               |
| Class ID C000136849 | 0.34%                | 0.90%                | -1.01%               |
| Class ID C000177478 | 0.39%                | 0.93%                | -0.94%               |
| Class ID C000222325 | 0.24%                | 0.96%                | -1.06%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $13336869.15             | $-10908617.25                              |
| Month 2  | $46552.10                | $41287298.98                               |
| Month 3  | $1759283.05              | $-85708953.13                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACHD Trust                                                        | ACHD Trust 2025-DS1                                                             | CUSIP: 00092TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2610508 | PA      | $2612409.33   | 0.04%             | 2034-01-09      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                     | AEP Texas Inc                                                                   | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |   8375000 | PA      | $7583730.00   | 0.12%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                     | AEP Texas Inc                                                                   | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |   4350000 | PA      | $4417686.00   | 0.07%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                     | AEP Texas Inc                                                                   | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2064020.00   | 0.03%             | 2034-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                    | ACM Auto Trust 2023-2                                                           | CUSIP: 00161AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1243675 | PA      | $1250791.47   | 0.02%             | 2030-06-20      | Fixed         | 9.85%                 | No            |                  2 | On Loan: No      |
| AMCR ABS Trust                                                    | AMCR ABS TRUST 2024-A                                                           | CUSIP: 00178EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41802 | PA      | $41822.74     | 0.00%             | 2031-08-18      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENT HO                                          | Abu Dhabi Developmental Holding Co PJSC                                         | CUSIP: 00402D2A2<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |  15500000 | PA      | $15734825.00  | 0.25%             | 2029-05-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                    | ACM Auto Trust 2024-2                                                           | CUSIP: 00461WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39159 | PA      | $39158.93     | 0.00%             | 2029-02-20      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                        | Affirm Asset Securitization Trust 2025-X2                                       | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4821878 | PA      | $4825429.93   | 0.08%             | 2030-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                          | Ajax Mortgage Loan Trust 2022-A                                                 | CUSIP: 009695AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8321698 | PA      | $8084061.70   | 0.13%             | 2061-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                          | Ajax Mortgage Loan Trust 2019-F                                                 | CUSIP: 00969PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3096353 | PA      | $3062882.18   | 0.05%             | 2059-07-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                          | Ajax Mortgage Loan Trust 2021-A                                                 | CUSIP: 00971AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2060383 | PA      | $1915911.41   | 0.03%             | 2065-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                          | Ajax Mortgage Loan Trust 2021-E                                                 | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6424747 | PA      | $5621270.50   | 0.09%             | 2060-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                          | Ajax Mortgage Loan Trust 2023-C                                                 | CUSIP: 009926AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5754253 | PA      | $5557783.84   | 0.09%             | 2063-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                      | Alphabet Inc                                                                    | CUSIP: 02079KBJ5<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   9383000 | PA      | $9302587.69   | 0.15%             | 2029-02-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                      | Alphabet Inc                                                                    | CUSIP: 02079KBK2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   4516000 | PA      | $4483800.92   | 0.07%             | 2031-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                    | Amazon.com Inc                                                                  | CUSIP: 023135CT1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   9713000 | PA      | $9600232.07   | 0.15%             | 2030-11-20      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                    | Amazon.com Inc                                                                  | CUSIP: 023135DE3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   4716000 | PA      | $4670396.28   | 0.08%             | 2033-03-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AMCR ABS Trust                                                    | AMCR ABS Trust 2026-A                                                           | CUSIP: 02341AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6400000 | PA      | $6407956.67   | 0.10%             | 2033-05-18      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| AMDR ABS Trust                                                    | AMDR ABS TRUST 2025-1                                                           | CUSIP: 02342WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2719723 | PA      | $2725228.88   | 0.04%             | 2033-12-19      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                          | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   4935000 | PA      | $4987014.90   | 0.08%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                      | American Credit Acceptance Receivables Trust 2024-2                             | CUSIP: 02531BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2205639 | PA      | $2219643.72   | 0.04%             | 2030-04-12      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                            | American Honda Finance Corp                                                     | CUSIP: 02665WGA3<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |  13942000 | PA      | $13922620.62  | 0.22%             | 2026-12-11      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                            | American Honda Finance Corp                                                     | CUSIP: 02665WGK1<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   9883000 | PA      | $9802354.72   | 0.16%             | 2028-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP                                           | American National Group Inc                                                     | CUSIP: 02772AAA7<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |  25662000 | PA      | $26211936.66  | 0.42%             | 2032-06-13      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TRUST I                                            | American Tower Trust #1                                                         | CUSIP: 03027WAK8<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | DBT              |  | US        |   8015000 | PA      | $7928086.94   | 0.13%             | 2028-03-23      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                               | American Tower Corp                                                             | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   3235000 | PA      | $3262659.25   | 0.05%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                               | American Tower Corp                                                             | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   2497000 | PA      | $2452328.67   | 0.04%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                          | Angel Oak Mortgage Trust 2020-2                                                 | CUSIP: 03464XAC4<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |   3231877 | PA      | $3220560.50   | 0.05%             | 2065-01-26      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                          | Angel Oak Mortgage Trust 2023-2                                                 | CUSIP: 03465GAA4<br>LEI: 254900IWOX9Q54UE4072 | Long             | ABS-MBS          | CORP              | US        |   3861602 | PA      | $3859168.58   | 0.06%             | 2067-10-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                          | Angel Oak Mortgage Trust 2023-1                                                 | CUSIP: 03465WAA9<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |  10813867 | PA      | $10773891.92  | 0.17%             | 2067-09-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                                  | Antares Holdings LP                                                             | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |  14391000 | PA      | $14335306.83  | 0.23%             | 2026-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                                  | Antares Holdings LP                                                             | CUSIP: 03666HAD3<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   7360000 | PA      | $7203894.40   | 0.12%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                              | Appalachian Power Co                                                            | CUSIP: 037735CZ8<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2047005.00   | 0.03%             | 2031-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| APTARGROUP INC                                                    | AptarGroup Inc                                                                  | CUSIP: 038336AB9<br>LEI: VNPEQDQFAA7IY1T2PX43 | Long             | DBT              | CORP              | US        |   4572000 | PA      | $4538258.64   | 0.07%             | 2031-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                | Aqua Finance Trust 2020-A                                                       | CUSIP: 038413AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4852489 | PA      | $4510826.35   | 0.07%             | 2046-07-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                | Aqua Finance Trust 2020-A                                                       | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4033569 | PA      | $3853987.73   | 0.06%             | 2046-07-17      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                | Aqua Finance Trust 2021-A                                                       | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4005112 | PA      | $3680046.31   | 0.06%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                   | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                          | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5301549 | PA      | $5301549.59   | 0.09%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust                      | Arivo Acceptance Auto Loan Receivables Trust 2024-1                             | CUSIP: 039943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    469547 | PA      | $471000.97    | 0.01%             | 2028-04-17      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                 | Ares Capital Corp                                                               | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |  13350000 | PA      | $13244802.00  | 0.21%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                            | Arizona Public Service Co                                                       | CUSIP: 040555DH4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |   4517000 | PA      | $4679521.66   | 0.08%             | 2034-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                             | Arroyo Mortgage Trust 2021-1R                                                   | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4884240 | PA      | $4385826.81   | 0.07%             | 2048-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                             | Arroyo Mortgage Trust 2022-1                                                    | CUSIP: 042855AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7338000 | PA      | $6056765.90   | 0.10%             | 2056-12-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                             | Arroyo Mortgage Trust 2019-2                                                    | CUSIP: 042858AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    863999 | PA      | $831330.80    | 0.01%             | 2049-04-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                             | Arroyo Mortgage Trust 2019-1                                                    | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1917804 | PA      | $1863629.99   | 0.03%             | 2049-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                             | Arroyo Mortgage Trust 2019-1                                                    | CUSIP: 042859AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1003666 | PA      | $983025.20    | 0.02%             | 2049-01-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                             | Arroyo Mortgage Trust 2019-3                                                    | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2383235 | PA      | $2270831.45   | 0.04%             | 2048-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                             | Arroyo Mortgage Trust 2020-1                                                    | CUSIP: 04285CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6518000 | PA      | $6208051.50   | 0.10%             | 2055-03-25      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                             | Arroyo Mortgage Trust 2020-1                                                    | CUSIP: 04285CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4187142.00   | 0.07%             | 2055-03-25      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                             | Arroyo Mortgage Trust 2020-1                                                    | CUSIP: 04285CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3189000 | PA      | $2904937.53   | 0.05%             | 2055-03-25      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Ascent Education Funding Trust                                    | Ascent Education Funding Trust 2024-A                                           | CUSIP: 04362VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6461844 | PA      | $6592855.82   | 0.11%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| ASCOT GROUP LTD                                                   | Ascot Group Ltd                                                                 | CUSIP: 04365XAA6<br>LEI: 213800DJV7WRJBE2II28 | Long             | DBT              | CORP              | BM        |  12308000 | PA      | $11484225.56  | 0.19%             | 2030-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ASPEN INSURANCE HLDG LTD                                          | Aspen Insurance Holdings Ltd                                                    | CUSIP: 04530DAE2<br>LEI: 549300YX6HECG9XQCQ75 | Long             | DBT              | CORP              | BM        |   5800000 | PA      | $5984440.00   | 0.10%             | 2030-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                                        | ATLX 2024-RPL1 Trust                                                            | CUSIP: 049915AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10730098 | PA      | $10620382.88  | 0.17%             | 2064-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                                        | ATLX 2024-RPL2 Trust                                                            | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6924130 | PA      | $6807634.98   | 0.11%             | 2063-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| AUGUSTA SPINCO CORPORATI                                          | Augusta SpinCo Corp                                                             | CUSIP: 051473AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11500000 | PA      | $11493215.00  | 0.19%             | 2027-09-23      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-1                                   | AutoNation Finance Trust 2025-1                                                 | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2875299 | PA      | $2878797.43   | 0.05%             | 2028-04-10      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                                         | Auxilior Term Funding 2023-1 LLC                                                | CUSIP: 05335JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    256599 | PA      | $257207.68    | 0.00%             | 2028-12-15      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| AVNET INC                                                         | Avnet Inc                                                                       | CUSIP: 053807AW3<br>LEI: XJI53DCPL7QABOWK4Z75 | Long             | DBT              | CORP              | US        |   3938000 | PA      | $4054997.98   | 0.07%             | 2028-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust                     | BHG Securitization Trust 2022-A                                                 | CUSIP: 054977AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8485000 | PA      | $8385811.71   | 0.14%             | 2035-02-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                  | BAT Capital Corp                                                                | CUSIP: 054989AF5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1761228.00   | 0.03%             | 2033-03-22      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                  | BAT Capital Corp                                                                | CUSIP: 05526DBJ3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  11382000 | PA      | $11310293.40  | 0.18%             | 2026-09-06      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| BOF URSA FUNDING                                                  | BOF URSA VI Funding Trust I                                                     | CUSIP: 05603KAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    837277 | PA      | $843115.64    | 0.01%             | 2031-10-27      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| BOF URSA FUNDING                                                  | BOF URSA VI Funding Trust I                                                     | CUSIP: 05603LAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510097 | PA      | $513141.29    | 0.01%             | 2031-10-27      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| BOF URSA FUNDING                                                  | BOF URSA VI Funding Trust I                                                     | CUSIP: 05603LAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2634819 | PA      | $2650004.49   | 0.04%             | 2031-10-27      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                         | BPR Trust 2023-BRK2                                                             | CUSIP: 05610WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4354137.75   | 0.07%             | 2038-10-05      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                          | BX Trust 2025-LIFE                                                              | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14750000 | PA      | $14610026.93  | 0.24%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                              | Bank of America Corp                                                            | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6007000 | PA      | $6044723.96   | 0.10%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | Barclays PLC                                                                    | CUSIP: 06738EDD4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   7000000 | PA      | $6958700.00   | 0.11%             | 2029-11-11      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| BECLE SA DE CV                                                    | Becle SAB de CV                                                                 | CUSIP: 07586PAA9<br>LEI: 529900JY55CZKMJLCE09 | Long             | DBT              | CORP              | MX        |  28038000 | PA      | $23974172.28  | 0.39%             | 2031-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                                   | Bermuda Government International Bond                                           | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |   4000000 | PA      | $3612120.00   | 0.06%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                  | Berry Global Inc                                                                | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   1928000 | PA      | $1928327.76   | 0.03%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BIO-RAD LABS                                                      | Bio-Rad Laboratories Inc                                                        | CUSIP: 090572AR9<br>LEI: 549300ZC1GPV35XYDK53 | Long             | DBT              | CORP              | US        |  12320000 | PA      | $12172406.40  | 0.20%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                                  | Black Hills Corp                                                                | CUSIP: 092113AT6<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |   5490000 | PA      | $5013522.90   | 0.08%             | 2030-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                                  | Black Hills Corp                                                                | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |   2599000 | PA      | $2572282.28   | 0.04%             | 2031-01-31      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BLOCK FINANCIAL LLC                                               | Block Financial LLC                                                             | CUSIP: 093662AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10392000 | PA      | $9812646.00   | 0.16%             | 2028-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3650000 | PA      | $3593826.50   | 0.06%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | BNP Paribas SA                                                                  | CUSIP: 09659W3E2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3633000 | PA      | $3553074.00   | 0.06%             | 2034-01-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                                           | BMW Vehicle Owner Trust 2024-A                                                  | CUSIP: 096919AD7<br>LEI: 5493002H8OC00FUV1078 | Long             | ABS-O            | CORP              | US        |   2155648 | PA      | $2170707.76   | 0.04%             | 2029-02-26      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| BOF URSA FUNDING                                                  | BOF VII AL Funding Trust I                                                      | CUSIP: 097093AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3015907 | PA      | $3051819.58   | 0.05%             | 2032-07-26      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                           | Booz Allen Hamilton Inc                                                         | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   6840000 | PA      | $6647112.00   | 0.11%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                           | Booz Allen Hamilton Inc                                                         | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   4931000 | PA      | $4969116.63   | 0.08%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                   | BRAVO Residential Funding Trust 2024-NQM4                                       | CUSIP: 10568NAA0<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-MBS          | CORP              | US        |  17378700 | PA      | $17191535.54  | 0.28%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                   | BRAVO Residential Funding Trust 2024-NQM2                                       | CUSIP: 10569KAA5<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |   3485323 | PA      | $3504685.33   | 0.06%             | 2064-02-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                   | BRAVO Residential Funding Trust 2023-NQM5                                       | CUSIP: 10569UAA3<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |   4873269 | PA      | $4877855.72   | 0.08%             | 2063-06-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                                           | Brighthouse Financial Global Funding                                            | CUSIP: 10921U2C1<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   7538000 | PA      | $7506114.26   | 0.12%             | 2026-05-24      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                                           | Brighthouse Financial Global Funding                                            | CUSIP: 10921U2E7<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |  13751000 | PA      | $12853197.21  | 0.21%             | 2028-06-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD ASSET MANAGEM                                          | Brookfield Asset Management Ltd                                                 | CUSIP: 113004AA3<br>LEI: 549300CZ84WPNJZKY093 | Long             | DBT              | CORP              | CA        |   5250000 | PA      | $5345235.00   | 0.09%             | 2035-04-24      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD ASSET MANAGEM                                          | Brookfield Asset Management Ltd                                                 | CUSIP: 113004AB1<br>LEI: 549300CZ84WPNJZKY093 | Long             | DBT              | CORP              | CA        |   9500000 | PA      | $9416590.00   | 0.15%             | 2030-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                             | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AZ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |   9297000 | PA      | $9207098.01   | 0.15%             | 2036-03-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                 | Brown & Brown Inc                                                               | CUSIP: 115236AG6<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   2669000 | PA      | $2692780.79   | 0.04%             | 2034-06-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                 | Brown & Brown Inc                                                               | CUSIP: 115236AH4<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   3532000 | PA      | $3538816.76   | 0.06%             | 2026-12-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                 | Brown & Brown Inc                                                               | CUSIP: 115236AJ0<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   4825000 | PA      | $4839668.00   | 0.08%             | 2028-06-23      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Trust 2020-1                          | Bunker Hill Loan Depositary Trust 2020-1                                        | CUSIP: 12062RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3285000 | PA      | $3212130.45   | 0.05%             | 2055-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                               | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11275000 | PA      | $11135979.25  | 0.18%             | 2028-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                               | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9124000 | PA      | $8687325.36   | 0.14%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                               | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6950000 | PA      | $6868407.00   | 0.11%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-2                                       | CHNGE Mortgage Trust 2022-2                                                     | CUSIP: 12546YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14163000 | PA      | $13400668.45  | 0.22%             | 2067-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                              | CHNGE Mortgage Trust 2023-1                                                     | CUSIP: 12547QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2808795 | PA      | $2803991.95   | 0.05%             | 2058-03-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                         | CIM Trust 2018-INV1                                                             | CUSIP: 12553XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524777 | PA      | $492318.58    | 0.01%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                                    | CPS Auto Receivables Trust 2024-B                                               | CUSIP: 12627SAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2379509 | PA      | $2386144.22   | 0.04%             | 2028-10-16      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                      | Csmc 2022-Nqm1 Trust                                                            | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  10264453 | PA      | $9305676.98   | 0.15%             | 2066-11-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                               | COMM 2024-277P Mortgage Trust                                                   | CUSIP: 12654FAA8<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |   6575000 | PA      | $6855473.06   | 0.11%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| CPT MORTGAGE TRUST                                                | Century Plaza Towers 2019-CPT                                                   | CUSIP: 12654YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4433479.01   | 0.07%             | 2039-11-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                      | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAA2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   6230319 | PA      | $5050125.94   | 0.08%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                      | CSMC 2021-NQM8                                                                  | CUSIP: 12659FAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1681708 | PA      | $1516635.09   | 0.02%             | 2066-10-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                      | CSMC 2020-SPT1 Trust                                                            | CUSIP: 12659LAC6<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2454011 | PA      | $2430478.64   | 0.04%             | 2065-04-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                                    | CPS Auto Receivables Trust 2022-A                                               | CUSIP: 12659WAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284447 | PA      | $283774.15    | 0.00%             | 2029-04-16      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                      | CSMC 2021-NQM3                                                                  | CUSIP: 12660LAA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   7529888 | PA      | $6611985.24   | 0.11%             | 2066-04-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                      | CSMC 2022-ATH2                                                                  | CUSIP: 12665WAC4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   8547808 | PA      | $8515390.98   | 0.14%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CALEDONIA GENERA                                                  | Caledonia Generating LLC                                                        | CUSIP: 129268AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13931150 | PA      | $12460020.21  | 0.20%             | 2034-02-28      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Canadian County Educational Facilities Authority                  | CANADIAN CNTY OK EDUCTNL FACS AUTH EDUC FACS LEASE REVENUE                      | CUSIP: 135521DG4<br>LEI: 549300HPRFS0Z66VHS30 | Long             | DBT              | MUN               | US        |   5035000 | PA      | $5237729.24   | 0.08%             | 2031-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                    | Carvana Auto Receivables Trust 2022-N1                                          | CUSIP: 14686GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9408848 | PA      | $9340951.70   | 0.15%             | 2028-12-11      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                    | Carvana Auto Receivables Trust 2024-P1                                          | CUSIP: 14688NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2348863 | PA      | $2358231.08   | 0.04%             | 2029-04-10      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                      | Centene Corp                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   4906000 | PA      | $4657216.74   | 0.08%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                            | CenterPoint Energy Inc                                                          | CUSIP: 15189TBG1<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |  11148000 | PA      | $11423467.08  | 0.18%             | 2029-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11306000 | PA      | $11788992.32  | 0.19%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                | Chase Home Lending Mortgage Trust 2024-9                                        | CUSIP: 16160QAA2<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |   1571318 | PA      | $1561525.60   | 0.03%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                | Chase Mortgage Finance Corp                                                     | CUSIP: 16163YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1297267 | PA      | $1214022.88   | 0.02%             | 2045-04-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                | Chase Mortgage Finance Corp                                                     | CUSIP: 16164AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1666587 | PA      | $1556016.76   | 0.03%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                                       | CHNGE Mortgage Trust 2022-1                                                     | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10508729 | PA      | $10136111.82  | 0.16%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                         | CIM Trust 2024-R1                                                               | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9059105 | PA      | $9112660.41   | 0.15%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | Citigroup Inc                                                                   | CUSIP: 172967KN0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2425000 | PA      | $2422599.25   | 0.04%             | 2026-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | Citigroup Inc                                                                   | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7328000 | PA      | $7284838.08   | 0.12%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | Citigroup Inc                                                                   | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4625000 | PA      | $4632030.00   | 0.07%             | 2028-05-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | Citigroup Inc                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5912000 | PA      | $5949186.48   | 0.10%             | 2031-05-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                 | Citigroup Mortgage Loan Trust 2004-HYB2                                         | CUSIP: 17307GEF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35834 | PA      | $10215.38     | 0.00%             | 2034-03-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                 | Citigroup Mortgage Loan Trust 2014-A                                            | CUSIP: 17322GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317969 | PA      | $310556.74    | 0.01%             | 2035-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                 | Citigroup Mortgage Loan Trust 2014-J1                                           | CUSIP: 17322NAN4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1489969 | PA      | $1232947.03   | 0.02%             | 2044-06-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                 | Citigroup Mortgage Loan Trust 2021-J2                                           | CUSIP: 17329MCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27831327 | PA      | $24987665.49  | 0.40%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CLECO POWER LLC                                                   | Cleco Power LLC                                                                 | CUSIP: 185508AJ7<br>LEI: TM1ZH54SJKLNHFCBFK92 | Long             | DBT              | CORP              | US        |   5373000 | PA      | $5333186.07   | 0.09%             | 2036-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                | CNO Global Funding                                                              | CUSIP: 18977W2G4<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |  16264000 | PA      | $16318972.32  | 0.26%             | 2027-12-10      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                | CNO Global Funding                                                              | CUSIP: 18977W2H2<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   2650000 | PA      | $2630814.00   | 0.04%             | 2028-09-08      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                         | College Ave Student Loans 2021-A LLC                                            | CUSIP: 19424KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4909968 | PA      | $4887874.50   | 0.08%             | 2051-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                         | College Ave Student Loans 2021-A LLC                                            | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1135440 | PA      | $1049385.89   | 0.02%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                         | College Ave Student Loans 2021-C LLC                                            | CUSIP: 19424WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8884331 | PA      | $8756992.07   | 0.14%             | 2055-07-26      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COLORADO INT GAS CO/ISS                                           | Colorado Interstate Gas Co LLC / Colorado Interstate Issuing Corp               | CUSIP: 196500AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9092000 | PA      | $9071906.68   | 0.15%             | 2026-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                          | Comision Federal de Electricidad                                                | CUSIP: 200447AH3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   8740000 | PA      | $7819241.00   | 0.13%             | 2031-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                                     | Commonbond Student Loan Trust 2018-C-GS                                         | CUSIP: 20267XAA1<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |    886219 | PA      | $860100.78    | 0.01%             | 2046-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                                     | Commonbond Student Loan Trust 2021-B-GS                                         | CUSIP: 20268AAA0<br>LEI: 5493005PJR3MYTKJFJ48 | Long             | ABS-O            | CORP              | US        |   6385674 | PA      | $5561810.85   | 0.09%             | 2051-09-25      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                                     | Commonbond Student Loan Trust 2020-1                                            | CUSIP: 20268BAA8<br>LEI: 5493005PJR3MYTKJFJ48 | Long             | ABS-O            | CORP              | US        |   5952520 | PA      | $5471716.57   | 0.09%             | 2051-10-25      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                                     | Commonbond Student Loan Trust 2021-A-GS                                         | CUSIP: 20268WAA2<br>LEI: 5493005PJR3MYTKJFJ48 | Long             | ABS-O            | CORP              | US        |   7204754 | PA      | $6122176.30   | 0.10%             | 2052-03-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION GLO FNDG                                            | Constellation Global Funding                                                    | CUSIP: 21038N2A8<br>LEI: 254900OP9HLIALC2HZ12 | Long             | DBT              | CORP              | US        |   9500000 | PA      | $9306295.00   | 0.15%             | 2030-10-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                                    | CPS Auto Receivables Trust 2024-A                                               | CUSIP: 22411CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1556955 | PA      | $1564095.79   | 0.03%             | 2030-04-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                                    | Crockett Partners Equipment Co IIA LLC                                          | CUSIP: 22689LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5704000 | PA      | $5769358.12   | 0.09%             | 2031-01-20      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                                            | Crossroads Asset Trust 2025-A                                                   | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6071912 | PA      | $6108059.80   | 0.10%             | 2032-02-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                  | Crown Castle Inc                                                                | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |   2750000 | PA      | $2709382.50   | 0.04%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                  | Crown Castle Inc                                                                | CUSIP: 22822VBF7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |   6181000 | PA      | $6211657.76   | 0.10%             | 2029-09-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DC Office Trust                                                   | DC Office Trust 2019-MTC                                                        | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7895000 | PA      | $7121392.24   | 0.11%             | 2045-09-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                     | DTE Energy Co                                                                   | CUSIP: 233331BJ5<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   3477000 | PA      | $3509057.94   | 0.06%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                     | DTE Energy Co                                                                   | CUSIP: 233331BL0<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   2636000 | PA      | $2761658.12   | 0.04%             | 2034-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                     | DTE Energy Co                                                                   | CUSIP: 233331BN6<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   3508000 | PA      | $3578019.68   | 0.06%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                     | DTE Energy Co                                                                   | CUSIP: 233331BP1<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3745736.00   | 0.06%             | 2035-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DXC TECHNOLOGY CO                                                 | DXC Technology Co                                                               | CUSIP: 23355LAM8<br>LEI: 549300DOVZ3EDJB7O259 | Long             | DBT              | CORP              | US        |  12049000 | PA      | $11329674.70  | 0.18%             | 2028-09-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| DailyPay Securitization Trust                                     | DailyPay Securitization Trust 2025-1                                            | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10075000 | PA      | $10104615.46  | 0.16%             | 2028-06-26      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                                               | DataBank Issuer                                                                 | CUSIP: 23802WAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13300000 | PA      | $13112603.27  | 0.21%             | 2054-01-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DAYTON POWER & LIGHT CO/                                          | Dayton Power & Light Co/The                                                     | CUSIP: 240019BX6<br>LEI: 1ELKY8G44MKGCQWG6864 | Long             | DBT              | CORP              | US        |   9863000 | PA      | $9741685.10   | 0.16%             | 2030-08-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                              | Deephaven Residential Mortgage Trust 2021-1                                     | CUSIP: 24380VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1083227 | PA      | $1052729.95   | 0.02%             | 2065-05-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4940000 | PA      | $4864615.60   | 0.08%             | 2028-01-07      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Dext ABS                                                          | Dext ABS 2023-2 LLC                                                             | CUSIP: 25216CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337280 | PA      | $338087.07    | 0.01%             | 2034-05-15      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                                | Diamond Infrastructure Funding LLC                                              | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  36000000 | PA      | $35192818.80  | 0.57%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC                                                | Diamond Issuer LLC                                                              | CUSIP: 25267TAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27894000 | PA      | $27021380.84  | 0.44%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                           | Digital Realty Trust LP                                                         | CUSIP: 25389JAV8<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              |  | US        |    434000 | PA      | $441772.94    | 0.01%             | 2028-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                               | Dominion Energy Inc                                                             | CUSIP: 25746UDF3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   8076000 | PA      | $8014057.08   | 0.13%             | 2027-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                               | Dominion Energy Inc                                                             | CUSIP: 25746UDY2<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3712136.00   | 0.06%             | 2028-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                  | Duke Energy Corp                                                                | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $8299315.00   | 0.13%             | 2035-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                           | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAG1<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |   2515000 | PA      | $2476495.35   | 0.04%             | 2036-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                           | Duke Energy Florida LLC                                                         | CUSIP: 26444HAT8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   4736000 | PA      | $4686177.28   | 0.08%             | 2030-12-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                                          | ECAF I Ltd                                                                      | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |   1198914 | PA      | $1111525.15   | 0.02%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                          | Electricite de France SA                                                        | CUSIP: 268317AY0<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |   9878000 | PA      | $10200911.82  | 0.16%             | 2029-04-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                           | E.ON SE                                                                         | CUSIP: 26877KG61<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | STIV             | CORP              | DE        |  18000000 | PA      | $17809920.00  | 0.29%             | 2026-07-06      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                          | Eagle Funding Luxco Sarl                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   5000000 | PA      | $5018950.00   | 0.08%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EL PASO NATURAL GAS                                               | El Paso Natural Gas Co LLC                                                      | CUSIP: 283695BQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4068000 | PA      | $3748011.12   | 0.06%             | 2032-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                          | Electricite de France SA                                                        | CUSIP: 28504DAF0<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |  13500000 | PA      | $13955760.00  | 0.23%             | 2035-01-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                                          | Element Fleet Management Corp                                                   | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |  11400000 | PA      | $11430324.00  | 0.18%             | 2026-06-26      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                                          | Element Fleet Management Corp                                                   | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   3422000 | PA      | $3565450.24   | 0.06%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                                          | Element Fleet Management Corp                                                   | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   4400000 | PA      | $4438456.00   | 0.07%             | 2027-03-13      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LLC                                              | Emera US Finance LLC                                                            | CUSIP: 29103HAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3611000 | PA      | $3605439.06   | 0.06%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LLC                                              | Emera US Finance LLC                                                            | CUSIP: 29103HAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1978000 | PA      | $1967674.84   | 0.03%             | 2033-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | Energy Transfer LP                                                              | CUSIP: 29273VBJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   9650000 | PA      | $9562185.00   | 0.15%             | 2031-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                              | ENEL Finance International NV                                                   | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  10700000 | PA      | $10608194.00  | 0.17%             | 2026-07-12      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                              | ENEL Finance International NV                                                   | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   8844000 | PA      | $8380574.40   | 0.14%             | 2028-07-12      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                              | ENEL Finance International NV                                                   | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2802000 | PA      | $2754281.94   | 0.04%             | 2030-09-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENSTAR GROUP LTD                                                  | Enstar Group Ltd                                                                | CUSIP: 29359UAC3<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |   7139000 | PA      | $6305593.14   | 0.10%             | 2031-09-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                           | Entergy Mississippi LLC                                                         | CUSIP: 29364NAU2<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |   4727000 | PA      | $4630852.82   | 0.07%             | 2027-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                                 | Entergy Texas Inc                                                               | CUSIP: 29365TAF1<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8848620.00   | 0.14%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                                 | Entergy Texas Inc                                                               | CUSIP: 29365TAL8<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |   8640000 | PA      | $8513942.40   | 0.14%             | 2026-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL                                          | Equitable America Global Funding                                                | CUSIP: 29446Q2B8<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3797340.00   | 0.06%             | 2030-06-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                                          | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAB3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   4433000 | PA      | $4250094.42   | 0.07%             | 2027-08-27      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                                          | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   6800000 | PA      | $6442728.00   | 0.10%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                                          | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAT4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   2047000 | PA      | $2058606.49   | 0.03%             | 2030-03-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EverBright Solar Trust                                            | EverBright Solar Trust 2024-A                                                   | CUSIP: 29977FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7794421 | PA      | $6596506.69   | 0.11%             | 2054-06-22      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                             | Evergy Kansas Central Inc                                                       | CUSIP: 30036FAE1<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |   4940000 | PA      | $4962575.80   | 0.08%             | 2028-03-13      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EVERGY MISSOURI WEST INC                                          | Evergy Missouri West Inc                                                        | CUSIP: 30037EAB9<br>LEI: EZIFUDC0VSUS6T6LCG85 | Long             | DBT              | CORP              | US        |   6650000 | PA      | $6796566.00   | 0.11%             | 2034-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| EVERGY MISSOURI WEST INC                                          | Evergy Missouri West Inc                                                        | CUSIP: 30037FAA8<br>LEI: EZIFUDC0VSUS6T6LCG85 | Long             | DBT              | CORP              | US        |  10711000 | PA      | $10812647.39  | 0.17%             | 2027-12-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                 | Eversource Energy                                                               | CUSIP: 30040WAL2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   5332000 | PA      | $4801252.72   | 0.08%             | 2031-03-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                 | Eversource Energy                                                               | CUSIP: 30040WBB3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   2403000 | PA      | $2371208.31   | 0.04%             | 2030-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                       | Exelon Corp                                                                     | CUSIP: 30161NBR1<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   9899000 | PA      | $10079557.76  | 0.16%             | 2031-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                               | Exeter Automobile Receivables Trust 2022-4                                      | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4144753 | PA      | $4165112.01   | 0.07%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                               | Exeter Automobile Receivables Trust 2022-2                                      | CUSIP: 30166QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11432046 | PA      | $11415333.19  | 0.18%             | 2028-07-17      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                               | Exeter Automobile Receivables Trust 2023-4                                      | CUSIP: 30166TAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1848663 | PA      | $1855574.83   | 0.03%             | 2028-08-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                               | Exeter Automobile Receivables Trust 2022-6                                      | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3900000 | PA      | $3980708.39   | 0.06%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                               | Exeter Automobile Receivables Trust 2023-1                                      | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3538298 | PA      | $3577084.07   | 0.06%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                | Meta Platforms Inc                                                              | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   9385000 | PA      | $9287583.70   | 0.15%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                          | FactSet Research Systems Inc                                                    | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |   7753000 | PA      | $7615306.72   | 0.12%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                | F&G Global Funding                                                              | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  16912000 | PA      | $16783130.56  | 0.27%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                | F&G Global Funding                                                              | CUSIP: 30321L2C5<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   2475000 | PA      | $2303086.50   | 0.04%             | 2028-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                | F&G Global Funding                                                              | CUSIP: 30321L2D3<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  11752000 | PA      | $11441982.24  | 0.18%             | 2027-04-11      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                | F&G Global Funding                                                              | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   4320000 | PA      | $4385923.20   | 0.07%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                                          | FHF Trust 2023-1                                                                | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    472234 | PA      | $473821.91    | 0.01%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust                         | FARM 2024-1 Mortgage Trust                                                      | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6489108 | PA      | $5946622.25   | 0.10%             | 2053-10-01      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                                          | FHF Issuer Trust 2024-3                                                         | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2906435 | PA      | $2901868.09   | 0.05%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                                          | FHF Issuer Trust 2025-2                                                         | CUSIP: 30343DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3571270 | PA      | $3571573.19   | 0.06%             | 2026-12-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                                          | FHF Issuer Trust 2025-2                                                         | CUSIP: 30343DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1255451.85   | 0.02%             | 2030-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QGE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3834712 | PA      | $3767271.55   | 0.06%             | 2048-09-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QQ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5576835 | PA      | $5311071.21   | 0.09%             | 2052-04-01      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QQP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5171006 | PA      | $4927614.22   | 0.08%             | 2052-02-01      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12680608 | PA      | $11517159.29  | 0.19%             | 2052-07-01      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128E52U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434202 | PA      | $428120.69    | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MFVB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116708 | PA      | $114775.03    | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128Q2LB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1751297 | PA      | $1804573.68   | 0.03%             | 2048-02-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNQ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12669117 | PA      | $11143679.87  | 0.18%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DS5E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20046408 | PA      | $17073017.77  | 0.28%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DSW81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14320691 | PA      | $12117576.69  | 0.20%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DUGS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13626456 | PA      | $13931683.76  | 0.22%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23071371 | PA      | $18744694.81  | 0.30%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12032238 | PA      | $10191134.14  | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10456252 | PA      | $9219010.39   | 0.15%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5193579 | PA      | $5238518.70   | 0.08%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132E0T85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  41872942 | PA      | $35431152.73  | 0.57%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132XFUX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21000000 | PA      | $21191990.19  | 0.34%             | 2030-01-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3132XGUG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11295000 | PA      | $11304876.35  | 0.18%             | 2028-06-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                                          | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133ENQQ6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  19285000 | PA      | $17893587.25  | 0.29%             | 2032-03-08      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3133KNR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9476917 | PA      | $8378074.24   | 0.14%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3133KNYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19438138 | PA      | $16447749.10  | 0.27%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3133KPFN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4805405 | PA      | $4253044.42   | 0.07%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3133N3X25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23353417 | PA      | $18448779.60  | 0.30%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3133SKBP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19621936 | PA      | $17300948.82  | 0.28%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 31342WA27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2785991 | PA      | $2747909.37   | 0.04%             | 2047-10-01      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AADA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    970931 | PA      | $910111.53    | 0.01%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AFB37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2229862 | PA      | $2210205.38   | 0.04%             | 2043-01-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                           | Fannie Mae Grantor Trust 2017-T1                                                | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17771575 | PA      | $17487057.73  | 0.28%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BRTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9594959 | PA      | $9917062.19   | 0.16%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BTAJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13625681 | PA      | $13471859.61  | 0.22%             | 2054-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BXNP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18459214 | PA      | $17868156.10  | 0.29%             | 2055-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BYVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23885632 | PA      | $23302399.53  | 0.38%             | 2053-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AFJJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20233 | PA      | $20014.43     | 0.00%             | 2041-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AVH34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102264 | PA      | $100462.55    | 0.00%             | 2027-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                           | Freddie Mac Whole Loan Securities Trust 2016-SC01                               | CUSIP: 3137G1AW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    804034 | PA      | $741326.59    | 0.01%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                           | Freddie Mac Whole Loan Securities Trust                                         | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7059172 | PA      | $6218186.72   | 0.10%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                           | Freddie Mac Whole Loan Securities Trust 2017-SC02                               | CUSIP: 3137G1BV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435166 | PA      | $399106.55    | 0.01%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HAD29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8741000 | PA      | $8919619.28   | 0.14%             | 2031-10-25      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HAMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5968000 | PA      | $6197210.89   | 0.10%             | 2031-06-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HBC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15306000 | PA      | $15720548.32  | 0.25%             | 2031-10-25      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HFQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12260524 | PA      | $12115759.46  | 0.20%             | 2054-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HFW92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19494517 | PA      | $19309688.99  | 0.31%             | 2054-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HHH87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12086744 | PA      | $11961967.42  | 0.19%             | 2054-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HJSZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10279054 | PA      | $10372703.85  | 0.17%             | 2055-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HLKD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17874009 | PA      | $18092444.33  | 0.29%             | 2054-09-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HM3Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5826656 | PA      | $5905465.14   | 0.10%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HMP20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13902547 | PA      | $13873789.53  | 0.22%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HP2L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10098182 | PA      | $9994512.19   | 0.16%             | 2032-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HQLZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18474151 | PA      | $17887260.30  | 0.29%             | 2054-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WKZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6550 | PA      | $6264.89      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac REMICS                                                              | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82143 | PA      | $84399.53     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae REMICS                                                               | CUSIP: 31397NGR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257645 | PA      | $214093.56    | 0.00%             | 2039-03-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140GTA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7977068 | PA      | $7760182.36   | 0.13%             | 2046-06-01      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140GTAZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4048098 | PA      | $3952105.87   | 0.06%             | 2047-04-01      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140J8YW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1261325 | PA      | $1239884.36   | 0.02%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JBVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3739180 | PA      | $3620290.16   | 0.06%             | 2051-07-01      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JBZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2922662 | PA      | $2426076.65   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JCPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10798702 | PA      | $9606459.91   | 0.15%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140K6DC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3164719 | PA      | $3232713.02   | 0.05%             | 2048-03-01      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KHTG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5346 | PA      | $5098.34      | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KHUP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405983 | PA      | $387155.50    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LGWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8922000 | PA      | $8629438.34   | 0.14%             | 2032-08-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MCBC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8049273 | PA      | $7279762.33   | 0.12%             | 2052-02-01      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NXMK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18830000 | PA      | $18981037.31  | 0.31%             | 2030-02-01      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NYC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22990000 | PA      | $23289667.06  | 0.38%             | 2030-04-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NYNQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11823000 | PA      | $11980704.63  | 0.19%             | 2030-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q0DR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332426 | PA      | $345864.40    | 0.01%             | 2032-11-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QMN83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4351472 | PA      | $4174963.73   | 0.07%             | 2051-11-01      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QMRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25927983 | PA      | $22807912.13  | 0.37%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QNL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16829126 | PA      | $14240110.32  | 0.23%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XM3W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1451049 | PA      | $1371444.83   | 0.02%             | 2032-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XMBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2357226 | PA      | $2000925.49   | 0.03%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XMY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16484772 | PA      | $13948732.56  | 0.22%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XPM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20037381 | PA      | $16954803.51  | 0.27%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XPTP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17443865 | PA      | $14704113.07  | 0.24%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XPXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14235308 | PA      | $11978867.46  | 0.19%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 31418CZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2316568 | PA      | $2271504.03   | 0.04%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 31418D2Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    656248 | PA      | $629803.32    | 0.01%             | 2031-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3644461 | PA      | $3676295.14   | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2748042 | PA      | $2808026.80   | 0.05%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                        | Fannie Mae Pool                                                                 | CUSIP: 31418FT64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9146759 | PA      | $9194817.07   | 0.15%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3142J6C84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9375192 | PA      | $9246903.53   | 0.15%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3142J6CA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16965924 | PA      | $17049137.74  | 0.27%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                       | Freddie Mac Pool                                                                | CUSIP: 3142JCCB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10450646 | PA      | $10204083.70  | 0.16%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                                          | Ferguson Enterprises Inc                                                        | CUSIP: 31488VAB3<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7378800.00   | 0.12%             | 2031-03-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                | Ellington Financial Mortgage Trust 2022-1                                       | CUSIP: 31573CAA3<br>LEI: 254900UDLJF220C8I638 | Long             | ABS-MBS          | CORP              | US        |  14267720 | PA      | $12649983.08  | 0.20%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                | Ellington Financial Mortgage Trust 2019-2                                       | CUSIP: 31573TAA6<br>LEI: 254900UDLJF220C8I638 | Long             | ABS-MBS          | CORP              | US        |   1277830 | PA      | $1245533.14   | 0.02%             | 2059-11-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| FIDELIS INSUR HLD LTD                                             | Fidelis Insurance Holdings Ltd                                                  | CUSIP: 31575FAA4<br>LEI: 549300CDMGCAGJQ7DX03 | Long             | DBT              | CORP              | BM        |  17031000 | PA      | $16629068.40  | 0.27%             | 2030-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                                           | Fidelity National Information Services Inc                                      | CUSIP: 31620MCA2<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |   2460000 | PA      | $2452816.80   | 0.04%             | 2028-03-10      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                                           | Fidelity National Information Services Inc                                      | CUSIP: 31620MCD6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2487750.00   | 0.04%             | 2029-03-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                                           | Fidelity National Financial Inc                                                 | CUSIP: 31620RAK1<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |  12517000 | PA      | $11049757.26  | 0.18%             | 2031-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL                                          | First American Financial Corp                                                   | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |   4316000 | PA      | $4120873.64   | 0.07%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL                                          | First American Financial Corp                                                   | CUSIP: 31847RAH5<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |   2261000 | PA      | $1947534.96   | 0.03%             | 2031-08-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                          | FirstEnergy Transmission LLC                                                    | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   2585000 | PA      | $2582518.40   | 0.04%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                                          | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 33767QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4820000 | PA      | $4802744.40   | 0.08%             | 2031-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                        | Flagship Credit Auto Trust 2022-1                                               | CUSIP: 33845VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1002081 | PA      | $999501.04    | 0.02%             | 2028-03-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                        | Flagship Credit Auto Trust 2020-4                                               | CUSIP: 33845XAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5296907 | PA      | $5261995.54   | 0.08%             | 2028-07-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                           | Flagstar Mortgage Trust 2017-1                                                  | CUSIP: 33850BAT4<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    775112 | PA      | $713798.43    | 0.01%             | 2047-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FLOWERS FOODS INC                                                 | Flowers Foods Inc                                                               | CUSIP: 343498AD3<br>LEI: 7YNCQQNDK8FBM9BBTK25 | Long             | DBT              | CORP              | US        |  15293000 | PA      | $14589674.93  | 0.24%             | 2035-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS                                          | Fortitude Group Holdings LLC                                                    | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |   6453000 | PA      | $6571735.20   | 0.11%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GLOBAL FUNDING                                          | Fortitude Global Funding                                                        | CUSIP: 34967GAA2<br>LEI: 635400TKBOGEHNO5RT68 | Long             | DBT              | CORP              | US        |   4386000 | PA      | $4343455.80   | 0.07%             | 2028-10-06      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                          | Foundation Finance Trust 2021-1                                                 | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   6516186 | PA      | $6142389.26   | 0.10%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                          | Foundation Finance Trust 2021-2                                                 | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |   4546820 | PA      | $4306291.92   | 0.07%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1                   | CUSIP: 35563P7E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13052012 | PA      | $11248007.51  | 0.18%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-1                   | CUSIP: 35563PAP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3352747 | PA      | $3173314.87   | 0.05%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3                   | CUSIP: 35563PBY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5792779 | PA      | $5486990.39   | 0.09%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4                          | CUSIP: 35563PDD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6007488 | PA      | $5443997.02   | 0.09%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1                   | CUSIP: 35563PDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3449581 | PA      | $3245298.51   | 0.05%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                   | CUSIP: 35563PFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7242828 | PA      | $6909868.16   | 0.11%             | 2057-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                   | CUSIP: 35563PGB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9178765 | PA      | $8594672.60   | 0.14%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                   | CUSIP: 35563PGG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5588005 | PA      | $5418223.24   | 0.09%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4                   | CUSIP: 35563PHA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8017152 | PA      | $7514218.77   | 0.12%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                   | CUSIP: 35563PJF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14915386 | PA      | $14419959.63  | 0.23%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                   | CUSIP: 35563PKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16025919 | PA      | $15413790.86  | 0.25%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7036753 | PA      | $6816912.21   | 0.11%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                   | CUSIP: 35563PML0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12496835 | PA      | $11722382.34  | 0.19%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-1                   | CUSIP: 35563PNP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1988905 | PA      | $1853446.64   | 0.03%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-2                   | CUSIP: 35563PQP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15380522 | PA      | $13787673.87  | 0.22%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1                   | CUSIP: 35563PR43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7123607 | PA      | $5926056.02   | 0.10%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-3                   | CUSIP: 35563PSB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3101752 | PA      | $2421346.85   | 0.04%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-3                   | CUSIP: 35563PSC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8765525 | PA      | $7848157.61   | 0.13%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2                   | CUSIP: 35563PX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6485628 | PA      | $5652475.33   | 0.09%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                                | Seasoned Loans Structured Transaction Trust Series 2019-2                       | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11487693 | PA      | $11024888.25  | 0.18%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                                | Seasoned Loans Structured Transaction Trust Series 2019-3                       | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1851996 | PA      | $1776400.35   | 0.03%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                                | Seasoned Loans Structured Transaction Trust Series 2020-2                       | CUSIP: 35564CGN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26541667 | PA      | $24713801.74  | 0.40%             | 2030-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                                | Seasoned Loans Structured Transaction Trust Series 2020-2                       | CUSIP: 35564CGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16550136 | PA      | $15344647.63  | 0.25%             | 2030-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freedom Financial                                                 | FREED ABS Trust 2022-3FP                                                        | CUSIP: 35634EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1251797 | PA      | $1253429.99   | 0.02%             | 2029-08-20      | Fixed         | 7.36%                 | No            |                  2 | On Loan: No      |
| Freedom Financial                                                 | FREED ABS Trust 2022-4FP                                                        | CUSIP: 35634JAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151089 | PA      | $151089.02    | 0.00%             | 2029-12-18      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA Global Funding Trust                                                         | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   6479000 | PA      | $6367885.15   | 0.10%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA Global Funding Trust                                                         | CUSIP: 36143L2V6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3372670.00   | 0.05%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                                              | GCAT 2021-CM2 Trust                                                             | CUSIP: 36167AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11013583 | PA      | $10354440.32  | 0.17%             | 2066-08-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GCAT                                                              | GCAT 2019-NQM3 Trust                                                            | CUSIP: 36167VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1517630 | PA      | $1484578.57   | 0.02%             | 2059-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GCAT                                                              | GCAT 2021-CM1 Trust                                                             | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4637594 | PA      | $4477238.87   | 0.07%             | 2065-04-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GCAT                                                              | GCAT 2021-NQM4 Trust                                                            | CUSIP: 36168HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9729450 | PA      | $8059398.18   | 0.13%             | 2066-08-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Ginnie Mae II Pool                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  97775089 | PA      | $87293618.13  | 1.41%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Ginnie Mae II Pool                                                              | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13590169 | PA      | $12146607.96  | 0.20%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Ginnie Mae II Pool                                                              | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  58833636 | PA      | $52556943.77  | 0.85%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GABELLI DVD & INC TR                                              | Gabelli Dividend & Income Trust/The                                             | CUSIP: 36242H872<br>LEI: 549300082N1MHBT8NI60 | Long             | EP               | CORP              | US        |      1162 | NS      | $27961206.00  | 0.45%             |  |  |  | No            |                  3 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                               | GS Mortgage-Backed Securities Corp Trust 2020-PJ2                               | CUSIP: 36262DAT5<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |   4733496 | PA      | $4169279.47   | 0.07%             | 2050-07-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                                        | GLS Auto Receivables Issuer Trust 2021-4                                        | CUSIP: 36263DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6964052 | PA      | $6934039.09   | 0.11%             | 2027-10-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                             | Haleon US Capital LLC                                                           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |  18500000 | PA      | $18324805.00  | 0.30%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                                        | GLS Auto Receivables Issuer Trust 2022-2                                        | CUSIP: 36265NAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7737250 | PA      | $7783294.76   | 0.13%             | 2028-04-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                            | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAD9<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |  15439000 | PA      | $15335713.09  | 0.25%             | 2028-12-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                               | GS Mortgage-Backed Securities Trust 2024-RPL2                                   | CUSIP: 36269MAA9<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   4183586 | PA      | $4128672.82   | 0.07%             | 2061-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                                        | GLS Auto Receivables Issuer Trust 2025-4                                        | CUSIP: 36273HAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7604000 | PA      | $7608968.83   | 0.12%             | 2028-10-16      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                      | GSMS Trust 2026-DAWN                                                            | CUSIP: 36274LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3900000 | PA      | $3897773.06   | 0.06%             | 2043-04-10      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                               | GS Mortgage-Backed Securities Trust 2023-CCM1                                   | CUSIP: 362918AA2<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |   7274015 | PA      | $7259080.40   | 0.12%             | 2053-08-25      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                               | GS Mortgage-Backed Securities Trust 2023-PJ2                                    | CUSIP: 362938AG7<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   3064431 | PA      | $3062615.16   | 0.05%             | 2053-05-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                               | GS Mortgage-Backed Securities Trust 2024-RPL4                                   | CUSIP: 362948AA9<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   3445294 | PA      | $3419519.07   | 0.06%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                            | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAA8<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |   4870742 | PA      | $4735530.36   | 0.08%             | 2027-09-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                            | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |  16596234 | PA      | $14693973.22  | 0.24%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| GEN LUX SARL/GEN USA INC                                          | Genpact Luxembourg SARL/Genpact USA Inc                                         | CUSIP: 37190AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   5335000 | PA      | $5330145.15   | 0.09%             | 2026-04-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GENPACT UK/USA INC                                                | Genpact UK Finco plc / Genpact USA Inc                                          | CUSIP: 37256EAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2350000 | PA      | $2304809.50   | 0.04%             | 2030-11-18      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | Global Payments Inc                                                             | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  12098000 | PA      | $11985851.54  | 0.19%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | Global Payments Inc                                                             | CUSIP: 37940XBA9<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1612985.40   | 0.03%             | 2028-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | Global Payments Inc                                                             | CUSIP: 37940XBB7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3418870.00   | 0.06%             | 2033-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC FIN CO                                            | Global Atlantic Fin Co                                                          | CUSIP: 37959GAA5<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |   5200000 | PA      | $5026424.00   | 0.08%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr                 | GM Financial Consumer Automobile Receivables Trust 2023-4                       | CUSIP: 379930AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6411340 | PA      | $6465075.98   | 0.10%             | 2028-08-16      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1808388.00   | 0.03%             | 2028-04-23      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYH1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10881000 | PA      | $10892425.05  | 0.18%             | 2027-09-10      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust                       | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                           | CUSIP: 38149XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2037131 | PA      | $2012694.80   | 0.03%             | 2051-06-25      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust                       | Goldman Home Improvement Trust 2022-GRN1 Issuer Trust                           | CUSIP: 38150YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1552121 | PA      | $1551415.63   | 0.03%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                   | Goodgreen 2020-1 Trust                                                          | CUSIP: 38217TAA3<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |   8072724 | PA      | $6839338.10   | 0.11%             | 2055-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                   | Goodgreen 2021-1 Trust                                                          | CUSIP: 38217UAA0<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |  13156974 | PA      | $10909392.13  | 0.18%             | 2056-10-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust                  | GoodLeap Sustainable Home Solutions Trust 2021-3                                | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12039327 | PA      | $9298922.76   | 0.15%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust                  | GoodLeap Sustainable Home Solutions Trust 2021-4                                | CUSIP: 38237GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15705501 | PA      | $12207038.63  | 0.20%             | 2048-07-20      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust                  | GoodLeap Sustainable Home Solutions Trust 2021-5                                | CUSIP: 38237HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6577335 | PA      | $5099649.63   | 0.08%             | 2048-10-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                                        | CUSIP: 38381JLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22529595 | PA      | $21586822.38  | 0.35%             | 2065-01-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                                        | CUSIP: 38381NXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12804163 | PA      | $11647361.36  | 0.19%             | 2051-06-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                                        | CUSIP: 38381QG96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10830218 | PA      | $10877109.29  | 0.18%             | 2065-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                                        | CUSIP: 38382NKQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5738055 | PA      | $4442534.24   | 0.07%             | 2051-02-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                                        | CUSIP: 38383BF98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17871871 | PA      | $17680481.80  | 0.29%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                                        | CUSIP: 38385FJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9541303 | PA      | $9302718.60   | 0.15%             | 2054-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                                          | Graphic Packaging International LLC                                             | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |   7623000 | PA      | $7612327.80   | 0.12%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                             | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12955000 | PA      | $12710409.60  | 0.21%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                                          | Greensaif Pipelines Bidco Sarl                                                  | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |   4160000 | PA      | $4172771.20   | 0.07%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                            | GreenSky Home Improvement Trust 2024-1                                          | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    619218 | PA      | $622298.75    | 0.01%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                            | GreenSky Home Improvement Issuer Trust 2025-2                                   | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4254238 | PA      | $4267478.40   | 0.07%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                            | GreenSky Home Improvement Issuer Trust 2024-2                                   | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    417891 | PA      | $418845.82    | 0.01%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited                   | HOMES 2024-NQM1 Trust                                                           | CUSIP: 40390TAA8<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |   3143748 | PA      | $3160366.99   | 0.05%             | 2069-07-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA Inc                                                                         | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   9875000 | PA      | $9879641.25   | 0.16%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC Holdings PLC                                                               | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2996370.00   | 0.05%             | 2029-06-19      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC Holdings PLC                                                               | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   6500000 | PA      | $6531785.00   | 0.11%             | 2027-08-14      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   6100000 | PA      | $6204859.00   | 0.10%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                            | Harvest SBA Loan Trust 2024-1                                                   | CUSIP: 41756NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4163122 | PA      | $4202912.31   | 0.07%             | 2051-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loan trust                             | Harvest Commercial Capital Loan Trust 2024-1                                    | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12285350 | PA      | $12489752.75  | 0.20%             | 2056-10-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                                              | Hercules Capital Inc                                                            | CUSIP: 427096AH5<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |  14120000 | PA      | $13921331.60  | 0.22%             | 2026-09-16      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                                              | Hercules Capital Inc                                                            | CUSIP: 427096AJ1<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |   7458000 | PA      | $7319206.62   | 0.12%             | 2027-01-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                | HERO Funding Trust 2015-1                                                       | CUSIP: 42770LAA1<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |   1429507 | PA      | $1361406.20   | 0.02%             | 2040-09-21      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                | HERO Funding Trust 2017-2                                                       | CUSIP: 42771LAB8<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |    312229 | PA      | $287270.84    | 0.00%             | 2048-09-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                                  | Hewlett Packard Enterprise Co                                                   | CUSIP: 42824CBZ1<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   5406000 | PA      | $5362427.64   | 0.09%             | 2028-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                                  | Hewlett Packard Enterprise Co                                                   | CUSIP: 42824CCC1<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   7353000 | PA      | $7353735.30   | 0.12%             | 2028-03-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HIGHMARK INC                                                      | Highmark Inc                                                                    | CUSIP: 431116AD4<br>LEI: 549300B6868ZXXEB2Y57 | Long             | DBT              | CORP              | US        |  20542000 | PA      | $20457983.22  | 0.33%             | 2026-05-10      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                      | Hilton Grand Vacations Trust 2020-A                                             | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279989 | PA      | $275958.33    | 0.00%             | 2039-02-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited                   | HOMES 2023-NQM1 Trust                                                           | CUSIP: 43761JAA5<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |   5612574 | PA      | $5598873.92   | 0.09%             | 2068-01-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                               | Homeward Opportunities Fund Trust 2024-RRTL2                                    | CUSIP: 43789GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8276477 | PA      | $8280647.53   | 0.13%             | 2039-09-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| HORACE MANN EDUCATORS CO                                          | Horace Mann Educators Corp                                                      | CUSIP: 440327AL8<br>LEI: 254900G5YAV3A2YK8T32 | Long             | DBT              | CORP              | US        |   2452000 | PA      | $2587571.08   | 0.04%             | 2028-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HORACE MANN EDUCATORS CO                                          | Horace Mann Educators Corp                                                      | CUSIP: 440327AM6<br>LEI: 254900G5YAV3A2YK8T32 | Long             | DBT              | CORP              | US        |  14131000 | PA      | $13920589.41  | 0.22%             | 2030-10-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                      | Hudson Yards 2019-55HY Mortgage Trust                                           | CUSIP: 44421MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5870000 | PA      | $5493318.99   | 0.09%             | 2041-12-10      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                                          | Huntington Ingalls Industries Inc                                               | CUSIP: 446413AL0<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   2640000 | PA      | $2598578.40   | 0.04%             | 2027-12-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | Hyundai Capital America                                                         | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1436565.15   | 0.02%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | Hyundai Capital America                                                         | CUSIP: 44891ACX3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2015160.00   | 0.03%             | 2027-03-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | Hyundai Capital America                                                         | CUSIP: 44891ADA2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $4109389.00   | 0.07%             | 2026-06-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | Hyundai Capital America                                                         | CUSIP: 44891ADP9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5016000.00   | 0.08%             | 2027-03-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | Hyundai Capital America                                                         | CUSIP: 44891AEK9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   4302000 | PA      | $4302669.91   | 0.07%             | 2029-04-06      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                                      | Illumina Inc                                                                    | CUSIP: 452327AQ2<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   4081000 | PA      | $4081897.82   | 0.07%             | 2026-09-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                                      | Illumina Inc                                                                    | CUSIP: 452327AR0<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   9552000 | PA      | $9502520.64   | 0.15%             | 2030-12-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                           | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    230000 | PA      | $229307.70    | 0.00%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                           | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAG8<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |  16500000 | PA      | $16921410.00  | 0.27%             | 2030-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                           | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $5003500.00   | 0.08%             | 2028-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                 | Imperial Fund Mortgage Trust 2021-NQM3                                          | CUSIP: 452762AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12434169 | PA      | $10698941.78  | 0.17%             | 2056-11-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                 | Imperial Fund Mortgage Trust 2022-NQM1                                          | CUSIP: 452766AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26964929 | PA      | $25096320.45  | 0.40%             | 2067-02-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                 | Imperial Fund Mortgage Trust 2021-NQM4                                          | CUSIP: 45276JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16093994 | PA      | $14317872.43  | 0.23%             | 2057-01-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                 | Imperial Fund Mortgage Trust 2022-NQM4                                          | CUSIP: 45276NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20639568 | PA      | $20566402.88  | 0.33%             | 2067-06-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                 | Imperial Fund Mortgage Trust 2022-NQM2                                          | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17543661 | PA      | $16881587.66  | 0.27%             | 2067-03-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                 | Imperial Fund Mortgage Trust 2023-NQM1                                          | CUSIP: 45290BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1066939 | PA      | $1064793.01   | 0.02%             | 2068-02-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                 | Imperial Fund Mortgage Trust 2023-NQM1                                          | CUSIP: 45290BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1682012 | PA      | $1679245.09   | 0.03%             | 2068-02-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| InStar Leasing V, LLC                                             | InStar Leasing III LLC                                                          | CUSIP: 45783NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8010566 | PA      | $7642402.72   | 0.12%             | 2054-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                          | Interstate Power and Light Co                                                   | CUSIP: 461070AV6<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |   4747000 | PA      | $4673089.21   | 0.08%             | 2034-09-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                                 | ITC Holdings Corp                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1883000 | PA      | $1760322.55   | 0.03%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                                 | ITC Holdings Corp                                                               | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |  12703000 | PA      | $12764482.52  | 0.21%             | 2027-09-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                                 | ITC Holdings Corp                                                               | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $12328560.00  | 0.20%             | 2034-05-09      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                                 | ITC Holdings Corp                                                               | CUSIP: 465685AU9<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2000100.00   | 0.03%             | 2031-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2019-5                                                 | CUSIP: 46591FBA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   6940333 | PA      | $6640550.64   | 0.11%             | 2049-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2025-CCM1                                              | CUSIP: 46593MAE7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  12220114 | PA      | $12153326.13  | 0.20%             | 2055-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2022-LTV1                                              | CUSIP: 465976AA6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  10713127 | PA      | $9409909.31   | 0.15%             | 2052-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2014-IVR3                                              | CUSIP: 46643BBC4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    855695 | PA      | $854481.40    | 0.01%             | 2044-09-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $3011454.40   | 0.05%             | 2028-05-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2018-3                                                 | CUSIP: 46649TAZ9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2031428 | PA      | $1826355.76   | 0.03%             | 2048-09-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2018-6                                                 | CUSIP: 46650JAT1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    826320 | PA      | $767733.99    | 0.01%             | 2048-12-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2019-INV2                                              | CUSIP: 46651DBF2<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   8376103 | PA      | $7361043.78   | 0.12%             | 2050-02-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2019-HYB1                                              | CUSIP: 46651FAT8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   4959968 | PA      | $4986789.28   | 0.08%             | 2049-10-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | J.P. Morgan Mortgage Trust 2021-LTV2                                            | CUSIP: 46654VAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  28706629 | PA      | $23842893.44  | 0.38%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2022-2                                                 | CUSIP: 46655DAH5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  22158479 | PA      | $20543624.84  | 0.33%             | 2052-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | J.P. Morgan Mortgage Trust 2022-DSC1                                            | CUSIP: 46656AAA5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   6615052 | PA      | $6522470.04   | 0.11%             | 2063-01-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2024-11                                                | CUSIP: 46659AAD6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  14879681 | PA      | $14915223.23  | 0.24%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL                                          | Jackson National Life Global Funding                                            | CUSIP: 46849LUY5<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   8153000 | PA      | $8210967.83   | 0.13%             | 2028-04-12      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                           | Jersey Central Power & Light Co                                                 | CUSIP: 476556DG7<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   6800000 | PA      | $6702284.00   | 0.11%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| City of Jersey City NJ                                            | JERSEY CITY NJ                                                                  | CUSIP: 476576VW0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  10725000 | PA      | $10751576.55  | 0.17%             | 2026-07-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper Inc                                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271KDW1<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | STIV             | CORP              | US        |   8000000 | PA      | $7972224.44   | 0.13%             | 2026-04-30      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VAZ3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   5750000 | PA      | $5728322.50   | 0.09%             | 2028-05-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VBA7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   8757000 | PA      | $8665051.50   | 0.14%             | 2030-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EAST CORP                                             | KeySpan Gas East Corp                                                           | CUSIP: 49338CAD5<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |   3492000 | PA      | $3645578.16   | 0.06%             | 2033-03-06      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                              | Kyndryl Holdings Inc                                                            | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |  14388000 | PA      | $14134771.20  | 0.23%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                  | LPL Holdings Inc                                                                | CUSIP: 50212YAF1<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   6885000 | PA      | $6600374.10   | 0.11%             | 2031-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                  | LPL Holdings Inc                                                                | CUSIP: 50212YAN4<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   9457000 | PA      | $9491801.76   | 0.15%             | 2028-04-03      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| LSEG US FIN CORP                                                  | Lseg US Fin Corp                                                                | CUSIP: 50222CAD2<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |   7055000 | PA      | $7003498.50   | 0.11%             | 2029-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                                           | Laboratory Corp of America Holdings                                             | CUSIP: 50540RAX0<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |   4855000 | PA      | $4831501.80   | 0.08%             | 2026-06-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                                           | Laboratory Corp of America Holdings                                             | CUSIP: 50540RBA9<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |   5640000 | PA      | $5566003.20   | 0.09%             | 2032-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                                     | Lendbuzz Securitization Trust 2026-1                                            | CUSIP: 525952AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5824133 | PA      | $5822671.55   | 0.09%             | 2027-01-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                            | Lendmark Funding Trust 2021-1                                                   | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    870000 | PA      | $852056.29    | 0.01%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                                     | Lendbuzz Securitization Trust 2023-2                                            | CUSIP: 52608MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    992560 | PA      | $1002578.36   | 0.02%             | 2028-10-16      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                                     | Lendbuzz Securitization Trust 2024-3                                            | CUSIP: 52609YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3595040 | PA      | $3593776.82   | 0.06%             | 2029-10-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Lex Commercial Loan Master Trust                                  | LEX 2024-BBG Mortgage Trust                                                     | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3740000 | PA      | $3728213.24   | 0.06%             | 2033-10-13      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| LIBERTY UTILITIES CO                                              | Liberty Utilities Co                                                            | CUSIP: 531542AA6<br>LEI: 549300UN1FEYPC5BKW09 | Long             | DBT              | CORP              | US        |   5240000 | PA      | $5338826.40   | 0.09%             | 2029-01-31      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| LIBERTY UTILITIES FIN                                             | Liberty Utilities Finance GP 1                                                  | CUSIP: 531546AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9518000 | PA      | $8541358.02   | 0.14%             | 2030-09-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| LINCOLN FIN GLBL FUNDING                                          | Lincoln Financial Global Funding                                                | CUSIP: 53359KAB7<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |   6838000 | PA      | $6833418.54   | 0.11%             | 2028-05-28      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP                                             | Lincoln National Corp                                                           | CUSIP: 534187BY4<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |   4881000 | PA      | $4360856.92   | 0.07%             | 2030-08-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| LINEAGE OP LP                                                     | Lineage OP LP                                                                   | CUSIP: 53567YAB5<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              |  | US        |   9424000 | PA      | $9407790.72   | 0.15%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                           | Loanpal Solar Loan 2021-1 Ltd                                                   | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17183778 | PA      | $13084494.17  | 0.21%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Lobel Automobile Receivables Trust                                | Lobel Automobile Receivables Trust 2023-2                                       | CUSIP: 53949FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1389632 | PA      | $1393646.98   | 0.02%             | 2029-05-15      | Fixed         | 8.67%                 | No            |                  2 | On Loan: No      |
| M&T Equipment Notes                                               | M&T Equipment 2023-LEAF1 Notes                                                  | CUSIP: 551925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5230694 | PA      | $5251943.92   | 0.08%             | 2030-07-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2021-INV2 Trust                                                             | CUSIP: 552732AA7<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |  15518038 | PA      | $14054772.12  | 0.23%             | 2056-11-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2021-INV1 Trust                                                             | CUSIP: 552747AA5<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    678144 | PA      | $660644.41    | 0.01%             | 2056-01-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2020-NQM2 Trust                                                             | CUSIP: 552751AA7<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   2157243 | PA      | $2077856.33   | 0.03%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2020-NQM3 Trust                                                             | CUSIP: 552757AA4<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   1232216 | PA      | $1164999.15   | 0.02%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2022-CHM1 Trust                                                             | CUSIP: 552758AA2<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |  13680351 | PA      | $13522272.20  | 0.22%             | 2056-09-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2021-AEINV1 Trust                                                           | CUSIP: 55284FAF4<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |  13783664 | PA      | $12075656.27  | 0.19%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2022-INV3 Trust                                                             | CUSIP: 55284PAE5<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |  13129000 | PA      | $12143785.14  | 0.20%             | 2066-12-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2022-INV1 Trust                                                             | CUSIP: 55284TAC1<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   4995000 | PA      | $4600820.12   | 0.07%             | 2066-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2022-NQM2 Trust                                                             | CUSIP: 55285QAA0<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   4647801 | PA      | $4604700.59   | 0.07%             | 2067-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2023-NQM3 Trust                                                             | CUSIP: 55286MAA8<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   1338324 | PA      | $1340005.71   | 0.02%             | 2068-07-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                        | MFA 2024-RPL1 Trust                                                             | CUSIP: 55287AAA3<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   8314415 | PA      | $8053551.10   | 0.13%             | 2066-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| MMP Capital                                                       | MMP Capital 2025-A LLC                                                          | CUSIP: 55317QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2640983 | PA      | $2653613.09   | 0.04%             | 2031-12-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                          | MSCI Inc                                                                        | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   6850000 | PA      | $6648267.50   | 0.11%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MA'ADEN SUKUK LTD                                                 | Ma'aden Sukuk Ltd                                                               | CUSIP: 55407NAA0<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | CORP              | KY        |  17475000 | PA      | $17557132.50  | 0.28%             | 2030-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MAIN STREET CAPITAL CORP                                          | Main Street Capital Corp                                                        | CUSIP: 56035LAE4<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |  14195000 | PA      | $14098615.95  | 0.23%             | 2026-07-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MAIN STREET CAPITAL CORP                                          | Main Street Capital Corp                                                        | CUSIP: 56035LAJ3<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3028230.00   | 0.05%             | 2027-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MAIN STREET CAPITAL CORP                                          | Main Street Capital Corp                                                        | CUSIP: 56035LAK0<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4471605.00   | 0.07%             | 2028-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                    | Manhattan West 2020-1MW Mortgage Trust                                          | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5769500 | PA      | $5558839.23   | 0.09%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                            | Marlette Funding Trust 2025-1                                                   | CUSIP: 570920AA6<br>LEI: 549300JRCMNFIBT50883 | Long             | ABS-O            | CORP              | US        |   2724179 | PA      | $2725861.53   | 0.04%             | 2035-07-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                            | Marlette Funding Trust 2023-2                                                   | CUSIP: 57109LAC7<br>LEI: 549300JRCMNFIBT50883 | Long             | ABS-O            | CORP              | US        |    285570 | PA      | $286002.24    | 0.00%             | 2033-06-15      | Fixed         | 6.96%                 | No            |                  2 | On Loan: No      |
| MERCURY GENERAL CORP                                              | Mercury General Corp                                                            | CUSIP: 589400AB6<br>LEI: 5493001Q9EXPCEL4W527 | Long             | DBT              | CORP              | US        |   2901000 | PA      | $2880925.08   | 0.05%             | 2027-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                        | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9800000 | PA      | $9810118.40   | 0.16%             | 2029-07-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                            | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4                      | CUSIP: 59020ULT0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     70212 | PA      | $66610.90     | 0.00%             | 2034-08-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| METALLOINVEST FINANCE                                             | Metalloinvest Finance DAC                                                       | CUSIP: 59126LAB4<br>LEI: 635400ZS3HCCUYTNHA25 | Long             | DBT              | CORP              | IE        |  12700000 | PA      | $6334379.00   | 0.10%             | 2028-10-22      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                                      | METLIFE SECURITIZATION TRUST 2019-1                                             | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455701 | PA      | $454131.41    | 0.01%             | 2058-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MIDWEST CONNECTOR CAPIT                                           | Midwest Connector Capital Co LLC                                                | CUSIP: 59833CAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13090000 | PA      | $13018790.40  | 0.21%             | 2029-04-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                          | Mill City Mortgage Loan Trust 2023-NQM1                                         | CUSIP: 59980DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9809992 | PA      | $9784982.71   | 0.16%             | 2067-10-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                          | Mill City Securities 2024-RS1 Ltd                                               | CUSIP: 599920AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4676513 | PA      | $4520118.14   | 0.07%             | 2069-11-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                            | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   3285000 | PA      | $3306779.55   | 0.05%             | 2028-07-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| MOLEX ELECTRONICS TECH                                            | Molex Electronic Technologies LLC                                               | CUSIP: 60856BAE4<br>LEI: 549300WTBVUFUPSIWI20 | Long             | DBT              | CORP              | US        |   3823000 | PA      | $3838444.92   | 0.06%             | 2028-04-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Momnt Technologies Trust                                          | Momnt Technologies Trust 2023-1                                                 | CUSIP: 608934AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452753 | PA      | $454582.59    | 0.01%             | 2045-03-20      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                            | Morgan Stanley Bank NA                                                          | CUSIP: 61690DK72<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |   3740000 | PA      | $3780092.80   | 0.06%             | 2029-01-12      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                         | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22                     | CUSIP: 61690FAM5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    157057 | PA      | $155707.54    | 0.00%             | 2048-04-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | Morgan Stanley                                                                  | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3788000 | PA      | $3822508.68   | 0.06%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                    | Morgan Stanley Capital I Trust 2024-BPR2                                        | CUSIP: 61776EAA1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   7579015 | PA      | $7926200.88   | 0.13%             | 2029-05-05      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                    | Morgan Stanley Residential Mortgage Loan Trust 2024-RPL1                        | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12543137 | PA      | $12436248.42  | 0.20%             | 2064-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                            | Mosaic Solar Loan Trust 2019-1                                                  | CUSIP: 61946CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    706989 | PA      | $669432.03    | 0.01%             | 2043-12-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                            | Mosaic Solar Loan Trust 2020-1                                                  | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2358567 | PA      | $2072787.73   | 0.03%             | 2046-04-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                            | Motorola Solutions Inc                                                          | CUSIP: 620076CA5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |   4864000 | PA      | $4897367.04   | 0.08%             | 2030-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| MPOWER Education Trust                                            | MPOWER Education Trust 2024-A                                                   | CUSIP: 62476DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5208004 | PA      | $5309276.75   | 0.09%             | 2041-07-22      | Fixed         | 6.78%                 | No            |                  2 | On Loan: No      |
| MPOWER Education Trust                                            | MPOWER Education Trust 2025-A                                                   | CUSIP: 624930AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6082958 | PA      | $6145011.20   | 0.10%             | 2042-07-21      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                                            | Mutual of Omaha Cos Global Funding                                              | CUSIP: 62829D2B5<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |   7740000 | PA      | $7890078.60   | 0.13%             | 2028-12-12      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                                            | Mutual of Omaha Cos Global Funding                                              | CUSIP: 62829D2D1<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |  13420000 | PA      | $13535143.60  | 0.22%             | 2027-04-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NBK SPC LTD                                                       | NBK SPC Ltd                                                                     | CUSIP: 62877PAB0<br>LEI: 549300P1ANDK86KWB419 | Long             | DBT              | CORP              | AE        |  16283000 | PA      | $16013190.69  | 0.26%             | 2027-09-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                                        | NBN Co Ltd                                                                      | CUSIP: 62878U2A9<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |  20000000 | PA      | $19944200.00  | 0.32%             | 2026-05-05      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| NLG GLOBAL FUNDING                                                | NLG Global Funding                                                              | CUSIP: 62915W2A0<br>LEI: 635400SKBQOWEJZLTW68 | Long             | DBT              | CORP              | US        |  17659000 | PA      | $18078931.02  | 0.29%             | 2030-01-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                                  | NMEF Funding 2025-B LLC                                                         | CUSIP: 62919WAB5<br>LEI: 549300LKWL3P0UPHKL72 | Long             | ABS-O            | CORP              | US        |   4785255 | PA      | $4799893.53   | 0.08%             | 2033-01-18      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                          | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 63743HGC0<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |   4571000 | PA      | $4525198.58   | 0.07%             | 2030-12-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                        | Navient Student Loan Trust 2014-1                                               | CUSIP: 63938EAC8<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |   2370603 | PA      | $2344056.82   | 0.04%             | 2031-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                        | Navient Private Education Refi Loan Trust 2019-D                                | CUSIP: 63941CAC7<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   4025686 | PA      | $4014160.33   | 0.06%             | 2059-12-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                        | Navient Student Loan Trust 2019-B                                               | CUSIP: 63941LAC7<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |    480647 | PA      | $478789.12    | 0.01%             | 2059-12-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                        | Navient Private Education Refi Loan Trust 2021-A                                | CUSIP: 63942BAA2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1596858 | PA      | $1462903.37   | 0.02%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                        | Navient Private Education Refi Loan Trust 2022-B                                | CUSIP: 63942PAA1<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |  13554885 | PA      | $13164976.44  | 0.21%             | 2070-10-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                         | Nelnet Student Loan Trust 2013-1                                                | CUSIP: 64033CAA8<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |   1521858 | PA      | $1486460.99   | 0.02%             | 2041-06-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                         | Nelnet Student Loan Trust 2015-2                                                | CUSIP: 64033QAB5<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |  11785752 | PA      | $11342659.09  | 0.18%             | 2042-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                         | Nelnet Student Loan Trust 2015-3                                                | CUSIP: 64033TAC7<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    356686 | PA      | $355880.26    | 0.01%             | 2051-02-27      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                         | Nelnet Student Loan Trust 2021-D                                                | CUSIP: 64034YAA9<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |   7788874 | PA      | $7711049.26   | 0.12%             | 2062-04-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                         | Nelnet Student Loan Trust 2021-C                                                | CUSIP: 64035GAA7<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |   5556470 | PA      | $5500921.30   | 0.09%             | 2062-04-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                         | Nelnet Student Loan Trust 2021-C                                                | CUSIP: 64035GAB5<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |   4195994 | PA      | $3945794.80   | 0.06%             | 2062-04-20      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                                        | NetApp Inc                                                                      | CUSIP: 64110DAM6<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |   6433000 | PA      | $6574847.65   | 0.11%             | 2032-03-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2018-2                                      | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |   2246880 | PA      | $2249921.04   | 0.04%             | 2058-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2017-3                                      | CUSIP: 64828MAA5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   2327609 | PA      | $2262316.02   | 0.04%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2017-5                                      | CUSIP: 64828NAA3<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    160520 | PA      | $162448.76    | 0.00%             | 2057-06-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KBV1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1909133 | PA      | $1876605.92   | 0.03%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   2584397 | PA      | $2485581.34   | 0.04%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2018-RPL1                                   | CUSIP: 64829VAA4<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1373408 | PA      | $1351122.25   | 0.02%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2017-6                                      | CUSIP: 64830BAA5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1123885 | PA      | $1105876.73   | 0.02%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2018-1                                      | CUSIP: 64830GAB2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   1362468 | PA      | $1342620.94   | 0.02%             | 2057-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2024-RTL1                                   | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |  12174000 | PA      | $12184148.25  | 0.20%             | 2039-03-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2022-NQM3                                   | CUSIP: 64831QAA1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |  27628707 | PA      | $26170054.06  | 0.42%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                               | New Residential Mortgage Loan Trust 2024-RPL1                                   | CUSIP: 64832AAA5<br>LEI: 213800YID3SS4UZHT817 | Long             | ABS-MBS          | CORP              | US        |  21061061 | PA      | $19770268.82  | 0.32%             | 2064-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                          | New York Life Global Funding                                                    | CUSIP: 64952WEE9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |  22760000 | PA      | $22765690.00  | 0.37%             | 2026-06-09      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTRIC & GAS                                           | New York State Electric & Gas Corp                                              | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |   9234000 | PA      | $9159758.64   | 0.15%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                              | Niagara Mohawk Power Corp                                                       | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   2965000 | PA      | $2953377.20   | 0.05%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NIPPON LIFE INSURANCE                                             | Nippon Life Insurance Co                                                        | CUSIP: 654579AR2<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |   9800000 | PA      | $9808232.00   | 0.16%             | 2033-04-02      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN CORP                                                 | NorthWestern Corp                                                               | CUSIP: 66807TAA0<br>LEI: 3BPWMBHR1R9SHUN7J795 | Long             | DBT              | CORP              | US        |  16310000 | PA      | $16560684.70  | 0.27%             | 2030-03-21      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                                       | Continental Finance Credit Card ABS Master Trust                                | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10050460.70  | 0.16%             | 2032-12-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                            | NYC Commercial Mortgage Trust 2021-909                                          | CUSIP: 67076XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4900000 | PA      | $4220330.60   | 0.07%             | 2043-04-10      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                          | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |  20622176 | PA      | $17752358.83  | 0.29%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| OCCU Auto Receivables Trust                                       | OCCU Auto Receivables Trust 2022-1                                              | CUSIP: 67115YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1080524 | PA      | $1087630.59   | 0.02%             | 2029-11-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                          | OBX 2024-NQM4 Trust                                                             | CUSIP: 67118TAA2<br>LEI: 254900LSNFNEGAD7J679 | Long             | ABS-MBS          | CORP              | US        |   4806240 | PA      | $4832133.54   | 0.08%             | 2064-01-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                          | OBX 2024-NQM11 Trust                                                            | CUSIP: 67119EAA4<br>LEI: 254900F5LT8CA1U6PK21 | Long             | ABS-MBS          | CORP              | US        |   2755114 | PA      | $2771863.78   | 0.04%             | 2064-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                           | NYMT Loan Trust Series 2024-BPL2                                                | CUSIP: 67120TAA8<br>LEI: 254900HCG7N4R7AWFZ60 | Long             | ABS-MBS          | CORP              | US        |   8675000 | PA      | $8710751.41   | 0.14%             | 2039-05-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                          | OBX 2024-NQM1 Trust                                                             | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |   7990592 | PA      | $8012953.03   | 0.13%             | 2063-11-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| OLYMPUS CORP                                                      | Olympus Corp                                                                    | CUSIP: 68163WAA7<br>LEI: 5299000Y52IFDI1I2A21 | Long             | DBT              | CORP              | JP        |  14061000 | PA      | $13839820.47  | 0.22%             | 2026-12-08      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                             | One Bryant Park Trust 2019-OBP                                                  | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18455652 | PA      | $17052602.95  | 0.28%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                             | OneMain Direct Auto Receivables Trust 2023-1                                    | CUSIP: 682685AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6871133 | PA      | $6912561.06   | 0.11%             | 2029-11-14      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                             | Onemain Direct Auto Receivables Trust 2022-1                                    | CUSIP: 68269DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    467964 | PA      | $468083.26    | 0.01%             | 2029-03-14      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                    | Open Text Corp                                                                  | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |  22673000 | PA      | $23276101.80  | 0.38%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                               | Oportun Funding Trust 2024-3                                                    | CUSIP: 68377NAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1804106 | PA      | $1804921.01   | 0.03%             | 2029-08-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                               | Oportun Funding Trust 2025-1                                                    | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1128872 | PA      | $1129386.85   | 0.02%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                               | Oportun Issuance Trust 2021-C                                                   | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3747719 | PA      | $3697987.84   | 0.06%             | 2031-10-08      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                       | Oracle Corp                                                                     | CUSIP: 6840C3JG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |  16130000 | PA      | $15797291.87  | 0.25%             | 2026-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                       | Oracle Corp                                                                     | CUSIP: 6840C3K28<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |   8640000 | PA      | $8443929.60   | 0.14%             | 2026-10-02      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| ORANGE SA                                                         | Orange SA                                                                       | CUSIP: 685218AE9<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |   3457000 | PA      | $3416380.25   | 0.06%             | 2033-01-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BLUE OWL TECHNOLOGY FINA                                          | Blue Owl Technology Finance Corp                                                | CUSIP: 691205AE8<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |  12276000 | PA      | $12210814.44  | 0.20%             | 2026-06-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME                                            | Blue Owl Credit Income Corp                                                     | CUSIP: 69120VAM3<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |  19056000 | PA      | $18816847.20  | 0.30%             | 2026-09-23      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                       | PRKCM 2021-AFC1 Trust                                                           | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21841749 | PA      | $18269742.61  | 0.29%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                       | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13267342 | PA      | $11716122.46  | 0.19%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| PSEG POWER LLC                                                    | PSEG Power LLC                                                                  | CUSIP: 69362BBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5798000 | PA      | $5886129.60   | 0.09%             | 2030-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                             | PRPM 2022-INV1 Trust                                                            | CUSIP: 69377EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24097171 | PA      | $24002427.00  | 0.39%             | 2067-04-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                             | PRPM 2024-RPL2 LLC                                                              | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11179807 | PA      | $11061347.63  | 0.18%             | 2054-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                       | PRKCM 2024-HOME1 Trust                                                          | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7988831 | PA      | $8059108.08   | 0.13%             | 2059-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                             | PRPM 2025-RPL3 LLC                                                              | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13142291 | PA      | $12690507.97  | 0.20%             | 2055-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                                    | PMT Loan Trust 2025-J3                                                          | CUSIP: 69392XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4427978 | PA      | $4436805.11   | 0.07%             | 2056-11-27      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                       | PRKCM 2023-AFC1 Trust                                                           | CUSIP: 693981AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2442116 | PA      | $2437813.25   | 0.04%             | 2058-02-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                       | PRKCM 2023-AFC1 Trust                                                           | CUSIP: 693981AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2337711 | PA      | $2334158.90   | 0.04%             | 2058-02-25      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                              | PRET 2024-RPL1 Trust                                                            | CUSIP: 693989AA3<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |   2925610 | PA      | $2791656.62   | 0.05%             | 2063-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GF II                                                | Pacific Life Global Funding II                                                  | CUSIP: 6944PL2G3<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |  10105000 | PA      | $10108940.95  | 0.16%             | 2026-06-04      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                    | Pagaya AI Debt Grantor Trust 2026-1                                             | CUSIP: 694969AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7807000 | PA      | $7804780.39   | 0.13%             | 2027-02-15      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                        | PacifiCorp                                                                      | CUSIP: 695114DM7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   4746000 | PA      | $4742820.18   | 0.08%             | 2029-04-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                    | Pagaya AI Debt Grantor Trust 2024-10                                            | CUSIP: 69544MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2945171 | PA      | $2951768.72   | 0.05%             | 2032-06-15      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                    | Pagaya Ai Debt Grantor Trust 2024-9                                             | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2127383 | PA      | $2132009.61   | 0.03%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                    | Pagaya AI Debt Grantor Trust 2026-2                                             | CUSIP: 69549PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10500000 | PA      | $10500000.00  | 0.17%             | 2027-04-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Pawnee Equipment Receivables                                      | Pawneee Equipment Receivables Series 2022-1 LLC                                 | CUSIP: 70410DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2771000 | PA      | $2771256.04   | 0.04%             | 2028-07-17      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                       | Paychex Inc                                                                     | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |   3503000 | PA      | $3521145.54   | 0.06%             | 2032-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                               | Petroleos Mexicanos                                                             | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   6000000 | PA      | $6011520.00   | 0.10%             | 2029-01-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Phillips 66                                                       | Phillips 66                                                                     | CUSIP: 71855BE40<br>LEI: 5493005JBO5YSIGK1814 | Long             | STIV             | CORP              | US        |  16000000 | PA      | $15939866.67  | 0.26%             | 2026-05-04      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                                             | Pinnacle West Capital Corp                                                      | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |   4773000 | PA      | $4811040.81   | 0.08%             | 2028-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securitization Trust                       | Porsche Financial Auto Securitization Trust 2023-2                              | CUSIP: 732916AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2945834 | PA      | $2965773.46   | 0.05%             | 2029-01-22      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust                                           | PowerPay Issuance Trust 2024-1                                                  | CUSIP: 73934RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3562421 | PA      | $3639478.46   | 0.06%             | 2039-02-18      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                   | Prestige Auto Receivables Trust 2021-1                                          | CUSIP: 74113XAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4347655 | PA      | $4298491.01   | 0.07%             | 2028-02-15      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Activity Co                            | Prodigy Finance CM2021-1 DAC                                                    | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    727885 | PA      | $726211.09    | 0.01%             | 2051-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                         | Prosus NV                                                                       | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   7816000 | PA      | $7002745.20   | 0.11%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                         | Prosus NV                                                                       | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   6400000 | PA      | $6313984.00   | 0.10%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                         | Prosus NV                                                                       | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  13254000 | PA      | $12457964.76  | 0.20%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORP                                              | Protective Life Corp                                                            | CUSIP: 743674BE2<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |   6698000 | PA      | $6386944.88   | 0.10%             | 2030-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORP                                              | Protective Life Corp                                                            | CUSIP: 743674BF9<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |   3464000 | PA      | $3431299.84   | 0.06%             | 2031-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                                            | Protective Life Global Funding                                                  | CUSIP: 74368CCD4<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   4925000 | PA      | $4868461.00   | 0.08%             | 2029-01-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                           | Public Service Co of Colorado                                                   | CUSIP: 744448DD0<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |   6920000 | PA      | $6899932.00   | 0.11%             | 2029-03-13      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                             | PRPM 2025-RPL4 LLC                                                              | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10395455 | PA      | $10014727.30  | 0.16%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                           | Public Service Co of Oklahoma                                                   | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   5930000 | PA      | $5973051.80   | 0.10%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                                          | Public Service Enterprise Group Inc                                             | CUSIP: 744573BA3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   4903000 | PA      | $4954383.44   | 0.08%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                  | Puget Energy Inc                                                                | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   2616000 | PA      | $2535270.24   | 0.04%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                  | Puget Energy Inc                                                                | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   2734000 | PA      | $2604490.42   | 0.04%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                  | Puget Energy Inc                                                                | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   9463000 | PA      | $9538041.59   | 0.15%             | 2035-03-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                                         | Qorvo Inc                                                                       | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |  14210000 | PA      | $12850387.20  | 0.21%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                               | Quanta Services Inc                                                             | CUSIP: 74762EAK8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3519110.00   | 0.06%             | 2027-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2020-1                                        | RCKT Mortgage Trust 2020-1                                                      | CUSIP: 749389BJ0<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |   2813866 | PA      | $2556182.55   | 0.04%             | 2050-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| RCKT Trust                                                        | RCKT Trust 2025-PL1                                                             | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1311823 | PA      | $1314755.06   | 0.02%             | 2034-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| RLI CORP                                                          | RLI Corp                                                                        | CUSIP: 749607AD9<br>LEI: 529900AMTJE5ECN9PS55 | Long             | DBT              | CORP              | US        |  11101000 | PA      | $10691595.12  | 0.17%             | 2036-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                        | ROCK Trust 2024-CNTR                                                            | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7700000 | PA      | $7829887.22   | 0.13%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust                                     | Radian Mortgage Capital Trust 2024-J2                                           | CUSIP: 75023WAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3732289 | PA      | $3732014.57   | 0.06%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                               | Rate Mortgage Trust 2024-J4                                                     | CUSIP: 75408TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11799161 | PA      | $11834936.25  | 0.19%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                               | Rate Mortgage Trust 2022-J1                                                     | CUSIP: 75410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40656740 | PA      | $36336205.95  | 0.59%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                                               | Reach ABS Trust 2024-2                                                          | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    860288 | PA      | $862945.08    | 0.01%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                                               | Reach ABS Trust 2025-1                                                          | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4832020 | PA      | $4840781.51   | 0.08%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                                               | Reach ABS Trust 2025-2                                                          | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3984713 | PA      | $4000504.47   | 0.06%             | 2032-08-18      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                                               | Reach Abs Trust 2024-1                                                          | CUSIP: 75526PAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428397 | PA      | $430763.94    | 0.01%             | 2031-02-18      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                                               | Reach Abs Trust 2026-1                                                          | CUSIP: 75526XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7273864 | PA      | $7275498.38   | 0.12%             | 2033-02-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| RELIANCE STAND LIFE II                                            | Reliance Standard Life Global Funding II                                        | CUSIP: 75951AAQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11512000 | PA      | $11346917.92  | 0.18%             | 2026-09-28      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| RENTOKIL TERMINIX LLC                                             | Rentokil Terminix Funding LLC                                                   | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |   9120000 | PA      | $9158030.40   | 0.15%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I                        | Research-Driven Pagaya Motor Trust 2025-5                                       | CUSIP: 76089KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13102000 | PA      | $13096282.42  | 0.21%             | 2034-06-26      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I                        | Research-Driven Pagaya Motor Asset Trust 2025-4                                 | CUSIP: 76089MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1815514 | PA      | $1815859.03   | 0.03%             | 2026-07-27      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, INC.                         | RAMP Series 2003-SL1 Trust                                                      | CUSIP: 760985E64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127813 | PA      | $127547.32    | 0.00%             | 2031-04-25      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I                        | Research-Driven Pagaya Motor Trust 2025-6                                       | CUSIP: 76100JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16850000 | PA      | $16857796.50  | 0.27%             | 2034-08-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I                        | Research-Driven Pagaya Motor Asset Trust 2026-1                                 | CUSIP: 76100KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9592000 | PA      | $9586294.68   | 0.15%             | 2035-01-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC                         | Retained Vantage Data Centers Issuer LLC                                        | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |  12300000 | PA      | $12238318.94  | 0.20%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                | RGA Global Funding                                                              | CUSIP: 76209PAB9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   4515000 | PA      | $4290514.20   | 0.07%             | 2029-01-18      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                | RGA Global Funding                                                              | CUSIP: 76209PAD5<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   4148000 | PA      | $4265969.12   | 0.07%             | 2031-01-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                | RGA Global Funding                                                              | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6139140.00   | 0.10%             | 2029-05-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                | RGA Global Funding                                                              | CUSIP: 76209PAK9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   1986000 | PA      | $1963260.30   | 0.03%             | 2030-11-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LTD                                               | SA Global Sukuk Ltd                                                             | CUSIP: 78397PAE1<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | KY        |  24040000 | PA      | $23462078.40  | 0.38%             | 2029-10-02      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA Tower Trust                                                                 | CUSIP: 78403DAT7<br>LEI: N/A                  | Long             | DBT              |  | US        |  26585000 | PA      | $26150606.42  | 0.42%             | 2026-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA Tower Trust                                                                 | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              |  | US        |  10025000 | PA      | $9783871.68   | 0.16%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA Tower Trust                                                                 | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              |  | US        |   7950000 | PA      | $8084418.60   | 0.13%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA Tower Trust                                                                 | CUSIP: 78403DBD1<br>LEI: N/A                  | Long             | DBT              |  | US        |   6480000 | PA      | $6508228.82   | 0.10%             | 2029-10-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                                     | SFO Commercial Mortgage Trust 2021-555                                          | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10872000 | PA      | $10825798.57  | 0.17%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                               | SG Residential Mortgage Trust 2021-2                                            | CUSIP: 78432YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11958253 | PA      | $10153240.09  | 0.16%             | 2061-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                            | SLM Student Loan Trust 2011-2                                                   | CUSIP: 78446JAB2<br>LEI: 549300GQO6PBOYVGSS10 | Long             | ABS-O            | CORP              | US        |   4240517 | PA      | $4261392.87   | 0.07%             | 2034-10-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                            | SLM Student Loan Trust 2013-6                                                   | CUSIP: 78448CAG4<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |  15837388 | PA      | $15646999.63  | 0.25%             | 2055-06-26      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                  | SMB Private Education Loan Trust 2020-PTB                                       | CUSIP: 78449DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1371493 | PA      | $1296591.07   | 0.02%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                  | SMB Private Education Loan Trust 2021-D                                         | CUSIP: 78449MAB2<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   3363164 | PA      | $3326210.35   | 0.05%             | 2053-03-17      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                  | SLG Office Trust 2021-OVA                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13752000 | PA      | $12235331.80  | 0.20%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                  | SMB Private Education Loan Trust 2020-A                                         | CUSIP: 78449UAB4<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   2053898 | PA      | $1995816.56   | 0.03%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                  | SMB Private Education Loan Trust 2021-E                                         | CUSIP: 78450MAB8<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   9969802 | PA      | $9861320.03   | 0.16%             | 2051-02-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| SAFCO Auto Receivables Trust                                      | SAFCO Auto Receivables Trust 2025-1                                             | CUSIP: 785923AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7467552 | PA      | $7487114.04   | 0.12%             | 2029-09-10      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                    | Salesforce Inc                                                                  | CUSIP: 79466LAQ7<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |  22830000 | PA      | $22836620.70  | 0.37%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                    | Salesforce Inc                                                                  | CUSIP: 79466LAS3<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1497960.00   | 0.02%             | 2031-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GLOBAL                                          | Sammons Financial Group Global Funding                                          | CUSIP: 79587J2E2<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |   3707000 | PA      | $3675824.13   | 0.06%             | 2030-12-12      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                                           | Sammons Financial Group Inc                                                     | CUSIP: 79588TAC4<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |   7950000 | PA      | $7904923.50   | 0.13%             | 2027-05-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| San Francisco City & County Redevelopment Agency Successor Agency | SAN FRANCISCO CITY & CNTY CA REDEV AGY SUCCESSOR AGY TAX                        | CUSIP: 79770GLA2<br>LEI: 5493001TPOZL3UK8DX25 | Long             | DBT              | MUN               | US        |    585000 | PA      | $586902.42    | 0.01%             | 2031-08-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| San Francisco City & County Redevelopment Agency Successor Agency | SAN FRANCISCO CITY & CNTY CA REDEV AGY SUCCESSOR AGY TAX                        | CUSIP: 79770GLB0<br>LEI: 5493001TPOZL3UK8DX25 | Long             | DBT              | MUN               | US        |    600000 | PA      | $602416.80    | 0.01%             | 2032-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| San Francisco City & County Redevelopment Agency Successor Agency | SAN FRANCISCO CITY & CNTY CA REDEV AGY SUCCESSOR AGY TAX                        | CUSIP: 79770GLC8<br>LEI: 5493001TPOZL3UK8DX25 | Long             | DBT              | MUN               | US        |   2966000 | PA      | $2987402.66   | 0.05%             | 2033-08-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                            | Santander Holdings USA Inc                                                      | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   4023000 | PA      | $4000873.50   | 0.06%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                            | Santander Drive Auto Receivables Trust 2026-1                                   | CUSIP: 80288FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6100000 | PA      | $6096401.98   | 0.10%             | 2029-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                           | Santander Bank Auto Credit-Linked Notes Series 2022-C                           | CUSIP: 80290CBK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1312279 | PA      | $1324337.00   | 0.02%             | 2032-12-15      | Fixed         | 14.59%                | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                            | Santander Drive Auto Receivables Trust 2025-4                                   | CUSIP: 802923AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18035979 | PA      | $18049674.38  | 0.29%             | 2029-01-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                          | Saudi Government International Bond                                             | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |  11200000 | PA      | $11293520.00  | 0.18%             | 2028-01-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                          | Saudi Government International Bond                                             | CUSIP: 80413TBP3<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   5737000 | PA      | $5647158.58   | 0.09%             | 2029-01-12      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                            | Sequoia Mortgage Trust 2023-3                                                   | CUSIP: 816943BF0<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |   2699419 | PA      | $2722190.84   | 0.04%             | 2053-09-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                            | Sequoia Mortgage Trust 2013-6                                                   | CUSIP: 81745BAH8<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    716584 | PA      | $574336.20    | 0.01%             | 2043-05-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                            | Sequoia Mortgage Trust 2013-7                                                   | CUSIP: 81745CAH6<br>LEI: 549300DFASAA48I36408 | Long             | ABS-MBS          | CORP              | US        |    408200 | PA      | $327590.55    | 0.01%             | 2043-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                            | Sequoia Mortgage Trust 2025-10                                                  | CUSIP: 81750CAB1<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |  10882476 | PA      | $10647165.60  | 0.17%             | 2055-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                            | Service Experts Issuer 2021-1 LLC                                               | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4080605 | PA      | $4014525.07   | 0.06%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                               | SG Residential Mortgage Trust 2020-2                                            | CUSIP: 81882JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5621920 | PA      | $5177702.02   | 0.08%             | 2065-05-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                               | SG Residential Mortgage Trust 2020-2                                            | CUSIP: 81882JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1096688 | PA      | $1014733.81   | 0.02%             | 2065-05-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                               | SG Residential Mortgage Trust 2020-2                                            | CUSIP: 81882JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374421 | PA      | $348861.56    | 0.01%             | 2065-05-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust                                    | Shellpoint Asset Funding Trust 2013-1                                           | CUSIP: 822804AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    663492 | PA      | $637331.25    | 0.01%             | 2043-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                                          | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2009180.00   | 0.03%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                                            | Skyworks Solutions Inc                                                          | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |   6434000 | PA      | $6404274.92   | 0.10%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| SKY1 Trust                                                        | SKY Trust 2025-LINE                                                             | CUSIP: 830941AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2422971 | PA      | $2439468.71   | 0.04%             | 2042-04-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CRS4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    104014 | PA      | $105146.93    | 0.00%             | 2028-04-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CSN4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     67360 | PA      | $67539.55     | 0.00%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CSX2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    570937 | PA      | $569467.47    | 0.01%             | 2029-11-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CUA9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    809326 | PA      | $800304.98    | 0.01%             | 2031-05-01      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CUB7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    174516 | PA      | $172026.95    | 0.00%             | 2031-06-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CUD3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    869993 | PA      | $858558.94    | 0.01%             | 2031-07-01      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CUG6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1686734 | PA      | $1628225.49   | 0.03%             | 2031-09-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CUK7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1475494 | PA      | $1427375.60   | 0.02%             | 2031-11-01      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CUS0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1208580 | PA      | $1156300.05   | 0.02%             | 2032-04-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CVB6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    955829 | PA      | $899488.23    | 0.01%             | 2032-10-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                 | United States Small Business Administration                                     | CUSIP: 83162CVD2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    762113 | PA      | $716456.25    | 0.01%             | 2032-11-01      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                  | SMB Private Education Loan Trust 2017-B                                         | CUSIP: 83189DAC4<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |     13382 | PA      | $13378.44     | 0.00%             | 2035-10-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                          | Snam SpA                                                                        | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |   2800000 | PA      | $2820888.00   | 0.05%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                  | Societe Generale SA                                                             | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4933000 | PA      | $5076895.61   | 0.08%             | 2029-01-10      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                  | Societe Generale SA                                                             | CUSIP: 83368RCL4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3800000 | PA      | $3759758.00   | 0.06%             | 2030-04-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SODEXO INC                                                        | Sodexo Inc                                                                      | CUSIP: 833794AC4<br>LEI: 549300WSZGQGJQXRFU84 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4054920.00   | 0.07%             | 2030-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust                                            | Sofi Alternative Trust 2019-C                                                   | CUSIP: 83406JAA2<br>LEI: 549300FHYBLULHPK5D74 | Long             | ABS-O            | CORP              | US        |   8748877 | PA      | $8689653.94   | 0.14%             | 2045-01-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                                  | SoFi Consumer Loan Program 2025-2 Trust                                         | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1611204 | PA      | $1614930.23   | 0.03%             | 2034-06-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                | Southwest Gas Corp                                                              | CUSIP: 845011AE5<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |   3024000 | PA      | $2889401.76   | 0.05%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                | Southwest Gas Corp                                                              | CUSIP: 845011AF2<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |   4828000 | PA      | $4933781.48   | 0.08%             | 2027-12-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SPIRE INC                                                         | Spire Inc                                                                       | CUSIP: 84857LAF8<br>LEI: 549300NXSY15DRY2R511 | Long             | DBT              | CORP              | US        |   6512000 | PA      | $6432293.12   | 0.10%             | 2031-09-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                                  | SpringCastle America Funding LLC                                                | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7902728 | PA      | $7490334.86   | 0.12%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                               | Starwood Mortgage Residential Trust 2020-3                                      | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1108711 | PA      | $1082195.49   | 0.02%             | 2065-04-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                               | Starwood Mortgage Residential Trust 2021-5                                      | CUSIP: 85573QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17902245 | PA      | $15046672.17  | 0.24%             | 2066-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| STEWART INFORMATION SERV                                          | Stewart Information Services Corp                                               | CUSIP: 86038AAA0<br>LEI: 529900TV1XI0PLKENU10 | Long             | DBT              | CORP              | US        |  22401000 | PA      | $19817044.65  | 0.32%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                           | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-9A         | CUSIP: 86359ARF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182195 | PA      | $183221.51    | 0.00%             | 2033-03-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                          | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  11650000 | PA      | $11091615.50  | 0.18%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Trust                                 | Sunbit Asset Securitization Trust 2025-1                                        | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5539081.30   | 0.09%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                                      | Sunnova Hestia I Issuer LLC                                                     | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8457809 | PA      | $8295160.69   | 0.13%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia II Issuer, LLC                                     | Sunnova Hestia II Issuer LLC                                                    | CUSIP: 86746FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8627422 | PA      | $8419350.42   | 0.14%             | 2051-07-20      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | Energy Transfer LP                                                              | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5992500.00   | 0.10%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE                                            | Sydney Airport Finance Co Pty Ltd                                               | CUSIP: 87124VAG4<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |  19263000 | PA      | $19106199.18  | 0.31%             | 2036-03-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORP                                                    | TD SYNNEX Corp                                                                  | CUSIP: 87162WAF7<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |  27306000 | PA      | $27041677.92  | 0.44%             | 2026-08-09      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  17288000 | PA      | $17183407.60  | 0.28%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2791000 | PA      | $2830269.37   | 0.05%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                             | TRK 2022-INV2 Trust                                                             | CUSIP: 87265XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17371028 | PA      | $17212749.58  | 0.28%             | 2057-06-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| TMS ISSUER SARL                                                   | TMS Issuer Sarl                                                                 | CUSIP: 87266GAA8<br>LEI: 21380092DY1X4BHPMA32 | Long             | DBT              | CORP              | LU        |  10700000 | PA      | $10868097.00  | 0.18%             | 2032-08-23      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| TPG OPERATING GROUP II                                            | TPG Operating Group II LP                                                       | CUSIP: 87268QAA4<br>LEI: 2549001H9RJQNZT7MU11 | Long             | DBT              | CORP              | US        |   3410000 | PA      | $3343880.10   | 0.05%             | 2031-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TELUS CORP                                                        | TELUS Corp                                                                      | CUSIP: 87971MBD4<br>LEI: 894500TX134IMF6NW757 | Long             | DBT              | CORP              | CA        |  12981000 | PA      | $12800434.29  | 0.21%             | 2027-02-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Tesla Sustainable Energy Trust                                    | Tesla Sustainable Energy Trust 2024-1                                           | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6106713 | PA      | $6111110.53   | 0.10%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Thornburg Capital Management Fund                                 | Thornburg Capital Management Fund                                               | CUSIP: 885216739<br>LEI: 549300GLR0WG6ALV5277 | Long             | EC               | RF                | US        |  19221984 | NS      | $192219837.47 | 3.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                                         | Towd Point Mortgage Trust 2018-2                                                | CUSIP: 89175VAA1<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   2776709 | PA      | $2756132.30   | 0.04%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                         | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |     29723 | PA      | $29547.11     | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                         | Towd Point Mortgage Trust 2018-6                                                | CUSIP: 89176LAA2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    864679 | PA      | $860613.60    | 0.01%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Asset Trust                                            | Towd Point Asset Trust 2021-SL1                                                 | CUSIP: 89179XAL9<br>LEI: 54930022FYEFQVX02P24 | Long             | ABS-O            | CORP              | US        |   1504615 | PA      | $1502963.20   | 0.02%             | 2061-11-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                         | Towd Point Mortgage Trust 2025-R2                                               | CUSIP: 89182UAA4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-O            | CORP              | US        |   9402494 | PA      | $8777200.10   | 0.14%             | 2064-09-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                         | Towd Point Mortgage Trust 2025-R1                                               | CUSIP: 89183DAA1<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |  17528704 | PA      | $15681522.48  | 0.25%             | 2057-11-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO                                             | Transurban Finance Co Pty Ltd                                                   | CUSIP: 89400PAL7<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |  14225000 | PA      | $13916175.25  | 0.22%             | 2036-03-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                | Tricolor Auto Securitization Trust 2023-1                                       | CUSIP: 89616KAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    597860 | PA      | $558042.09    | 0.01%             | 2027-07-15      | Fixed         | 8.56%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                | Tricolor Auto Securitization Trust 2024-2                                       | CUSIP: 89616PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1303957 | PA      | $1204074.31   | 0.02%             | 2027-12-15      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                | Tricolor Auto Securitization Trust 2024-3                                       | CUSIP: 89617AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1355586 | PA      | $1159568.56   | 0.02%             | 2028-06-15      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| TRIMBLE INC                                                       | Trimble Inc                                                                     | CUSIP: 896239AC4<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6021240.00   | 0.10%             | 2028-06-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS Group AG                                                                    | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   7121000 | PA      | $7044164.41   | 0.11%             | 2027-08-10      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                                                | UBS AG/Stamford CT                                                              | CUSIP: 90261AAG7<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |  14750000 | PA      | $14727580.00  | 0.24%             | 2029-03-16      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| USAA Auto Owner Trust                                             | USAA Auto Owner Trust 2023-A                                                    | CUSIP: 90291VAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11572671 | PA      | $11625195.81  | 0.19%             | 2028-05-15      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| US BANK NA CINCINNATI                                             | US Bank NA/Cincinnati OH                                                        | CUSIP: 90331HPS6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |   6750000 | PA      | $6774300.00   | 0.11%             | 2028-05-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| UL SOLUTIONS INC                                                  | UL Solutions Inc                                                                | CUSIP: 903731AC1<br>LEI: 549300F7CUV5ESKV9P71 | Long             | DBT              | CORP              | US        |  12800000 | PA      | $13400192.00  | 0.22%             | 2028-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                             | Mexico Government International Bond                                            | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5000000 | PA      | $4878700.00   | 0.08%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                            | U.S. Treasury Notes                                                             | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18072000 | PA      | $17151457.50  | 0.28%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                            | U.S. Treasury Notes                                                             | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25423828.25  | 0.41%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29032000 | PA      | $28954883.75  | 0.47%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10250000 | PA      | $10286035.21  | 0.17%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26800000 | PA      | $26760218.88  | 0.43%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                            | U.S. Treasury Notes                                                             | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 105208000 | PA      | $102627116.25 | 1.66%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                            | U.S. Treasury Notes                                                             | CUSIP: 91282CPM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78250000 | PA      | $76587187.50  | 1.24%             | 2032-11-30      | Fixed         | 3.75%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                            | U.S. Treasury Notes                                                             | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39545000 | PA      | $38818978.71  | 0.63%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                            | U.S. Treasury Inflation-Indexed Notes                                           | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 130290954 | PA      | $128733570.53 | 2.08%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                            | U.S. Treasury Notes                                                             | CUSIP: 91282CQC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15335000 | PA      | $14987566.41  | 0.24%             | 2033-02-28      | Fixed         | 3.75%                 | No            |                  1 | On Loan: No      |
| UNUM GROUP                                                        | Unum Group                                                                      | CUSIP: 91529YAU0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   7127000 | PA      | $6961439.79   | 0.11%             | 2035-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                    | Upgrade Master Pass-Thru Trust Series 2025-ST4                                  | CUSIP: 91533MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3862283 | PA      | $3876623.74   | 0.06%             | 2032-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                    | Upgrade Master Pass-Thru Trust Series 2025-ST5                                  | CUSIP: 91535BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3573849 | PA      | $3574921.85   | 0.06%             | 2032-09-15      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                      | Upstart Securitization Trust 2025-2                                             | CUSIP: 91679EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4799362 | PA      | $4814973.63   | 0.08%             | 2035-06-20      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                      | Upstart Securitization Trust 2023-2                                             | CUSIP: 91683VAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1127390 | PA      | $1129286.89   | 0.02%             | 2033-06-20      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                      | Upstart Securitization Trust 2023-3                                             | CUSIP: 91684MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60313 | PA      | $60366.81     | 0.00%             | 2033-10-20      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                      | Upstart Securitization Trust 2023-3                                             | CUSIP: 91684MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10990000 | PA      | $11204107.51  | 0.18%             | 2033-10-20      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                      | Upstart Securitization Trust                                                    | CUSIP: 91684NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3535039 | PA      | $3536004.74   | 0.06%             | 2034-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                      | Upstart Securitization Trust 2025-1                                             | CUSIP: 91684PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3952043 | PA      | $3955920.53   | 0.06%             | 2035-04-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| VSP OPTICAL GROUP INC                                             | VSP Optical Group Inc                                                           | CUSIP: 91836LAA0<br>LEI: 549300PHX8USLM2BT742 | Long             | DBT              | CORP              | US        |   1676000 | PA      | $1642111.28   | 0.03%             | 2035-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                                      | Veros Auto Receivables Trust 2025-1                                             | CUSIP: 92511BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5338972 | PA      | $5347777.30   | 0.09%             | 2028-09-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                                      | Veros Auto Receivables Trust 2026-1                                             | CUSIP: 92511CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5575827 | PA      | $5573344.93   | 0.09%             | 2028-08-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                                      | Veros Auto Receivables Trust 2024-1                                             | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    513375 | PA      | $514004.34    | 0.01%             | 2027-11-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2021-R1                                              | CUSIP: 92538BAA1<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |   1636246 | PA      | $1560234.82   | 0.03%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                       | Viatris Inc                                                                     | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   9885000 | PA      | $9588944.25   | 0.15%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                                | Visio 2019-2 Trust                                                              | CUSIP: 92837DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415000 | PA      | $1389163.46   | 0.02%             | 2054-11-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                  | Vista Point Securitization Trust 2020-2                                         | CUSIP: 92838TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3263760 | PA      | $3161118.35   | 0.05%             | 2065-04-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                  | Vista Point Securitization Trust 2020-1                                         | CUSIP: 92838WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4603508 | PA      | $4584541.48   | 0.07%             | 2065-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                          | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   7926000 | PA      | $7975378.98   | 0.13%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                          | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2143000 | PA      | $2137513.92   | 0.03%             | 2027-09-11      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                                      | Vontier Corp                                                                    | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   5272000 | PA      | $5272000.00   | 0.09%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                                 | Vornado Realty LP                                                               | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |   6893000 | PA      | $6860396.11   | 0.11%             | 2026-06-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| VOYA GLOBAL FUNDING                                               | Voya Global Funding                                                             | CUSIP: 92921LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4760000 | PA      | $4690218.40   | 0.08%             | 2030-11-24      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                                      | WB Commercial Mortgage Trust 2024-HQ                                            | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4050000 | PA      | $4040979.39   | 0.07%             | 2040-03-15      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3448000 | PA      | $3462412.64   | 0.06%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| CALAMOS STRATEGIC TOTAL RETURN                                    | CALAMOS STRATEGIC TOTAL RETURN                                                  | CUSIP: 000000000<br>LEI: 54930048NQ2YBS3TXW78 | Long             | EP               | CORP              | US        |    370000 | NS      | $9098300.00   | 0.15%             |  |  |  | No            |                  3 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL                                           | Western-Southern Global Funding                                                 | CUSIP: 95954A2A0<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |  14075000 | PA      | $14158324.00  | 0.23%             | 2030-05-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                             | Westlake Automobile Receivables Trust 2022-2                                    | CUSIP: 96042VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5570011 | PA      | $5580033.73   | 0.09%             | 2027-09-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                             | Westlake Automobile Receivables Trust 2022-2                                    | CUSIP: 96042VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18528000 | PA      | $18649180.53  | 0.30%             | 2027-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                                             | Whistler Pipeline LLC                                                           | CUSIP: 96337RAA0<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |   6985000 | PA      | $7152430.45   | 0.12%             | 2029-09-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TRISTATE INSURED CASH SWEEP                                       | TRISTATE INSURED CASH SWEEP                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |       791 | PA      | $791.24       | 0.00%             | 2050-10-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                          | Willis North America Inc                                                        | CUSIP: 970648AL5<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   4541000 | PA      | $4548992.16   | 0.07%             | 2027-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                          | Willis North America Inc                                                        | CUSIP: 970648AP6<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3354712.00   | 0.05%             | 2031-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                                      | WinWater Mortgage Loan Trust 2015-3                                             | CUSIP: 97651JBE5<br>LEI: 549300PWVP7DMQC42S40 | Long             | ABS-MBS          | CORP              | US        |    764882 | PA      | $718753.68    | 0.01%             | 2045-03-20      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| WIPRO IT SERVICE                                                  | Wipro IT Services LLC                                                           | CUSIP: 97654MAA4<br>LEI: 549300S6XZZ65F0EJS98 | Long             | DBT              | CORP              | US        |  10647000 | PA      | $10572151.59  | 0.17%             | 2026-06-23      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                          | Comision Federal de Electricidad                                                | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   9454400 | PA      | $8771319.60   | 0.14%             | 2036-09-29      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GAZPROM PJSC (GAZ FN)                                             | Gazprom PJSC via Gaz Finance PLC                                                | CUSIP: 000000000<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |  32475000 | PA      | $20405016.75  | 0.33%             | 2031-07-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-28

**Name of Applicant:** THORNBURG INVESTMENT TRUST

**Signature:** Christopher Luckham

**Name of Signer:** Christopher Luckham

**Title:** Senior Manager - Fund Administration